EXHIBIT 99.1
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Xxxxxx Xxxxxxx [Xxxxxx Xxxx 29, 2004
Securitized Products Group Xxxxxxx
Logo]
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Computational Materials
$390,040,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-WMC1
Mortgage Pass-Through Certificates
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 1
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 2
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Xxxxxx Xxxxxxx [Xxxxxx Xxxx 29, 2004
Securitized Products Group Xxxxxxx
Logo]
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Approximately $390,040,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-WMC1
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
HomEq Servicing Corp
Servicer
Transaction Highlights
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Modified
Offered Expected Ratings Avg Life to Call Duration To Call
Classes Description Balance(4) (S&P/Fitch/Moody's) / Mty(1)(2) / Mty(1)(2)(3)
====================================================================================================================
A-1 Not Offered 341,652,000 *****Not Offered*****
A-2 Floater 254,390,000 AAA/AAA/Aaa 2.67 / 2.90 2.59 / 2.78
M-1 Floater 49,701,000 AA/AA/Aa2 5.33 / 5.89 5.06 / 5.53
M-2 Floater 42,974,000 A/A/A2 5.30 / 5.80 4.93 / 5.32
M-3 Floater 11,211,000 A-/A-/A3 5.30 / 5.72 4.88 / 5.21
B-1 Floater 11,211,000 BBB+/BBB+/Baa1 5.28 / 5.65 4.79 / 5.06
B-2 Floater 11,211,000 BBB/BBB/Baa2 5.28 / 5.54 4.75 / 4.94
B-3 Floater 9,342,000 BBB-/-/Baa3 5.26 / 5.33 4.54 / 4.58
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Initial
Offered Subordination
Classes Payment Window To Call / Mty(1)(2) Level Benchmark
===========================================================================================
A-1 *****Not Offered*****
A-2 08/04 - 07/12 / 08/04 - 10/21 20.25% 1 Mo. LIBOR
M-1 10/07 - 07/12 / 10/07 - 04/19 13.60% 1 Mo. LIBOR
M-2 09/07 - 07/12 / 09/07 - 02/18 7.85% 1 Mo. LIBOR
M-3 08/07 - 07/12 / 08/07 - 04/16 6.35% 1 Mo. LIBOR
B-1 08/07 - 07/12 / 08/07 - 08/15 4.85% 1 Mo. LIBOR
B-2 08/07 - 07/12 / 08/07 - 09/14 3.35% 1 Mo. LIBOR
B-3 08/07 - 07/12 / 08/07 - 07/13 2.10% 1 Mo. LIBOR
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Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-WMC1.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: WMC Mortgage Corp.
Servicer: HomEq Servicing Corp.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx & Partners, L.P. and Xxxxxxxx Capital Partners, L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x Investor Services.
Offered Certificates: The Class A-2, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates.
Class A Certificates: The Class A-1 and A-2 Certificates.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 3
Expected Closing Date: July 29, 2004 through DTC and Euroclear or Clearstream. The Certificates will be sold without
accrued interest.
Cut-off Date: July 1, 2004
Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day, beginning
August 25, 2004.
Final Scheduled Distribution The Distribution Date occurring in June 2034.
Date:
Due Period: For any Distribution Date, the calendar month preceding the month in which that Distribution Date
occurs.
Prepayment Period: For any Distribution Date, the calendar month preceding the month in which that Distribution Date
occurs.
Interest Accrual Period: The interest accrual period for the Offered Certificates with respect to any Distribution Date
will be the period beginning with the previous Distribution Date (or, in the case of the first
Distribution Date, the Closing Date) and ending on the day prior to the current Distribution Date
(on an actual/360 day count basis).
Mortgage Loans: The Trust will consist of two groups of adjustable and fixed rate sub-prime residential, first-lien
mortgage loans.
Group I Mortgage Loans: Approximately $428.4 million of Mortgage Loans with original principal balances that conform to
the original principal balance limits for one- to four-family residential mortgage loan guidelines
for purchase by Freddie Mac.
Group II Mortgage Loans: Approximately $319.0 million of Mortgage Loans that predominantly have original principal balances
that may or may not conform to the original principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase by Freddie Mac.
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at approximately 1.5333% CPR in month 1 and increasing
to 23% CPR in month 15 (23%/15 increase for each month), and remaining at 23% CPR thereafter
o ARM Mortgage Loans: 25% CPR
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage Loans,
2) 2.10% overcollateralization (funded upfront). On and after the Step-down Date, so long as a
Trigger Event is not in effect, the required overcollateralization will equal 4.20% of the
aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due
Period, subject to a 0.50% floor, based on the aggregate principal balance of the Mortgage
Loans as of the cut-off date, provided, however, that if, on any distribution date, a
Delinquency Trigger Event exists, the required overcollateralization will not be reduced to
the applicable percentage of the then Stated Principal Balance of the mortgage loans but
instead remain the same as the prior period's required overcollateralization until the
distribution date on which a Delinquency Trigger Event no longer exists; and
3) Subordination of distributions on the more subordinate classes of certificates (if
applicable) to the required distributions on the more senior classes of certificates.
Senior Enhancement Percentage: For any Distribution Date, the percentage obtained by dividing (x) the aggregate Certificate
Principal Balance of the subordinate certificates (together with any overcollateralization and
taking into account the distributions of the Principal Distribution Amount for such Distribution
Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the
related Due Period.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 4
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in August 2007; and
(b) The Distribution Date on which the aggregate balance of the Class A Certificates is
reduced to zero; and
(y) The first Distribution Date on which the Senior Enhancement Percentage (calculated for this
purpose only after taking into account payments of principal on the Mortgage Loans on the
last day of the related Due Period but prior to principal distributions to the certificates
on the applicable Distribution Date) is greater than or equal to approximately 40.50%.
Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss Trigger Event.
Delinquency Trigger Event: A Delinquency Trigger Event is in effect on any Distribution Date if on that Distribution Date the
60 Day+ Rolling Average equals or exceeds [37%] of the prior period's Senior Enhancement
Percentage. The 60 Day+ Rolling Average will equal the rolling 3 month average percentage of
Mortgage Loans that are 60 or more days delinquent.
Cumulative Loss Trigger Event: A Cumulative Loss Trigger Event is in effect on any Distribution Date if the aggregate amount of
Realized Losses incurred since the cut-off date through the last day of the related Prepayment
Period divided by the aggregate Stated Principal Balance of the mortgage loans as of the cut-off
date exceeds the applicable percentages described below with respect to such distribution date:
Months 37- 48 [3.25] for the first month, plus an additional 1/12th of [1.50] for
each month thereafter (e.g., [4.000] in Month 43)
Months 49- 60 [4.75] for the first month, plus an additional 1/12th of [1.25] for
each month thereafter (e.g., [5.375] in Month 55)
Months 61- 72 [6.00] for the first month, plus an additional 1/12th of [0.50] for
each month thereafter (e.g., [6.250] in Month 67)
Months 72- thereafter [6.50]
Initial Subordination Class A: 20.25%
Percentage: Class M-1: 13.60%
Class M-2: 7.85%
Class M-3: 6.35%
Class B-1: 4.85%
Class B-2: 3.35%
Class B-3: 2.10%
Optional Clean-up Call: When the current aggregate principal balance of the Mortgage Loans is less than or equal to 10% of
the aggregate principal balance of the Mortgage Loans as of the cut-off date.
Step-up Coupons: For all Offered Certificates the coupon will increase after the optional clean-up call date,
should the call not be exercised. The applicable fixed margin will increase by 2x on the Class A
Certificates and by 1.5x on all other Certificates after the first distribution date on which the
Optional Clean-up Call is exercisable.
Class A-1 Pass-Through Rate: The Class A-1 Certificates will accrue interest at a variable rate equal to the least of (i)
one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Clean-up Call is exercisable), (ii) the Loan Group I Cap and (iii) the WAC Cap.
Class A-2 Pass-Through Rate: The Class A-2 Certificates will accrue interest at a variable rate equal to the least of (i)
one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Clean-up Call is exercisable), (ii) the Loan Group II Cap and (iii) the WAC Cap.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 5
Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC Cap.
Class M-2 Pass-Through Rate: The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC Cap.
Class M-3 Pass-Through Rate: The Class M-3 Certificates will accrue interest at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC Cap.
Class B-1 Pass-Through Rate: The Class B-1 Certificates will accrue interest at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC Cap.
Class B-2 Pass-Through Rate: The Class B-2 Certificates will accrue interest at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC Cap.
Class B-3 Pass-Through Rate: The Class B-3 Certificates will accrue interest at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC Cap.
WAC Cap: As to any Distribution Date a per annum rate equal to the product of (i) the weighted average
gross rate of the Mortgage Loans in effect on the beginning of the related Due Period less
servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the related Interest Accrual Period.
Loan Group I Cap: As to any Distribution Date, a per annum rate equal to the product of (i) weighted average gross
rate of the Group I Mortgage Loans in effect on the beginning of the related Due Period less
servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the related Interest Accrual Period.
Loan Group II Cap: As to any Distribution Date, a per annum rate equal to the product of (i) weighted average gross
rate of the Group II Mortgage Loans in effect on the beginning of the related Due Period less
servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the related Interest Accrual Period.
Class A-1 Basis Risk Carry As to any Distribution Date, the supplemental interest amount for the Class A-1 Certificates will
Forward Amount: equal the sum of:
(i) The excess, if any, of interest that would otherwise be due on such Certificates at the
Class A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap) over
interest due such Certificates at a rate equal to the lesser of the Loan Group I Cap or WAC
Cap;
(ii) Any Class A-1 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution
Dates; and
(iii) Interest on the amount in clause (ii) at the related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 6
Class A-2 Basis Risk Carry As to any Distribution Date, the supplemental interest amount for each of the Class A-2
Forward Amount: Certificates will equal the sum of:
(i) The excess, if any, of interest that would otherwise be due on such Certificates at the
Class A-2 Pass-Through Rates (without regard to the Loan Group II Cap or WAC Cap) over
interest due such Certificates at a rate equal to the lesser of the Loan Group II Cap or WAC
Cap;
(ii) Any Class A-2 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution
Dates; and
(iii) Interest on the amount in clause (ii) at the related Class A-2 Pass-Through Rate (without
regard to the Loan Group II Cap or WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the supplemental interest amount for each of the Class M-1, M-2, M-3,
B-1, B-2 and B-3 Basis Risk B-1, B-2 and B-3 Certificates will equal the sum of:
Carry Forward Amounts: (i) The excess, if any, of interest that would otherwise be due on such Certificates at such
Certificates' applicable Pass-Through Rate (without regard to the WAC Cap) over interest due
such Certificates at a rate equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from
prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap).
Interest Distributions on On each Distribution Date and after payments of servicing and trustee fees and other expenses,
Offered Certificates: interest distributions from the Interest Remittance Amount will be allocated as follows:
(i) The portion of the Interest Remittance Amount attributable to the Group I Mortgage Loans
will be allocated according to the related Accrued Certificate Interest and any unpaid
interest shortfall amounts for such class, as applicable, first, to the Class A-1
Certificates and second, to the Class A-2 Certificates;
(ii) The portion of the Interest Remittance Amount attributable to the Group II Mortgage Loans
will be allocated according to the related Accrued Certificate Interest and any unpaid
interest shortfall amounts for such class, as applicable, first, to the Class A-2
Certificates and second, to the Class A-1 Certificates;
(iii) To the Class M-1 Certificates, its Accrued Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued Certificate Interest; and
(viii) To the Class B-3 Certificates, its Accrued Certificate Interest.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 7
Principal Distributions on On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in
Offered Certificates: effect, principal distributions from the Principal Distribution Amount will be allocated as
follows:
(i) to the Class A Certificates, allocated between the Class A Certificates as described below,
until the Certificate Principal Balances thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero;
(iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero;
(iv) to the Class M-3 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero;
(v) to the Class B-1 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero;
(vi) to the Class B-2 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero; and
(vii) to the Class B-3 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero.
On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not
in effect, the principal distributions from the Principal Distribution Amount will be allocated as
follows:
(i) to the Class A Certificates, the lesser of the Principal Distribution Amount and the Class A
Principal Distribution Amount, allocated between the Class A Certificates as described
below, until the Certificate Principal Balances thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount and
the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof
has been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount and
the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof
has been reduced to zero;
(iv) to the Class M-3 Certificates, the lesser of the remaining Principal Distribution Amount and
the Class M-3 Principal Distribution Amount, until the Certificate Principal Balance thereof
has been reduced to zero;
(v) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and
the Class B-1 Principal Distribution Amount, until the Certificate Principal Balance thereof
has been reduced to zero;
(vi) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and
the Class B-2 Principal Distribution Amount, until the Certificate Principal Balance thereof
has been reduced to zero; and
(vii) to the Class B-3 Certificates, the lesser of the remaining Principal Distribution Amount and
the Class B-3 Principal Distribution Amount, until the Certificate Principal Balance thereof
has been reduced to zero.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 8
Class A Principal Allocation: All principal distributions to the Class A Certificates on any Distribution Date will be allocated
between the Class A-1 Certificates and the Class A-2 Certificates on a pro rata basis based on the
Class A Principal Allocation Percentage for each such class on such Distribution Date; provided,
however, that if the Certificate Principal Balance of either class of Class A Certificates is
reduced to zero, then the remaining amount of principal distributions distributable to the class
of Class A Certificates on such Distribution Date and all subsequent Distribution Dates,
will be distributed to the remaining outstanding Class A Certificates until the Certificate
Principal Balance thereof has been reduced to zero.
Class A-2 Interest Rate Cap: Beginning on the first Distribution Date, and for a period of 35 months thereafter, an Interest
Rate Cap will be entered into by the Trust for the benefit of the Class A-2 Certificates.
For its duration, the Class A-2 Interest Rate Cap pays the Trust the product of (i) the excess, if
any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike
(on an Actual/360 day count basis) and (ii) the Class A-2 Interest Rate Cap Notional Balance ("the
Class A-2 Interest Rate Cap Payment") as described on the schedule herein.
Class A-2 Interest Rate Cap The Class A-2 Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward
Payment Allocation: Amount due to the Class A-2 Certificates.
Class M Interest Rate Cap: Beginning on the first Distribution Date, and for a period of 49 months thereafter, an Interest
Rate Cap will be entered into by the Trust for the benefit of the Class M Certificates.
For its duration, the Class M Interest Rate Cap pays the Trust the product of (i) the excess, if
any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike
(on an Actual/360 day count basis) and (ii) the Class M Interest Rate Cap Notional Balance ("the
Class M Interest Rate Cap Payment") as described on the schedule herein.
Class M Interest Rate Cap The Class M Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward
Payment Allocation: Amount due to the Class M-1, Class M-2 and Class M-3 Certificates on a pro rata basis.
Class B Interest Rate Cap: Beginning on the first Distribution Date, and for a period of 49 months thereafter, an Interest
Rate Cap will be entered into by the Trust for the benefit of the Class B Certificates.
For its duration, the Class B Interest Rate Cap pays the Trust the product of (i) the excess, if
any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike
(on an Actual/360 day count basis) and (ii) the Class B Interest Rate Cap Notional Balance ("the
Class B Interest Rate Cap Payment") as described on the schedule herein.
Class B Interest Rate Cap The Class B Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward
Payment Allocation: Amount due to the Class B-1, Class B-2 and Class B-3 Certificates on a pro rata basis.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 9
Allocation of Net Monthly For any Distribution Date, any Net Monthly Excess Cashflow shall be paid as follows:
Excess Cashflow: (i) to the Class M-1 Certificates, the unpaid interest shortfall amount;
(ii) to the Class M-1 Certificates, the allocated unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid interest shortfall amount;
(iv) to the Class M-2 Certificates, the allocated unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid interest shortfall amount;
(vi) to the Class M-3 Certificates, the allocated unreimbursed realized loss amount;
(vii) to the Class B-1 Certificates, the unpaid interest shortfall amount;
(viii) to the Class B-1 Certificates, the allocated unreimbursed realized loss amount;
(ix) to the Class B-2 Certificates, the unpaid interest shortfall amount;
(x) to the Class B-2 Certificates, the allocated unreimbursed realized loss amount;
(xi) to the Class B-3 Certificates, the unpaid interest shortfall amount;
(xii) to the Class B-3 Certificates, the allocated unreimbursed realized loss amount;
(xiii) concurrently, any Class A-1 Basis Risk Carry Forward Amount to the Class A-1 Certificates,
and any Class A-2 Basis Risk Carry Forward Amount to the Class A-2 Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3, B-1, B-2 and B-3 Certificates, in such order, any
Basis Risk Carry Forward Amount for such classes.
Interest Remittance Amount: For any Distribution Date, the portion of available funds for such Distribution Date attributable
to interest received or advanced on the Mortgage Loans.
Accrued Certificate Interest: For any Distribution Date and each class of Offered Certificates, equals the amount of interest
accrued during the related interest accrual period at the related Pass-through Rate, reduced by any
prepayment interest shortfalls and shortfalls resulting from the application of the Servicemembers
Civil Relief Act or similar state law allocated to such class.
Principal Distribution Amount: On any Distribution Date, the sum of (i) the Basic Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
Basic Principal Distribution On any Distribution Date, the excess of (i) the aggregate principal remittance amount over (ii) the
Amount: Excess Subordinated Amount, if any.
Net Monthly Excess Cashflow: For any Distribution Date is the amount of funds available for distribution on such Distribution
Date remaining after making all distributions of interest and principal on the certificates.
Extra Principal Distribution For any Distribution Date, the lesser of (i) the excess of (x) interest collected or advanced with
Amount: respect to the Mortgage Loans with due dates in the related Due Period (less servicing and trustee
fees and expenses), over (y) the sum of interest payable on the Certificates on such Distribution
Date and (ii) the overcollateralization deficiency amount for such Distribution Date.
Excess Subordinated Amount: For any Distribution Date, means the excess, if any of (i) the overcollateralization and (ii) the
required overcollateralization for such Distribution Date.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 10
Class A Principal Allocation For any Distribution Date, the percentage equivalent of a fraction, determined as follows: (i) in
Percentage: the case of the Class A-1 Certificates the numerator of which is (x) the portion of the principal
remittance amount for such Distribution Date that is attributable to principal received or advanced
on the Group I Mortgage Loans and the denominator of which is (y) the principal remittance amount
for such Distribution Date and (ii) in the case of the Class A-2 Certificates, the numerator of
which is (x) the portion of the principal remittance amount for such Distribution Date that is
attributable to principal received or advanced on the Group II Mortgage Loans and the denominator
of which is (y) the principal remittance amount for such Distribution Date.
Class A Principal Distribution For any Distribution Date, an amount equal to the excess of (x) the aggregate Certificate Principal
Amount: Balance of the Class A Certificates immediately prior to such Distribution Date over (y) the lesser
of (A) the product of (i) approximately 59.50% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over
$3,736,940.
Class M-1 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account the payment of
the Class A Principal Distribution Amount on such Distribution Date) and (ii) the Certificate
Principal Balance of the Class M-1 Certificates immediately prior to such Distribution Date over
(y) the lesser of (A) the product of (i) approximately 72.80% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if
any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due
Period over $3,736,940.
Class M-2 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account the payment of
the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class
M-1 Principal Distribution Amount on such Distribution Date) and (iii) the Certificate Principal
Balance of the Class M-2 Certificates immediately prior to such Distribution Date over (y) the
lesser of (A) the product of (i) approximately 84.30% and (ii) the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over
$3,736,940.
Class M-3 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account the payment of
the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class
M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2
Principal Distribution Amount on such Distribution Date) and (iv) the Certificate Principal Balance
of the Class M-3 Certificates immediately prior to such Distribution Date over (y) the lesser of
(A) the product of (i) approximately 87.30% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over
$3,736,940.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 11
Class B-1 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account the payment of
the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class
M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2
Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of
the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal
Distribution Amount on such Distribution Date) and (v) the Certificate Principal Balance of the
Class B-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 90.30% and (ii) the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due Period over $3,736,940.
Class B-2 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account the payment of
the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class
M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2
Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of
the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal
Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class
B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution
Amount on such Distribution Date) and (vi) the Certificate Principal Balance of the Class B-2
Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of
(i) approximately 93.30% and (ii) the aggregate principal balance of the Mortgage Loans as of the
last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance
of the Mortgage Loans as of the last day of the related Due Period over $3,736,940.
Class B-3 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account the payment of
the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class
M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2
Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of
the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal
Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class
B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution
Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class B-2
Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount
on such Distribution Date) and (vii) the Certificate Principal Balance of the Class B-3
Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of
(i) approximately 95.80% and (ii) the aggregate principal balance of the Mortgage Loans as of the
last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance
of the Mortgage Loans as of the last day of the related Due Period over $3,736,940.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA eligible.
SMMEA Eligibility: It is not anticipated that any of the Offered Certificates will be SMMEA eligible.
Prospectus: The Class A-2 Class M-1, Class M-2, Class M-3, Class B-1, Class B-2 and Class B-3 Certificates are
being offered pursuant to a prospectus supplemented by a prospectus supplement (together, the
"Prospectus"). Complete information with respect to the Offered Certificates and the collateral
securing them is contained in the Prospectus. The information herein is qualified in its entirety
by the information appearing in the Prospectus. To the extent that the information herein is
inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the
Offered Certificates may not be consummated unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE
CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Weighted Average Life Sensitivity
To CALL
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.26 4.49 3.62 2.67 2.02 1.51 1.16
First Payment Date 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 6/25/2007
Window 1 - 178 1 - 158 1 - 129 1 - 96 1 - 75 1 - 61 1 - 35
----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.17 8.73 7.05 5.33 4.61 4.62 4.15
First Payment Date 7/25/2009 10/25/2008 12/25/2007 10/25/2007 2/25/2008 7/25/2008 6/25/2007
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 39 - 96 43 - 75 48 - 61 35 - 50
----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.17 8.73 7.05 5.30 4.43 4.07 3.93
First Payment Date 7/25/2009 10/25/2008 12/25/2007 9/25/2007 11/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 38 - 96 40 - 75 41 - 61 42 - 50
----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.17 8.73 7.05 5.30 4.36 3.90 3.62
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 10/25/2007 11/25/2007 12/25/2007
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 37 - 96 39 - 75 40 - 61 41 - 50
----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.17 8.73 7.05 5.28 4.34 3.85 3.53
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 9/25/2007 10/25/2007 10/25/2007
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 37 - 96 38 - 75 39 - 61 39 - 50
----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.17 8.73 7.05 5.28 4.33 3.81 3.46
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 9/25/2007 9/25/2007 9/25/2007
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 37 - 96 38 - 75 38 - 61 38 - 50
----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.16 8.70 7.02 5.26 4.29 3.76 3.39
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 8/25/2007 9/25/2007 8/25/2007
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 37 - 96 37 - 75 38 - 61 37 - 50
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
Weighted Average Life Sensitivity
To MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.61 4.80 3.90 2.90 2.21 1.66 1.16
First Payment Date 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 10/25/2031 12/25/2029 9/25/2026 10/25/2021 7/25/2018 12/25/2015 6/25/2007
Window 1 - 327 1 - 305 1 - 266 1 - 207 1 - 168 1 - 137 1 - 35
-----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.06 9.49 7.73 5.89 5.06 4.98 5.94
First Payment Date 7/25/2009 10/25/2008 12/25/2007 10/25/2007 2/25/2008 7/25/2008 6/25/2007
Expected Final Maturity 5/25/2029 12/25/2026 6/25/2023 4/25/2019 4/25/2016 1/25/2014 12/25/2013
Window 60 - 298 51 - 269 41 - 227 39 - 177 43 - 141 48 - 114 35 - 113
-----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.99 9.42 7.66 5.80 4.83 4.39 4.22
First Payment Date 7/25/2009 10/25/2008 12/25/2007 9/25/2007 11/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 12/25/2027 5/25/2025 11/25/2021 2/25/2018 3/25/2015 3/25/2013 9/25/2011
Window 60 - 281 51 - 250 41 - 208 38 - 163 40 - 128 41 - 104 42 - 86
-----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.88 9.31 7.58 5.72 4.70 4.17 3.86
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 10/25/2007 11/25/2007 12/25/2007
Expected Final Maturity 7/25/2025 11/25/2022 9/25/2019 4/25/2016 10/25/2013 1/25/2012 10/25/2010
Window 60 - 252 51 - 220 41 - 182 37 - 141 39 - 111 40 - 90 41 - 75
-----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.78 9.22 7.52 5.65 4.64 4.08 3.73
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 9/25/2007 10/25/2007 10/25/2007
Expected Final Maturity 6/25/2024 11/25/2021 4/25/2019 8/25/2015 3/25/2013 8/25/2011 5/25/2010
Window 60 - 239 51 - 208 41 - 177 37 - 133 38 - 104 39 - 85 39 - 70
-----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.61 9.06 7.38 5.54 4.53 3.97 3.60
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 9/25/2007 9/25/2007 9/25/2007
Expected Final Maturity 2/25/2023 8/25/2020 2/25/2018 9/25/2014 7/25/2012 1/25/2011 11/25/2009
Window 60 - 223 51 - 193 41 - 163 37 - 122 38 - 96 38 - 78 38 - 64
-----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.27 8.80 7.10 5.33 4.34 3.80 3.43
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 8/25/2007 9/25/2007 8/25/2007
Expected Final Maturity 1/25/2021 4/25/2019 7/25/2016 7/25/2013 7/25/2011 3/25/2010 4/25/2009
Window 60 - 198 51 - 177 41 - 144 37 - 108 37 - 84 38 - 68 37 - 57
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
CPR Sensitivity
To CALL
----------------------------------------------------------------------------------------
CPR (%) 20 25 30
----------------------------------------------------------------------------------------
A-2 WAL (yrs) 3.24 2.53 1.99
First Payment Date 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 1 - 117 1 - 93 1 - 76
----------------------------------------------------------------------------------------
M-1 WAL 6.38 5.19 4.65
First Payment Date 8/25/2007 11/25/2007 2/25/2008
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 40 - 93 43 - 76
----------------------------------------------------------------------------------------
M-2 WAL 6.38 5.14 4.46
First Payment Date 8/25/2007 9/25/2007 11/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 38 - 93 40 - 76
----------------------------------------------------------------------------------------
M-3 WAL 6.38 5.12 4.38
First Payment Date 8/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 38 - 93 39 - 76
----------------------------------------------------------------------------------------
B-1 WAL 6.38 5.12 4.37
First Payment Date 8/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 37 - 93 38 - 76
----------------------------------------------------------------------------------------
B-2 WAL 6.38 5.10 4.34
First Payment Date 8/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 37 - 93 38 - 76
----------------------------------------------------------------------------------------
B-3 WAL 6.35 5.08 4.31
First Payment Date 8/25/2007 8/25/2007 8/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 37 - 93 37 - 76
----------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 16
CPR Sensitivity
To MATURITY
----------------------------------------------------------------------------------------
CPR (%) 20 25 30
----------------------------------------------------------------------------------------
A-2 WAL (yrs) 3.51 2.75 2.17
First Payment Date 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 4/25/2025 6/25/2021 9/25/2018
Window 1 - 249 1 - 203 1 - 170
----------------------------------------------------------------------------------------
M-1 WAL 7.03 5.73 5.10
First Payment Date 8/25/2007 11/25/2007 2/25/2008
Expected Final Maturity 2/25/2022 12/25/2018 5/25/2016
Window 37 - 211 40 - 173 43 - 142
----------------------------------------------------------------------------------------
M-2 WAL 6.97 5.63 4.86
First Payment Date 8/25/2007 9/25/2007 11/25/2007
Expected Final Maturity 8/25/2020 9/25/2017 5/25/2015
Window 37 - 193 38 - 158 40 - 130
----------------------------------------------------------------------------------------
M-3 WAL 6.89 5.53 4.72
First Payment Date 8/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 11/25/2018 12/25/2015 11/25/2013
Window 37 - 172 38 - 137 39 - 112
----------------------------------------------------------------------------------------
B-1 WAL 6.82 5.47 4.65
First Payment Date 8/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 1/25/2018 4/25/2015 4/25/2013
Window 37 - 162 37 - 129 38 - 105
----------------------------------------------------------------------------------------
B-2 WAL 6.69 5.35 4.54
First Payment Date 8/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 12/25/2016 5/25/2014 8/25/2012
Window 37 - 149 37 - 118 38 - 97
----------------------------------------------------------------------------------------
B-3 WAL 6.43 5.14 4.36
First Payment Date 8/25/2007 8/25/2007 8/25/2007
Expected Final Maturity 6/25/2015 3/25/2013 8/25/2011
Window 37 - 131 37 - 104 37 - 85
----------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 17
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 - - - - - - -
1 10.36 10.16 10.16 10.16 10.16 10.16 10.16
2 9.43 9.26 9.26 9.26 9.26 9.26 9.26
3 9.65 9.46 9.46 9.46 9.46 9.46 9.46
4 9.45 9.26 9.26 9.26 9.26 9.26 9.26
5 9.67 9.47 9.47 9.47 9.47 9.47 9.47
6 9.47 9.27 9.27 9.27 9.27 9.27 9.27
7 9.48 9.27 9.27 9.27 9.27 9.27 9.27
8 10.17 9.94 9.94 9.94 9.94 9.94 9.94
9 9.49 9.28 9.28 9.28 9.28 9.28 9.28
10 9.72 9.49 9.49 9.49 9.49 9.49 9.49
11 9.51 9.28 9.28 9.28 9.28 9.28 9.28
12 9.73 9.49 9.49 9.49 9.49 9.49 9.49
13 9.53 9.28 9.28 9.28 9.28 9.28 9.28
14 9.53 9.28 9.28 9.28 9.28 9.28 9.28
15 9.76 9.49 9.49 9.49 9.49 9.49 9.49
16 9.55 9.29 9.29 9.29 9.29 9.29 9.29
17 9.78 9.49 9.49 9.49 9.49 9.49 9.49
18 9.57 9.29 9.29 9.29 9.29 9.29 9.29
19 9.58 9.29 9.29 9.29 9.29 9.29 9.29
20 10.30 9.95 9.95 9.95 9.95 9.95 9.95
21 9.62 9.30 9.30 9.30 9.30 9.30 9.30
22 10.33 9.96 9.96 9.96 9.96 9.96 9.96
23 10.09 9.72 9.72 9.72 9.72 9.72 9.72
24 10.36 9.96 9.96 9.96 9.96 9.96 9.96
25 10.12 9.72 9.72 9.72 9.72 9.72 9.72
26 10.14 9.72 9.72 9.72 9.72 9.72 9.72
27 10.42 9.97 9.97 9.97 9.97 9.97 9.97
28 10.44 9.99 9.99 9.99 9.99 9.99 9.99
29 10.75 10.26 10.26 10.26 10.26 10.26 10.26
30 10.49 9.99 9.99 9.99 9.99 9.99 9.99
31 10.51 9.99 9.99 9.99 9.99 9.99 9.99
32 11.45 10.85 10.85 10.85 10.85 10.85 10.85
33 10.59 10.01 10.01 10.01 10.01 10.01 10.01
34 11.13 10.49 10.49 10.49 10.49 10.49 10.49
35 10.85 10.20 10.20 10.20 10.20 10.20 10.20
36 11.19 10.49 10.49 10.49 10.49 10.49 10.49
37 26.63 10.20 10.20 10.20 10.20 10.20 10.20
38 11.43 10.21 10.21 10.21 10.20 10.20 10.20
39 11.76 10.51 10.51 10.51 10.50 10.50 10.50
40 11.96 10.45 10.45 10.45 10.45 10.45 10.45
41 12.29 10.76 10.76 10.76 10.76 10.76 10.76
42 11.84 10.45 10.45 10.45 10.45 10.45 10.45
43 11.84 10.45 10.45 10.45 10.45 10.45 10.45
44 12.66 11.09 11.09 11.09 11.09 11.09 11.09
45 11.86 10.46 10.46 10.46 10.46 10.46 10.46
46 12.84 10.77 10.77 10.77 10.77 10.77 10.77
47 12.42 10.44 10.44 10.44 10.44 10.44 10.44
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
48 12.84 10.77 10.77 10.77 10.77 10.77 10.77
49 12.42 10.43 10.43 10.43 10.43 10.43 10.43
50 12.43 10.44 10.44 10.44 10.44 10.44 10.44
51 12.85 10.28 10.28 10.28 10.28 10.28 10.28
52 12.86 10.39 10.39 10.39 10.39 10.39 10.39
53 13.29 10.73 10.73 10.73 10.73 10.73 10.73
54 12.86 10.39 10.39 10.39 10.39 10.39 10.39
55 12.86 10.39 10.39 10.39 10.39 10.39 10.39
56 14.24 11.50 11.50 11.50 11.50 11.50 11.50
57 12.87 10.39 10.39 10.39 10.39 10.39 10.39
58 13.67 10.94 10.94 10.94 10.94 10.94 10.94
59 13.23 10.58 10.58 10.58 10.58 10.58 10.58
60 13.67 10.94 10.94 10.94 10.94 10.94 10.94
61 13.22 10.58 10.58 10.58 10.58 10.58 10.58
62 13.22 10.58 10.58 10.58 10.58 10.58 10.58
63 13.66 10.93 10.93 10.93 10.93 10.93 10.93
64 13.31 10.63 10.63 10.63 10.63 10.63 10.63
65 13.75 10.98 10.98 10.98 10.98 10.98 10.98
66 13.31 10.62 10.62 10.62 10.62 10.62 10.62
67 13.31 10.62 10.62 10.62 10.62 10.62 10.62
68 14.73 11.76 11.76 11.76 11.76 11.76 11.76
69 13.31 10.62 10.62 10.62 10.62 10.62 10.62
70 13.82 11.01 11.01 11.01 11.01 11.01 11.01
71 13.37 10.66 10.66 10.66 10.66 10.66 10.66
72 13.81 11.01 11.01 11.01 11.01 11.01 11.01
73 13.37 10.65 10.65 10.65 10.65 10.65 10.65
74 13.37 10.65 10.65 10.65 10.65 10.65 10.65
75 13.81 11.01 11.01 11.01 11.01 11.01 11.01
76 13.41 10.68 10.68 10.68 10.68 10.68 10.68
77 13.85 11.03 11.03 11.03 11.03 11.03 11.03
78 13.41 10.67 10.67 10.67 10.67 10.67 10.67
79 13.40 10.67 10.67 10.67 10.67 10.67 10.67
80 14.84 11.81 11.81 11.81 11.81 11.81 11.81
81 13.40 10.67 10.67 10.67 10.67 10.67 10.67
82 13.87 11.04 11.04 11.04 11.04 11.04 11.04
83 13.42 10.68 10.68 10.68 10.68 10.68 10.68
84 13.87 11.03 11.03 11.03 11.03 11.03 11.03
85 13.42 10.68 10.68 10.68 10.68 10.68 10.68
86 13.42 10.68 10.68 10.68 10.68 10.68 10.68
87 13.87 11.03 11.03 11.03 11.03 11.03 11.03
88 13.42 10.67 10.67 10.67 10.67 10.67 10.67
89 13.87 11.03 11.03 11.03 11.03 11.03 11.03
90 11.99 10.67 10.67 10.67 10.67 10.67 10.67
91 11.46 10.67 10.67 10.67 10.67 10.67 10.67
92 12.27 11.41 11.41 11.41 11.41 11.41 11.41
93 11.50 10.67 10.67 10.67 10.67 10.67 10.67
94 11.90 11.03 11.03 11.03 11.03 11.03 11.03
95 11.54 10.67 10.67 10.67 10.67 10.67 10.67
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
96 11.94 11.02 11.02 11.02 11.02 11.02 11.02
97 11.58 10.67 10.67 10.67 10.67 10.67 10.67
98 11.60 10.67 10.67 10.67 10.67 10.67 10.67
99 12.01 11.02 11.02 11.02 11.02 11.02 11.02
100 11.64 10.67 10.67 10.67 10.67 10.67 10.67
101 12.05 11.02 11.02 11.02 11.02 11.02 11.02
102 11.69 10.66 10.66 10.66 10.66 10.66 10.66
103 11.71 10.66 10.66 10.66 10.66 10.66 10.66
104 12.99 11.80 11.80 11.80 11.80 11.80 11.80
105 11.76 10.66 10.66 10.66 10.66 10.66 10.66
106 12.18 11.02 11.02 11.02 11.02 11.02 11.02
107 11.81 10.66 10.66 10.66 10.66 10.66 10.66
108 12.24 11.01 11.01 11.01 11.01 11.01 11.01
109 11.87 10.66 10.66 10.66 10.66 10.66 10.66
110 11.90 10.66 10.66 10.66 10.66 10.66 -
111 12.33 11.01 11.01 11.01 11.01 11.01 -
112 11.96 10.66 10.66 10.66 10.66 10.66 -
113 12.39 11.01 11.01 11.01 11.01 11.01 -
114 12.02 10.66 10.66 10.66 10.66 10.66 -
115 12.05 10.65 10.65 10.65 10.65 10.65 -
116 13.38 11.80 11.80 11.80 11.80 11.80 -
117 12.12 10.65 10.65 10.65 10.65 10.65 -
118 12.56 11.01 11.01 11.01 11.01 11.01 -
119 12.19 10.65 10.65 10.65 10.65 10.65 -
120 12.64 11.01 11.01 11.01 11.01 11.01 -
121 12.27 10.65 10.65 10.65 10.65 10.65 -
122 12.31 10.65 10.65 10.65 10.65 10.65 -
123 12.76 11.01 11.01 11.01 11.01 11.01 -
124 12.39 10.65 10.65 10.65 10.65 10.65 -
125 12.84 11.00 11.00 11.00 11.00 - -
126 12.47 10.65 10.65 10.65 10.65 - -
127 12.52 10.65 10.65 10.65 10.65 - -
128 13.91 11.79 11.79 11.79 11.79 - -
129 12.61 10.65 10.65 10.65 10.65 - -
130 13.08 11.00 11.00 11.00 11.00 - -
131 12.71 10.65 10.65 10.65 10.65 - -
132 13.18 11.00 11.00 11.00 11.00 - -
133 12.81 10.65 10.65 10.65 10.65 - -
134 12.86 10.64 10.64 10.64 10.64 - -
135 13.35 11.00 11.00 11.00 11.00 - -
136 12.97 10.64 10.64 10.64 - - -
137 13.46 11.00 11.00 11.00 - - -
138 13.09 10.64 10.64 10.64 - - -
139 13.15 10.64 10.64 10.64 - - -
140 14.12 11.38 11.38 11.38 - - -
141 13.28 10.64 10.64 10.64 - - -
142 13.79 11.00 11.00 11.00 - - -
143 13.41 10.64 10.64 10.64 - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
144 13.93 11.00 11.00 - - - -
145 13.55 10.64 10.64 - - - -
146 13.62 10.64 10.64 - - - -
147 14.15 11.00 11.00 - - - -
148 13.77 10.64 10.64 - - - -
149 14.31 10.99 10.99 - - - -
150 13.93 10.64 10.64 - - - -
151 14.01 10.64 10.64 - - - -
152 15.61 11.78 11.78 - - - -
153 14.18 10.64 10.64 - - - -
154 14.75 10.99 10.99 - - - -
155 14.37 10.64 10.64 - - - -
156 14.94 10.99 10.99 - - - -
157 14.56 10.64 10.64 - - - -
158 14.66 10.64 10.64 - - - -
159 15.25 10.99 10.99 - - - -
160 14.86 10.64 10.64 - - - -
161 15.47 10.99 10.99 - - - -
162 15.08 10.64 10.64 - - - -
163 15.19 10.64 10.64 - - - -
164 16.95 11.78 11.78 - - - -
165 15.43 10.64 10.64 - - - -
166 16.07 10.99 - - - - -
167 15.68 10.64 - - - - -
168 16.33 10.99 - - - - -
169 15.94 10.64 - - - - -
170 16.08 10.64 - - - - -
171 16.76 10.99 - - - - -
172 16.36 10.64 - - - - -
173 17.06 10.99 - - - - -
174 16.66 10.64 - - - - -
175 16.82 10.64 - - - - -
176 18.80 11.78 - - - - -
177 17.15 10.64 - - - - -
178 19.13 - - - - - -
179 18.86 - - - - - -
180 19.87 - - - - - -
181 19.63 - - - - - -
182 20.06 - - - - - -
183 21.20 - - - - - -
184 21.01 - - - - - -
185 22.26 - - - - - -
186 22.11 - - - - - -
187 22.74 - - - - - -
188 25.03 - - - - - -
189 24.16 - - - - - -
190 25.80 - - - - - -
191 25.86 - - - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 21
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
192 27.74 - - - - - -
193 27.94 - - - - - -
194 29.17 - - - - - -
195 31.56 - - - - - -
196 32.10 - - - - - -
197 35.00 - - - - - -
198 35.91 - - - - - -
199 38.29 - - - - - -
200 45.48 - - - - - -
201 44.40 - - - - - -
202 50.05 - - - - - -
203 53.42 - - - - - -
204 61.74 - - - - - -
205 68.04 - - - - - -
206 79.36 - - - - - -
207 98.95 - - - - - -
208 121.59 - - - - - -
209 173.91 - - - - - -
210 278.28 - - - - - -
211 * - - - - - -
* In Period 211 the Class A-2 has a balance of $47,897.20 and is paid
$86,818.98 in interest.
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 22
Interest Rate Cap Schedules
Class A-2 Cap Class M Cap Class B Cap
--------------------------------------- ------------------------------------- -------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling Balance ($) Strike % Ceiling
% %
1 254,390,000.00 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
2 248,032,680.92 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
3 241,714,863.41 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
4 235,434,104.32 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
5 229,188,091.65 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
6 222,975,002.77 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
7 216,793,504.15 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
8 210,642,748.54 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
9 204,522,369.56 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
10 198,432,473.55 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
11 192,373,628.70 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
12 186,346,851.46 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
13 180,362,499.25 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
14 174,519,887.70 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
15 168,815,674.23 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
16 163,246,594.86 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
17 157,809,462.38 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
18 152,501,164.55 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
19 147,318,662.32 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
20 142,258,988.12 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
21 137,319,284.25 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
22 132,497,038.84 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
23 127,804,895.13 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
24 123,223,649.11 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
25 118,750,691.48 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
26 114,383,474.14 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
27 110,119,508.82 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
28 105,956,365.61 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
29 101,891,672.11 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
30 97,923,110.64 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
31 94,048,418.42 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
32 90,265,385.76 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
33 86,571,854.83 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
34 82,966,192.93 9.00 10.50 103,886,000.00 7.75 9.25 31,764,000.00 6.20 7.70
35 79,446,536.13 9.00 10.50 103,886,000.00 7.75 9.25 31,764,000.00 6.20 7.70
36 76,010,153.25 9.00 10.50 103,886,000.00 7.75 9.25 31,764,000.00 6.20 7.70
37 -- -- -- 103,886,000.00 7.75 9.25 31,764,000.00 6.20 7.70
38 -- -- -- 103,883,213.52 7.75 9.25 26,624,821.46 6.20 7.70
39 -- -- -- 97,336,412.82 7.75 9.25 25,987,389.30 6.20 7.70
40 -- -- -- 90,944,858.68 8.40 9.50 25,365,072.81 6.85 7.95
41 -- -- -- 84,704,891.61 8.40 9.50 24,757,515.66 6.85 7.95
42 -- -- -- 79,030,970.01 8.40 9.50 24,164,369.90 6.85 7.95
43 -- -- -- 77,137,074.58 8.40 9.50 23,585,295.77 6.85 7.95
44 -- -- -- 75,288,116.15 8.40 9.50 23,019,961.51 6.85 7.95
45 -- -- -- 73,483,035.02 8.40 9.50 22,468,043.10 6.85 7.95
46 -- -- -- 71,720,796.49 9.00 9.50 21,929,224.14 7.45 7.95
47 -- -- -- 70,000,390.09 9.00 9.50 21,403,195.73 7.45 7.95
48 -- -- -- 68,320,829.15 9.00 9.50 20,889,656.14 7.45 7.95
49 -- -- -- 66,681,150.12 9.00 9.50 20,388,310.77 7.45 7.95
50 -- -- -- 65,080,412.13 9.00 9.50 19,898,871.95 7.45 7.95
51 -- -- -- -- -- -- -- -- --
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 23
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page
---------------------------- ------------------- -------------------------------
Xxxxxx Xxxxxxx [Xxxxxx Xxxx 29, 2004
Securitized Products Group Xxxxxxx
Logo]
---------------------------- ------------------- -------------------------------
Computational Materials
$390,040,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-WMC1
Mortgage Pass-Through Certificates
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 1
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 2
---------------------------- ------------------- -------------------------------
Xxxxxx Xxxxxxx [Xxxxxx Xxxx 29, 2004
Securitized Products Group Xxxxxxx
Logo]
---------------------------- ------------------- -------------------------------
Approximately $390,040,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-WMC1
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
HomEq Servicing Corp
Servicer
Transaction Highlights
----------------------
----------------------------------------------------------------------------------------------------------------------------------
Modified
Expected Ratings Avg Life to Call Duration To Call
Offered Classes Description Balance(4) (S&P/Fitch/Xxxxx'x) / Mty(1)(2) / Mty(1)(2)(3)
==================================================================================================================================
A-1 Not Offered 341,652,000 *****Not Offered*****
A-2 Floater [100,000,000] AAA/AAA/Aaa 2.67 / 2.90 2.59 / 2.78
A-3 Floater [117,000,000] AAA/AAA/Aaa 1.50 / 1.50 1.48 / 1.48
A-4 Floater [37,390,000] AAA/AAA/Aaa 6.36 / 7.30 6.02 / 6.80
M-1 Floater 49,701,000 AA/AA/Aa2 5.33 / 5.89 5.06 / 5.53
M-2 Floater 42,974,000 A/A/A2 5.30 / 5.80 4.93 / 5.32
M-3 Floater 11,211,000 A-/A-/A3 5.30 / 5.72 4.88 / 5.21
B-1 Floater 11,211,000 BBB+/BBB+/Baa1 5.28 / 5.65 4.79 / 5.06
B-2 Floater 11,211,000 BBB/BBB/Baa2 5.28 / 5.54 4.75 / 4.94
B-3 Floater 9,342,000 BBB-/-/Baa3 5.26 / 5.33 4.54 / 4.58
----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
Initial Subordination
Offered Classes Payment Window To Call / Mty(1)(2) Level Benchmark
===========================================================================================================
A-1 *****Not Offered*****
A-2 08/04 - 07/12 / 08/04 - 10/21 20.25% 1 Mo. LIBOR
A-3 08/04 - 07/08 / 08/04 - 07/08 20.25% 1 Mo. LIBOR
A-4 07/08 - 07/12 / 07/08 - 10/21 20.25% 1 Mo. LIBOR
M-1 10/07 - 07/12 / 10/07 - 04/19 13.60% 1 Mo. LIBOR
M-2 09/07 - 07/12 / 09/07 - 02/18 7.85% 1 Mo. LIBOR
M-3 08/07 - 07/12 / 08/07 - 04/16 6.35% 1 Mo. LIBOR
B-1 08/07 - 07/12 / 08/07 - 08/15 4.85% 1 Mo. LIBOR
B-2 08/07 - 07/12 / 08/07 - 09/14 3.35% 1 Mo. LIBOR
B-3 08/07 - 07/12 / 08/07 - 07/13 2.10% 1 Mo. LIBOR
-----------------------------------------------------------------------------------------------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-WMC1.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: WMC Mortgage Corp.
Servicer: HomEq Servicing Corp.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx & Partners, L.P. and Xxxxxxxx Capital Partners, L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x Investor Services.
Offered Certificates: The Class A-2, A-3, A-4, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates.
Class A Certificates: The Class A-1, A-2, A-3 and A-4 Certificates.
Group II Class A Certificates: The Class A-2, Class A-3 and Class A-4 Certificates.
Group II Class A Sequential The Class A-3 and Class A-4 Certificates.
Certificates:
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 3
Expected Closing Date: July 29, 2004 through DTC and Euroclear or Clearstream. The Certificates will be sold without
accrued interest.
Cut-off Date: July 1, 2004
Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day, beginning
August 25, 2004.
Final Scheduled Distribution The Distribution Date occurring in June 2034.
Date:
Due Period: For any Distribution Date, the calendar month preceding the month in which that Distribution Date
occurs.
Prepayment Period: For any Distribution Date, the calendar month preceding the month in which that Distribution Date
occurs.
Interest Accrual Period: The interest accrual period for the Offered Certificates with respect to any Distribution Date will
be the period beginning with the previous Distribution Date (or, in the case of the first
Distribution Date, the Closing Date) and ending on the day prior to the current Distribution Date
(on an actual/360 day count basis).
Mortgage Loans: The Trust will consist of two groups of adjustable and fixed rate sub-prime residential, first-lien
mortgage loans.
Group I Mortgage Loans: Approximately $428.4 million of Mortgage Loans with original principal balances that conform to the
original principal balance limits for one- to four-family residential mortgage loan guidelines for
purchase by Freddie Mac.
Group II Mortgage Loans: Approximately $319.0 million of Mortgage Loans that predominantly have original principal balances
that may or may not conform to the original principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase by Freddie Mac.
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at approximately 1.5333% CPR in month 1 and increasing to
23% CPR in month 15 (23%/15 increase for each month), and remaining at 23% CPR thereafter
o ARM Mortgage Loans: 25% CPR
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage Loans,
2) 2.10% overcollateralization (funded upfront). On and after the Step-down Date, so long as a
Trigger Event is not in effect, the required overcollateralization will equal 4.20% of the
aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due
Period, subject to a 0.50% floor, based on the aggregate principal balance of the Mortgage
Loans as of the cut-off date, provided, however, that if, on any distribution date, a
Delinquency Trigger Event exists, the required overcollateralization will not be reduced to
the applicable percentage of the then Stated Principal Balance of the mortgage loans but
instead remain the same as the prior period's required overcollateralization until the
distribution date on which a Delinquency Trigger Event no longer exists; and
3) Subordination of distributions on the more subordinate classes of certificates (if applicable)
to the required distributions on the more senior classes of certificates.
Senior Enhancement Percentage: For any Distribution Date, the percentage obtained by dividing (x) the aggregate Certificate
Principal Balance of the subordinate certificates (together with any overcollateralization and
taking into account the distributions of the Principal Distribution Amount for such Distribution
Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the
related Due Period.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 4
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in August 2007; and
(b) The Distribution Date on which the aggregate balance of the Class A Certificates is
reduced to zero; and
(y) The first Distribution Date on which the Senior Enhancement Percentage (calculated for this
purpose only after taking into account payments of principal on the Mortgage Loans on the
last day of the related Due Period but prior to principal distributions to the certificates
on the applicable Distribution Date) is greater than or equal to approximately 40.50%.
Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss Trigger Event.
Delinquency Trigger Event: A Delinquency Trigger Event is in effect on any Distribution Date if on that Distribution Date the
60 Day+ Rolling Average equals or exceeds [40%] of the prior period's Senior Enhancement
Percentage. The 60 Day+ Rolling Average will equal the rolling 3 month average percentage of
Mortgage Loans that are 60 or more days delinquent.
Cumulative Loss Trigger Event: A Cumulative Loss Trigger Event is in effect on any Distribution Date if the aggregate amount of
Realized Losses incurred since the cut-off date through the last day of the related Prepayment
Period divided by the aggregate Stated Principal Balance of the mortgage loans as of the cut-off
date exceeds the applicable percentages described below with respect to such distribution date:
Months 37- 48 [3.50] for the first month, plus an additional 1/12th of [1.75] for
each month thereafter (e.g., [4.375] in Month 43)
Months 49- 60 [5.25] for the first month, plus an additional 1/12th of [1.25] for
each month thereafter (e.g., [5.875] in Month 55)
Months 61- 72 [6.50] for the first month, plus an additional 1/12th of [0.50] for
each month thereafter (e.g., [6.750] in Month 67)
Months 72- thereafter [7.00]
Initial Subordination Class A: 20.25%
Percentage: Class M-1: 13.60%
Class M-2: 7.85%
Class M-3: 6.35%
Class B-1: 4.85%
Class B-2: 3.35%
Class B-3: 2.10%
Optional Clean-up Call: When the current aggregate principal balance of the Mortgage Loans is less than or equal to 10% of
the aggregate principal balance of the Mortgage Loans as of the cut-off date.
Step-up Coupons: For all Offered Certificates the coupon will increase after the optional clean-up call
date, should the call not be exercised. The applicable fixed margin will increase by 2x on the
Class A Certificates and by 1.5x on all other Certificates after the first distribution date on
which the Optional Clean-up Call is exercisable.
Class A-1 Pass-Through Rate: The Class A-1 Certificates will accrue interest at a variable rate equal to the least of
(i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which
the Optional Clean-up Call is exercisable), (ii) the Loan Group I Cap and (iii) the WAC Cap.
Class A-2, A-3 and A-4 The Class A-2, A-3 and A-4 Certificates will accrue interest at a variable rate equal to the least
Pass-Through Rate: of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Clean-up Call is exercisable), (ii) the Loan Group II Cap and (iii) the WAC Cap.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 5
Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue interest at a variable rate equal to
the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which
the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class M-2 Pass-Through Rate: The Class M-2 Certificates will accrue interest at a variable rate equal to
the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which
the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class M-3 Pass-Through Rate: The Class M-3 Certificates will accrue interest at a variable rate equal to
the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which
the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class B-1 Pass-Through Rate: The Class B-1 Certificates will accrue interest at a variable rate equal to
the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which
the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class B-2 Pass-Through Rate: The Class B-2 Certificates will accrue interest at a variable rate equal to
the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which
the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class B-3 Pass-Through Rate: The Class B-3 Certificates will accrue interest at a variable rate equal to
the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which
the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
WAC Cap: As to any Distribution Date a per annum rate equal to the product of (i) the weighted average
gross rate of the Mortgage Loans in effect on the beginning of the related Due Period less
servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the related Interest Accrual Period.
Loan Group I Cap: As to any Distribution Date, a per annum rate equal to the product of (i) weighted
average gross rate of the Group I Mortgage Loans in effect on the beginning of the related Due
Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is
30 and the denominator of which is the actual number of days in the related Interest Accrual
Period.
Loan Group II Cap: As to any Distribution Date, a per annum rate equal to the product of (i) weighted
average gross rate of the Group II Mortgage Loans in effect on the beginning of the related Due
Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is
30 and the denominator of which is the actual number of days in the related Interest Accrual
Period.
Class A-1 Basis Risk Carry As to any Distribution Date, the supplemental interest amount for the Class A-1 Certificates will
Forward Amount: equal the sum of:
(i) The excess, if any, of interest that would otherwise be due on such Certificates at the Class
A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap) over interest due
such Certificates at a rate equal to the lesser of the Loan Group I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates;
and
(iii)Interest on the amount in clause (ii) at the related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 6
Class A-2, A-3 and A-4 Basis As to any Distribution Date, the supplemental interest amount for each of the Class A-2, A-3 and
Risk Carry Forward Amount: A-4 Certificates will equal the sum of:
(i) The excess, if any, of interest that would otherwise be due on such Certificates at the Class
A-2, A-3 and A-4 Pass-Through Rates (without regard to the Loan Group II Cap or WAC Cap) over
interest due such Certificates at a rate equal to the lesser of the Loan Group II Cap or WAC
Cap;
(ii) Any Class A-2, A-3 and A-4 Basis Risk Carry Forward Amount remaining unpaid from prior
Distribution Dates; and
(iii)Interest on the amount in clause (ii) at the related Class A-2, A-3 and A-4 Pass-Through
Rate (without regard to the Loan Group II Cap or WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the supplemental interest amount for each of the Class M-1, M-2, M-3,
B-1, B-2 and B-3 Basis Risk B-1, B-2 and B-3 Certificates will equal the sum of:
Carry Forward Amounts: (i) The excess, if any, of interest that would otherwise be due on such Certificates at such
Certificates' applicable Pass-Through Rate (without regard to the WAC Cap) over interest due
such Certificates at a rate equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from
prior Distribution Dates; and
(iii)Interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap).
Interest Distributions on On each Distribution Date and after payments of servicing and trustee fees and other expenses,
Offered Certificates: interest distributions from the Interest Remittance Amount will be allocated as follows:
(i) The portion of the Interest Remittance Amount attributable to the Group I Mortgage Loans
will be allocated according to the related Accrued Certificate Interest and any unpaid
interest shortfall amounts for such class, as applicable, first, to the Class A-1
Certificates and second, pro rata to the Group II Class A Certificates;
(ii) The portion of the Interest Remittance Amount attributable to the Group II Mortgage Loans
will be allocated according to the related Accrued Certificate Interest and any unpaid
interest shortfall amounts for such class, as applicable, first, pro rata to the Group II
Class A Certificates and second, to the Class A-1 Certificates;
(iii) To the Class M-1 Certificates, its Accrued Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued Certificate Interest; and
(viii) To the Class B-3 Certificates, its Accrued Certificate Interest.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 7
Principal Distributions on On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in
Offered Certificates: effect, principal distributions from the Principal Distribution Amount will be allocated as
follows:
(i) to the Class A Certificates, allocated between the Class A Certificates as described below,
until the Certificate Principal Balances thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero;
(iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero;
(iv) to the Class M-3 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero;
(v) to the Class B-1 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero;
(vi) to the Class B-2 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero; and
(vii) to the Class B-3 Certificates, until the Certificate Principal Balance thereof has been
reduced to zero.
On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is
not in effect, the principal distributions from the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, the lesser of the Principal Distribution Amount and the Class
A Principal Distribution Amount, allocated between the Class A Certificates as described
below, until the Certificate Principal Balances thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount
and the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount
and the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, the lesser of the remaining Principal Distribution Amount
and the Class M-3 Principal Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero;
(v) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount
and the Class B-1 Principal Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount
and the Class B-2 Principal Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero; and
(vii) to the Class B-3 Certificates, the lesser of the remaining Principal Distribution Amount
and the Class B-3 Principal Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 8
Class A Principal Allocation: Except as described below, the Class A-3 and Class A-4 Certificates will receive principal
sequentially, and the Class A-4 Certificates will not receive principal distributions until the
Certificate Principal Balance of the Class A-3 Certificates has been reduced to zero.
All principal distributions to the holders of the Class A Certificates on any Distribution Date
will be allocated concurrently between the Class A-1 Certificates, on the one hand, and the Group
II Class A Certificates, on the other hand, based on the Class A Principal Allocation Percentage
for the Class A-1 Certificates and the Group II Class A Certificates, as applicable.
However, if the Class Certificate Balances of the Class A Certificates in either Class A
Certificate Group are reduced to zero, then the remaining amount of principal distributions
distributable to the Class A Certificates on that Distribution Date, and the amount of those
principal distributions distributable on all subsequent Distribution Dates, will be distributed to
the holders of the Class A certificates in the other Class A Certificate Group remaining
outstanding, in accordance with the principal distribution allocations described herein, until
their Class Certificate Balances have been reduced to zero. Any payments of principal to the Class
A-1 Certificates will be made first from payments relating to the Group I Mortgage Loans, and any
payments of principal to the Group II Class A Certificates will be made first from payments
relating to the Group II Mortgage Loans.
Any principal distributions allocated to the Group II Class A Certificates are required to be
distributed pro rata between the Class A-2 Certificates and the Group II Class A Sequential
Certificates. Principal distributions to the Group II Class A Sequential Certificates will be
allocated first to the Class A-3 Certificates, until their Class Certificate Balance has been
reduced to zero, and then to the Class A-4 Certificates, until their Class Certificate Balance has
been reduced to zero.
Notwithstanding the above, in the event that all subordinate classes, including the Class X
certificates, have been reduced to zero, principal distributions to the Group II Class A
Certificates will be distributed pro rata between the Class A-2, Class A-3 and Class A-4
Certificates.
Group II Class A Interest Beginning on the first Distribution Date, and for a period of 35 months thereafter, an Interest
Rate Cap: Rate Cap will be entered into by the Trust for the benefit of the Group II Class A Certificates.
For its duration, the Group II Class A Interest Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the
cap strike (on an Actual/360 day count basis) and (ii) the Group II Class A Interest Rate Cap
Notional Balance ("the Group II Class A Interest Rate Cap Payment") as described on the schedule
herein.
Group II Class A Interest The Group II Class A Interest Rate Cap Payment shall be available to pay any Basis Risk Carry
Rate Cap Payment Allocation: Forward Amount due to the Class A-2, A-3 and A-4 Certificates on a pro rata basis.
Class M Interest Rate Cap: Beginning on the first Distribution Date, and for a period of 49 months thereafter, an Interest
Rate Cap will be entered into by the Trust for the benefit of the Class M Certificates.
For its duration, the Class M Interest Rate Cap pays the Trust the product of (i) the excess, if
any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike
(on an Actual/360 day count basis) and (ii) the Class M Interest Rate Cap Notional Balance ("the
Class M Interest Rate Cap Payment") as described on the schedule herein.
Class M Interest Rate Cap The Class M Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward Amount
Payment Allocation: due to the Class M-1, Class M-2 and Class M-3 Certificates on a pro rata basis.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 9
Class B Interest Rate Cap: Beginning on the first Distribution Date, and for a period of 49 months thereafter, an Interest
Rate Cap will be entered into by the Trust for the benefit of the Class B Certificates.
For its duration, the Class B Interest Rate Cap pays the Trust the product of (i) the excess, if
any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike
(on an Actual/360 day count basis) and (ii) the Class B Interest Rate Cap Notional Balance ("the
Class B Interest Rate Cap Payment") as described on the schedule herein.
Class B Interest Rate Cap The Class B Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward Amount
Payment Allocation: due to the Class B-1, Class B-2 and Class B-3 Certificates on a pro rata basis.
Allocation of Net Monthly For any Distribution Date, any Net Monthly Excess Cashflow shall be paid as follows:
Excess Cashflow: (i) to the Class M-1 Certificates, the unpaid interest shortfall amount;
(ii) to the Class M-1 Certificates, the allocated unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid interest shortfall amount;
(iv) to the Class M-2 Certificates, the allocated unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid interest shortfall amount;
(vi) to the Class M-3 Certificates, the allocated unreimbursed realized loss amount;
(vii) to the Class B-1 Certificates, the unpaid interest shortfall amount;
(viii) to the Class B-1 Certificates, the allocated unreimbursed realized loss amount;
(ix) to the Class B-2 Certificates, the unpaid interest shortfall amount;
(x) to the Class B-2 Certificates, the allocated unreimbursed realized loss amount;
(xi) to the Class B-3 Certificates, the unpaid interest shortfall amount;
(xii) to the Class B-3 Certificates, the allocated unreimbursed realized loss amount;
(xiii) concurrently, any Class A-1 Basis Risk Carry Forward Amount to the Class A-1 Certificates,
and any Group II Class A Basis Risk Carry Forward Amount to the Group II Class A
Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3, B-1, B-2 and B-3 Certificates, in such order, any
Basis Risk Carry Forward Amount for such classes.
Interest Remittance Amount: For any Distribution Date, the portion of available funds for such Distribution Date attributable
to interest received or advanced on the Mortgage Loans.
Accrued Certificate Interest: For any Distribution Date and each class of Offered Certificates, equals the amount of interest
accrued during the related interest accrual period at the related Pass-through Rate, reduced by
any prepayment interest shortfalls and shortfalls resulting from the application of the
Servicemembers Civil Relief Act or similar state law allocated to such class.
Principal Distribution Amount: On any Distribution Date, the sum of (i) the Basic Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
Basic Principal Distribution On any Distribution Date, the excess of (i) the aggregate principal remittance amount over (ii) the
Amount: Excess Subordinated Amount, if any.
Net Monthly Excess Cashflow: For any Distribution Date is the amount of funds available for distribution on such Distribution
Date remaining after making all distributions of interest and principal on the certificates.
Extra Principal Distribution For any Distribution Date, the lesser of (i) the excess of (x) interest collected or advanced with
Amount: respect to the Mortgage Loans with due dates in the related Due Period (less servicing and trustee
fees and expenses), over (y) the sum of interest payable on the Certificates on such Distribution
Date and (ii) the overcollateralization deficiency amount for such Distribution Date.
Excess Subordinated Amount: For any Distribution Date, means the excess, if any of (i) the overcollateralization and (ii) the
required overcollateralization for such Distribution Date.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 10
Class A Principal Allocation For any Distribution Date, the percentage equivalent of a fraction, determined as follows:
Percentage: (i) in the case of the Class A-1 Certificates the numerator of which is (x) the portion of the
principal remittance amount for such Distribution Date that is attributable to principal received
or advanced on the Group I Mortgage Loans and the denominator of which is (y) the principal
remittance amount for such Distribution Date and (ii) in the case of the Group II Class A
Certificates, the numerator of which is (x) the portion of the principal remittance amount for
such Distribution Date that is attributable to principal received or advanced on the Group II
Mortgage Loans and the denominator of which is (y) the principal remittance amount for such
Distribution Date.
Class A Principal For any Distribution Date, an amount equal to the excess of (x) the aggregate Certificate
Distribution Amount: Principal Balance of the Class A Certificates immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately 59.50% and (ii) the aggregate principal balance
of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period
over $3,736,940.
Class M-1 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account
the payment of the Class A Principal Distribution Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1 Certificates immediately prior to such Distribution
Date over (y) the lesser of (A) the product of (i) approximately 72.80% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the
related Due Period over $3,736,940.
Class M-2 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account
the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment
of the Class M-1 Principal Distribution Amount on such Distribution Date) and (iii) the
Certificate Principal Balance of the Class M-2 Certificates immediately prior to such Distribution
Date over (y) the lesser of (A) the product of (i) approximately 84.30% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the
related Due Period over $3,736,940.
Class M-3 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account
the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment
of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date) and (iv) the Certificate
Principal Balance of the Class M-3 Certificates immediately prior to such Distribution Date over
(y) the lesser of (A) the product of (i) approximately 87.30% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if
any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related
Due Period over $3,736,940.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 11
Class B-1 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account the payment of
the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the payment of the
Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal
Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3
Principal Distribution Amount on such Distribution Date) and (v) the Certificate Principal Balance
of the Class B-1 Certificates immediately prior to such Distribution Date over (y) the lesser of
(A) the product of (i) approximately 90.30% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period
over $3,736,940.
Class B-2 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account the payment of
the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the payment of the
Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal
Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3
Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of
the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date) and (vi) the Certificate Principal Balance of the
Class B-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 93.30% and (ii) the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and (B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the last day of the related Due Period over
$3,736,940.
Class B-3 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A Certificates (after taking into account the payment of
the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the payment of the
Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal
Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3
Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of
the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the
Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal
Distribution Amount on such Distribution Date) and (vii) the Certificate Principal Balance of the
Class B-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 95.80% and (ii) the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and (B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the last day of the related Due Period over
$3,736,940.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA eligible.
SMMEA Eligibility: It is not anticipated that any of the Offered Certificates will be SMMEA eligible.
Prospectus: The Class A-2, ClassA-3, Class A-4, Class M-1, Class M-2, Class M-3, Class B-1, Class B-2 and Class
B-3 Certificates are being offered pursuant to a prospectus supplemented by a prospectus supplement
(together, the "Prospectus"). Complete information with respect to the Offered Certificates and the
collateral securing them is contained in the Prospectus. The information herein is qualified in its
entirety by the information appearing in the Prospectus. To the extent that the information herein
is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the
Offered Certificates may not be consummated unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE
CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Weighted Average Life Sensitivity
To CALL
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.26 4.49 3.62 2.67 2.02 1.51 1.16
First Payment Date 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 6/25/2007
Window 1 - 178 1 - 158 1 - 129 1 - 96 1 - 75 1 - 61 1 - 35
----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 3.02 2.54 2.04 1.50 1.16 0.95 0.80
First Payment Date 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 8/25/2012 4/25/2011 12/25/2009 7/25/2008 2/25/2007 9/25/2006 4/25/2006
Window 1 - 97 1 - 81 1 - 65 1 - 48 1 - 31 1 - 26 1 - 21
----------------------------------------------------------------------------------------------------------------------------------
A-4 WAL 12.26 10.58 8.56 6.36 4.73 3.28 2.29
First Payment Date 8/25/2012 4/25/2011 12/25/2009 7/25/2008 2/25/2007 9/25/2006 4/25/2006
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 6/25/2007
Window 97 - 178 81 - 158 65 - 129 48 - 96 31 - 75 26 - 61 21 - 35
----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.17 8.73 7.05 5.33 4.61 4.62 4.15
First Payment Date 7/25/2009 10/25/2008 12/25/2007 10/25/2007 2/25/2008 7/25/2008 6/25/2007
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 39 - 96 43 - 75 48 - 61 35 - 50
----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.17 8.73 7.05 5.30 4.43 4.07 3.93
First Payment Date 7/25/2009 10/25/2008 12/25/2007 9/25/2007 11/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 38 - 96 40 - 75 41 - 61 42 - 50
----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.17 8.73 7.05 5.30 4.36 3.90 3.62
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 10/25/2007 11/25/2007 12/25/2007
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 37 - 96 39 - 75 40 - 61 41 - 50
----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.17 8.73 7.05 5.28 4.34 3.85 3.53
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 9/25/2007 10/25/2007 10/25/2007
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 37 - 96 38 - 75 39 - 61 39 - 50
----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.17 8.73 7.05 5.28 4.33 3.81 3.46
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 9/25/2007 9/25/2007 9/25/2007
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 37 - 96 38 - 75 38 - 61 38 - 50
----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.16 8.70 7.02 5.26 4.29 3.76 3.39
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 8/25/2007 9/25/2007 8/25/2007
Expected Final Maturity 5/25/2019 9/25/2017 4/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 60 - 178 51 - 158 41 - 129 37 - 96 37 - 75 38 - 61 37 - 50
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
Weighted Average Life Sensitivity
To MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.61 4.80 3.90 2.90 2.21 1.66 1.16
First Payment Date 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 10/25/2031 12/25/2029 9/25/2026 10/25/2021 7/25/2018 12/25/2015 6/25/2007
Window 1 - 327 1 - 305 1 - 266 1 - 207 1 - 168 1 - 137 1 - 35
-----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL (yrs) 3.02 2.54 2.04 1.50 1.16 0.95 0.80
First Payment Date 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 8/25/2012 4/25/2011 12/25/2009 7/25/2008 2/25/2007 9/25/2006 4/25/2006
Window 1 - 97 1 - 81 1 - 65 1 - 48 1 - 31 1 - 26 1 - 21
-----------------------------------------------------------------------------------------------------------------------------------
A-4 WAL (yrs) 13.73 11.88 9.72 7.30 5.49 3.88 2.29
First Payment Date 8/25/2012 4/25/2011 12/25/2009 7/25/2008 2/25/2007 9/25/2006 4/25/2006
Expected Final Maturity 10/25/2031 12/25/2029 9/25/2026 10/25/2021 7/25/2018 12/25/2015 6/25/2007
Window 97 - 327 81 - 305 65 - 266 48 - 207 31 - 168 26 - 137 21 - 35
-----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.06 9.49 7.73 5.89 5.06 4.98 5.94
First Payment Date 7/25/2009 10/25/2008 12/25/2007 10/25/2007 2/25/2008 7/25/2008 6/25/2007
Expected Final Maturity 5/25/2029 12/25/2026 6/25/2023 4/25/2019 4/25/2016 1/25/2014 12/25/2013
Window 60 - 298 51 - 269 41 - 227 39 - 177 43 - 141 48 - 114 35 - 113
-----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.99 9.42 7.66 5.80 4.83 4.39 4.22
First Payment Date 7/25/2009 10/25/2008 12/25/2007 9/25/2007 11/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 12/25/2027 5/25/2025 11/25/2021 2/25/2018 3/25/2015 3/25/2013 9/25/2011
Window 60 - 281 51 - 250 41 - 208 38 - 163 40 - 128 41 - 104 42 - 86
-----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.88 9.31 7.58 5.72 4.70 4.17 3.86
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 10/25/2007 11/25/2007 12/25/2007
Expected Final Maturity 7/25/2025 11/25/2022 9/25/2019 4/25/2016 10/25/2013 1/25/2012 10/25/2010
Window 60 - 252 51 - 220 41 - 182 37 - 141 39 - 111 40 - 90 41 - 75
-----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.78 9.22 7.52 5.65 4.64 4.08 3.73
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 9/25/2007 10/25/2007 10/25/2007
Expected Final Maturity 6/25/2024 11/25/2021 4/25/2019 8/25/2015 3/25/2013 8/25/2011 5/25/2010
Window 60 - 239 51 - 208 41 - 177 37 - 133 38 - 104 39 - 85 39 - 70
-----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.61 9.06 7.38 5.54 4.53 3.97 3.60
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 9/25/2007 9/25/2007 9/25/2007
Expected Final Maturity 2/25/2023 8/25/2020 2/25/2018 9/25/2014 7/25/2012 1/25/2011 11/25/2009
Window 60 - 223 51 - 193 41 - 163 37 - 122 38 - 96 38 - 78 38 - 64
-----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.27 8.80 7.10 5.33 4.34 3.80 3.43
First Payment Date 7/25/2009 10/25/2008 12/25/2007 8/25/2007 8/25/2007 9/25/2007 8/25/2007
Expected Final Maturity 1/25/2021 4/25/2019 7/25/2016 7/25/2013 7/25/2011 3/25/2010 4/25/2009
Window 60 - 198 51 - 177 41 - 144 37 - 108 37 - 84 38 - 68 37 - 57
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
CPR Sensitivity
To CALL
----------------------------------------------------------------------------------------
CPR (%) 20 25 30
----------------------------------------------------------------------------------------
A-2 WAL (yrs) 3.24 2.53 1.99
First Payment Date 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 1 - 117 1 - 93 1 - 76
----------------------------------------------------------------------------------------
A-3 WAL (yrs) 1.79 1.37 1.11
First Payment Date 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 6/25/2009 5/25/2008 2/25/2007
Window 1 - 59 1 - 46 1 - 31
----------------------------------------------------------------------------------------
A-4 WAL (yrs) 7.76 6.14 4.74
First Payment Date 6/25/2009 5/25/2008 2/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 59 - 117 46 - 93 31 - 76
----------------------------------------------------------------------------------------
M-1 WAL 6.38 5.19 4.65
First Payment Date 8/25/2007 11/25/2007 2/25/2008
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 40 - 93 43 - 76
----------------------------------------------------------------------------------------
M-2 WAL 6.38 5.14 4.46
First Payment Date 8/25/2007 9/25/2007 11/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 38 - 93 40 - 76
----------------------------------------------------------------------------------------
M-3 WAL 6.38 5.12 4.38
First Payment Date 8/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 38 - 93 39 - 76
----------------------------------------------------------------------------------------
B-1 WAL 6.38 5.12 4.37
First Payment Date 8/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 37 - 93 38 - 76
----------------------------------------------------------------------------------------
B-2 WAL 6.38 5.10 4.34
First Payment Date 8/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 37 - 93 38 - 76
----------------------------------------------------------------------------------------
B-3 WAL 6.35 5.08 4.31
First Payment Date 8/25/2007 8/25/2007 8/25/2007
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 37 - 117 37 - 93 37 - 76
----------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 16
CPR Sensitivity
To MATURITY
----------------------------------------------------------------------------------------
CPR (%) 20 25 30
----------------------------------------------------------------------------------------
A-2 WAL (yrs) 3.51 2.75 2.17
First Payment Date 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 4/25/2025 6/25/2021 9/25/2018
Window 1 - 249 1 - 203 1 - 170
----------------------------------------------------------------------------------------
A-3 WAL (yrs) 1.79 1.37 1.11
First Payment Date 8/25/2004 8/25/2004 8/25/2004
Expected Final Maturity 6/25/2009 5/25/2008 2/25/2007
Window 1 - 59 1 - 46 1 - 31
----------------------------------------------------------------------------------------
A-4 WAL (yrs) 8.89 7.06 5.51
First Payment Date 6/25/2009 5/25/2008 2/25/2007
Expected Final Maturity 4/25/2025 6/25/2021 9/25/2018
Window 59 - 249 46 - 203 31 - 170
----------------------------------------------------------------------------------------
M-1 WAL 7.03 5.73 5.10
First Payment Date 8/25/2007 11/25/2007 2/25/2008
Expected Final Maturity 2/25/2022 12/25/2018 5/25/2016
Window 37 - 211 40 - 173 43 - 142
----------------------------------------------------------------------------------------
M-2 WAL 6.97 5.63 4.86
First Payment Date 8/25/2007 9/25/2007 11/25/2007
Expected Final Maturity 8/25/2020 9/25/2017 5/25/2015
Window 37 - 193 38 - 158 40 - 130
----------------------------------------------------------------------------------------
M-3 WAL 6.89 5.53 4.72
First Payment Date 8/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 11/25/2018 12/25/2015 11/25/2013
Window 37 - 172 38 - 137 39 - 112
----------------------------------------------------------------------------------------
B-1 WAL 6.82 5.47 4.65
First Payment Date 8/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 1/25/2018 4/25/2015 4/25/2013
Window 37 - 162 37 - 129 38 - 105
----------------------------------------------------------------------------------------
B-2 WAL 6.69 5.35 4.54
First Payment Date 8/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 12/25/2016 5/25/2014 8/25/2012
Window 37 - 149 37 - 118 38 - 97
----------------------------------------------------------------------------------------
B-3 WAL 6.43 5.14 4.36
First Payment Date 8/25/2007 8/25/2007 8/25/2007
Expected Final Maturity 6/25/2015 3/25/2013 8/25/2011
Window 37 - 131 37 - 104 37 - 85
----------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 17
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- -- -- -- --
1 10.36 10.36 10.36 10.16 10.16 10.16 10.16 10.16 10.16
2 9.43 9.43 9.43 9.26 9.26 9.26 9.26 9.26 9.26
3 9.65 9.65 9.65 9.46 9.46 9.46 9.46 9.46 9.46
4 9.45 9.45 9.45 9.26 9.26 9.26 9.26 9.26 9.26
5 9.67 9.67 9.67 9.47 9.47 9.47 9.47 9.47 9.47
6 9.47 9.47 9.47 9.27 9.27 9.27 9.27 9.27 9.27
7 9.48 9.48 9.48 9.27 9.27 9.27 9.27 9.27 9.27
8 10.17 10.17 10.17 9.94 9.94 9.94 9.94 9.94 9.94
9 9.49 9.49 9.49 9.28 9.28 9.28 9.28 9.28 9.28
10 9.72 9.72 9.72 9.49 9.49 9.49 9.49 9.49 9.49
11 9.51 9.51 9.51 9.28 9.28 9.28 9.28 9.28 9.28
12 9.73 9.73 9.73 9.49 9.49 9.49 9.49 9.49 9.49
13 9.53 9.53 9.53 9.28 9.28 9.28 9.28 9.28 9.28
14 9.53 9.53 9.53 9.28 9.28 9.28 9.28 9.28 9.28
15 9.76 9.76 9.76 9.49 9.49 9.49 9.49 9.49 9.49
16 9.55 9.55 9.55 9.29 9.29 9.29 9.29 9.29 9.29
17 9.78 9.78 9.78 9.49 9.49 9.49 9.49 9.49 9.49
18 9.57 9.57 9.57 9.29 9.29 9.29 9.29 9.29 9.29
19 9.58 9.58 9.58 9.29 9.29 9.29 9.29 9.29 9.29
20 10.30 10.30 10.30 9.95 9.95 9.95 9.95 9.95 9.95
21 9.62 9.62 9.62 9.30 9.30 9.30 9.30 9.30 9.30
22 10.33 10.33 10.33 9.96 9.96 9.96 9.96 9.96 9.96
23 10.09 10.09 10.09 9.72 9.72 9.72 9.72 9.72 9.72
24 10.36 10.36 10.36 9.96 9.96 9.96 9.96 9.96 9.96
25 10.12 10.12 10.12 9.72 9.72 9.72 9.72 9.72 9.72
26 10.14 10.14 10.14 9.72 9.72 9.72 9.72 9.72 9.72
27 10.42 10.42 10.42 9.97 9.97 9.97 9.97 9.97 9.97
28 10.44 10.44 10.44 9.99 9.99 9.99 9.99 9.99 9.99
29 10.75 10.75 10.75 10.26 10.26 10.26 10.26 10.26 10.26
30 10.49 10.49 10.49 9.99 9.99 9.99 9.99 9.99 9.99
31 10.51 10.51 10.51 9.99 9.99 9.99 9.99 9.99 9.99
32 11.45 11.45 11.45 10.85 10.85 10.85 10.85 10.85 10.85
33 10.59 10.59 10.59 10.01 10.01 10.01 10.01 10.01 10.01
34 11.13 11.13 11.13 10.49 10.49 10.49 10.49 10.49 10.49
35 10.85 10.85 10.85 10.20 10.20 10.20 10.20 10.20 10.20
36 11.19 11.19 11.19 10.49 10.49 10.49 10.49 10.49 10.49
37 26.63 26.63 26.63 10.20 10.20 10.20 10.20 10.20 10.20
38 11.43 11.43 11.43 10.21 10.21 10.21 10.20 10.20 10.20
39 11.76 11.76 11.76 10.51 10.51 10.51 10.50 10.50 10.50
40 11.96 11.96 11.96 10.45 10.45 10.45 10.45 10.45 10.45
41 12.29 12.29 12.29 10.76 10.76 10.76 10.76 10.76 10.76
42 11.84 11.84 11.84 10.45 10.45 10.45 10.45 10.45 10.45
43 11.84 11.84 11.84 10.45 10.45 10.45 10.45 10.45 10.45
44 12.66 12.66 12.66 11.09 11.09 11.09 11.09 11.09 11.09
45 11.86 11.86 11.86 10.46 10.46 10.46 10.46 10.46 10.46
46 12.84 12.84 12.84 10.77 10.77 10.77 10.77 10.77 10.77
47 12.42 12.42 12.42 10.44 10.44 10.44 10.44 10.44 10.44
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
48 12.84 12.84 12.84 10.77 10.77 10.77 10.77 10.77 10.77
49 12.42 -- 12.42 10.43 10.43 10.43 10.43 10.43 10.43
50 12.43 -- 12.43 10.44 10.44 10.44 10.44 10.44 10.44
51 12.85 -- 12.85 10.28 10.28 10.28 10.28 10.28 10.28
52 12.86 -- 12.86 10.39 10.39 10.39 10.39 10.39 10.39
53 13.29 -- 13.29 10.73 10.73 10.73 10.73 10.73 10.73
54 12.86 -- 12.86 10.39 10.39 10.39 10.39 10.39 10.39
55 12.86 -- 12.86 10.39 10.39 10.39 10.39 10.39 10.39
56 14.24 -- 14.24 11.50 11.50 11.50 11.50 11.50 11.50
57 12.87 -- 12.87 10.39 10.39 10.39 10.39 10.39 10.39
58 13.67 -- 13.67 10.94 10.94 10.94 10.94 10.94 10.94
59 13.23 -- 13.23 10.58 10.58 10.58 10.58 10.58 10.58
60 13.67 -- 13.67 10.94 10.94 10.94 10.94 10.94 10.94
61 13.22 -- 13.22 10.58 10.58 10.58 10.58 10.58 10.58
62 13.22 -- 13.22 10.58 10.58 10.58 10.58 10.58 10.58
63 13.66 -- 13.66 10.93 10.93 10.93 10.93 10.93 10.93
64 13.31 -- 13.31 10.63 10.63 10.63 10.63 10.63 10.63
65 13.75 -- 13.75 10.98 10.98 10.98 10.98 10.98 10.98
66 13.31 -- 13.31 10.62 10.62 10.62 10.62 10.62 10.62
67 13.31 -- 13.31 10.62 10.62 10.62 10.62 10.62 10.62
68 14.73 -- 14.73 11.76 11.76 11.76 11.76 11.76 11.76
69 13.31 -- 13.31 10.62 10.62 10.62 10.62 10.62 10.62
70 13.82 -- 13.82 11.01 11.01 11.01 11.01 11.01 11.01
71 13.37 -- 13.37 10.66 10.66 10.66 10.66 10.66 10.66
72 13.81 -- 13.81 11.01 11.01 11.01 11.01 11.01 11.01
73 13.37 -- 13.37 10.65 10.65 10.65 10.65 10.65 10.65
74 13.37 -- 13.37 10.65 10.65 10.65 10.65 10.65 10.65
75 13.81 -- 13.81 11.01 11.01 11.01 11.01 11.01 11.01
76 13.41 -- 13.41 10.68 10.68 10.68 10.68 10.68 10.68
77 13.85 -- 13.85 11.03 11.03 11.03 11.03 11.03 11.03
78 13.41 -- 13.41 10.67 10.67 10.67 10.67 10.67 10.67
79 13.40 -- 13.40 10.67 10.67 10.67 10.67 10.67 10.67
80 14.84 -- 14.84 11.81 11.81 11.81 11.81 11.81 11.81
81 13.40 -- 13.40 10.67 10.67 10.67 10.67 10.67 10.67
82 13.87 -- 13.87 11.04 11.04 11.04 11.04 11.04 11.04
83 13.42 -- 13.42 10.68 10.68 10.68 10.68 10.68 10.68
84 13.87 -- 13.87 11.03 11.03 11.03 11.03 11.03 11.03
85 13.42 -- 13.42 10.68 10.68 10.68 10.68 10.68 10.68
86 13.42 -- 13.42 10.68 10.68 10.68 10.68 10.68 10.68
87 13.87 -- 13.87 11.03 11.03 11.03 11.03 11.03 11.03
88 13.42 -- 13.42 10.67 10.67 10.67 10.67 10.67 10.67
89 13.87 -- 13.87 11.03 11.03 11.03 11.03 11.03 11.03
90 11.99 -- 11.99 10.67 10.67 10.67 10.67 10.67 10.67
91 11.46 -- 11.46 10.67 10.67 10.67 10.67 10.67 10.67
92 12.27 -- 12.27 11.41 11.41 11.41 11.41 11.41 11.41
93 11.50 -- 11.50 10.67 10.67 10.67 10.67 10.67 10.67
94 11.90 -- 11.90 11.03 11.03 11.03 11.03 11.03 11.03
95 11.54 -- 11.54 10.67 10.67 10.67 10.67 10.67 10.67
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
96 11.94 -- 11.94 11.02 11.02 11.02 11.02 11.02 11.02
97 11.58 -- 11.58 10.67 10.67 10.67 10.67 10.67 10.67
98 11.60 -- 11.60 10.67 10.67 10.67 10.67 10.67 10.67
99 12.01 -- 12.01 11.02 11.02 11.02 11.02 11.02 11.02
100 11.64 -- 11.64 10.67 10.67 10.67 10.67 10.67 10.67
101 12.05 -- 12.05 11.02 11.02 11.02 11.02 11.02 11.02
102 11.69 -- 11.69 10.66 10.66 10.66 10.66 10.66 10.66
103 11.71 -- 11.71 10.66 10.66 10.66 10.66 10.66 10.66
104 12.99 -- 12.99 11.80 11.80 11.80 11.80 11.80 11.80
105 11.76 -- 11.76 10.66 10.66 10.66 10.66 10.66 10.66
106 12.18 -- 12.18 11.02 11.02 11.02 11.02 11.02 11.02
107 11.81 -- 11.81 10.66 10.66 10.66 10.66 10.66 10.66
108 12.24 -- 12.24 11.01 11.01 11.01 11.01 11.01 11.01
109 11.87 -- 11.87 10.66 10.66 10.66 10.66 10.66 10.66
110 11.90 -- 11.90 10.66 10.66 10.66 10.66 10.66 --
111 12.33 -- 12.33 11.01 11.01 11.01 11.01 11.01 --
112 11.96 -- 11.96 10.66 10.66 10.66 10.66 10.66 --
113 12.39 -- 12.39 11.01 11.01 11.01 11.01 11.01 --
114 12.02 -- 12.02 10.66 10.66 10.66 10.66 10.66 --
115 12.05 -- 12.05 10.65 10.65 10.65 10.65 10.65 --
116 13.38 -- 13.38 11.80 11.80 11.80 11.80 11.80 --
117 12.12 -- 12.12 10.65 10.65 10.65 10.65 10.65 --
118 12.56 -- 12.56 11.01 11.01 11.01 11.01 11.01 --
119 12.19 -- 12.19 10.65 10.65 10.65 10.65 10.65 --
120 12.64 -- 12.64 11.01 11.01 11.01 11.01 11.01 --
121 12.27 -- 12.27 10.65 10.65 10.65 10.65 10.65 --
122 12.31 -- 12.31 10.65 10.65 10.65 10.65 10.65 --
123 12.76 -- 12.76 11.01 11.01 11.01 11.01 11.01 --
124 12.39 -- 12.39 10.65 10.65 10.65 10.65 10.65 --
125 12.84 -- 12.84 11.00 11.00 11.00 11.00 -- --
126 12.47 -- 12.47 10.65 10.65 10.65 10.65 -- --
127 12.52 -- 12.52 10.65 10.65 10.65 10.65 -- --
128 13.91 -- 13.91 11.79 11.79 11.79 11.79 -- --
129 12.61 -- 12.61 10.65 10.65 10.65 10.65 -- --
130 13.08 -- 13.08 11.00 11.00 11.00 11.00 -- --
131 12.71 -- 12.71 10.65 10.65 10.65 10.65 -- --
132 13.18 -- 13.18 11.00 11.00 11.00 11.00 -- --
133 12.81 -- 12.81 10.65 10.65 10.65 10.65 -- --
134 12.86 -- 12.86 10.64 10.64 10.64 10.64 -- --
135 13.35 -- 13.35 11.00 11.00 11.00 11.00 -- --
136 12.97 -- 12.97 10.64 10.64 10.64 -- -- --
137 13.46 -- 13.46 11.00 11.00 11.00 -- -- --
138 13.09 -- 13.09 10.64 10.64 10.64 -- -- --
139 13.15 -- 13.15 10.64 10.64 10.64 -- -- --
140 14.12 -- 14.12 11.38 11.38 11.38 -- -- --
141 13.28 -- 13.28 10.64 10.64 10.64 -- -- --
142 13.79 -- 13.79 11.00 11.00 11.00 -- -- --
143 13.41 -- 13.41 10.64 10.64 10.64 -- -- --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
144 13.93 -- 13.93 11.00 11.00 -- -- -- --
145 13.55 -- 13.55 10.64 10.64 -- -- -- --
146 13.62 -- 13.62 10.64 10.64 -- -- -- --
147 14.15 -- 14.15 11.00 11.00 -- -- -- --
148 13.77 -- 13.77 10.64 10.64 -- -- -- --
149 14.31 -- 14.31 10.99 10.99 -- -- -- --
150 13.93 -- 13.93 10.64 10.64 -- -- -- --
151 14.01 -- 14.01 10.64 10.64 -- -- -- --
152 15.61 -- 15.61 11.78 11.78 -- -- -- --
153 14.18 -- 14.18 10.64 10.64 -- -- -- --
154 14.75 -- 14.75 10.99 10.99 -- -- -- --
155 14.37 -- 14.37 10.64 10.64 -- -- -- --
156 14.94 -- 14.94 10.99 10.99 -- -- -- --
157 14.56 -- 14.56 10.64 10.64 -- -- -- --
158 14.66 -- 14.66 10.64 10.64 -- -- -- --
159 15.25 -- 15.25 10.99 10.99 -- -- -- --
160 14.86 -- 14.86 10.64 10.64 -- -- -- --
161 15.47 -- 15.47 10.99 10.99 -- -- -- --
162 15.08 -- 15.08 10.64 10.64 -- -- -- --
163 15.19 -- 15.19 10.64 10.64 -- -- -- --
164 16.95 -- 16.95 11.78 11.78 -- -- -- --
165 15.43 -- 15.43 10.64 10.64 -- -- -- --
166 16.07 -- 16.07 10.99 -- -- -- -- --
167 15.68 -- 15.68 10.64 -- -- -- -- --
168 16.33 -- 16.33 10.99 -- -- -- -- --
169 15.94 -- 15.94 10.64 -- -- -- -- --
170 16.08 -- 16.08 10.64 -- -- -- -- --
171 16.76 -- 16.76 10.99 -- -- -- -- --
172 16.36 -- 16.36 10.64 -- -- -- -- --
173 17.06 -- 17.06 10.99 -- -- -- -- --
174 16.66 -- 16.66 10.64 -- -- -- -- --
175 16.82 -- 16.82 10.64 -- -- -- -- --
176 18.80 -- 18.80 11.78 -- -- -- -- --
177 17.15 -- 17.15 10.64 -- -- -- -- --
178 19.13 -- 19.13 -- -- -- -- -- --
179 18.86 -- 18.86 -- -- -- -- -- --
180 19.87 -- 19.87 -- -- -- -- -- --
181 19.63 -- 19.63 -- -- -- -- -- --
182 20.06 -- 20.06 -- -- -- -- -- --
183 21.20 -- 21.20 -- -- -- -- -- --
184 21.01 -- 21.01 -- -- -- -- -- --
185 22.26 -- 22.26 -- -- -- -- -- --
186 22.11 -- 22.11 -- -- -- -- -- --
187 22.74 -- 22.74 -- -- -- -- -- --
188 25.03 -- 25.03 -- -- -- -- -- --
189 24.16 -- 24.16 -- -- -- -- -- --
190 25.80 -- 25.80 -- -- -- -- -- --
191 25.86 -- 25.86 -- -- -- -- -- --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 21
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
192 27.74 -- 27.74 -- -- -- -- -- --
193 27.94 -- 27.94 -- -- -- -- -- --
194 29.17 -- 29.17 -- -- -- -- -- --
195 31.56 -- 31.56 -- -- -- -- -- --
196 32.10 -- 32.10 -- -- -- -- -- --
197 35.00 -- 35.00 -- -- -- -- -- --
198 35.91 -- 35.91 -- -- -- -- -- --
199 38.29 -- 38.29 -- -- -- -- -- --
200 45.48 -- 45.48 -- -- -- -- -- --
201 44.40 -- 44.40 -- -- -- -- -- --
202 50.05 -- 50.05 -- -- -- -- -- --
203 53.42 -- 53.42 -- -- -- -- -- --
204 61.74 -- 61.74 -- -- -- -- -- --
205 68.04 -- 68.04 -- -- -- -- -- --
206 79.36 -- 79.36 -- -- -- -- -- --
207 98.95 -- 98.95 -- -- -- -- -- --
208 121.59 -- 121.59 -- -- -- -- -- --
209 173.91 -- 173.91 -- -- -- -- -- --
210 278.28 -- 278.28 -- -- -- -- -- --
211 * -- * -- -- -- -- -- --
212 -- -- -- -- -- -- -- -- --
* In Period 211 the Class A-2 has a beginning balance of $18,828.26 and is paid
$34,128.30 in interest, and the Class A-4 has a beginning balance of $29,068.94
and is paid $52,690.68 in interest.
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 22
Page 23
Interest Rate Cap Schedules
Group II Class A Cap Class M Cap Class B Cap
---------------------------------------- ----------------------------------------- --------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 254,390,000.00 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
2 248,032,680.92 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
3 241,714,863.41 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
4 235,434,104.32 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
5 229,188,091.65 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
6 222,975,002.77 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
7 216,793,504.15 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
8 210,642,748.54 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
9 204,522,369.56 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
10 198,432,473.55 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
11 192,373,628.70 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
12 186,346,851.46 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
13 180,362,499.25 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
14 174,519,887.70 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
15 168,815,674.23 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
16 163,246,594.86 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
17 157,809,462.38 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
18 152,501,164.55 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
19 147,318,662.32 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
20 142,258,988.12 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
21 137,319,284.25 6.05 9.15 103,886,000.00 5.20 8.30 31,764,000.00 3.65 6.75
22 132,497,038.84 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
23 127,804,895.13 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
24 123,223,649.11 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
25 118,750,691.48 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
26 114,383,474.14 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
27 110,119,508.82 7.40 9.75 103,886,000.00 6.40 8.75 31,764,000.00 4.85 7.20
28 105,956,365.61 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
29 101,891,672.11 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
30 97,923,110.64 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
31 94,048,418.42 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
32 90,265,385.76 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
33 86,571,854.83 8.15 10.15 103,886,000.00 7.05 9.05 31,764,000.00 5.50 7.50
34 82,966,192.93 9.00 10.50 103,886,000.00 7.75 9.25 31,764,000.00 6.20 7.70
35 79,446,536.13 9.00 10.50 103,886,000.00 7.75 9.25 31,764,000.00 6.20 7.70
36 76,010,153.25 9.00 10.50 103,886,000.00 7.75 9.25 31,764,000.00 6.20 7.70
37 -- -- -- 103,886,000.00 7.75 9.25 31,764,000.00 6.20 7.70
38 -- -- -- 103,883,213.52 7.75 9.25 26,624,821.46 6.20 7.70
39 -- -- -- 97,336,412.82 7.75 9.25 25,987,389.30 6.20 7.70
40 -- -- -- 90,944,858.68 8.40 9.50 25,365,072.81 6.85 7.95
41 -- -- -- 84,704,891.61 8.40 9.50 24,757,515.66 6.85 7.95
42 -- -- -- 79,030,970.01 8.40 9.50 24,164,369.90 6.85 7.95
43 -- -- -- 77,137,074.58 8.40 9.50 23,585,295.77 6.85 7.95
44 -- -- -- 75,288,116.15 8.40 9.50 23,019,961.51 6.85 7.95
45 -- -- -- 73,483,035.02 8.40 9.50 22,468,043.10 6.85 7.95
46 -- -- -- 71,720,796.49 9.00 9.50 21,929,224.14 7.45 7.95
47 -- -- -- 70,000,390.09 9.00 9.50 21,403,195.73 7.45 7.95
48 -- -- -- 68,320,829.15 9.00 9.50 20,889,656.14 7.45 7.95
49 -- -- -- 66,681,150.12 9.00 9.50 20,388,310.77 7.45 7.95
50 -- -- -- 65,080,412.13 9.00 9.50 19,898,871.95 7.45 7.95
51 -- -- -- -- -- -- -- -- --
--------------------------------------------------------------------------------
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instruments or transactions will conform to the terms hereof. Please refer to
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Page 23
This information is being delivered to a specific number of prospective
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XXXXXX XXXXXXX
MSAC 2004-WMC1
All records
Selection Criteria: All records
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
1. Summary Statistics
Number of Mortgage Loans: 4,150
Aggregate Principal Balance ($): 747,387,982
Weighted Average Current Mortgage Rate (%): 6.876
Non-Zero Weighted Average Margin (%): 5.963
Non-Zero Weighted Average Maximum Rate (%): 13.048
Weighted Average Stated Original Term (months): 343
Weighted Average Stated Remaining Term (months): 340
Weighted Average Combined Original LTV (%): 82.39
% First Liens: 92.35
% Owner Occupied: 94.49
% Purchase: 42.39
% Full Doc: 63.93
Weighted Average Credit Score: 635
2. Product Types
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed - 15 Year 108 11,059,827 1.48 7.073 177 78.52
Fixed - 20 Year 14 2,938,422 0.39 6.169 236 72.39
Fixed - 25 Year 2 292,429 0.04 6.899 297 86.18
Fixed - 30 Year 618 114,093,198 15.27 6.719 357 78.48
Balloon - 15/30 946 55,753,556 7.46 10.462 177 98.99
ARM - 6 Month 2 360,672 0.05 7.487 357 84.96
ARM - 2 Year/6 Month 1,944 414,489,988 55.46 6.743 357 81.57
ARM - 3 Year/6 Month 116 25,813,824 3.45 6.292 357 81.97
ARM - 5 Year/6 Month 80 20,350,490 2.72 6.177 357 81.35
Interest Only - ARM 2 Year/6 Month 264 84,322,508 11.28 5.910 357 81.86
Interest Only - ARM 5 Year/6 Month 56 17,913,068 2.40 5.950 357 82.69
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
3. Range of Gross Interest Rates (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
4.000 - 4.999 37 11,722,083 1.57 4.851 355 77.83
5.000 - 5.999 730 194,769,430 26.06 5.693 353 79.26
6.000 - 6.999 1,339 302,404,373 40.46 6.513 353 80.73
7.000 - 7.999 774 141,259,727 18.90 7.499 354 83.79
8.000 - 8.999 345 41,005,820 5.49 8.489 322 85.97
9.000 - 9.999 222 17,295,975 2.31 9.545 242 92.19
10.000 - 10.999 471 30,179,042 4.04 10.731 178 98.96
11.000 - 11.999 102 3,892,636 0.52 11.642 181 98.82
12.000 - 12.999 126 4,718,516 0.63 12.748 177 99.43
13.000 - 13.999 4 140,378 0.02 13.306 177 98.84
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Minimum: 4.625
Maximum: 13.490
Weighted Average: 6.876
4. Range of Cut-off Date Principal Balances ($)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
1 - 25,000 120 2,369,608 0.32 11.312 178 99.00
25,001 - 50,000 442 17,011,667 2.28 10.361 201 95.74
50,001 - 75,000 410 25,828,882 3.46 9.013 251 89.67
75,001 - 100,000 417 36,548,869 4.89 8.245 292 86.58
100,001 - 125,000 394 44,307,764 5.93 7.360 331 83.36
125,001 - 150,000 375 51,662,574 6.91 7.257 330 82.89
150,001 - 175,000 299 48,512,688 6.49 6.878 344 82.28
175,001 - 200,000 307 57,603,435 7.71 6.760 350 80.29
200,001 - 225,000 222 47,236,029 6.32 6.580 355 81.66
225,001 - 250,000 187 44,471,947 5.95 6.565 353 80.07
250,001 - 275,000 152 39,943,215 5.34 6.534 354 82.24
275,001 - 300,000 141 40,580,510 5.43 6.513 355 82.46
300,001 - 325,000 130 40,693,441 5.44 6.346 357 81.35
325,001 - 350,000 102 34,419,772 4.61 6.440 357 81.29
350,001 - 375,000 68 24,614,162 3.29 6.511 357 82.89
375,001 - 400,000 83 32,283,151 4.32 6.457 357 81.91
400,001 - 425,000 49 20,213,206 2.70 6.135 357 83.75
425,001 - 450,000 41 17,980,607 2.41 6.250 357 80.20
450,001 - 475,000 23 10,673,973 1.43 6.167 351 77.67
475,001 - 500,000 44 21,659,575 2.90 6.331 357 78.90
500,001 - 750,000 132 78,852,401 10.55 6.313 353 80.62
750,001 - 1,000,000 12 9,920,507 1.33 6.428 357 77.11
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Minimum: 14,288
Maximum: 922,353
Average: 180,093
5. Stated Original Term (months)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
180 1,054 66,813,383 8.94 9.901 177 95.60
240 14 2,938,422 0.39 6.169 236 72.39
300 2 292,429 0.04 6.899 297 86.18
360 3,080 677,343,748 90.63 6.580 357 81.12
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Minimum: 180
Maximum: 360
Weighted Average: 343
6. Range of Stated Remaining Terms (months)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Stated Mortgage Principal Principal Interest Term Original
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
169 - 180 1,054 66,813,383 8.94 9.901 177 95.60
229 - 240 14 2,938,422 0.39 6.169 236 72.39
289 - 300 2 292,429 0.04 6.899 297 86.18
349 - 360 3,080 677,343,748 90.63 6.580 357 81.12
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Minimum: 169
Maximum: 358
Weighted Average: 340
7. Range of Combined Original LTV Ratios (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Combined Mortgage Principal Principal Interest Term Original
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
<= 10.00 1 59,726 0.01 6.500 355 10.00
10.01 - 15.00 1 59,844 0.01 6.750 357 15.00
15.01 - 20.00 1 73,743 0.01 5.500 357 17.24
20.01 - 25.00 2 99,702 0.01 6.950 356 22.85
25.01 - 30.00 2 189,683 0.03 5.967 356 25.86
30.01 - 35.00 6 1,449,641 0.19 6.617 357 33.30
35.01 - 40.00 1 249,285 0.03 6.250 357 38.46
40.01 - 45.00 16 2,777,134 0.37 6.414 345 42.98
45.01 - 50.00 24 3,564,085 0.48 6.789 351 47.94
50.01 - 55.00 41 7,617,363 1.02 6.177 329 52.78
55.01 - 60.00 50 9,481,538 1.27 6.634 343 58.06
60.01 - 65.00 74 17,259,430 2.31 6.384 352 62.95
65.01 - 70.00 133 28,902,330 3.87 6.496 350 68.40
70.01 - 75.00 227 49,789,665 6.66 6.591 351 73.90
75.01 - 80.00 1,433 320,515,276 42.88 6.360 355 79.73
80.01 - 85.00 362 72,640,533 9.72 6.935 353 84.21
85.01 - 90.00 462 97,670,568 13.07 6.866 351 89.54
90.01 - 95.00 370 72,705,279 9.73 7.132 346 94.60
95.01 - 100.00 944 62,283,158 8.33 9.880 210 99.93
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Minimum: 10.00
Maximum: 100.00
Weighted Average: 82.39
8. Range of Gross Margins (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,688 184,137,432 24.64 7.865 289 84.61
<= 3.500 1 373,250 0.05 4.625 356 65.00
3.501 - 4.000 6 2,192,210 0.29 5.121 357 73.99
4.001 - 4.500 20 6,381,217 0.85 5.425 357 73.18
4.501 - 5.000 309 83,154,352 11.13 5.866 357 79.06
5.001 - 5.500 387 96,939,414 12.97 6.039 357 78.87
5.501 - 6.000 487 118,622,111 15.87 6.354 357 81.15
6.001 - 6.500 533 118,908,605 15.91 6.754 357 82.41
6.501 - 7.000 383 74,599,086 9.98 7.174 357 85.75
7.001 - 7.500 197 37,704,770 5.04 7.415 357 85.78
7.501 - 8.000 122 21,253,344 2.84 8.062 356 85.39
8.001 - 8.500 9 1,476,366 0.20 8.513 357 81.62
8.501 - 9.000 7 1,552,538 0.21 8.633 356 78.14
9.001 - 9.500 1 93,287 0.01 9.490 357 95.00
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 3.125
Maximum: 9.375
Non-Zero Weighted Average: 5.963
9. Range of Minimum Mortgage Rates (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,688 184,137,432 24.64 7.865 289 84.61
<=5.000 40 12,813,468 1.71 4.866 357 78.30
5.001 - 5.500 196 58,092,136 7.77 5.360 357 78.37
5.501 - 6.000 454 118,641,929 15.87 5.870 357 80.40
6.001 - 6.500 517 127,191,340 17.02 6.320 357 81.42
6.501 - 7.000 475 104,775,758 14.02 6.828 357 82.71
7.001 - 7.500 316 60,777,387 8.13 7.330 357 84.12
7.501 - 8.000 267 51,795,478 6.93 7.803 357 83.98
8.001 - 8.500 106 16,595,227 2.22 8.320 357 83.34
8.501 - 9.000 65 9,453,858 1.26 8.864 356 81.16
9.001 - 9.500 19 2,127,009 0.28 9.310 356 84.27
9.501 - 10.000 6 939,417 0.13 9.855 356 86.10
10.001 -10.500 1 47,543 0.01 10.500 357 85.00
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.625
Maximum: 10.500
Non-Zero Weighted Average: 6.552
10. Range of Maximum Mortgage Rates (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,688 184,137,432 24.64 7.865 289 84.61
<= 12.500 693 190,145,367 25.44 5.650 357 79.64
12.501 - 13.000 515 126,814,660 16.97 6.318 357 81.42
13.001 - 13.500 472 104,265,547 13.95 6.828 357 82.69
13.501 - 14.000 315 60,077,612 8.04 7.329 357 84.15
14.001 - 14.500 268 52,259,434 6.99 7.795 357 84.01
14.501 - 15.000 107 16,823,375 2.25 8.309 357 83.25
15.001 - 15.500 65 9,596,051 1.28 8.838 356 81.13
15.501 - 16.000 20 2,281,544 0.31 9.221 356 84.99
16.001 - 16.500 6 939,417 0.13 9.855 356 86.10
16.501 - 17.000 1 47,543 0.01 10.500 357 85.00
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 10.250
Maximum: 17.000
Non-Zero Weighted Average: 13.048
11. Initial Periodic Cap (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,688 184,137,432 24.64 7.865 289 84.61
1 22 3,501,974 0.47 7.398 357 81.50
1.5 1,833 391,763,192 52.42 6.717 357 81.57
2 1 545,896 0.07 5.375 355 91.65
3 491 137,747,058 18.43 6.104 357 81.79
5 56 17,940,406 2.40 5.941 357 82.77
5.625 1 103,094 0.01 6.125 356 90.00
6 1 391,268 0.05 5.500 356 56.14
6.5 56 11,123,629 1.49 7.132 356 81.95
7 1 134,033 0.02 6.490 357 80.00
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 7.000
Non-Zero Weighted Average: 2.080
12. Subsequent Periodic Cap (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,688 184,137,432 24.64 7.865 289 84.61
1 2,460 562,539,073 75.27 6.553 357 81.65
1.5 2 711,477 0.10 6.321 356 85.00
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 1.500
Non-Zero Weighted Average: 1.001
13. Next Rate Adjustment Dates
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,688 184,137,432 24.64 7.865 289 84.61
Oct-04 2 360,672 0.05 7.487 357 84.96
Aug-05 1 88,859 0.01 7.075 349 80.00
Sep-05 2 455,062 0.06 7.392 350 87.46
Oct-05 2 321,470 0.04 7.034 351 83.52
Nov-05 1 116,309 0.02 7.990 352 90.00
Dec-05 4 388,896 0.05 7.801 353 77.99
Jan-06 16 3,160,080 0.42 7.772 354 81.77
Feb-06 59 16,876,669 2.26 7.025 355 83.02
Mar-06 426 99,494,208 13.31 6.698 356 81.53
Apr-06 1,694 377,375,572 50.49 6.545 357 81.58
May-06 3 535,371 0.07 6.782 358 75.28
Nov-06 1 43,752 0.01 7.875 352 74.58
Jan-07 1 270,968 0.04 8.375 354 80.00
Feb-07 3 945,934 0.13 6.200 355 86.39
Mar-07 26 6,210,604 0.83 6.163 356 81.66
Apr-07 85 18,342,566 2.45 6.306 357 81.89
Mar-09 28 8,091,877 1.08 5.827 356 80.25
Apr-09 108 30,171,680 4.04 6.136 357 82.44
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
14. Geographic Distribution of Mortgaged Properties
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Geographic Distribution Mortgage Principal Principal Interest Term Original
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
California 2,035 446,361,115 59.72 6.692 339 81.94
Illinois 193 29,553,488 3.95 6.940 345 83.57
Texas 225 28,918,305 3.87 7.111 338 80.29
New York 107 26,932,851 3.60 6.778 341 77.61
Florida 195 26,719,648 3.58 7.233 343 84.61
Washington 124 17,561,177 2.35 6.995 334 83.25
Maryland 106 17,453,631 2.34 7.269 344 82.61
Virginia 119 16,475,457 2.20 7.391 343 85.40
Arizona 138 15,905,271 2.13 7.150 339 85.36
Georgia 103 12,660,043 1.69 7.771 342 84.97
Nevada 70 10,109,470 1.35 6.885 342 84.75
Massachusetts 42 9,763,646 1.31 6.695 347 79.56
Pennsylvania 85 9,756,983 1.31 7.390 335 83.88
Colorado 65 9,635,143 1.29 7.006 340 82.90
Michigan 59 8,595,402 1.15 7.665 351 84.08
Other 484 60,986,351 8.16 7.237 346 84.29
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 45
15. Occupancy
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Primary 3,893 706,195,232 94.49 6.872 340 82.56
Investment 182 28,185,136 3.77 6.977 349 79.12
Second Home 75 13,007,614 1.74 6.886 332 79.93
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
16. Property Type
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Single Family Residence 3,016 534,391,115 71.50 6.889 341 82.40
Planned Unit Development 574 110,844,196 14.83 6.874 340 82.99
Condo 388 61,846,701 8.28 6.743 335 83.11
2-4 Family 172 40,305,969 5.39 6.912 340 79.45
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
17. Loan Purpose
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Purchase 1,991 316,833,744 42.39 7.035 331 84.37
Refinance - Cashout 1,393 287,744,764 38.50 6.767 348 81.09
Refinance - Rate Term 766 142,809,473 19.11 6.741 345 80.59
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
18. Documentation Level
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Full Documentation 2,676 477,792,525 63.93 6.798 342 83.48
Stated Documentation 1,318 238,118,671 31.86 7.032 337 80.15
Limited Documentation 156 31,476,786 4.21 6.877 333 82.71
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
19. Credit Score
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
500 - 524 182 31,523,462 4.22 7.758 356 78.85
525 - 549 197 34,169,020 4.57 7.645 355 78.25
550 - 574 302 54,806,081 7.33 7.115 353 81.23
575 - 599 429 71,166,358 9.52 7.117 341 81.19
600 - 624 658 120,768,747 16.16 6.775 342 82.68
625 - 649 790 141,587,492 18.94 6.836 337 82.88
650 - 674 648 117,110,040 15.67 6.731 335 83.34
675 - 699 386 72,894,043 9.75 6.688 335 83.50
700 - 724 236 40,912,319 5.47 6.511 335 84.08
725 - 749 174 34,395,914 4.60 6.423 336 82.79
750 - 774 108 20,600,041 2.76 6.691 333 83.56
775 - 799 35 6,923,430 0.93 6.623 328 81.39
800 + 5 531,036 0.07 6.933 342 87.58
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 806
Weighted Average: 635
20. Prepayment Penalty Term
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
0 1,067 167,254,390 22.38 7.353 335 83.12
6 2 837,529 0.11 7.842 315 67.63
12 156 40,712,562 5.45 6.660 341 78.74
24 2,017 401,284,321 53.69 6.676 347 82.63
36 908 137,299,180 18.37 6.936 326 81.95
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6
Maximum: 36
Non-Zero Weighted Average: 26
21. Lien Position
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Lien Position Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
1st Lien 3,173 690,220,846 92.35 6.577 354 81.01
2nd Lien 977 57,167,136 7.65 10.487 177 98.96
Total: 4,150 747,387,982 100.00 6.876 340 82.39
-----------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
Group 1
Selection Criteria: Group 1
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
1. Summary Statistics
Number of Mortgage Loans: 2,914
Aggregate Principal Balance ($): 428,403,491
Weighted Average Current Mortgage Rate (%): 6.858
Non-Zero Weighted Average Margin (%): 6.028
Non-Zero Weighted Average Maximum Rate (%): 13.098
Weighted Average Stated Original Term (months): 346
Weighted Average Stated Remaining Term (months): 342
Weighted Average Combined Original LTV (%): 82.06
% First Liens: 94.08
% Owner Occupied: 93.25
% Purchase: 42.00
% Full Doc: 61.06
Weighted Average Credit Score: 632
2. Product Types
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed - 15 Year 87 8,185,653 1.91 6.949 177 79.05
Fixed - 20 Year 11 1,862,120 0.43 6.210 237 67.22
Fixed - 30 Year 428 72,308,716 16.88 6.683 357 78.06
Balloon - 15/30 627 24,525,874 5.72 10.751 177 99.57
ARM - 6 Month 2 360,672 0.08 7.487 357 84.96
ARM - 2 Year/6 Month 1,506 268,457,603 62.66 6.721 357 81.72
ARM - 3 Year/6 Month 89 15,182,434 3.54 6.401 357 82.60
Interest Only - ARM 2 Year/6 Month 164 37,520,418 8.76 5.818 357 81.85
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
3. Range of Gross Interest Rates (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Gross Interest Rates Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
4.000 - 4.999 22 4,804,664 1.12 4.889 353 76.22
5.000 - 5.999 513 104,362,860 24.36 5.703 353 79.40
6.000 - 6.999 1,036 185,892,543 43.39 6.550 353 80.48
7.000 - 7.999 541 86,891,961 20.28 7.480 353 83.60
8.000 - 8.999 188 21,138,063 4.93 8.401 335 85.08
9.000 - 9.999 118 6,396,063 1.49 9.517 242 92.96
10.000 - 10.999 288 12,416,119 2.90 10.734 177 99.50
11.000 - 11.999 90 2,766,483 0.65 11.707 177 99.40
12.000 - 12.999 114 3,594,356 0.84 12.742 178 99.62
13.000 - 13.999 4 140,378 0.03 13.306 177 98.84
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Minimum: 4.625
Maximum: 13.490
Weighted Average: 6.858
4. Range of Cut-off Date Principal Balances ($)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Cut-Off Date Mortgage Principal Principal Interest Term Original
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
1 - 25,000 120 2,369,608 0.55 11.312 178 99.00
25,001 - 50,000 413 15,693,888 3.66 10.517 192 96.84
50,001 - 75,000 279 17,059,064 3.98 8.810 253 88.97
75,001 - 100,000 197 17,410,748 4.06 6.971 350 79.23
100,001 - 125,000 290 32,605,741 7.61 6.862 352 80.77
125,001 - 150,000 290 39,905,866 9.32 6.773 349 80.54
150,001 - 175,000 249 40,422,676 9.44 6.696 351 81.54
175,001 - 200,000 266 49,778,051 11.62 6.595 354 79.63
200,001 - 225,000 202 42,985,142 10.03 6.523 355 81.93
225,001 - 250,000 168 39,971,798 9.33 6.531 354 79.89
250,001 - 275,000 135 35,467,078 8.28 6.510 354 82.57
275,001 - 300,000 129 37,136,059 8.67 6.502 355 82.36
300,001 - 325,000 121 37,880,385 8.84 6.260 357 81.08
325,001 - 350,000 35 11,580,730 2.70 6.631 357 84.39
350,001 - 375,000 6 2,187,072 0.51 6.438 357 82.90
375,001 - 400,000 7 2,714,555 0.63 6.831 357 75.83
400,001 - 425,000 2 811,339 0.19 5.681 357 77.49
425,001 - 450,000 1 447,069 0.10 7.875 357 80.00
475,001 - 500,000 4 1,976,620 0.46 6.529 357 79.95
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Minimum: 14,288
Maximum: 498,702
Average: 147,016
5. Stated Original Term (months)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
180 714 32,711,527 7.64 9.800 177 94.43
240 11 1,862,120 0.43 6.210 237 67.22
360 2,189 393,829,843 91.93 6.616 357 81.10
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Minimum: 180
Maximum: 360
Weighted Average: 346
6. Range of Stated Remaining Terms (months)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
169 - 180 714 32,711,527 7.64 9.800 177 94.43
229 - 240 11 1,862,120 0.43 6.210 237 67.22
349 - 360 2,189 393,829,843 91.93 6.616 357 81.10
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Minimum: 169
Maximum: 358
Weighted Average: 342
7. Range of Combined Original LTV Ratios (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Combined Mortgage Principal Principal Interest Term Original
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
<= 10.00 1 59,726 0.01 6.500 355 10.00
10.01 - 15.00 1 59,844 0.01 6.750 357 15.00
15.01 - 20.00 1 73,743 0.02 5.500 357 17.24
20.01 - 25.00 2 99,702 0.02 6.950 356 22.85
25.01 - 30.00 1 129,824 0.03 5.375 356 25.49
30.01 - 35.00 4 629,121 0.15 6.228 357 32.73
35.01 - 40.00 1 249,285 0.06 6.250 357 38.46
40.01 - 45.00 12 1,733,928 0.40 6.739 338 43.00
45.01 - 50.00 20 2,313,950 0.54 6.700 351 48.19
50.01 - 55.00 33 5,229,969 1.22 6.247 345 52.64
55.01 - 60.00 40 6,632,701 1.55 6.640 338 58.28
60.01 - 65.00 52 8,856,265 2.07 6.635 351 62.63
65.01 - 70.00 102 17,635,468 4.12 6.568 345 68.25
70.01 - 75.00 159 26,802,975 6.26 6.686 349 73.90
75.01 - 80.00 1,036 188,899,087 44.09 6.374 354 79.79
80.01 - 85.00 235 39,726,368 9.27 6.951 354 84.29
85.01 - 90.00 320 57,575,013 13.44 6.835 353 89.49
90.01 - 95.00 246 40,186,059 9.38 7.165 346 94.69
95.01 - 100.00 648 31,510,463 7.36 9.851 222 99.94
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Minimum: 10.00
Maximum: 100.00
Weighted Average: 82.06
8. Range of Gross Margins (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Gross Margins Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,153 106,882,364 24.95 7.629 300 82.88
3.501 - 4.000 3 804,828 0.19 5.123 357 78.33
4.001 - 4.500 12 2,491,158 0.58 5.484 357 73.36
4.501 - 5.000 219 44,317,478 10.34 5.942 357 78.87
5.001 - 5.500 275 50,530,198 11.80 5.998 357 78.78
5.501 - 6.000 342 63,495,761 14.82 6.360 357 80.99
6.001 - 6.500 392 70,865,232 16.54 6.769 357 82.20
6.501 - 7.000 282 49,286,314 11.50 7.132 357 85.71
7.001 - 7.500 148 25,227,606 5.89 7.431 357 85.52
7.501 - 8.000 79 12,951,565 3.02 7.960 357 84.52
8.001 - 8.500 4 592,406 0.14 7.972 356 80.34
8.501 - 9.000 4 865,294 0.20 8.231 357 84.05
9.001 - 9.500 1 93,287 0.02 9.490 357 95.00
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.000
Maximum: 9.375
Non-Zero Weighted Average: 6.028
9. Range of Minimum Mortgage Rates (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,153 106,882,364 24.95 7.629 300 82.88
<=5.000 23 5,217,861 1.22 4.903 357 76.58
5.001 - 5.500 127 27,347,034 6.38 5.343 357 78.18
5.501 - 6.000 324 65,193,590 15.22 5.858 357 80.52
6.001 - 6.500 380 70,510,249 16.46 6.327 357 81.16
6.501 - 7.000 385 69,239,389 16.16 6.822 357 83.01
7.001 - 7.500 224 37,922,568 8.85 7.336 357 83.55
7.501 - 8.000 178 28,876,139 6.74 7.809 357 84.51
8.001 - 8.500 81 11,895,324 2.78 8.309 357 83.40
8.501 - 9.000 27 3,889,646 0.91 8.839 356 81.65
9.001 - 9.500 9 1,056,414 0.25 9.370 357 81.71
9.501 - 10.000 3 372,913 0.09 9.665 357 86.76
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.625
Maximum: 9.750
Non-Zero Weighted Average: 6.602
10. Range of Maximum Mortgage Rates (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,153 106,882,364 24.95 7.629 300 82.88
<= 12.500 478 98,562,213 23.01 5.669 357 79.70
12.501 - 13.000 377 69,927,676 16.32 6.328 357 81.12
13.001 - 13.500 382 68,729,177 16.04 6.822 357 82.98
13.501 - 14.000 225 38,035,150 8.88 7.335 357 83.62
14.001 - 14.500 177 28,527,738 6.66 7.808 357 84.54
14.501 - 15.000 82 12,123,472 2.83 8.294 357 83.27
15.001 - 15.500 27 4,031,839 0.94 8.778 356 81.56
15.501 - 16.000 10 1,210,949 0.28 9.194 357 83.40
16.001 - 16.500 3 372,913 0.09 9.665 357 86.76
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 10.875
Maximum: 16.250
Non-Zero Weighted Average: 13.098
11. Initial Periodic Cap (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Initial Mortgage Principal Principal Interest Term Original
Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,153 106,882,364 24.95 7.629 300 82.88
1 16 2,621,898 0.61 7.264 357 80.44
1.5 1,418 253,459,287 59.16 6.694 357 81.68
3 277 56,919,227 13.29 6.095 357 82.31
5.625 1 103,094 0.02 6.125 356 90.00
6.5 48 8,283,588 1.93 7.053 356 81.82
7 1 134,033 0.03 6.490 357 80.00
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 7.000
Non-Zero Weighted Average: 1.894
12. Subsequent Periodic Cap (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Subsequent Mortgage Principal Principal Interest Term Original
Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,153 106,882,364 24.95 7.629 300 82.88
1 1,760 321,296,421 75.00 6.601 357 81.78
1.5 1 224,706 0.05 7.125 357 85.00
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 1.500
Non-Zero Weighted Average: 1.000
13. Next Rate Adjustment Dates
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Next Rate Mortgage Principal Principal Interest Term Original
Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,153 106,882,364 24.95 7.629 300 82.88
Oct-04 2 360,672 0.08 7.487 357 84.96
Aug-05 1 88,859 0.02 7.075 349 80.00
Sep-05 1 115,737 0.03 7.440 350 80.00
Oct-05 2 321,470 0.08 7.034 351 83.52
Nov-05 1 116,309 0.03 7.990 352 90.00
Dec-05 1 119,298 0.03 6.990 353 75.00
Jan-06 10 1,597,867 0.37 7.664 354 81.54
Feb-06 40 8,055,351 1.88 7.101 355 84.98
Mar-06 318 60,169,316 14.05 6.720 356 81.54
Apr-06 1,294 234,964,611 54.85 6.557 357 81.70
May-06 2 429,203 0.10 6.419 358 70.41
Nov-06 1 43,752 0.01 7.875 352 74.58
Jan-07 1 270,968 0.06 8.375 354 80.00
Feb-07 1 160,962 0.04 7.250 355 80.00
Mar-07 19 3,744,967 0.87 6.127 356 81.99
Apr-07 67 10,961,786 2.56 6.427 357 82.94
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
14. Geographic Distribution of Mortgaged Properties
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Geographic Distribution Mortgage Principal Principal Interest Term Original
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
California 1,329 232,431,714 54.26 6.659 343 80.68
Illinois 150 20,593,534 4.81 6.926 344 82.75
Florida 148 18,025,410 4.21 7.258 343 85.29
Texas 155 16,075,856 3.75 7.078 332 82.09
New York 69 15,017,814 3.51 6.782 351 78.15
Virginia 92 12,276,416 2.87 7.157 344 85.21
Arizona 111 11,504,373 2.69 7.141 337 85.55
Washington 95 11,191,378 2.61 7.004 337 82.72
Maryland 78 10,503,663 2.45 7.306 340 82.23
Georgia 80 8,630,010 2.01 7.670 338 84.26
Nevada 56 7,537,323 1.76 6.687 341 85.94
Colorado 56 6,963,991 1.63 7.033 336 83.52
Pennsylvania 62 6,844,658 1.60 7.200 332 84.19
Massachusetts 32 6,321,294 1.48 6.794 344 80.61
Louisiana 53 5,158,591 1.20 7.385 340 85.23
Other 348 39,327,465 9.18 7.118 345 85.53
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 43
15. Occupancy
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Primary 2,711 399,495,511 93.25 6.854 342 82.23
Investment 146 21,693,678 5.06 6.910 349 78.52
Second Home 57 7,214,302 1.68 6.890 337 83.18
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
16. Property Type
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Single Family Residence 2,111 304,088,655 70.98 6.881 342 82.03
Planned Unit Development 379 54,831,601 12.80 6.905 342 83.99
Condo 296 39,704,293 9.27 6.657 339 82.83
2-4 Family 128 29,778,942 6.95 6.797 348 77.77
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
17. Loan Purpose
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Purchase 1,412 179,929,340 42.00 6.999 335 84.15
Refinance - Cashout 961 163,068,889 38.06 6.762 349 80.65
Refinance - Rate Term 541 85,405,262 19.94 6.743 344 80.35
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
18. Documentation Level
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Full Documentation 1,800 261,574,932 61.06 6.779 344 83.24
Stated Documentation 1,004 150,247,469 35.07 6.987 340 79.90
Limited Documentation 110 16,581,089 3.87 6.921 337 83.01
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
19. Credit Score
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
500 - 524 118 19,428,412 4.54 7.618 356 77.74
525 - 549 127 20,834,663 4.86 7.549 355 77.07
550 - 574 210 34,589,711 8.07 6.968 353 81.05
575 - 599 313 44,528,803 10.39 7.050 344 81.32
600 - 624 472 66,730,329 15.58 6.797 342 82.33
625 - 649 581 81,822,770 19.10 6.825 338 83.00
650 - 674 452 63,378,375 14.79 6.776 337 83.13
675 - 699 268 41,710,897 9.74 6.634 341 82.89
700 - 724 169 23,484,693 5.48 6.530 339 83.86
725 - 749 108 18,098,495 4.22 6.385 344 82.68
750 - 774 69 10,265,233 2.40 6.593 336 82.45
775 - 799 23 3,316,875 0.77 6.414 341 81.92
800 + 4 214,236 0.05 7.759 320 84.00
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 805
Weighted Average: 632
20. Prepayment Penalty Term
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
0 722 87,090,195 20.33 7.331 335 83.28
12 86 17,711,647 4.13 6.612 348 79.04
24 1,500 250,133,907 58.39 6.652 350 82.24
36 606 73,467,743 17.15 7.055 322 80.71
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 26
21. Lien Position
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Lien Position Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
1st Lien 2,262 403,058,076 94.08 6.612 353 80.96
2nd Lien 652 25,345,415 5.92 10.766 177 99.56
Total: 2,914 428,403,491 100.00 6.858 342 82.06
-----------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
Group 2
Selection Criteria: Group 2
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
1. Summary Statistics
Number of Mortgage Loans: 1,236
Aggregate Principal Balance ($): 318,984,491
Weighted Average Current Mortgage Rate (%): 6.900
Non-Zero Weighted Average Margin (%): 5.878
Non-Zero Weighted Average Maximum Rate (%): 12.981
Weighted Average Stated Original Term (months): 340
Weighted Average Stated Remaining Term (months): 337
Weighted Average Combined Original LTV (%): 82.83
% First Liens: 90.02
% Owner Occupied: 96.15
% Purchase: 42.92
% Full Doc: 67.78
Weighted Average Credit Score: 639
2. Product Types
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed - 15 Year 21 2,874,174 0.90 7.427 177 77.00
Fixed - 20 Year 3 1,076,302 0.34 6.098 236 81.33
Fixed - 25 Year 2 292,429 0.09 6.899 297 86.18
Fixed - 30 Year 190 41,784,482 13.10 6.782 357 79.21
Balloon - 15/30 319 31,227,682 9.79 10.235 177 98.53
ARM - 2 Year/6 Month 438 146,032,385 45.78 6.782 357 81.28
ARM - 3 Year/6 Month 27 10,631,390 3.33 6.137 357 81.07
ARM - 5 Year/6 Month 80 20,350,490 6.38 6.177 357 81.35
Interest Only - ARM 2 Year/6 Month 100 46,802,091 14.67 5.984 357 81.87
Interest Only - ARM 5 Year/6 Month 56 17,913,068 5.62 5.950 357 82.69
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
3. Range of Gross Interest Rates (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
4.000 - 4.999 15 6,917,419 2.17 4.824 357 78.95
5.000 - 5.999 217 90,406,570 28.34 5.682 354 79.11
6.000 - 6.999 303 116,511,830 36.53 6.454 355 81.12
7.000 - 7.999 233 54,367,766 17.04 7.529 355 84.09
8.000 - 8.999 157 19,867,757 6.23 8.582 308 86.91
9.000 - 9.999 104 10,899,912 3.42 9.561 242 91.74
10.000 - 10.999 183 17,762,923 5.57 10.729 179 98.59
11.000 - 11.999 12 1,126,154 0.35 11.482 192 97.41
12.000 - 12.999 12 1,124,160 0.35 12.769 176 98.83
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Minimum: 4.625
Maximum: 12.875
Weighted Average: 6.900
4. Range of Cut-off Date Principal Balances ($)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Cut-Off Date Mortgage Principal Principal Interest Term Original
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
25,001 - 50,000 29 1,317,778 0.41 8.507 305 82.60
50,001 - 75,000 131 8,769,817 2.75 9.409 248 91.04
75,001 - 100,000 220 19,138,121 6.00 9.404 240 93.27
100,001 - 125,000 104 11,702,022 3.67 8.746 275 90.58
125,001 - 150,000 85 11,756,708 3.69 8.898 266 90.85
150,001 - 175,000 50 8,090,011 2.54 7.789 313 86.00
175,001 - 200,000 41 7,825,384 2.45 7.811 325 84.47
200,001 - 225,000 20 4,250,887 1.33 7.157 357 78.99
225,001 - 250,000 19 4,500,149 1.41 6.866 347 81.61
250,001 - 275,000 17 4,476,137 1.40 6.724 357 79.62
275,001 - 300,000 12 3,444,451 1.08 6.628 357 83.54
300,001 - 325,000 9 2,813,056 0.88 7.502 357 85.11
325,001 - 350,000 67 22,839,042 7.16 6.344 357 79.72
350,001 - 375,000 62 22,427,090 7.03 6.518 357 82.89
375,001 - 400,000 76 29,568,595 9.27 6.422 357 82.47
400,001 - 425,000 47 19,401,867 6.08 6.154 357 84.01
425,001 - 450,000 40 17,533,538 5.50 6.208 357 80.21
450,001 - 475,000 23 10,673,973 3.35 6.167 351 77.67
475,001 - 500,000 40 19,682,955 6.17 6.311 357 78.79
500,001 - 750,000 132 78,852,401 24.72 6.313 353 80.62
750,001 - 1,000,000 12 9,920,507 3.11 6.428 357 77.11
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Minimum: 38,152
Maximum: 922,353
Average: 258,078
5. Stated Original Term (months)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Stated Original Mortgage Principal Principal Interest Term Original
Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
180 340 34,101,856 10.69 9.998 177 96.71
240 3 1,076,302 0.34 6.098 236 81.33
300 2 292,429 0.09 6.899 297 86.18
360 891 283,513,904 88.88 6.530 357 81.16
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Minimum: 180
Maximum: 360
Weighted Average: 340
6. Range of Stated Remaining Terms (months)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Stated Mortgage Principal Principal Interest Term Original
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
169 - 180 340 34,101,856 10.69 9.998 177 96.71
229 - 240 3 1,076,302 0.34 6.098 236 81.33
289 - 300 2 292,429 0.09 6.899 297 86.18
349 - 360 891 283,513,904 88.88 6.530 357 81.16
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Minimum: 175
Maximum: 358
Weighted Average: 337
7. Range of Combined Original LTV Ratios (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Combined Mortgage Principal Principal Interest Term Original
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
25.01 - 30.00 1 59,859 0.02 7.250 357 26.67
30.01 - 35.00 2 820,520 0.26 6.915 357 33.74
40.01 - 45.00 4 1,043,206 0.33 5.873 356 42.95
45.01 - 50.00 4 1,250,135 0.39 6.951 349 47.48
50.01 - 55.00 8 2,387,394 0.75 6.024 294 53.10
55.01 - 60.00 10 2,848,838 0.89 6.621 357 57.56
60.01 - 65.00 22 8,403,165 2.63 6.119 353 63.29
65.01 - 70.00 31 11,266,861 3.53 6.383 356 68.64
70.01 - 75.00 68 22,986,690 7.21 6.480 354 73.90
75.01 - 80.00 397 131,616,189 41.26 6.339 356 79.65
80.01 - 85.00 127 32,914,165 10.32 6.915 351 84.11
85.01 - 90.00 142 40,095,555 12.57 6.912 347 89.62
90.01 - 95.00 124 32,519,221 10.19 7.090 346 94.49
95.01 - 100.00 296 30,772,694 9.65 9.910 197 99.92
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Minimum: 26.67
Maximum: 100.00
Weighted Average: 82.83
8. Range of Gross Margins (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 535 77,255,068 24.22 8.192 275 86.99
<= 3.500 1 373,250 0.12 4.625 356 65.00
3.501 - 4.000 3 1,387,382 0.43 5.120 356 71.47
4.001 - 4.500 8 3,890,059 1.22 5.388 357 73.06
4.501 - 5.000 90 38,836,873 12.18 5.780 357 79.28
5.001 - 5.500 112 46,409,216 14.55 6.083 357 78.96
5.501 - 6.000 145 55,126,350 17.28 6.347 357 81.33
6.001 - 6.500 141 48,043,374 15.06 6.733 357 82.71
6.501 - 7.000 101 25,312,772 7.94 7.256 356 85.84
7.001 - 7.500 49 12,477,165 3.91 7.383 357 86.31
7.501 - 8.000 43 8,301,779 2.60 8.220 356 86.76
8.001 - 8.500 5 883,960 0.28 8.877 357 82.48
8.501 - 9.000 3 687,244 0.22 9.139 356 70.71
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 3.125
Maximum: 8.750
Non-Zero Weighted Average: 5.878
9. Range of Minimum Mortgage Rates (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 535 77,255,068 24.22 8.192 275 86.99
<=5.000 17 7,595,607 2.38 4.840 357 79.49
5.001 - 5.500 69 30,745,102 9.64 5.375 357 78.54
5.501 - 6.000 130 53,448,339 16.76 5.885 357 80.25
6.001 - 6.500 137 56,681,091 17.77 6.311 357 81.75
6.501 - 7.000 90 35,536,369 11.14 6.840 357 82.13
7.001 - 7.500 92 22,854,819 7.16 7.319 356 85.06
7.501 - 8.000 89 22,919,339 7.19 7.795 357 83.32
8.001 - 8.500 25 4,699,903 1.47 8.347 357 83.18
8.501 - 9.000 38 5,564,212 1.74 8.882 356 80.81
9.001 - 9.500 10 1,070,595 0.34 9.252 356 86.80
9.501 - 10.000 3 566,504 0.18 9.980 356 85.66
10.001 -10.500 1 47,543 0.01 10.500 357 85.00
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.625
Maximum: 10.500
Non-Zero Weighted Average: 6.487
10. Range of Maximum Mortgage Rates (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Mortgage Principal Principal Interest Term Original
Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 535 77,255,068 24.22 8.192 275 86.99
<= 12.500 215 91,583,154 28.71 5.630 357 79.58
12.501 - 13.000 138 56,886,984 17.83 6.306 357 81.79
13.001 - 13.500 90 35,536,369 11.14 6.840 357 82.13
13.501 - 14.000 90 22,042,462 6.91 7.317 357 85.06
14.001 - 14.500 91 23,731,697 7.44 7.781 357 83.37
14.501 - 15.000 25 4,699,903 1.47 8.347 357 83.18
15.001 - 15.500 38 5,564,212 1.74 8.882 356 80.81
15.501 - 16.000 10 1,070,595 0.34 9.252 356 86.80
16.001 - 16.500 3 566,504 0.18 9.980 356 85.66
16.501 - 17.000 1 47,543 0.01 10.500 357 85.00
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 10.250
Maximum: 17.000
Non-Zero Weighted Average: 12.981
11. Initial Periodic Cap (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 535 77,255,068 24.22 8.192 275 86.99
1 6 880,076 0.28 7.798 357 84.67
1.5 415 138,303,905 43.36 6.759 357 81.36
2 1 545,896 0.17 5.375 355 91.65
3 214 80,827,831 25.34 6.110 357 81.43
5 56 17,940,406 5.62 5.941 357 82.77
6 1 391,268 0.12 5.500 356 56.14
6.5 8 2,840,041 0.89 7.363 356 82.30
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 6.500
Non-Zero Weighted Average: 2.327
12. Subsequent Periodic Cap (%)
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 535 77,255,068 24.22 8.192 275 86.99
1 700 241,242,652 75.63 6.488 357 81.49
1.5 1 486,770 0.15 5.950 356 85.00
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 1.500
Non-Zero Weighted Average: 1.001
13. Next Rate Adjustment Dates
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Next Rate Mortgage Principal Principal Interest Term Original
Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed Rate Loans 535 77,255,068 24.22 8.192 275 86.99
Sep-05 1 339,325 0.11 7.375 350 90.00
Dec-05 3 269,598 0.08 8.160 353 79.31
Jan-06 6 1,562,213 0.49 7.884 354 82.01
Feb-06 19 8,821,318 2.77 6.956 355 81.24
Mar-06 108 39,324,892 12.33 6.665 356 81.51
Apr-06 400 142,410,961 44.65 6.525 357 81.37
May-06 1 106,169 0.03 8.250 358 95.00
Feb-07 2 784,972 0.25 5.984 355 87.70
Mar-07 7 2,465,637 0.77 6.217 356 81.17
Apr-07 18 7,380,780 2.31 6.126 357 80.34
Mar-09 28 8,091,877 2.54 5.827 356 80.25
Apr-09 108 30,171,680 9.46 6.136 357 82.44
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
14. Geographic Distribution of Mortgaged Properties
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Geographic Distribution Mortgage Principal Principal Interest Term Original
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
California 706 213,929,400 67.07 6.727 333 83.30
Texas 70 12,842,450 4.03 7.152 346 78.04
New York 38 11,915,037 3.74 6.773 329 76.93
Illinois 43 8,959,954 2.81 6.974 349 85.45
Florida 47 8,694,238 2.73 7.184 344 83.19
Maryland 28 6,949,968 2.18 7.213 351 83.19
Washington 29 6,369,798 2.00 6.979 329 84.19
Michigan 18 4,427,533 1.39 8.110 357 83.20
Arizona 27 4,400,898 1.38 7.171 344 84.85
Virginia 27 4,199,041 1.32 8.074 340 85.95
Connecticut 14 4,184,426 1.31 6.842 348 75.47
Georgia 23 4,030,033 1.26 7.987 350 86.48
Massachusetts 10 3,442,352 1.08 6.514 352 77.64
New Jersey 9 3,030,850 0.95 6.858 352 84.03
Pennsylvania 23 2,912,326 0.91 7.837 342 83.15
Other 124 18,696,187 5.86 7.578 350 82.76
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 41
15. Occupancy
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Primary 1,182 306,699,721 96.15 6.894 337 82.99
Investment 36 6,491,458 2.04 7.202 351 81.15
Second Home 18 5,793,313 1.82 6.881 327 75.89
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
16. Property Type
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Single Family Residence 905 230,302,460 72.20 6.899 339 82.89
Planned Unit Development 195 56,012,595 17.56 6.844 337 82.01
Condo 92 22,142,409 6.94 6.897 327 83.60
2-4 Family 44 10,527,027 3.30 7.236 320 84.19
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
17. Loan Purpose
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Purchase 579 136,904,404 42.92 7.083 325 84.65
Refinance - Cashout 432 124,675,876 39.09 6.773 345 81.68
Refinance - Rate Term 225 57,404,211 18.00 6.739 346 80.96
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
18. Documentation Level
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
Full Documentation 876 216,217,593 67.78 6.820 340 83.77
Stated Documentation 314 87,871,202 27.55 7.108 331 80.58
Limited Documentation 46 14,895,697 4.67 6.827 329 82.37
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
19. Credit Score
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
500 - 524 64 12,095,051 3.79 7.982 356 80.62
525 - 549 70 13,334,357 4.18 7.795 354 80.09
550 - 574 92 20,216,369 6.34 7.368 353 81.54
575 - 599 116 26,637,555 8.35 7.230 338 80.96
600 - 624 186 54,038,418 16.94 6.748 341 83.12
625 - 649 209 59,764,722 18.74 6.853 337 82.71
650 - 674 196 53,731,666 16.84 6.678 332 83.59
675 - 699 118 31,183,146 9.78 6.759 327 84.31
700 - 724 67 17,427,626 5.46 6.486 330 84.39
725 - 749 66 16,297,419 5.11 6.466 326 82.90
750 - 774 39 10,334,808 3.24 6.788 329 84.67
775 - 799 12 3,606,555 1.13 6.815 315 80.91
800 + 1 316,800 0.10 6.375 357 90.00
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 806
Weighted Average: 639
20. Prepayment Penalty Term
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Prepayment Penalty Mortgage Principal Principal Interest Term Original
Term Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
0 345 80,164,195 25.13 7.376 334 82.94
6 2 837,529 0.26 7.842 315 67.63
12 70 23,000,915 7.21 6.697 336 78.51
24 517 151,150,414 47.38 6.716 342 83.27
36 302 63,831,437 20.01 6.799 330 83.38
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6
Maximum: 36
Non-Zero Weighted Average: 26
21. Lien Position
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Lien Position Loans Balance ($) Balance Rate (%) (months) LTV
-----------------------------------------------------------------------------------------------------------
1st Lien 911 287,162,770 90.02 6.527 355 81.09
2nd Lien 325 31,821,721 9.98 10.264 177 98.48
Total: 1,236 318,984,491 100.00 6.900 337 82.83
-----------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
---------------------------------------------------------
A-2 Cashcap B-3 Cashcap Assumptions
FRM 50% PPC
--------------------------------------------------------- ARM 75% PPC
0 7/25/2004 10.36 10.16
1 8/25/2004 9.41 9.25
2 9/25/2004 9.6 9.46
3 10/25/2004 9.38 9.26
4 11/25/2004 9.57 9.47
5 12/25/2004 9.34 9.27
6 1/25/2005 9.32 9.27
7 2/25/2005 9.98 9.93
8 3/25/2005 9.28 9.28
9 4/25/2005 9.47 9.48
10 5/25/2005 9.23 9.28
11 6/25/2005 9.42 9.49
12 7/25/2005 9.18 9.28
13 8/25/2005 9.16 9.29
14 9/25/2005 9.35 9.49
15 10/25/2005 9.11 9.29
16 11/25/2005 9.3 9.5
17 12/25/2005 9.06 9.29
18 1/25/2006 9.03 9.3
19 2/25/2006 9.7 9.97
20 3/25/2006 9 9.31
21 4/25/2006 9.79 9.96
22 5/25/2006 9.51 9.71
23 6/25/2006 9.75 9.96
24 7/25/2006 9.48 9.71
25 8/25/2006 9.46 9.72
26 9/25/2006 9.71 9.97
27 10/25/2006 9.77 9.97
28 11/25/2006 10.03 10.24
29 12/25/2006 9.73 9.97
30 1/25/2007 9.72 9.97
31 2/25/2007 10.6 10.82
32 3/25/2007 9.73 9.99
33 4/25/2007 10.34 10.44
34 5/25/2007 10.03 10.15
35 6/25/2007 10.32 10.44
36 7/25/2007 9.07 10.15
37 8/25/2007 9.08 9.9
38 9/25/2007 9.41 10.17
39 10/25/2007 9.73 10.14
40 11/25/2007 10.07 10.43
41 12/25/2007 9.76 10.09
42 1/25/2008 9.77 10.07
43 2/25/2008 10.59 10.69
44 3/25/2008 11.09 10.04
45 4/25/2008 12.02 10.48
46 5/25/2008 11.62 10.15
47 6/25/2008 12.01 10.46
48 7/25/2008 11.61 10.13
49 8/25/2008 11.61 10.12
50 9/25/2008 12.01 10.11
51 10/25/2008 12.02 10.2
52 11/25/2008 12.41 10.53
53 12/25/2008 12 10.19
54 1/25/2009 12 10.18
55 2/25/2009 13.28 11.27
56 3/25/2009 11.99 10.17
57 4/25/2009 12.73 10.7
58 5/25/2009 12.32 10.35
59 6/25/2009 12.72 10.69
60 7/25/2009 12.3 10.34
61 8/25/2009 12.3 10.33
62 9/25/2009 12.7 10.67
63 10/25/2009 12.36 10.36
64 11/25/2009 12.77 10.7
65 12/25/2009 12.35 10.35
66 1/25/2010 12.34 10.34
67 2/25/2010 13.66 11.44
68 3/25/2010 12.33 10.33
69 4/25/2010 12.79 10.7
70 5/25/2010 12.37 10.35
71 6/25/2010 12.77 10.69
72 7/25/2010 12.36 10.33
73 8/25/2010 12.35 10.33
74 9/25/2010 12.75 10.66
75 10/25/2010 12.37 10.34
76 11/25/2010 12.78 10.67
77 12/25/2010 12.36 10.32
78 1/25/2011 12.35 10.32
79 2/25/2011 13.66 11.41
80 3/25/2011 12.34 10.3
81 4/25/2011 12.75 10.65
82 5/25/2011 12.34 10.3
83 6/25/2011 12.74 10.63
84 7/25/2011 12.32 10.29
85 8/25/2011 12.32 10.28
86 9/25/2011 12.72 10.61
87 10/25/2011 12.3 10.27
88 11/25/2011 12.71 10.6
89 12/25/2011 12.29 10.25
90 1/25/2012 12.28 10.25
91 2/25/2012 13.12 10.94
92 3/25/2012 12.27 10.23
93 4/25/2012 12.67 10.57
94 5/25/2012 12.25 10.22
95 6/25/2012 12.66 10.55
96 7/25/2012 12.24 10.21
97 8/25/2012 12.23 10.2
98 9/25/2012 12.63 10.53
99 10/25/2012 12.22 10.19
100 11/25/2012 12.62 10.52
101 12/25/2012 12.21 10.17
102 1/25/2013 12.2 10.17
103 2/25/2013 13.5 11.25
104 3/25/2013 12.19 10.15
105 4/25/2013 12.59 10.48
106 5/25/2013 12.17 10.14
107 6/25/2013 12.57 10.47
108 7/25/2013 12.16 10.13
109 8/25/2013 12.15 10.12
110 9/25/2013 12.55 10.45
111 10/25/2013 12.14 10.11
112 11/25/2013 12.54 10.44
113 12/25/2013 12.13 10.09
114 1/25/2014 12.12 10.09
115 2/25/2014 13.41 11.16
116 3/25/2014 12.11 10.07
117 4/25/2014 12.5 10.4
118 5/25/2014 12.09 10.06
119 6/25/2014 12.49 10.39
120 7/25/2014 12.08 10.05
121 8/25/2014 12.08 10.04
122 9/25/2014 12.47 10.37
123 10/25/2014 12.06 10.03
124 11/25/2014 12.46 10.36
125 12/25/2014 12.05 10.02
126 1/25/2015 12.04 10.01
127 2/25/2015 13.33 11.07
128 3/25/2015 12.03 10
129 4/25/2015 12.43 10.32
130 5/25/2015 12.02 9.98
131 6/25/2015 12.41 10.31
132 7/25/2015 12.01 9.97
133 8/25/2015 12 9.96
134 9/25/2015 12.4 10.29
135 10/25/2015 11.04 9.95
136 11/25/2015 11.06 10.28
137 12/25/2015 10.7 9.94
138 1/25/2016 10.71 9.93
139 2/25/2016 11.45 10.61
140 3/25/2016 10.72 9.92
141 4/25/2016 11.08 10.24
142 5/25/2016 10.73 9.91
143 6/25/2016 11.09 10.23
144 7/25/2016 10.74 9.9
145 8/25/2016 10.75 9.89
146 9/25/2016 11.11 10.21
147 10/25/2016 10.76 9.88
148 11/25/2016 11.13 10.2
149 12/25/2016 10.78 9.86
150 1/25/2017 10.78 9.86
151 2/25/2017 11.95 10.91
152 3/25/2017 10.8 9.85
153 4/25/2017 11.17 10.17
154 5/25/2017 10.81 9.83
155 6/25/2017 11.18 10.16
156 7/25/2017 10.83 9.82
157 8/25/2017 10.84 9.82
158 9/25/2017 11.21 10.14
159 10/25/2017 10.86 9.8
160 11/25/2017 11.23 10.12
161 12/25/2017 10.88 9.79
162 1/25/2018 10.89 9.79
163 2/25/2018 12.07 10.83
164 3/25/2018 10.91 9.77
165 4/25/2018 11.29
166 5/25/2018 10.94
167 6/25/2018 11.31
168 7/25/2018 10.96
169 8/25/2018 10.97
170 9/25/2018 11.35
171 10/25/2018 11
172 11/25/2018 11.38
173 12/25/2018 11.03
174 1/25/2019 11.04
175 2/25/2019 12.24
176 3/25/2019 11.07
177 4/25/2019 11.81
178 5/25/2019 11.45
179 6/25/2019 11.85
180 7/25/2019 11.49
181 8/25/2019 11.51
182 9/25/2019 11.92
183 10/25/2019 11.55
184 11/25/2019 11.96
185 12/25/2019 11.6
186 1/25/2020 11.62
187 2/25/2020 12.44
188 3/25/2020 11.67
189 4/25/2020 12.08
190 5/25/2020 11.71
191 6/25/2020 12.13
192 7/25/2020 11.77
193 8/25/2020 11.79
194 9/25/2020 12.21
195 10/25/2020 11.85
196 11/25/2020 12.27
197 12/25/2020 11.91
198 1/25/2021 11.94
199 2/25/2021 13.25
200 3/25/2021 12
201 4/25/2021 12.43
202 5/25/2021 12.06
203 6/25/2021 12.5
204 7/25/2021 12.13
205 8/25/2021 12.17
206 9/25/2021 12.61
207 10/25/2021 12.24
208 11/25/2021 12.69
209 12/25/2021 12.32
210 1/25/2022 12.35
211 2/25/2022 13.72
212 3/25/2022 12.44
213 4/25/2022 12.89
214 5/25/2022 12.52
215 6/25/2022 12.99
216 7/25/2022 12.61
217 8/25/2022 12.66
218 9/25/2022 13.13
219 10/25/2022 12.75
220 11/25/2022 13.23
221 12/25/2022 12.85
222 1/25/2023 12.91
223 2/25/2023 14.35
224 3/25/2023 13.01
225 4/25/2023 13.51
226 5/25/2023 13.13
227 6/25/2023 13.63
228 7/25/2023 13.25
229 8/25/2023 13.31
230 9/25/2023 13.82
231 10/25/2023 13.43
232 11/25/2023 13.95
233 12/25/2023 13.57
234 1/25/2024 13.64
235 2/25/2024 14.65
236 3/25/2024 13.78
237 4/25/2024 14.31
238 5/25/2024 13.93
239 6/25/2024 14.47
240 7/25/2024 14.08
241 8/25/2024 14.16
242 9/25/2024 14.72
243 10/25/2024 14.32
244 11/25/2024 14.89
245 12/25/2024 14.5
246 1/25/2025 14.59
247 2/25/2025 16.25
248 3/25/2025 14.77
249 4/25/2025 15.37
250 5/25/2025 14.97
251 6/25/2025 15.57
252 7/25/2025 15.17
253 8/25/2025 15.28
254 9/25/2025 15.9
255 10/25/2025 15.58
256 11/25/2025 16.32
257 12/25/2025 16.02
258 1/25/2026 16.25
259 2/25/2026 18.27
260 3/25/2026 16.77
261 4/25/2026 17.62
262 5/25/2026 17.35
263 6/25/2026 18.26
264 7/25/2026 18.02
265 8/25/2026 18.38
266 9/25/2026 19.4
267 10/25/2026 19.2
268 11/25/2026 20.31
269 12/25/2026 20.15
270 1/25/2027 20.69
271 2/25/2027 23.55
272 3/25/2027 21.9
273 4/25/2027 23.35
274 5/25/2027 23.37
275 6/25/2027 25.02
276 7/25/2027 25.15
277 8/25/2027 26.2
278 9/25/2027 28.29
279 10/25/2027 28.71
280 11/25/2027 31.24
281 12/25/2027 31.99
282 1/25/2028 34.02
283 2/25/2028 38.93
284 3/25/2028 39.27
285 4/25/2028 44.17
286 5/25/2028 47.04
287 6/25/2028 54.26
288 7/25/2028 59.69
289 8/25/2028 69.53
290 9/25/2028 86.65
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
----------------------------------------------------------------------------------------------------------
Forward
----------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
0 7/25/2004 747,387,981.63 0.00 0 0 0.00%
1 8/25/2004 747,387,981.63 2,945,435.26 1.34 1.87 4.73%
2 9/25/2004 732,497,187.50 2,580,811.10 1.5973 2.1038 4.23%
3 10/25/2004 717,695,656.08 2,433,276.52 1.832 2.296 4.07%
4 11/25/2004 702,976,891.91 2,244,702.34 1.9919 2.4673 3.83%
5 12/25/2004 688,335,603.07 2,126,089.41 2.2045 2.6493 3.71%
6 1/25/2005 673,767,566.84 1,930,702.88 2.382 2.8147 3.44%
7 2/25/2005 659,269,770.10 1,793,833.76 2.5538 2.9817 3.27%
8 3/25/2005 644,840,354.55 1,823,866.07 2.7428 3.1321 3.39%
9 4/25/2005 630,478,603.41 1,538,455.74 2.8865 3.2652 2.93%
10 5/25/2005 616,184,921.85 1,485,558.22 3.036 3.4133 2.89%
11 6/25/2005 601,960,844.82 1,306,884.51 3.2044 3.5332 2.61%
12 7/25/2005 587,808,900.85 1,271,896.71 3.3364 3.655 2.60%
13 8/25/2005 573,745,912.96 1,133,687.47 3.4321 3.7661 2.37%
14 9/25/2005 560,016,746.01 1,029,766.01 3.5931 3.878 2.21%
15 10/25/2005 546,613,515.90 1,012,854.70 3.7157 3.9811 2.22%
16 11/25/2005 533,528,524.14 904,923.16 3.7657 4.0683 2.04%
17 12/25/2005 520,754,278.84 887,193.89 3.9075 4.1596 2.04%
18 1/25/2006 508,283,413.29 760,550.15 4.0158 4.2407 1.80%
19 2/25/2006 496,108,760.10 717,408.18 4.0779 4.3207 1.74%
20 3/25/2006 484,223,320.62 832,343.47 4.2043 4.3863 2.06%
21 4/25/2006 472,620,469.78 620,059.67 4.2583 4.4421 1.57%
22 5/25/2006 461,293,866.90 1,101,694.36 4.2869 4.5088 2.87%
23 6/25/2006 450,299,554.67 974,343.04 4.3949 4.5633 2.60%
24 7/25/2006 439,565,154.33 983,473.00 4.4677 4.6178 2.68%
25 8/25/2006 429,084,552.16 903,209.98 4.4588 4.6655 2.53%
26 9/25/2006 418,851,777.80 846,305.36 4.5595 4.7195 2.42%
27 10/25/2006 408,861,100.89 864,049.46 4.6201 4.7685 2.54%
28 11/25/2006 399,106,964.02 997,544.68 4.6167 4.8126 3.00%
29 12/25/2006 389,610,678.17 999,244.16 4.7078 4.8612 3.08%
30 1/25/2007 380,338,484.63 902,381.54 4.7624 4.9039 2.85%
31 2/25/2007 371,285,121.46 877,540.79 4.7694 4.9488 2.84%
32 3/25/2007 362,445,449.92 993,161.53 4.8498 4.9916 3.29%
33 4/25/2007 353,814,562.99 803,072.08 4.8984 5.0292 2.72%
34 5/25/2007 345,388,502.67 1,029,721.80 4.8933 5.0725 3.58%
35 6/25/2007 337,186,253.21 934,076.18 4.9641 5.1114 3.32%
36 7/25/2007 329,177,168.37 947,552.54 5.0136 5.1518 3.45%
37 8/25/2007 321,356,721.14 3,392,598.56 5.0176 5.1879 12.67%
38 9/25/2007 313,720,490.26 1,144,787.83 5.0888 5.2289 4.38%
39 10/25/2007 306,264,174.92 1,162,083.64 5.1281 5.2676 4.55%
40 11/25/2007 298,983,862.45 1,223,949.10 5.1288 5.3012 4.91%
41 12/25/2007 291,890,586.38 1,225,649.85 5.1952 5.3375 5.04%
42 1/25/2008 284,964,171.16 1,143,107.28 5.2355 5.3697 4.81%
43 2/25/2008 278,200,710.41 1,112,081.26 5.2521 5.4032 4.80%
44 3/25/2008 271,596,388.98 1,158,857.03 5.3139 5.4338 5.12%
45 4/25/2008 265,147,493.54 1,041,676.80 5.3416 5.462 4.71%
46 5/25/2008 258,850,550.96 1,097,472.15 5.3356 5.4938 5.09%
47 6/25/2008 252,705,633.40 1,019,465.10 5.3896 5.5241 4.84%
48 7/25/2008 246,705,294.46 1,028,560.94 5.4232 5.5562 5.00%
49 8/25/2008 240,846,149.52 963,257.64 5.4309 5.5842 4.80%
50 9/25/2008 235,124,893.00 929,590.35 5.4866 5.6146 4.74%
51 10/25/2008 229,538,306.24 940,963.25 5.5132 5.6423 4.92%
52 11/25/2008 224,083,295.60 901,916.57 5.5195 5.6667 4.83%
53 12/25/2008 218,758,755.97 907,418.84 5.5723 5.6922 4.98%
54 1/25/2009 213,559,546.33 845,994.68 5.5957 5.7144 4.75%
55 2/25/2009 208,482,732.24 824,372.16 5.6041 5.7378 4.74%
56 3/25/2009 203,525,447.78 900,008.69 5.6519 5.758 5.31%
57 4/25/2009 198,684,900.71 775,080.45 5.6695 5.7759 4.68%
58 5/25/2009 193,958,375.68 836,054.49 5.6632 5.7982 5.17%
59 6/25/2009 189,331,537.70 777,207.53 5.7064 5.8092 4.93%
60 7/25/2009 184,813,837.09 787,397.03 5.7248 5.8203 5.11%
61 8/25/2009 180,402,715.75 738,147.18 5.7216 5.8338 4.91%
62 9/25/2009 176,095,675.34 714,019.23 5.7662 5.8695 4.87%
63 10/25/2009 171,890,280.54 724,616.32 5.7813 5.906 5.06%
64 11/25/2009 167,784,165.21 704,259.95 5.7302 5.9441 5.04%
65 12/25/2009 163,777,393.99 710,353.76 5.7689 6.0045 5.20%
66 1/25/2010 159,865,175.67 660,404.27 5.8097 6.0609 4.96%
67 2/25/2010 156,045,293.75 629,873.70 5.9238 6.1141 4.84%
68 3/25/2010 152,315,583.53 688,503.24 5.9848 6.1095 5.42%
69 4/25/2010 148,673,939.58 588,288.06 6.0219 6.0916 4.75%
70 5/25/2010 145,118,315.14 607,903.05 6.0686 6.0698 5.03%
71 6/25/2010 141,648,327.56 563,202.57 6.1078 6.0473 4.77%
72 7/25/2010 138,260,274.27 574,627.13 6.1088 6.0234 4.99%
73 8/25/2010 134,952,234.14 559,495.64 5.901 6.004 4.98%
74 9/25/2010 131,722,330.94 549,150.25 5.8723 6.0285 5.00%
75 10/25/2010 128,568,729.63 555,248.70 5.9032 6.0616 5.18%
76 11/25/2010 125,489,639.47 519,794.84 5.9341 6.0929 4.97%
77 12/25/2010 122,483,721.97 525,600.10 5.9682 6.1286 5.15%
78 1/25/2011 119,548,847.54 488,642.06 5.9996 6.1609 4.90%
79 2/25/2011 116,683,349.64 473,347.15 6.0364 6.1905 4.87%
80 3/25/2011 113,885,600.67 520,502.00 6.0691 6.1847 5.48%
81 4/25/2011 111,154,015.55 445,428.69 6.097 6.1714 4.81%
82 5/25/2011 108,487,049.81 455,167.41 6.1333 6.1558 5.03%
83 6/25/2011 105,883,682.34 422,326.38 6.1633 6.1393 4.79%
84 7/25/2011 103,341,902.51 430,941.34 6.1645 6.1222 5.00%
85 8/25/2011 100,860,264.89 415,299.72 6.0062 6.1072 4.94%
86 9/25/2011 98,437,357.85 406,944.75 5.9857 6.1174 4.96%
87 10/25/2011 96,071,800.99 412,290.58 6.0107 6.1327 5.15%
88 11/25/2011 93,762,245.68 383,177.08 6.0354 6.1459 4.90%
89 12/25/2011 91,507,312.93 388,353.69 6.0627 6.1616 5.09%
90 1/25/2012 89,305,789.59 285,211.45 6.0807 6.175 3.83%
91 2/25/2012 87,156,421.35 266,819.22 6.0603 6.1889 3.67%
92 3/25/2012 85,057,983.22 290,719.10 6.0742 6.1942 4.10%
93 4/25/2012 83,009,280.62 253,141.81 6.0955 6.1978 3.66%
94 5/25/2012 81,009,149.29 263,205.29 6.1224 6.2022 3.90%
95 6/25/2012 79,056,800.30 241,801.33 6.1453 6.2045 3.67%
96 7/25/2012 77,150,745.53 249,928.23 6.1563 6.208 3.89%
97 8/25/2012 75,289,897.13 234,816.43 6.0942 6.2131 3.74%
98 9/25/2012 73,473,192.69 203,389.56 6.0959 6.2457 3.32%
99 10/25/2012 71,699,595.72 211,741.61 6.1177 6.2824 3.54%
100 11/25/2012 69,968,098.67 197,593.61 6.1385 6.3172 3.39%
101 12/25/2012 68,278,351.02 205,362.92 6.1623 6.3572 3.61%
102 1/25/2013 66,628,712.33 186,941.52 6.1919 6.3939 3.37%
103 2/25/2013 65,018,239.65 178,805.56 6.2766 6.4298 3.30%
104 3/25/2013 63,446,012.08 210,238.60 6.3141 6.4377 3.98%
105 4/25/2013 61,911,133.71 169,169.15 6.3345 6.4392 3.28%
106 5/25/2013 60,412,733.59 180,640.28 6.3616 6.4419 3.59%
107 6/25/2013 58,950,559.42 164,679.33 6.3836 6.4422 3.35%
108 7/25/2013 57,523,130.00 172,261.91 6.3929 6.4435 3.59%
109 8/25/2013 56,129,628.07 161,176.22 6.3249 6.446 3.45%
110 9/25/2013 54,769,255.47 158,059.77 6.3244 6.4713 3.46%
111 10/25/2013 53,441,233.28 164,277.27 6.3454 6.4998 3.69%
112 11/25/2013 52,144,803.43 152,760.37 6.3655 6.5266 3.52%
113 12/25/2013 50,879,587.28 158,570.90 6.3884 6.5577 3.74%
114 1/25/2014 49,644,474.21 145,016.14 6.4128 6.5857 3.51%
115 2/25/2014 48,438,755.68 140,201.54 6.4656 6.6113 3.47%
116 3/25/2014 47,261,739.74 163,717.04 6.4942 6.6029 4.16%
117 4/25/2014 46,112,752.48 133,267.70 6.5128 6.588 3.47%
118 5/25/2014 44,991,136.84 139,667.26 6.5382 6.5714 3.73%
119 6/25/2014 43,896,416.13 127,898.66 6.5582 6.554 3.50%
120 7/25/2014 42,827,780.59 133,863.17 6.5545 6.5365 3.75%
121 8/25/2014 41,784,615.77 127,744.95 6.4208 6.5223 3.67%
122 9/25/2014 40,766,321.62 126,006.66 6.401 6.5396 3.71%
123 10/25/2014 39,772,311.30 130,536.28 6.4184 6.5625 3.94%
124 11/25/2014 38,802,012.11 120,640.56 6.4356 6.584 3.73%
125 12/25/2014 37,854,909.74 124,881.36 6.4553 6.6093 3.96%
126 1/25/2015 36,930,413.21 115,124.13 6.4754 6.6319 3.74%
127 2/25/2015 36,027,989.54 111,933.92 6.5152 6.653 3.73%
128 3/25/2015 35,147,118.24 128,911.75 6.5381 6.648 4.40%
129 4/25/2015 34,287,292.23 106,990.79 6.5538 6.6381 3.74%
130 5/25/2015 33,448,017.14 111,578.68 6.5757 6.6277 4.00%
131 6/25/2015 32,628,938.36 103,118.70 6.5927 6.6159 3.79%
132 7/25/2015 31,829,443.06 107,220.46 6.5918 6.6045 4.04%
133 8/25/2015 31,049,069.09 102,016.66 6.4898 6.5948 3.94%
134 9/25/2015 30,287,365.17 100,553.30 6.4765 6.6073 3.98%
135 10/25/2015 29,543,890.15 103,773.62 6.492 6.6239 4.22%
136 11/25/2015 28,818,213.49 96,594.56 6.5072 6.6385 4.02%
137 12/25/2015 28,109,944.82 99,559.56 6.5245 6.6563 4.25%
138 1/25/2016 27,418,643.03 92,592.67 6.5396 6.6715 4.05%
139 2/25/2016 26,743,907.32 90,666.62 6.5565 6.6833 4.07%
140 3/25/2016 26,085,346.28 98,055.33 6.5729 6.6611 4.51%
141 4/25/2016 25,442,578.16 87,060.13 6.5866 6.6323 4.11%
142 5/25/2016 24,815,229.47 89,116.78 6.6049 6.6008 4.31%
143 6/25/2016 24,202,843.89 83,101.93 6.619 6.5697 4.12%
144 7/25/2016 23,605,160.97 86,119.39 6.6033 6.5377 4.38%
145 8/25/2016 23,021,832.98 83,501.14 6.4315 6.5111 4.35%
146 9/25/2016 22,452,520.31 82,635.98 6.3973 6.5241 4.42%
147 10/25/2016 21,896,890.24 84,708.06 6.4084 6.5448 4.64%
148 11/25/2016 21,354,617.35 79,088.96 6.4198 6.5643 4.44%
149 12/25/2016 20,825,309.02 81,026.71 6.4336 6.5876 4.67%
150 1/25/2017 20,308,739.15 76,078.49 6.4503 6.6084 4.50%
151 2/25/2017 19,804,606.05 74,154.95 6.5006 6.6276 4.49%
152 3/25/2017 19,312,615.10 82,208.42 6.5217 6.6214 5.11%
153 4/25/2017 18,832,479.33 71,430.35 6.5325 6.6107 4.55%
154 5/25/2017 18,363,918.87 73,471.05 6.5483 6.5995 4.80%
155 6/25/2017 17,906,725.46 69,263.37 6.56 6.587 4.64%
156 7/25/2017 17,460,560.20 71,046.83 6.5566 6.5751 4.88%
157 8/25/2017 17,025,161.58 68,232.92 6.4684 6.567 4.81%
158 9/25/2017 16,600,274.26 67,346.55 6.4549 6.5949 4.87%
159 10/25/2017 16,185,648.68 68,715.72 6.4656 6.6289 5.09%
160 11/25/2017 15,781,041.98 65,676.70 6.476 6.6614 4.99%
161 12/25/2017 15,386,321.62 66,912.79 6.4889 6.6991 5.22%
162 1/25/2018 15,001,144.96 63,395.59 6.5132 6.7335 5.07%
163 2/25/2018 14,625,285.43 61,452.06 6.6231 6.7656 5.04%
164 3/25/2018 14,258,521.75 66,738.38 6.6583 6.7617 5.62%
165 4/25/2018 13,900,638.84 59,375.46 6.6693 6.7509 5.13%
166 5/25/2018 13,551,427.37 61,002.46 6.6851 6.7395 5.40%
167 6/25/2018 13,210,795.92 58,029.83 6.6965 6.7269 5.27%
168 7/25/2018 12,878,420.69 59,086.37 6.6929 6.7147 5.51%
169 8/25/2018 12,554,105.40 57,060.53 6.6043 6.7054 5.45%
170 9/25/2018 12,237,658.42 56,329.05 6.5908 6.7238 5.52%
171 10/25/2018 11,928,892.41 57,097.47 6.6014 6.7468 5.74%
172 11/25/2018 11,627,624.76 54,768.60 6.6116 6.7684 5.65%
173 12/25/2018 11,333,715.04 55,453.10 6.6242 6.7942 5.87%
174 1/25/2019 11,046,949.37 53,052.18 6.6418 6.8171 5.76%
175 2/25/2019 10,767,157.67 51,939.18 6.7054 6.8344 5.79%
176 3/25/2019 10,494,173.85 55,271.03 6.7289 6.8025 6.32%
177 4/25/2019 10,217,805.04 50,359.15 6.7387 6.7625 5.91%
178 5/25/2019 8,887,855.13 48,424.21 6.7535 6.7167 6.54%
179 6/25/2019 8,662,329.00 46,720.84 6.7634 6.673 6.47%
180 7/25/2019 8,442,314.72 47,204.35 6.7373 6.6276 6.71%
181 8/25/2019 8,227,680.25 46,481.71 6.5256 6.5881 6.78%
182 9/25/2019 8,018,296.69 46,052.55 6.4779 6.5852 6.89%
183 10/25/2019 7,814,037.33 46,229.08 6.4847 6.5908 7.10%
184 11/25/2019 7,614,777.58 44,235.38 6.4922 6.5951 6.97%
185 12/25/2019 7,420,272.20 44,388.44 6.5016 6.6017 7.18%
186 1/25/2020 7,230,537.99 43,106.97 6.5075 6.6065 7.15%
187 2/25/2020 7,045,460.41 42,596.54 6.5046 6.6093 7.26%
188 3/25/2020 6,864,927.65 43,318.21 6.5102 6.5914 7.57%
189 4/25/2020 6,688,830.56 41,564.88 6.5166 6.57 7.46%
190 5/25/2020 6,517,062.27 41,417.66 6.5265 6.547 7.63%
191 6/25/2020 6,349,473.95 40,387.37 6.5333 6.524 7.63%
192 7/25/2020 6,186,011.19 40,452.82 6.5205 6.5009 7.85%
193 8/25/2020 6,026,574.76 39,755.68 6.404 6.4828 7.92%
194 9/25/2020 5,871,067.78 39,355.31 6.3795 6.5024 8.04%
195 10/25/2020 5,719,395.39 39,294.63 6.385 6.5292 8.24%
196 11/25/2020 5,571,465.06 38,500.57 6.3907 6.5546 8.29%
197 12/25/2020 5,427,193.48 38,405.97 6.3985 6.5845 8.49%
198 1/25/2021 5,286,486.04 37,648.11 6.4168 6.6116 8.55%
199 2/25/2021 5,149,256.87 37,141.72 6.5121 6.6356 8.66%
200 3/25/2021 5,015,422.10 37,508.72 6.5398 6.6231 8.97%
201 4/25/2021 4,884,900.23 36,382.56 6.5462 6.6042 8.94%
202 5/25/2021 4,757,611.77 36,316.13 6.5562 6.5833 9.16%
203 6/25/2021 4,633,498.79 35,766.75 6.5624 6.5622 9.26%
204 7/25/2021 4,512,463.24 35,598.55 6.5509 6.5411 9.47%
205 8/25/2021 4,394,430.81 35,180.16 6.4435 6.5252 9.61%
206 9/25/2021 4,279,328.97 34,863.42 6.421 6.5499 9.78%
207 10/25/2021 4,167,086.71 34,624.94 6.4262 6.5821 9.97%
208 11/25/2021 4,057,634.89 34,302.04 6.4316 6.6128 10.14%
209 12/25/2021 3,950,925.11 34,037.58 6.4391 6.6486 10.34%
210 1/25/2022 3,846,871.73 33,699.03 6.4606 6.6813 10.51%
211 2/25/2022 3,745,410.47 123,878.82 6.5803 6.7105 39.69%
212 3/25/2022 3,646,478.60 129,050.17 6.6137 6.6989 42.47%
213 4/25/2022 3,550,015.17 125,781.05 6.6201 6.6798 42.52%
214 5/25/2022 3,455,960.87 122,663.55 6.63 6.6588 42.59%
215 6/25/2022 3,364,282.25 119,548.87 6.6361 6.6376 42.64%
216 7/25/2022 3,274,895.33 116,510.38 6.6245 6.6164 42.69%
217 8/25/2022 3,187,744.55 113,546.26 6.5169 6.6003 42.74%
218 9/25/2022 3,102,775.66 110,654.32 6.4943 6.6241 42.80%
219 10/25/2022 3,019,935.56 107,833.14 6.4995 6.6552 42.85%
220 11/25/2022 2,939,172.55 105,116.98 6.5048 6.6849 42.92%
221 12/25/2022 2,860,449.13 102,432.40 6.5123 6.7196 42.97%
222 1/25/2023 2,783,702.64 99,813.69 6.5331 6.7511 43.03%
223 2/25/2023 2,708,885.05 97,259.27 6.6485 6.7782 43.08%
224 3/25/2023 2,635,949.42 94,768.22 6.6807 6.7595 43.14%
225 4/25/2023 2,564,850.22 92,339.11 6.6868 6.7327 43.20%
226 5/25/2023 2,495,543.00 89,988.64 6.6966 6.7027 43.27%
227 6/25/2023 2,427,991.24 87,675.94 6.7024 6.6733 43.33%
228 7/25/2023 2,362,144.37 85,420.18 6.6848 6.6433 43.39%
229 8/25/2023 2,297,960.84 83,219.96 6.5444 6.6177 43.46%
230 9/25/2023 2,235,400.09 81,073.43 6.5129 6.6227 43.52%
231 10/25/2023 2,174,422.34 78,978.93 6.5173 6.6344 43.59%
232 11/25/2023 2,114,988.62 76,882.00 6.522 6.6444 43.62%
233 12/25/2023 2,057,039.99 74,891.79 6.5285 6.6573 43.69%
234 1/25/2024 2,000,562.52 72,950.75 6.5369 6.6681 43.76%
235 2/25/2024 1,945,520.25 71,057.70 6.5686 6.6731 43.83%
236 3/25/2024 1,891,878.08 69,185.95 6.5805 6.6336 43.88%
237 4/25/2024 1,839,627.33 67,341.39 6.5848 6.586 43.93%
238 5/25/2024 1,788,752.30 65,436.15 6.5921 6.5338 43.90%
239 6/25/2024 1,739,202.60 63,730.63 6.596 6.4838 43.97%
240 7/25/2024 1,690,917.62 62,067.41 6.5628 6.4321 44.05%
241 8/25/2024 1,643,866.36 60,445.46 6.3435 6.3873 44.12%
242 9/25/2024 1,598,018.54 58,863.10 6.2898 6.3835 44.20%
243 10/25/2024 1,553,344.35 57,318.73 6.291 6.3885 44.28%
244 11/25/2024 1,509,814.42 55,721.57 6.2935 6.393 44.29%
245 12/25/2024 1,467,361.18 54,256.28 6.2973 6.3998 44.37%
246 1/25/2025 1,425,999.55 52,827.50 6.3015 6.4049 44.46%
247 2/25/2025 1,385,702.67 51,434.35 6.3166 6.4046 44.54%
248 3/25/2025 1,346,444.29 50,075.92 6.322 6.3642 44.63%
249 4/25/2025 1,308,198.79 48,750.87 6.3239 6.3185 44.72%
250 5/25/2025 1,270,940.95 47,389.81 6.329 6.2662 44.74%
251 6/25/2025 1,234,615.04 46,131.66 6.3305 6.217 44.84%
252 7/25/2025 1,199,230.55 44,905.03 6.2971 6.1659 44.93%
253 8/25/2025 1,164,764.22 43,709.14 6.0877 6.1231 45.03%
254 9/25/2025 1,131,193.32 42,542.81 6.0346 6.1292 45.13%
255 10/25/2025 1,098,495.47 41,404.98 6.0336 6.146 45.23%
256 11/25/2025 1,066,648.70 40,249.55 6.0339 6.162 45.28%
257 12/25/2025 1,035,609.96 39,169.97 6.0357 6.1814 45.39%
258 1/25/2026 1,005,382.38 38,117.57 6.0462 6.1985 45.50%
259 2/25/2026 975,945.82 37,091.69 6.1185 6.2103 45.61%
260 3/25/2026 947,280.60 36,091.76 6.1362 6.1777 45.72%
261 4/25/2026 919,367.58 35,116.95 6.1371 6.1383 45.84%
262 5/25/2026 892,187.97 34,141.01 6.1404 6.0932 45.92%
263 6/25/2026 865,710.72 33,215.21 6.1405 6.0506 46.04%
264 7/25/2026 839,931.51 32,312.85 6.1112 6.0065 46.16%
265 8/25/2026 814,832.93 31,433.37 5.9337 5.9705 46.29%
266 9/25/2026 790,397.99 30,575.94 5.8879 5.9842 46.42%
267 10/25/2026 766,609.96 29,739.90 5.886 6.0084 46.55%
268 11/25/2026 743,452.47 28,906.74 5.8852 6.0316 46.66%
269 12/25/2026 720,900.26 28,113.50 5.8859 6.0588 46.80%
270 1/25/2027 698,948.30 27,340.45 5.9005 6.0835 46.94%
271 2/25/2027 677,581.51 26,587.11 6.0079 6.1027 47.09%
272 3/25/2027 656,785.23 25,853.09 6.0333 6.0745 47.24%
273 4/25/2027 636,545.17 25,137.85 6.0338 6.0384 47.39%
274 5/25/2027 616,847.34 24,432.09 6.0361 5.9971 47.53%
275 6/25/2027 597,673.38 23,752.96 6.0355 5.9581 47.69%
276 7/25/2027 579,014.91 23,091.23 6.0084 5.9178 47.86%
277 8/25/2027 560,858.95 22,446.47 5.8478 5.8849 48.03%
278 9/25/2027 543,192.83 21,818.13 5.8059 5.8986 48.20%
279 10/25/2027 526,004.08 21,205.71 5.8036 5.923 48.38%
280 11/25/2027 509,280.52 20,598.83 5.8022 5.9454 48.54%
281 12/25/2027 493,004.66 20,018.02 5.8023 5.9717 48.72%
282 1/25/2028 477,171.31 19,452.19 5.8162 5.9955 48.92%
283 2/25/2028 461,769.26 18,900.99 5.9222 6.0147 49.12%
284 3/25/2028 446,787.55 18,364.10 5.9474 5.9922 49.32%
285 4/25/2028 432,215.55 17,841.14 5.9474 5.9617 49.53%
286 5/25/2028 418,042.86 17,328.81 5.9485 5.9283 49.74%
287 6/25/2028 404,257.62 16,832.57 5.9475 5.8962 49.97%
288 7/25/2028 390,851.66 16,349.22 5.9249 5.8632 50.20%
289 8/25/2028 377,815.32 15,878.44 5.7945 5.8376 50.43%
290 9/25/2028 365,139.16 15,419.86 5.7603 5.8605 50.68%
291 10/25/2028 352,813.93 14,973.17 5.7579 5.893 50.93%
292 11/25/2028 340,830.63 14,537.73 5.7563 5.9242 51.18%
293 12/25/2028 329,180.25 14,114.22 5.7564 5.9603 51.45%
294 1/25/2029 317,854.61 13,701.80 5.7758 5.9934 51.73%
295 2/25/2029 306,845.37 13,300.20 5.9212 6.0206 52.01%
296 3/25/2029 296,144.42 12,909.19 5.9551 5.995 52.31%
297 4/25/2029 285,743.85 12,528.52 5.9555 5.9602 52.61%
298 5/25/2029 275,635.98 12,153.91 5.9572 5.9205 52.91%
299 6/25/2029 265,816.39 11,793.08 5.9561 5.8828 53.24%
300 7/25/2029 256,274.42 11,441.77 5.9297 5.8441 53.58%
301 8/25/2029 247,002.88 11,099.75 5.9297 5.8441 53.93%
302 9/25/2029 237,994.80 10,766.74 5.9297 5.8441 54.29%
303 10/25/2029 229,243.31 10,442.45 5.9297 5.8441 54.66%
304 11/25/2029 220,741.70 10,120.52 5.9297 5.8441 55.02%
305 12/25/2029 212,479.43 9,813.44 5.9297 5.8441 55.42%
306 1/25/2030 204,454.64 9,514.55 5.9297 5.8441 55.84%
307 2/25/2030 196,661.14 9,223.64 5.9297 5.8441 56.28%
308 3/25/2030 189,092.92 8,940.50 5.9297 5.8441 56.74%
309 4/25/2030 181,744.08 8,664.95 5.9297 5.8441 57.21%
310 5/25/2030 174,608.90 8,396.79 5.9297 5.8441 57.71%
311 6/25/2030 167,681.79 8,135.84 5.9297 5.8441 58.22%
312 7/25/2030 160,957.29 7,881.91 5.9297 5.8441 58.76%
313 8/25/2030 154,430.10 7,634.82 5.9297 5.8441 59.33%
314 9/25/2030 148,095.04 7,394.41 5.9297 5.8441 59.92%
315 10/25/2030 141,947.04 7,160.50 5.9297 5.8441 60.53%
316 11/25/2030 135,981.18 6,932.94 5.9297 5.8441 61.18%
317 12/25/2030 130,192.66 6,711.55 5.9297 5.8441 61.86%
318 1/25/2031 124,576.79 6,496.18 5.9297 5.8441 62.58%
319 2/25/2031 119,129.01 6,286.69 5.9297 5.8441 63.33%
320 3/25/2031 113,844.86 6,082.91 5.9297 5.8441 64.12%
321 4/25/2031 108,720.01 5,884.71 5.9297 5.8441 64.95%
322 5/25/2031 103,750.21 5,691.95 5.9297 5.8441 65.83%
323 6/25/2031 98,931.35 5,504.48 5.9297 5.8441 66.77%
324 7/25/2031 94,259.39 5,322.16 5.9297 5.8441 67.76%
325 8/25/2031 89,730.43 5,144.88 5.9297 5.8441 68.80%
326 9/25/2031 85,340.62 4,972.50 5.9297 5.8441 69.92%
327 10/25/2031 81,086.26 4,804.89 5.9297 5.8441 71.11%
328 11/25/2031 76,963.70 4,641.93 5.9297 5.8441 72.38%
329 12/25/2031 72,969.41 4,483.51 5.9297 5.8441 73.73%
330 1/25/2032 69,099.92 4,329.50 5.9297 5.8441 75.19%
331 2/25/2032 65,351.88 4,179.80 5.9297 5.8441 76.75%
332 3/25/2032 61,722.00 4,034.29 5.9297 5.8441 78.43%
333 4/25/2032 58,207.09 3,892.86 5.9297 5.8441 80.26%
334 5/25/2032 54,804.03 3,755.42 5.9297 5.8441 82.23%
335 6/25/2032 51,509.78 3,621.85 5.9297 5.8441 84.38%
336 7/25/2032 48,321.39 3,492.06 5.9297 5.8441 86.72%
337 8/25/2032 45,235.96 3,365.94 5.9297 5.8441 89.29%
338 9/25/2032 42,250.68 3,243.41 5.9297 5.8441 92.12%
339 10/25/2032 39,362.82 3,124.38 5.9297 5.8441 95.25%
340 11/25/2032 36,569.70 3,008.74 5.9297 5.8441 98.73%
341 12/25/2032 33,868.72 2,896.42 5.9297 5.8441 102.62%
342 1/25/2033 31,257.34 2,787.32 5.9297 5.8441 107.01%
343 2/25/2033 28,733.09 2,681.36 5.9297 5.8441 111.98%
344 3/25/2033 26,293.57 2,578.47 5.9297 5.8441 117.68%
345 4/25/2033 23,936.41 2,478.55 5.9297 5.8441 124.26%
346 5/25/2033 21,659.35 2,381.54 5.9297 5.8441 131.95%
347 6/25/2033 19,460.14 2,287.13 5.9297 5.8441 141.03%
348 7/25/2033 17,336.84 2,195.71 5.9297 5.8441 151.98%
349 8/25/2033 15,287.10 2,103.53 5.9297 5.8441 165.12%
350 9/25/2033 13,312.31 2,017.56 5.9297 5.8441 181.87%
351 10/25/2033 11,406.88 1,934.13 5.9297 5.8441 203.47%
352 11/25/2033 9,568.86 1,853.16 5.9297 5.8441 232.40%
353 12/25/2033 7,796.35 1,774.60 5.9297 5.8441 273.14%
354 1/25/2034 6,087.50 1,698.38 5.9297 5.8441 334.79%
355 2/25/2034 4,440.49 1,623.87 5.9297 5.8441 438.84%
356 3/25/2034 2854.15 1547.74 5.9297 5.8441 650.73%
357 4/25/2034 1330.6 1341.99 5.9297 5.8441
Total
----------------------------------------------------------------------------------------------------------
Flat
----------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
0 7/25/2004 747,387,981.63 0 0
1 8/25/2004 747,387,981.63 2,945,435.26 1.34 1.87 4.73%
2 9/25/2004 732,497,187.50 2,739,628.55 1.34 1.87 4.49%
3 10/25/2004 717,695,656.08 2,721,096.73 1.34 1.87 4.55%
4 11/25/2004 702,976,891.91 2,630,491.91 1.34 1.87 4.49%
5 12/25/2004 688,335,599.78 2,610,649.55 1.34 1.87 4.55%
6 1/25/2005 673,767,560.40 2,521,155.88 1.34 1.87 4.49%
7 2/25/2005 659,269,760.67 2,466,488.42 1.34 1.87 4.49%
8 3/25/2005 644,840,342.25 2,510,285.64 1.34 1.87 4.67%
9 4/25/2005 630,478,588.38 2,357,148.67 1.34 1.87 4.49%
10 5/25/2005 616,184,904.21 2,333,990.83 1.34 1.87 4.55%
11 6/25/2005 601,960,790.69 2,247,854.53 1.34 1.87 4.48%
12 7/25/2005 587,808,811.85 2,223,455.74 1.34 1.87 4.54%
13 8/25/2005 573,745,790.66 2,138,791.23 1.34 1.87 4.47%
14 9/25/2005 560,016,591.91 2,085,606.09 1.34 1.87 4.47%
15 10/25/2005 546,613,331.48 2,061,970.73 1.34 1.87 4.53%
16 11/25/2005 533,528,310.82 1,982,974.53 1.34 1.87 4.46%
17 12/25/2005 520,754,012.65 1,960,571.22 1.34 1.87 4.52%
18 1/25/2006 508,283,096.65 1,885,134.57 1.34 1.87 4.45%
19 2/25/2006 496,108,395.35 1,837,941.47 1.34 1.87 4.45%
20 3/25/2006 484,222,910.02 1,868,365.38 1.34 1.87 4.63%
21 4/25/2006 472,619,846.79 1,749,718.27 1.34 1.87 4.44%
22 5/25/2006 461,292,897.02 2,037,737.74 1.34 1.87 5.30%
23 6/25/2006 450,283,173.32 1,963,121.31 1.34 1.87 5.23%
24 7/25/2006 439,534,055.94 1,937,409.52 1.34 1.87 5.29%
25 8/25/2006 429,039,407.96 1,866,144.21 1.34 1.87 5.22%
26 9/25/2006 418,793,236.54 1,819,368.35 1.34 1.87 5.21%
27 10/25/2006 408,789,689.49 1,795,637.77 1.34 1.87 5.27%
28 11/25/2006 399,023,052.04 1,729,418.53 1.34 1.87 5.20%
29 12/25/2006 389,487,797.15 1,706,925.34 1.34 1.87 5.26%
30 1/25/2007 380,178,419.24 1,643,363.54 1.34 1.87 5.19%
31 2/25/2007 371,089,596.73 1,601,856.77 1.34 1.87 5.18%
32 3/25/2007 362,216,133.03 1,620,707.71 1.34 1.87 5.37%
33 4/25/2007 353,552,953.55 1,524,012.26 1.34 1.87 5.17%
34 5/25/2007 345,095,611.72 1,515,645.20 1.34 1.87 5.27%
35 6/25/2007 336,841,116.79 1,458,605.22 1.34 1.87 5.20%
36 7/25/2007 328,782,252.93 1,439,718.55 1.34 1.87 5.25%
37 8/25/2007 320,914,410.32 3,924,568.39 1.34 1.87 14.68%
38 9/25/2007 313,233,087.35 1,670,929.01 1.34 1.87 6.40%
39 10/25/2007 305,733,888.14 1,652,125.23 1.34 1.87 6.48%
40 11/25/2007 298,412,520.04 1,599,086.28 1.34 1.87 6.43%
41 12/25/2007 291,264,791.20 1,577,748.72 1.34 1.87 6.50%
42 1/25/2008 284,286,608.21 1,525,455.11 1.34 1.87 6.44%
43 2/25/2008 277,473,973.81 1,489,012.22 1.34 1.87 6.44%
44 3/25/2008 270,822,984.64 1,482,886.64 1.34 1.87 6.57%
45 4/25/2008 264,329,829.00 1,418,694.53 1.34 1.87 6.44%
46 5/25/2008 257,990,784.74 1,398,809.04 1.34 1.87 6.51%
47 6/25/2008 251,802,217.17 1,351,667.89 1.34 1.87 6.44%
48 7/25/2008 245,760,576.96 1,332,704.99 1.34 1.87 6.51%
49 8/25/2008 239,862,398.18 1,287,779.13 1.34 1.87 6.44%
50 9/25/2008 234,104,296.34 1,256,965.54 1.34 1.87 6.44%
51 10/25/2008 228,482,966.47 1,239,307.09 1.34 1.87 6.51%
52 11/25/2008 222,995,181.26 1,197,511.84 1.34 1.87 6.44%
53 12/25/2008 217,637,789.24 1,180,672.91 1.34 1.87 6.51%
54 1/25/2009 212,407,713.02 1,140,843.45 1.34 1.87 6.45%
55 2/25/2009 207,301,947.50 1,113,512.96 1.34 1.87 6.45%
56 3/25/2009 202,317,558.25 1,119,836.96 1.34 1.87 6.64%
57 4/25/2009 197,451,679.80 1,060,781.20 1.34 1.87 6.45%
58 5/25/2009 192,701,514.03 1,058,804.83 1.34 1.87 6.59%
59 6/25/2009 188,036,135.35 1,023,048.25 1.34 1.87 6.53%
60 7/25/2009 183,482,227.70 1,008,351.05 1.34 1.87 6.59%
61 8/25/2009 179,037,149.71 974,286.15 1.34 1.87 6.53%
62 9/25/2009 174,698,322.29 950,773.26 1.34 1.87 6.53%
63 10/25/2009 170,463,227.14 937,090.85 1.34 1.87 6.60%
64 11/25/2009 166,329,405.33 905,436.10 1.34 1.87 6.53%
65 12/25/2009 162,294,459.66 892,390.64 1.34 1.87 6.60%
66 1/25/2010 158,356,041.86 862,215.48 1.34 1.87 6.53%
67 2/25/2010 154,511,862.88 841,375.39 1.34 1.87 6.53%
68 3/25/2010 150,759,687.63 845,627.97 1.34 1.87 6.73%
69 4/25/2010 147,097,333.77 801,175.36 1.34 1.87 6.54%
70 5/25/2010 143,522,670.40 789,597.06 1.34 1.87 6.60%
71 6/25/2010 140,033,616.90 762,871.75 1.34 1.87 6.54%
72 7/25/2010 136,628,141.74 751,833.20 1.34 1.87 6.60%
73 8/25/2010 133,304,261.31 726,375.80 1.34 1.87 6.54%
74 9/25/2010 130,060,038.79 708,779.11 1.34 1.87 6.54%
75 10/25/2010 126,893,583.09 698,503.54 1.34 1.87 6.61%
76 11/25/2010 123,803,047.73 674,837.24 1.34 1.87 6.54%
77 12/25/2010 120,786,629.82 665,040.92 1.34 1.87 6.61%
78 1/25/2011 117,842,569.02 642,498.82 1.34 1.87 6.54%
79 2/25/2011 114,969,146.53 626,907.29 1.34 1.87 6.54%
80 3/25/2011 112,164,684.14 629,987.82 1.34 1.87 6.74%
81 4/25/2011 109,427,543.27 596,834.32 1.34 1.87 6.54%
82 5/25/2011 106,756,124.02 588,140.97 1.34 1.87 6.61%
83 6/25/2011 104,148,864.27 568,183.53 1.34 1.87 6.55%
84 7/25/2011 101,604,238.78 559,895.93 1.34 1.87 6.61%
85 8/25/2011 99,120,758.37 540,888.27 1.34 1.87 6.55%
86 9/25/2011 96,696,969.00 527,728.98 1.34 1.87 6.55%
87 10/25/2011 94,331,451.00 520,014.92 1.34 1.87 6.62%
88 11/25/2011 92,022,818.23 502,348.78 1.34 1.87 6.55%
89 12/25/2011 89,769,717.32 436,029.77 1.34 1.87 5.83%
90 1/25/2012 87,570,826.85 388,285.74 1.34 1.87 5.32%
91 2/25/2012 85,424,856.66 379,175.18 1.34 1.87 5.33%
92 3/25/2012 83,330,547.06 379,283.21 1.34 1.87 5.46%
93 4/25/2012 81,286,668.16 361,605.55 1.34 1.87 5.34%
94 5/25/2012 79,292,019.13 357,393.62 1.34 1.87 5.41%
95 6/25/2012 77,345,427.53 344,870.48 1.34 1.87 5.35%
96 7/25/2012 75,445,748.66 340,830.14 1.34 1.87 5.42%
97 8/25/2012 73591864.86 302,509.80 1.34 1.87 4.93%
98 9/25/2012 71782684.93 295614.21 1.34 1.87 4.94%
99 10/25/2012 70017143.48 293387.34 1.34 1.87 5.03%
100 11/25/2012 68294200.3 282316.92 1.34 1.87 4.96%
101 12/25/2012 66612839.82 280158.03 1.34 1.87 5.05%
102 1/25/2013 64972070.47 269652.3 1.34 1.87 4.98%
103 2/25/2013 63370924.17 263547.89 1.34 1.87 4.99%
104 3/25/2013 61808455.75 269274.82 1.34 1.87 5.23%
105 4/25/2013 60283742.38 251776.9 1.34 1.87 5.01%
106 5/25/2013 58795883.12 249775 1.34 1.87 5.10%
107 6/25/2013 57343998.33 240566.76 1.34 1.87 5.03%
108 7/25/2013 55927229.22 238622.82 1.34 1.87 5.12%
109 8/25/2013 54544737.3 229757.87 1.34 1.87 5.05%
110 9/25/2013 53195703.99 224466.58 1.34 1.87 5.06%
111 10/25/2013 51879330.05 222475.96 1.34 1.87 5.15%
112 11/25/2013 50594835.22 214264.35 1.34 1.87 5.08%
113 12/25/2013 49341457.69 212341.12 1.34 1.87 5.16%
114 1/25/2014 48118453.72 204549.27 1.34 1.87 5.10%
115 2/25/2014 46925097.19 199867.2 1.34 1.87 5.11%
116 3/25/2014 45760679.2 203521.37 1.34 1.87 5.34%
117 4/25/2014 44624507.64 190840.12 1.34 1.87 5.13%
118 5/25/2014 43515906.82 189072.33 1.34 1.87 5.21%
119 6/25/2014 42434217.06 182244.76 1.34 1.87 5.15%
120 7/25/2014 41378794.34 180534.29 1.34 1.87 5.24%
121 8/25/2014 40349009.9 174060.76 1.34 1.87 5.18%
122 9/25/2014 39344249.91 170116.91 1.34 1.87 5.19%
123 10/25/2014 38363915.09 168482.71 1.34 1.87 5.27%
124 11/25/2014 37407420.39 162478.79 1.34 1.87 5.21%
125 12/25/2014 36474194.62 160873.38 1.34 1.87 5.29%
126 1/25/2015 35563680.19 155182.41 1.34 1.87 5.24%
127 2/25/2015 34675332.71 151666.54 1.34 1.87 5.25%
128 3/25/2015 33808620.72 153942.52 1.34 1.87 5.46%
129 4/25/2015 32963025.4 144888.96 1.34 1.87 5.27%
130 5/25/2015 32138040.22 143409.14 1.34 1.87 5.35%
131 6/25/2015 31333170.71 138436.88 1.34 1.87 5.30%
132 7/25/2015 30547934.13 137003.35 1.34 1.87 5.38%
133 8/25/2015 29781859.22 132294.89 1.34 1.87 5.33%
134 9/25/2015 29034485.9 129303.56 1.34 1.87 5.34%
135 10/25/2015 28305365.05 127878.75 1.34 1.87 5.42%
136 11/25/2015 27594058.2 123481.27 1.34 1.87 5.37%
137 12/25/2015 26900137.33 122104.29 1.34 1.87 5.45%
138 1/25/2016 26223184.57 117939.35 1.34 1.87 5.40%
139 2/25/2016 25562792.02 115269.36 1.34 1.87 5.41%
140 3/25/2016 24918561.44 115255.65 1.34 1.87 5.55%
141 4/25/2016 24290104.12 110123.29 1.34 1.87 5.44%
142 5/25/2016 23677040.54 108850.46 1.34 1.87 5.52%
143 6/25/2016 23079000.24 105188.87 1.34 1.87 5.47%
144 7/25/2016 22495621.6 103935.37 1.34 1.87 5.54%
145 8/25/2016 21926551.55 100469.22 1.34 1.87 5.50%
146 9/25/2016 21371445.49 98195.64 1.34 1.87 5.51%
147 10/25/2016 20829966.98 97004.49 1.34 1.87 5.59%
148 11/25/2016 20301787.62 93814.09 1.34 1.87 5.55%
149 12/25/2016 19786586.82 92662.14 1.34 1.87 5.62%
150 1/25/2017 19284051.62 89644.61 1.34 1.87 5.58%
151 2/25/2017 18793876.55 87636.22 1.34 1.87 5.60%
152 3/25/2017 18315763.39 88264.99 1.34 1.87 5.78%
153 4/25/2017 17849421.04 83766.08 1.34 1.87 5.63%
154 5/25/2017 17394565.34 82704.47 1.34 1.87 5.71%
155 6/25/2017 16950918.91 80083.69 1.34 1.87 5.67%
156 7/25/2017 16518210.99 79055.35 1.34 1.87 5.74%
157 8/25/2017 16096177.26 76580.1 1.34 1.87 5.71%
158 9/25/2017 15684559.73 74892.67 1.34 1.87 5.73%
159 10/25/2017 15283106.55 73911.41 1.34 1.87 5.80%
160 11/25/2017 14891571.9 71641.44 1.34 1.87 5.77%
161 12/25/2017 14509715.8 70689.77 1.34 1.87 5.85%
162 1/25/2018 14137304.04 68548.46 1.34 1.87 5.82%
163 2/25/2018 13774107.98 67058.94 1.34 1.87 5.84%
164 3/25/2018 13419904.44 67169.3 1.34 1.87 6.01%
165 4/25/2018 13074475.58 64037.59 1.34 1.87 5.88%
166 5/25/2018 12737608.76 63084.57 1.34 1.87 5.94%
167 6/25/2018 12409096.43 61156.03 1.34 1.87 5.91%
168 7/25/2018 12088736.01 60236.69 1.34 1.87 5.98%
169 8/25/2018 11776329.75 58415.28 1.34 1.87 5.95%
170 9/25/2018 11471684.63 57095.58 1.34 1.87 5.97%
171 10/25/2018 11174612.25 56223.83 1.34 1.87 6.04%
172 11/25/2018 10884928.74 54553.49 1.34 1.87 6.01%
173 12/25/2018 10602454.6 53711.64 1.34 1.87 6.08%
174 1/25/2019 10327014.64 52135.96 1.34 1.87 6.06%
175 2/25/2019 10058437.87 50972.02 1.34 1.87 6.08%
176 3/25/2019 9796557.39 50843.29 1.34 1.87 6.23%
177 4/25/2019 9531179.22 48659.95 1.34 1.87 6.13%
178 5/25/2019 8212106.74 40807.71 1.34 1.87 5.96%
179 6/25/2019 7997404.91 39665.29 1.34 1.87 5.95%
180 7/25/2019 7788098.18 39014.42 1.34 1.87 6.01%
181 8/25/2019 7584054.19 37939.91 1.34 1.87 6.00%
182 9/25/2019 7385143.8 37109.71 1.34 1.87 6.03%
183 10/25/2019 7191240.96 36490.51 1.34 1.87 6.09%
184 11/25/2019 7002222.69 35511.67 1.34 1.87 6.09%
185 12/25/2019 6817968.98 34912.33 1.34 1.87 6.14%
186 1/25/2020 6638362.71 33993.39 1.34 1.87 6.14%
187 2/25/2020 6463289.61 33262.93 1.34 1.87 6.18%
188 3/25/2020 6292638.17 32832.29 1.34 1.87 6.26%
189 4/25/2020 6126299.56 31857.05 1.34 1.87 6.24%
190 5/25/2020 5964167.61 31303.34 1.34 1.87 6.30%
191 6/25/2020 5806138.72 30521.57 1.34 1.87 6.31%
192 7/25/2020 5652111.78 29984.6 1.34 1.87 6.37%
193 8/25/2020 5501988.15 29253.04 1.34 1.87 6.38%
194 9/25/2020 5355671.56 28642.85 1.34 1.87 6.42%
195 10/25/2020 5213068.1 28129.53 1.34 1.87 6.48%
196 11/25/2020 5074086.11 27468.68 1.34 1.87 6.50%
197 12/25/2020 4938636.17 26970.18 1.34 1.87 6.55%
198 1/25/2021 4806631.02 26353.57 1.34 1.87 6.58%
199 2/25/2021 4677985.54 25817.26 1.34 1.87 6.62%
200 3/25/2021 4552616.64 25429.78 1.34 1.87 6.70%
201 4/25/2021 4430443.28 24785.39 1.34 1.87 6.71%
202 5/25/2021 4311386.37 24320.95 1.34 1.87 6.77%
203 6/25/2021 4195368.75 23805.63 1.34 1.87 6.81%
204 7/25/2021 4082315.13 23353.68 1.34 1.87 6.86%
205 8/25/2021 3972152.05 22875.41 1.34 1.87 6.91%
206 9/25/2021 3864807.85 22428.12 1.34 1.87 6.96%
207 10/25/2021 3760212.59 100640.81 1.34 1.87 32.12%
208 11/25/2021 3658298.05 120741.08 1.34 1.87 39.61%
209 12/25/2021 3558997.67 117609.03 1.34 1.87 39.65%
210 1/25/2022 3462246.49 114555.34 1.34 1.87 39.70%
211 2/25/2022 3367981.16 111578.08 1.34 1.87 39.75%
212 3/25/2022 3276139.87 108675.39 1.34 1.87 39.81%
213 4/25/2022 3186662.28 105845.43 1.34 1.87 39.86%
214 5/25/2022 3099489.58 103086.44 1.34 1.87 39.91%
215 6/25/2022 3014564.34 100396.66 1.34 1.87 39.96%
216 7/25/2022 2931830.56 97774.4 1.34 1.87 40.02%
217 8/25/2022 2851233.6 95218.01 1.34 1.87 40.07%
218 9/25/2022 2772720.16 92725.87 1.34 1.87 40.13%
219 10/25/2022 2696238.24 90296.41 1.34 1.87 40.19%
220 11/25/2022 2621737.09 87928.08 1.34 1.87 40.25%
221 12/25/2022 2549167.22 85619.39 1.34 1.87 40.30%
222 1/25/2023 2478480.35 83368.86 1.34 1.87 40.36%
223 2/25/2023 2409629.38 81175.07 1.34 1.87 40.43%
224 3/25/2023 2342568.36 79036.63 1.34 1.87 40.49%
225 4/25/2023 2277252.45 76952.18 1.34 1.87 40.55%
226 5/25/2023 2213637.93 74920.37 1.34 1.87 40.61%
227 6/25/2023 2151682.14 72939.93 1.34 1.87 40.68%
228 7/25/2023 2091343.47 71009.58 1.34 1.87 40.74%
229 8/25/2023 2032581.32 69128.09 1.34 1.87 40.81%
230 9/25/2023 1975356.09 67294.26 1.34 1.87 40.88%
231 10/25/2023 1919629.17 65506.9 1.34 1.87 40.95%
232 11/25/2023 1865362.85 63764.89 1.34 1.87 41.02%
233 12/25/2023 1812520.4 62067.08 1.34 1.87 41.09%
234 1/25/2024 1761065.96 60412.4 1.34 1.87 41.17%
235 2/25/2024 1710964.56 58799.78 1.34 1.87 41.24%
236 3/25/2024 1662182.08 57202.61 1.34 1.87 41.30%
237 4/25/2024 1614710.81 55627.57 1.34 1.87 41.34%
238 5/25/2024 1568536.33 54073.57 1.34 1.87 41.37%
239 6/25/2024 1523645.12 52624.67 1.34 1.87 41.45%
240 7/25/2024 1479939.57 51212.71 1.34 1.87 41.53%
241 8/25/2024 1437389.68 49836.78 1.34 1.87 41.61%
242 9/25/2024 1395966.23 48495.99 1.34 1.87 41.69%
243 10/25/2024 1355640.69 47189.45 1.34 1.87 41.77%
244 11/25/2024 1316385.27 45916.33 1.34 1.87 41.86%
245 12/25/2024 1278172.82 44675.8 1.34 1.87 41.94%
246 1/25/2025 1240976.89 43467.04 1.34 1.87 42.03%
247 2/25/2025 1204771.69 42289.26 1.34 1.87 42.12%
248 3/25/2025 1169532.03 41141.71 1.34 1.87 42.21%
249 4/25/2025 1135233.38 40023.62 1.34 1.87 42.31%
250 5/25/2025 1101851.79 38934.26 1.34 1.87 42.40%
251 6/25/2025 1069363.92 37872.92 1.34 1.87 42.50%
252 7/25/2025 1037747 36838.91 1.34 1.87 42.60%
253 8/25/2025 1006978.82 35831.53 1.34 1.87 42.70%
254 9/25/2025 977037.72 34850.13 1.34 1.87 42.80%
255 10/25/2025 947902.59 33894.06 1.34 1.87 42.91%
256 11/25/2025 919552.82 32962.69 1.34 1.87 43.02%
257 12/25/2025 891968.33 32055.39 1.34 1.87 43.13%
258 1/25/2026 865129.53 31171.58 1.34 1.87 43.24%
259 2/25/2026 839017.32 30310.66 1.34 1.87 43.35%
260 3/25/2026 813613.08 29472.06 1.34 1.87 43.47%
261 4/25/2026 788898.63 28655.23 1.34 1.87 43.59%
262 5/25/2026 764856.26 27859.61 1.34 1.87 43.71%
263 6/25/2026 741468.7 27084.68 1.34 1.87 43.83%
264 7/25/2026 718719.1 26329.91 1.34 1.87 43.96%
265 8/25/2026 696591.04 25594.81 1.34 1.87 44.09%
266 9/25/2026 675068.51 24878.88 1.34 1.87 44.22%
267 10/25/2026 654135.89 24181.64 1.34 1.87 44.36%
268 11/25/2026 633777.94 23502.62 1.34 1.87 44.50%
269 12/25/2026 613979.83 22841.35 1.34 1.87 44.64%
270 1/25/2027 594727.08 22197.41 1.34 1.87 44.79%
271 2/25/2027 576005.57 21570.34 1.34 1.87 44.94%
272 3/25/2027 557801.53 20959.73 1.34 1.87 45.09%
273 4/25/2027 540101.55 20365.15 1.34 1.87 45.25%
274 5/25/2027 522892.55 19786.21 1.34 1.87 45.41%
275 6/25/2027 506161.77 19222.52 1.34 1.87 45.57%
276 7/25/2027 489896.77 18673.67 1.34 1.87 45.74%
277 8/25/2027 474085.43 18139.31 1.34 1.87 45.91%
278 9/25/2027 458715.92 17619.07 1.34 1.87 46.09%
279 10/25/2027 443776.73 17112.58 1.34 1.87 46.27%
280 11/25/2027 429256.61 16619.51 1.34 1.87 46.46%
281 12/25/2027 415144.62 16139.5 1.34 1.87 46.65%
282 1/25/2028 401430.07 15672.24 1.34 1.87 46.85%
283 2/25/2028 388102.56 15217.39 1.34 1.87 47.05%
284 3/25/2028 375151.94 14774.64 1.34 1.87 47.26%
285 4/25/2028 362568.31 14343.69 1.34 1.87 47.47%
286 5/25/2028 350342.03 13924.23 1.34 1.87 47.69%
287 6/25/2028 338463.71 13515.97 1.34 1.87 47.92%
288 7/25/2028 326924.18 13118.63 1.34 1.87 48.15%
289 8/25/2028 315714.51 12731.93 1.34 1.87 48.39%
290 9/25/2028 304825.98 12355.6 1.34 1.87 48.64%
291 10/25/2028 294250.13 11989.37 1.34 1.87 48.89%
292 11/25/2028 283978.66 11632.99 1.34 1.87 49.16%
293 12/25/2028 274003.53 11286.2 1.34 1.87 49.43%
294 1/25/2029 264316.88 10948.76 1.34 1.87 49.71%
295 2/25/2029 254911.03 10620.43 1.34 1.87 50.00%
296 3/25/2029 245778.54 10300.97 1.34 1.87 50.29%
297 4/25/2029 236912.12 9990.17 1.34 1.87 50.60%
298 5/25/2029 228304.68 9684.33 1.34 1.87 50.90%
299 6/25/2029 219952.78 9390.31 1.34 1.87 51.23%
300 7/25/2029 211846.08 9104.29 1.34 1.87 51.57%
301 8/25/2029 203978.04 8826.06 1.34 1.87 51.92%
302 9/25/2029 196342.25 8555.41 1.34 1.87 52.29%
303 10/25/2029 188932.48 8292.16 1.34 1.87 52.67%
304 11/25/2029 181742.68 8036.12 1.34 1.87 53.06%
305 12/25/2029 174766.91 7787.09 1.34 1.87 53.47%
306 1/25/2030 167999.41 7544.9 1.34 1.87 53.89%
307 2/25/2030 161434.57 7309.37 1.34 1.87 54.33%
308 3/25/2030 155066.92 7080.33 1.34 1.87 54.79%
309 4/25/2030 148891.11 6857.61 1.34 1.87 55.27%
310 5/25/2030 142901.96 6641.04 1.34 1.87 55.77%
311 6/25/2030 137094.4 6430.47 1.34 1.87 56.29%
312 7/25/2030 131463.49 6225.74 1.34 1.87 56.83%
313 8/25/2030 126004.43 6026.7 1.34 1.87 57.40%
314 9/25/2030 120712.54 5833.21 1.34 1.87 57.99%
315 10/25/2030 115583.25 5645.1 1.34 1.87 58.61%
316 11/25/2030 110612.11 5462.26 1.34 1.87 59.26%
317 12/25/2030 105794.8 5284.53 1.34 1.87 59.94%
318 1/25/2031 101127.1 5111.79 1.34 1.87 60.66%
319 2/25/2031 96604.89 4943.9 1.34 1.87 61.41%
320 3/25/2031 92224.18 4780.74 1.34 1.87 62.21%
321 4/25/2031 87981.06 4622.19 1.34 1.87 63.04%
322 5/25/2031 83871.73 4468.11 1.34 1.87 63.93%
323 6/25/2031 79892.49 4318.41 1.34 1.87 64.86%
324 7/25/2031 76039.75 4172.95 1.34 1.87 65.85%
325 8/25/2031 72309.98 4031.63 1.34 1.87 66.91%
326 9/25/2031 68699.76 3894.35 1.34 1.87 68.02%
327 10/25/2031 65205.77 3760.99 1.34 1.87 69.21%
328 11/25/2031 61824.77 3631.44 1.34 1.87 70.49%
329 12/25/2031 58553.58 3505.62 1.34 1.87 71.84%
330 1/25/2032 55389.14 3383.42 1.34 1.87 73.30%
331 2/25/2032 52328.44 3264.74 1.34 1.87 74.87%
332 3/25/2032 49368.58 3149.49 1.34 1.87 76.55%
333 4/25/2032 46506.7 3037.59 1.34 1.87 78.38%
334 5/25/2032 43740.04 2928.93 1.34 1.87 80.35%
335 6/25/2032 41065.9 2823.44 1.34 1.87 82.50%
336 7/25/2032 38481.67 2721.03 1.34 1.87 84.85%
337 8/25/2032 35984.77 2621.62 1.34 1.87 87.42%
338 9/25/2032 33572.74 2525.13 1.34 1.87 90.26%
339 10/25/2032 31243.14 2431.48 1.34 1.87 93.39%
340 11/25/2032 28993.61 2340.59 1.34 1.87 96.87%
341 12/25/2032 26821.86 2252.39 1.34 1.87 100.77%
342 1/25/2033 24725.66 2166.81 1.34 1.87 105.16%
343 2/25/2033 22702.82 2083.77 1.34 1.87 110.14%
344 3/25/2033 20751.23 2003.22 1.34 1.87 115.84%
345 4/25/2033 18868.83 1925.08 1.34 1.87 122.43%
346 5/25/2033 17053.6 1849.28 1.34 1.87 130.13%
347 6/25/2033 15303.6 1775.59 1.34 1.87 139.23%
348 7/25/2033 13617.1 1704.3 1.34 1.87 150.19%
349 8/25/2033 11992.06 1632.73 1.34 1.87 163.38%
350 9/25/2033 10429.12 1565.83 1.34 1.87 180.17%
351 10/25/2033 8924 1500.96 1.34 1.87 201.83%
352 11/25/2033 7474.97 1438.08 1.34 1.87 230.86%
353 12/25/2033 6080.39 1377.13 1.34 1.87 271.78%
354 1/25/2034 4738.64 1318.06 1.34 1.87 333.78%
355 2/25/2034 3448.16 1260.25 1.34 1.87 438.58%
356 3/25/2034 2207.97 1201.64 1.34 1.87 653.07%
357 4/25/2034 1019.19 1025.13 1.34 1.87 1206.99%
Total 0
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
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would contain material information not contained herein and to which prospective
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The following information may contain general, summary discussions of certain
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recipients should determine, in consultation with their own legal, tax,
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the legal, tax, regulatory and accounting characteristics and consequences, of
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indicative of future results. Price and availability are subject to change
without notice.
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persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
Excess Interest Shown before payback of basis risk - shortfalls - Does not
include Cap Cash Flow
4 CDR - 55% Loss Severity - 6m lag
Triggers Calculated
-----------------------------------------------------------------------------------------------------------
100PPC - Forward
-----------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 8/25/2004 747,387,981.63 2,950,411.81 1.34 1.87 4.74%
2 9/25/2004 732,497,187.50 2,586,180.97 1.5973 2.1038 4.24%
3 10/25/2004 717,745,082.03 2,438,307.86 1.832 2.296 4.08%
4 11/25/2004 703,124,413.85 2,249,857.40 1.9919 2.4673 3.84%
5 12/25/2004 688,629,198.77 2,131,198.75 2.2045 2.6493 3.71%
6 1/25/2005 674,254,569.04 1,936,106.77 2.382 2.8147 3.45%
7 2/25/2005 659,996,897.63 403,496.85 2.5538 2.9817 0.73%
8 3/25/2005 643,329,514.48 458,894.76 2.7428 3.1321 0.86%
9 4/25/2005 626,836,312.68 200,738.26 2.8865 3.2652 0.38%
10 5/25/2005 610,516,381.73 174,226.01 3.036 3.4133 0.34%
11 6/25/2005 594,369,937.06 23,698.65 3.2044 3.5332 0.05%
12 7/25/2005 578,398,166.77 15,380.39 3.3364 3.655 0.03%
13 8/25/2005 562,616,021.88 0.00 3.4321 3.7661 0.00%
14 9/25/2005 547,257,105.71 0.00 3.5931 3.878 0.00%
15 10/25/2005 532,310,907.07 0.00 3.7157 3.9811 0.00%
16 11/25/2005 517,767,187.98 0.00 3.7657 4.0683 0.00%
17 12/25/2005 503,615,997.24 0.00 3.9075 4.1596 0.00%
18 1/25/2006 489,847,585.09 0.00 4.0158 4.2407 0.00%
19 2/25/2006 476,452,468.97 0.00 4.0779 4.3207 0.00%
20 3/25/2006 463,421,355.03 0.00 4.2043 4.3863 0.00%
21 4/25/2006 450,744,593.57 0.00 4.2583 4.4421 0.00%
22 5/25/2006 438,412,915.13 0.00 4.2869 4.5088 0.00%
23 6/25/2006 426,476,232.95 0.00 4.3949 4.5633 0.00%
24 7/25/2006 414,862,550.09 0.00 4.4677 4.6178 0.00%
25 8/25/2006 403,563,162.16 0.00 4.4588 4.6655 0.00%
26 9/25/2006 392,569,598.68 0.00 4.5595 4.7195 0.00%
27 10/25/2006 381,873,710.23 0.00 4.6201 4.7685 0.00%
28 11/25/2006 371,467,601.35 0.00 4.6167 4.8126 0.00%
29 12/25/2006 361,368,384.61 0.00 4.7078 4.8612 0.00%
30 1/25/2007 351,542,020.58 0.00 4.7624 4.9039 0.00%
31 2/25/2007 341,981,167.53 0.00 4.7694 4.9488 0.00%
32 3/25/2007 332,678,680.76 0.00 4.8498 4.9916 0.00%
33 4/25/2007 323,627,709.19 0.00 4.8984 5.0292 0.00%
34 5/25/2007 314,822,344.80 0.00 4.8933 5.0725 0.00%
35 6/25/2007 306,277,581.68 0.00 4.9641 5.1114 0.00%
36 7/25/2007 297,963,270.15 0.00 5.0136 5.1518 0.00%
37 8/25/2007 289,873,219.85 0.00 5.0176 5.1879 0.00%
38 9/25/2007 282,001,406.29 0.00 5.0888 5.2289 0.00%
39 10/25/2007 274,341,981.69 0.00 5.1281 5.2676 0.00%
40 11/25/2007 266,889,511.53 0.00 5.1288 5.3012 0.00%
41 12/25/2007 259,651,916.39 0.00 5.1952 5.3375 0.00%
42 1/25/2008 252,609,331.05 102,450.99 5.2355 5.3697 0.49%
43 2/25/2008 245,756,522.12 189,925.29 5.2521 5.4032 0.93%
44 3/25/2008 239,088,396.33 249,584.72 5.3139 5.4338 1.25%
45 4/25/2008 232,600,007.92 162,121.51 5.3416 5.462 0.84%
46 5/25/2008 226,286,677.63 227,801.29 5.3356 5.4938 1.21%
47 6/25/2008 220,146,867.35 175,009.33 5.3896 5.5241 0.95%
48 7/25/2008 214,172,522.59 198,955.40 5.4232 5.5562 1.11%
49 8/25/2008 208,359,202.74 156,607.76 5.4309 5.5842 0.90%
50 9/25/2008 202,702,586.05 142,383.96 5.4866 5.6146 0.84%
51 10/25/2008 197,198,474.88 167,087.19 5.5132 5.6423 1.02%
52 11/25/2008 191,842,826.50 5,356,244.15 5.5195 5.6667 33.50%
53 12/25/2008 186,633,340.57 2,999,999.36 5.5723 5.6922 19.29%
54 1/25/2009 181,564,308.13 297,713.41 5.5957 5.7144 1.97%
55 2/25/2009 176,631,959.08 296,029.72 5.6041 5.7378 2.01%
56 3/25/2009 171,832,624.25 377,209.93 5.6519 5.758 2.63%
57 4/25/2009 167,162,738.40 280,087.81 5.6695 5.7759 2.01%
58 5/25/2009 162,618,841.49 343,084.62 5.6632 5.7982 2.53%
59 6/25/2009 158,187,806.44 302,595.68 5.7064 5.8092 2.30%
60 7/25/2009 153,876,480.54 320,717.87 5.7248 5.8203 2.50%
61 8/25/2009 149,681,646.72 287,466.34 5.7216 5.8338 2.30%
62 9/25/2009 145,600,174.07 275,823.58 5.7662 5.8695 2.27%
63 10/25/2009 141,629,019.38 293,274.01 5.7813 5.906 2.48%
64 11/25/2009 137,765,231.06 283,744.84 5.7302 5.9441 2.47%
65 12/25/2009 134,007,879.77 296,832.99 5.7689 6.0045 2.66%
66 1/25/2010 130,352,083.31 262,973.24 5.8097 6.0609 2.42%
67 2/25/2010 126,795,112.02 245,410.90 5.9238 6.1141 2.32%
68 3/25/2010 123,334,309.33 300,644.27 5.9848 6.1095 2.93%
69 4/25/2010 119,967,096.93 224,202.53 6.0219 6.0916 2.24%
70 5/25/2010 116,690,973.08 245,654.31 6.0686 6.0698 2.53%
71 6/25/2010 113,504,797.88 214,735.76 6.1078 6.0473 2.27%
72 7/25/2010 110,404,790.64 229,211.86 6.1088 6.0234 2.49%
73 8/25/2010 107,388,634.64 221,838.51 5.901 6.004 2.48%
74 9/25/2010 104,454,075.19 218,413.36 5.8723 6.0285 2.51%
75 10/25/2010 101,598,915.97 228,072.62 5.9032 6.0616 2.69%
76 11/25/2010 98,821,020.62 204,417.62 5.9341 6.0929 2.48%
77 12/25/2010 96,118,632.07 213,547.96 5.9682 6.1286 2.67%
78 1/25/2011 93,489,394.01 188,705.86 5.9996 6.1609 2.42%
79 2/25/2011 90,931,338.68 158,618.99 6.0364 6.1905 2.09%
80 3/25/2011 88,442,551.03 120,555.50 6.0691 6.1847 1.64%
81 4/25/2011 86,021,170.83 69,471.83 6.097 6.1714 0.97%
82 5/25/2011 83,665,390.43 84,439.08 6.1333 6.1558 1.21%
83 6/25/2011 81,373,824.93 66,278.25 6.1633 6.1393 0.98%
84 7/25/2011 79,144,346.71 79,855.06 6.1645 6.1222 1.21%
85 8/25/2011 76,975,284.73 74,621.33 6.0062 6.1072 1.16%
86 9/25/2011 74,865,012.74 74,832.66 5.9857 6.1174 1.20%
87 10/25/2011 72,811,946.76 58,685.48 6.0107 6.1327 0.97%
88 11/25/2011 70,814,544.94 42,974.07 6.0354 6.1459 0.73%
89 12/25/2011 68,871,260.18 54,435.38 6.0627 6.1616 0.95%
90 1/25/2012 66,980,687.61 40,287.90 6.0807 6.175 0.72%
91 2/25/2012 65,141,407.51 41,211.21 6.0603 6.1889 0.76%
92 3/25/2012 63,352,038.22 64,186.31 6.0742 6.1942 1.22%
93 4/25/2012 61,611,236.47 39,146.39 6.0955 6.1978 0.76%
94 5/25/2012 59,917,696.80 50,968.13 6.1224 6.2022 1.02%
95 6/25/2012 58,270,405.19 38,469.89 6.1453 6.2045 0.79%
96 7/25/2012 56,667,845.20 48,544.23 6.1563 6.208 1.03%
97 8/25/2012 55,108,811.30 40,478.15 6.0942 6.2131 0.88%
98 9/25/2012 53,592,130.28 40,096.03 6.0959 6.2457 0.90%
99 10/25/2012 52,116,661.22 48,599.03 6.1177 6.2824 1.12%
100 11/25/2012 50,681,297.20 41,163.88 6.1385 6.3172 0.97%
101 12/25/2012 49,285,418.06 49,057.90 6.1623 6.3572 1.19%
102 1/25/2013 47,927,482.03 37,868.60 6.1919 6.3939 0.95%
103 2/25/2013 46,606,465.96 33,892.65 6.2766 6.4298 0.87%
104 3/25/2013 45,321,374.17 57,553.90 6.3141 6.4377 1.52%
105 4/25/2013 44,071,240.17 30,516.28 6.3345 6.4392 0.83%
106 5/25/2013 42,855,126.19 40,179.78 6.3616 6.4419 1.13%
107 6/25/2013 41,672,542.40 30,648.66 6.3836 6.4422 0.88%
108 7/25/2013 40,522,138.08 37,440.25 6.3929 6.4435 1.11%
109 8/25/2013 39,403,044.99 31,211.05 6.3249 6.446 0.95%
110 9/25/2013 38,314,418.21 30,580.14 6.3244 6.4713 0.96%
111 10/25/2013 37,255,435.89 36,388.45 6.3454 6.4998 1.17%
112 11/25/2013 36,225,300.05 29,956.93 6.3655 6.5266 0.99%
113 12/25/2013 35,223,484.46 35,392.47 6.3884 6.5577 1.21%
114 1/25/2014 34,248,963.44 27,514.08 6.4128 6.5857 0.96%
115 2/25/2014 33,301,000.04 25,634.14 6.4656 6.6113 0.92%
116 3/25/2014 32,378,877.11 43,023.59 6.4942 6.6029 1.59%
117 4/25/2014 31,481,898.01 23,595.55 6.5128 6.588 0.90%
118 5/25/2014 30,609,385.54 29,238.58 6.5382 6.5714 1.15%
119 6/25/2014 29,760,792.49 22,516.09 6.5582 6.554 0.91%
120 7/25/2014 28,935,352.68 27,755.10 6.5545 6.5365 1.15%
121 8/25/2014 28,132,440.45 24,649.99 6.4208 6.5223 1.05%
122 9/25/2014 27,351,446.95 24,596.55 6.401 6.5396 1.08%
123 10/25/2014 26,591,779.15 28,777.12 6.4184 6.5625 1.30%
124 11/25/2014 25,852,860.21 23,225.98 6.4356 6.584 1.08%
125 12/25/2014 25,134,158.65 27,166.55 6.4553 6.6093 1.30%
126 1/25/2015 24,435,098.30 21,707.76 6.4754 6.6319 1.07%
127 2/25/2015 23,755,147.89 20,657.94 6.5152 6.653 1.04%
128 3/25/2015 23,093,790.42 33,006.91 6.5381 6.648 1.72%
129 4/25/2015 22,450,523.61 19,403.70 6.5538 6.6381 1.04%
130 5/25/2015 21,824,859.20 23,427.65 6.5757 6.6277 1.29%
131 6/25/2015 21,216,405.37 18,770.17 6.5927 6.6159 1.06%
132 7/25/2015 20,624,607.32 22,393.39 6.5918 6.6045 1.30%
133 8/25/2015 20,049,014.09 19,720.40 6.4898 6.5948 1.18%
134 9/25/2015 19,489,186.86 19,683.97 6.4765 6.6073 1.21%
135 10/25/2015 18,944,698.33 22,753.55 6.492 6.6239 1.44%
136 11/25/2015 18,415,132.90 18,983.07 6.5072 6.6385 1.24%
137 12/25/2015 17,900,105.27 21,868.01 6.5245 6.6563 1.47%
138 1/25/2016 17,399,202.32 18,223.58 6.5396 6.6715 1.26%
139 2/25/2016 16,912,041.21 17,864.60 6.5565 6.6833 1.27%
140 3/25/2016 16,438,249.38 23,538.76 6.5729 6.6611 1.72%
141 4/25/2016 15,977,464.63 17,244.15 6.5866 6.6323 1.30%
142 5/25/2016 15,529,334.05 19,417.60 6.6049 6.6008 1.50%
143 6/25/2016 15,093,457.13 16,339.69 6.619 6.5697 1.30%
144 7/25/2016 14,669,559.80 19,026.99 6.6033 6.5377 1.56%
145 8/25/2016 14,257,316.92 17,829.35 6.4315 6.5111 1.50%
146 9/25/2016 13,856,412.12 17,958.80 6.3973 6.5241 1.56%
147 10/25/2016 13,466,536.86 20,027.21 6.4084 6.5448 1.78%
148 11/25/2016 13,087,390.63 17,428.23 6.4198 6.5643 1.60%
149 12/25/2016 12,718,635.32 19,662.93 6.4336 6.5876 1.86%
150 1/25/2017 12,360,038.15 17,524.33 6.4503 6.6084 1.70%
151 2/25/2017 12,011,323.01 17,330.13 6.5006 6.6276 1.73%
152 3/25/2017 11,672,221.26 23,230.81 6.5217 6.6214 2.39%
153 4/25/2017 11,342,471.94 17,474.40 6.5325 6.6107 1.85%
154 5/25/2017 11,021,821.34 19,578.06 6.5483 6.5995 2.13%
155 6/25/2017 10,710,061.46 17,865.93 6.56 6.587 2.00%
156 7/25/2017 10,406,908.76 19,719.12 6.5566 6.5751 2.27%
157 8/25/2017 10,112,129.00 18,697.15 6.4684 6.567 2.22%
158 9/25/2017 9,825,494.27 18,902.46 6.4549 6.5949 2.31%
159 10/25/2017 9,546,782.69 20,429.82 6.4656 6.6289 2.57%
160 11/25/2017 9,275,778.85 19,380.15 6.476 6.6614 2.51%
161 12/25/2017 9,012,334.41 20,769.55 6.4889 6.6991 2.77%
162 1/25/2018 8,756,179.99 19,450.82 6.5132 6.7335 2.67%
163 2/25/2018 8,507,116.94 19,118.55 6.6231 6.7656 2.70%
164 3/25/2018 8,264,951.95 22,658.41 6.6583 6.7617 3.29%
165 4/25/2018 8,029,497.52 19,232.92 6.6693 6.7509 2.87%
166 5/25/2018 7,800,571.59 20,731.48 6.6851 6.7395 3.19%
167 6/25/2018 7,578,061.81 19,803.98 6.6965 6.7269 3.14%
168 7/25/2018 7,361,724.15 20,977.56 6.6929 6.7147 3.42%
169 8/25/2018 7,151,390.19 20,466.63 6.6043 6.7054 3.43%
170 9/25/2018 6,946,896.07 20,674.99 6.5908 6.7238 3.57%
171 10/25/2018 6,748,082.22 21,616.13 6.6014 6.7468 3.84%
172 11/25/2018 6,554,793.58 21,057.32 6.6116 6.7684 3.86%
173 12/25/2018 6,366,900.05 21,899.16 6.6242 6.7942 4.13%
174 1/25/2019 6,184,182.30 21,355.09 6.6418 6.8171 4.14%
175 2/25/2019 6,006,500.48 21,500.18 6.7054 6.8344 4.30%
176 3/25/2019 5,833,718.49 23,462.70 6.7289 6.8025 4.83%
177 4/25/2019 5,660,147.86 21,991.30 6.7387 6.7625 4.66%
178 5/25/2019 4,906,089.51 23,742.38 6.7535 6.7167 5.81%
179 6/25/2019 4,764,975.72 23,626.40 6.7634 6.673 5.95%
180 7/25/2019 4,627,805.23 24,151.60 6.7373 6.6276 6.26%
181 8/25/2019 4,494,469.70 24,284.40 6.5256 6.5881 6.48%
182 9/25/2019 4,364,863.74 24,522.49 6.4779 6.5852 6.74%
183 10/25/2019 4,238,884.35 24,853.88 6.4847 6.5908 7.04%
184 11/25/2019 4,116,430.86 24,597.52 6.4922 6.5951 7.17%
185 12/25/2019 3,997,338.81 24,870.20 6.5016 6.6017 7.47%
186 1/25/2020 3,881,586.37 24,996.73 6.5075 6.6065 7.73%
187 2/25/2020 3,769,081.61 102,395.46 6.5046 6.6093 32.60%
188 3/25/2020 3,659,735.05 130,997.39 6.5102 6.5914 42.95%
189 4/25/2020 3,553,459.71 127,289.20 6.5166 6.57 42.99%
190 5/25/2020 3,450,170.76 123,603.47 6.5265 6.547 42.99%
191 6/25/2020 3,349,762.26 120,100.10 6.5333 6.524 43.02%
192 7/25/2020 3,252,179.15 116,693.86 6.5205 6.5009 43.06%
193 8/25/2020 3,157,343.46 113,382.09 6.404 6.4828 43.09%
194 9/25/2020 3,065,179.36 110,161.70 6.3795 6.5024 43.13%
195 10/25/2020 2,975,612.94 107,030.33 6.385 6.5292 43.16%
196 11/25/2020 2,888,572.34 103,997.34 6.3907 6.5546 43.20%
197 12/25/2020 2,803,991.29 101,038.18 6.3985 6.5845 43.24%
198 1/25/2021 2,721,798.46 98,161.24 6.4168 6.6116 43.28%
199 2/25/2021 2,641,927.83 95,364.27 6.5121 6.6356 43.32%
200 3/25/2021 2,564,315.16 92,645.67 6.5398 6.6231 43.35%
201 4/25/2021 2,488,898.15 90,003.45 6.5462 6.6042 43.39%
202 5/25/2021 2,415,616.26 87,466.49 6.5562 6.5833 43.45%
203 6/25/2021 2,344,420.52 84,967.45 6.5624 6.5622 43.49%
204 7/25/2021 2,275,242.29 82,538.01 6.5509 6.5411 43.53%
205 8/25/2021 2,208,025.68 80,176.27 6.4435 6.5252 43.57%
206 9/25/2021 2,142,716.32 77,880.08 6.421 6.5499 43.62%
207 10/25/2021 2,079,261.22 75,647.90 6.4262 6.5821 43.66%
208 11/25/2021 2,017,608.95 73,506.37 6.4316 6.6128 43.72%
209 12/25/2021 1,957,718.93 71,396.82 6.4391 6.6486 43.76%
210 1/25/2022 1,899,532.63 69,346.17 6.4606 6.6813 43.81%
211 2/25/2022 1,843,002.75 67,352.81 6.5803 6.7105 43.85%
212 3/25/2022 1,788,083.28 65,415.65 6.6137 6.6989 43.90%
213 4/25/2022 1,734,729.61 63,533.35 6.6201 6.6798 43.95%
214 5/25/2022 1,682,898.44 61,738.65 6.63 6.6588 44.02%
215 6/25/2022 1,632,559.51 59,958.43 6.6361 6.6376 44.07%
216 7/25/2022 1,583,658.46 58,228.05 6.6245 6.6164 44.12%
217 8/25/2022 1,536,155.28 56,546.14 6.5169 6.6003 44.17%
218 9/25/2022 1,490,011.04 54,911.17 6.4943 6.6241 44.22%
219 10/25/2022 1,445,187.81 53,321.99 6.4995 6.6552 44.28%
220 11/25/2022 1,401,648.76 51,794.51 6.5048 6.6849 44.34%
221 12/25/2022 1,359,364.25 50,293.19 6.5123 6.7196 44.40%
222 1/25/2023 1,318,293.03 48,834.02 6.5331 6.7511 44.45%
223 2/25/2023 1,278,401.26 47,415.85 6.6485 6.7782 44.51%
224 3/25/2023 1,239,655.99 46,037.84 6.6807 6.7595 44.57%
225 4/25/2023 1,202,025.32 44,698.92 6.6868 6.7327 44.62%
226 5/25/2023 1,165,478.21 43,406.51 6.6966 6.7027 44.69%
227 6/25/2023 1,129,987.68 42,141.13 6.7024 6.6733 44.75%
228 7/25/2023 1,095,520.54 40,911.39 6.6848 6.6433 44.81%
229 8/25/2023 1,062,048.13 39,716.32 6.5444 6.6177 44.88%
230 9/25/2023 1,029,542.62 38,554.72 6.5129 6.6227 44.94%
231 10/25/2023 997,976.82 37,425.54 6.5173 6.6344 45.00%
232 11/25/2023 967,324.25 36,303.53 6.522 6.6444 45.04%
233 12/25/2023 937,549.61 35,238.34 6.5285 6.6573 45.10%
234 1/25/2024 908,638.48 34,203.24 6.5369 6.6681 45.17%
235 2/25/2024 880,566.64 33,197.42 6.5686 6.6731 45.24%
236 3/25/2024 853,310.53 32,208.58 6.5805 6.6336 45.29%
237 4/25/2024 826,858.72 31,239.22 6.5848 6.586 45.34%
238 5/25/2024 801,196.76 30,249.75 6.5921 6.5338 45.31%
239 6/25/2024 776,294.81 29,356.54 6.596 6.4838 45.38%
240 7/25/2024 752,118.88 28,488.69 6.5628 6.4321 45.45%
241 8/25/2024 728,648.51 27,645.48 6.3435 6.3873 45.53%
242 9/25/2024 705,863.82 26,825.93 6.2898 6.3835 45.61%
243 10/25/2024 683,745.34 26,029.10 6.291 6.3885 45.68%
244 11/25/2024 662,274.05 25,214.90 6.2935 6.393 45.69%
245 12/25/2024 641,414.44 24,464.31 6.2973 6.3998 45.77%
246 1/25/2025 621,167.37 23,735.12 6.3015 6.4049 45.85%
247 2/25/2025 601,515.51 23,026.74 6.3166 6.4046 45.94%
248 3/25/2025 582,442.02 22,338.57 6.322 6.3642 46.02%
249 4/25/2025 563,930.51 21,669.82 6.3239 6.3185 46.11%
250 5/25/2025 545,964.95 20,990.48 6.329 6.2662 46.14%
251 6/25/2025 528,516.42 20,360.18 6.3305 6.217 46.23%
252 7/25/2025 511,584.23 19,747.95 6.2971 6.1659 46.32%
253 8/25/2025 495,153.70 19,153.27 6.0877 6.1231 46.42%
254 9/25/2025 479,210.55 18,575.48 6.0346 6.1292 46.52%
255 10/25/2025 463,740.85 18,013.96 6.0336 6.146 46.61%
256 11/25/2025 448,730.95 17,449.13 6.0339 6.162 46.66%
257 12/25/2025 434,158.57 16,920.24 6.0357 6.1814 46.77%
258 1/25/2026 420,020.97 16,406.60 6.0462 6.1985 46.87%
259 2/25/2026 406,305.73 15,907.76 6.1185 6.2103 46.98%
260 3/25/2026 393,000.79 15,423.36 6.1362 6.1777 47.09%
261 4/25/2026 380,094.43 14,952.89 6.1371 6.1383 47.21%
262 5/25/2026 367,575.22 14,485.40 6.1404 6.0932 47.29%
263 6/25/2026 355,426.82 14,041.94 6.1405 6.0506 47.41%
264 7/25/2026 343,644.05 13,611.33 6.1112 6.0065 47.53%
265 8/25/2026 332,216.40 13,193.20 5.9337 5.9705 47.66%
266 9/25/2026 321,133.68 12,787.11 5.8879 5.9842 47.78%
267 10/25/2026 310,385.93 12,392.66 5.886 6.0084 47.91%
268 11/25/2026 299,963.44 12,002.26 5.8852 6.0316 48.01%
269 12/25/2026 289,853.03 11,630.78 5.8859 6.0588 48.15%
270 1/25/2027 280,049.79 11,270.13 5.9005 6.0835 48.29%
271 2/25/2027 270,544.86 10,920.00 6.0079 6.1027 48.44%
272 3/25/2027 261,329.63 10,580.13 6.0333 6.0745 48.58%
273 4/25/2027 252,395.76 10,250.20 6.0338 6.0384 48.73%
274 5/25/2027 243,735.09 9,926.44 6.0361 5.9971 48.87%
275 6/25/2027 235,337.87 9,615.56 6.0355 5.9581 49.03%
276 7/25/2027 227,198.36 9,313.79 6.0084 5.9178 49.19%
277 8/25/2027 219,309.09 9,020.87 5.8478 5.8849 49.36%
278 9/25/2027 211,662.81 8,736.51 5.8059 5.8986 49.53%
279 10/25/2027 204,252.40 8,460.43 5.8036 5.923 49.71%
280 11/25/2027 197,070.97 8,188.51 5.8022 5.9454 49.86%
281 12/25/2027 190,109.65 7,928.65 5.8023 5.9717 50.05%
282 1/25/2028 183,364.39 7,676.47 5.8162 5.9955 50.24%
283 2/25/2028 176,828.89 7,431.74 5.9222 6.0147 50.43%
284 3/25/2028 170,497.03 7,194.27 5.9474 5.9922 50.64%
285 4/25/2028 164,362.85 6,963.86 5.9474 5.9617 50.84%
286 5/25/2028 158,420.59 6,739.17 5.9485 5.9283 51.05%
287 6/25/2028 152,663.98 6,522.21 5.9475 5.8962 51.27%
288 7/25/2028 147,088.21 6,311.71 5.9249 5.8632 51.49%
289 8/25/2028 141,687.97 6,107.47 5.7945 5.8376 51.73%
290 9/25/2028 136,458.12 5,909.30 5.7603 5.8605 51.97%
291 10/25/2028 131,393.60 5,717.02 5.7579 5.893 52.21%
292 11/25/2028 126,489.55 5,530.33 5.7563 5.9242 52.47%
293 12/25/2028 121,741.13 5,349.44 5.7564 5.9603 52.73%
294 1/25/2029 117,143.88 5,173.97 5.7758 5.9934 53.00%
295 2/25/2029 112,693.32 5,003.76 5.9212 6.0206 53.28%
296 3/25/2029 108,385.12 4,838.69 5.9551 5.995 53.57%
297 4/25/2029 104,215.08 4,678.61 5.9555 5.9602 53.87%
298 5/25/2029 100,179.09 4,521.92 5.9572 5.9205 54.17%
299 6/25/2029 96,274.32 4,371.37 5.9561 5.8828 54.49%
300 7/25/2029 92,495.69 4,225.37 5.9297 5.8441 54.82%
301 8/25/2029 88,839.44 4,083.79 5.9297 5.8441 55.16%
302 9/25/2029 85,301.91 3,946.49 5.9297 5.8441 55.52%
303 10/25/2029 81,879.56 3,813.32 5.9297 5.8441 55.89%
304 11/25/2029 78,568.91 3,681.97 5.9297 5.8441 56.24%
305 12/25/2029 75,365.19 3,556.86 5.9297 5.8441 56.63%
306 1/25/2030 72,266.73 3,435.57 5.9297 5.8441 57.05%
307 2/25/2030 69,270.37 3,317.98 5.9297 5.8441 57.48%
308 3/25/2030 66,373.05 3,204.00 5.9297 5.8441 57.93%
309 4/25/2030 63,571.77 3,093.52 5.9297 5.8441 58.39%
310 5/25/2030 60,863.64 2,986.43 5.9297 5.8441 58.88%
311 6/25/2030 58,245.85 2,882.64 5.9297 5.8441 59.39%
312 7/25/2030 55,715.66 2,782.05 5.9297 5.8441 59.92%
313 8/25/2030 53,270.41 2,684.57 5.9297 5.8441 60.47%
314 9/25/2030 50,907.54 2,590.10 5.9297 5.8441 61.05%
315 10/25/2030 48,624.54 2,498.57 5.9297 5.8441 61.66%
316 11/25/2030 46,418.97 2,409.88 5.9297 5.8441 62.30%
317 12/25/2030 44,288.47 2,323.95 5.9297 5.8441 62.97%
318 1/25/2031 42,230.75 2,240.69 5.9297 5.8441 63.67%
319 2/25/2031 40,243.59 2,160.04 5.9297 5.8441 64.41%
320 3/25/2031 38,324.82 2,081.92 5.9297 5.8441 65.19%
321 4/25/2031 36,472.34 2,006.25 5.9297 5.8441 66.01%
322 5/25/2031 34,684.12 1,932.95 5.9297 5.8441 66.88%
323 6/25/2031 32,958.17 1,861.97 5.9297 5.8441 67.79%
324 7/25/2031 31,292.58 1,793.22 5.9297 5.8441 68.77%
325 8/25/2031 29,685.47 1,726.65 5.9297 5.8441 69.80%
326 9/25/2031 28,135.04 1,662.20 5.9297 5.8441 70.90%
327 10/25/2031 26,639.52 1,599.79 5.9297 5.8441 72.06%
328 11/25/2031 25,197.22 1,539.37 5.9297 5.8441 73.31%
329 12/25/2031 23,806.47 1,480.88 5.9297 5.8441 74.65%
330 1/25/2032 22,465.66 1,424.26 5.9297 5.8441 76.08%
331 2/25/2032 21,173.23 1,369.45 5.9297 5.8441 77.61%
332 3/25/2032 19,927.67 1,316.41 5.9297 5.8441 79.27%
333 4/25/2032 18,727.51 1,265.08 5.9297 5.8441 81.06%
334 5/25/2032 17,571.30 1,215.41 5.9297 5.8441 83.00%
335 6/25/2032 16,457.68 1,167.35 5.9297 5.8441 85.12%
336 7/25/2032 15,385.29 1,120.85 5.9297 5.8441 87.42%
337 8/25/2032 14,352.83 1,075.87 5.9297 5.8441 89.95%
338 9/25/2032 13,359.03 1,032.36 5.9297 5.8441 92.73%
339 10/25/2032 12,402.66 990.27 5.9297 5.8441 95.81%
340 11/25/2032 11,482.53 949.56 5.9297 5.8441 99.24%
341 12/25/2032 10,597.47 910.20 5.9297 5.8441 103.07%
342 1/25/2033 9,746.37 872.14 5.9297 5.8441 107.38%
343 2/25/2033 8,928.13 835.34 5.9297 5.8441 112.28%
344 3/25/2033 8,141.70 799.77 5.9297 5.8441 117.88%
345 4/25/2033 7,386.04 765.38 5.9297 5.8441 124.35%
346 5/25/2033 6,660.17 732.14 5.9297 5.8441 131.91%
347 6/25/2033 5,963.11 699.95 5.9297 5.8441 140.86%
348 7/25/2033 5,294.00 668.91 5.9297 5.8441 151.62%
349 8/25/2033 4,651.86 637.89 5.9297 5.8441 164.55%
350 9/25/2033 4,036.84 608.97 5.9297 5.8441 181.02%
351 10/25/2033 3,447.00 581.14 5.9297 5.8441 202.31%
352 11/25/2033 2,881.52 554.98 5.9297 5.8441 231.12%
353 12/25/2033 2,339.57 529.91 5.9297 5.8441 271.80%
354 1/25/2034 1,820.25 505.58 5.9297 5.8441 333.30%
355 2/25/2034 1,322.91 481.80 5.9297 5.8441 437.04%
356 3/25/2034 847.12 457.59 5.9297 5.8441 648.21%
357 4/25/2034 393.4 395.23 5.9297 5.8441 1205.58%
4 CDR - 55% Loss Severity - 6m lag
Triggers Calculated
-----------------------------------------------------------------------------------------------------------
100PPC - Forward +200
-----------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 8/25/2004 747,387,981.63 2,950,411.81 1.34 1.87 4.74%
2 9/25/2004 732,497,187.50 1,351,688.57 3.5973 4.1038 2.21%
3 10/25/2004 717,745,082.03 1,273,042.18 3.832 4.296 2.13%
4 11/25/2004 703,124,413.85 1,075,303.21 3.9919 4.4673 1.84%
5 12/25/2004 688,629,198.77 1,020,774.35 4.2045 4.6493 1.78%
6 1/25/2005 674,254,569.04 821,943.01 4.382 4.8147 1.46%
7 2/25/2005 659,996,897.63 0.00 4.5538 4.9817 0.00%
8 3/25/2005 643,329,514.48 0.00 4.7428 5.1321 0.00%
9 4/25/2005 626,836,312.68 0.00 4.8865 5.2652 0.00%
10 5/25/2005 610,516,381.73 0.00 5.036 5.4133 0.00%
11 6/25/2005 594,369,937.06 0.00 5.2044 5.5332 0.00%
12 7/25/2005 578,398,166.77 0.00 5.3364 5.655 0.00%
13 8/25/2005 562,616,021.88 0.00 5.4321 5.7661 0.00%
14 9/25/2005 547,257,105.71 0.00 5.5931 5.878 0.00%
15 10/25/2005 532,310,907.07 0.00 5.7157 5.9811 0.00%
16 11/25/2005 517,767,187.98 0.00 5.7657 6.0683 0.00%
17 12/25/2005 503,615,997.24 0.00 5.9075 6.1596 0.00%
18 1/25/2006 489,847,585.09 0.00 6.0158 6.2407 0.00%
19 2/25/2006 476,452,468.97 0.00 6.0779 6.3207 0.00%
20 3/25/2006 463,421,355.03 0.00 6.2043 6.3863 0.00%
21 4/25/2006 450,744,593.57 0.00 6.2583 6.4421 0.00%
22 5/25/2006 438,412,915.13 0.00 6.2869 6.5088 0.00%
23 6/25/2006 426,476,242.57 0.00 6.3949 6.5633 0.00%
24 7/25/2006 414,862,568.85 0.00 6.4677 6.6178 0.00%
25 8/25/2006 403,563,189.60 0.00 6.4588 6.6655 0.00%
26 9/25/2006 392,569,634.36 0.00 6.5595 6.7195 0.00%
27 10/25/2006 381,873,753.74 0.00 6.6201 6.7685 0.00%
28 11/25/2006 371,467,652.27 0.00 6.6167 6.8126 0.00%
29 12/25/2006 361,368,454.10 0.00 6.7078 6.8612 0.00%
30 1/25/2007 351,542,107.71 0.00 6.7624 6.9039 0.00%
31 2/25/2007 341,981,271.39 0.00 6.7694 6.9488 0.00%
32 3/25/2007 332,678,800.48 0.00 6.8498 6.9916 0.00%
33 4/25/2007 323,627,851.56 0.00 6.8984 7.0292 0.00%
34 5/25/2007 314,822,508.65 0.00 6.8933 7.0725 0.00%
35 6/25/2007 306,277,787.37 0.00 6.9641 7.1114 0.00%
36 7/25/2007 297,963,515.57 0.00 7.0136 7.1518 0.00%
37 8/25/2007 289,873,502.95 0.00 7.0176 7.1879 0.00%
38 9/25/2007 282,001,725.08 0.00 7.0888 7.2289 0.00%
39 10/25/2007 274,342,378.33 0.00 7.1281 7.2676 0.00%
40 11/25/2007 266,889,996.03 0.00 7.1288 7.3012 0.00%
41 12/25/2007 259,653,288.11 0.00 7.1952 7.3375 0.00%
42 1/25/2008 252,611,546.20 0.00 7.2355 7.3697 0.00%
43 2/25/2008 245,759,538.51 0.00 7.2521 7.4032 0.00%
44 3/25/2008 239,092,173.31 0.00 7.3139 7.4338 0.00%
45 4/25/2008 232,604,539.23 0.00 7.3416 7.462 0.00%
46 5/25/2008 226,291,991.27 0.00 7.3356 7.4938 0.00%
47 6/25/2008 220,160,408.98 0.00 7.3896 7.5241 0.00%
48 7/25/2008 214,193,887.56 0.00 7.4232 7.5562 0.00%
49 8/25/2008 208,388,001.13 0.00 7.4309 7.5842 0.00%
50 9/25/2008 202,738,442.22 0.00 7.4866 7.6146 0.00%
51 10/25/2008 197,241,036.38 0.00 7.5132 7.6423 0.00%
52 11/25/2008 191,891,840.99 0.00 7.5195 7.6667 0.00%
53 12/25/2008 186,693,584.17 0.00 7.5723 7.6922 0.00%
54 1/25/2009 181,635,207.70 0.00 7.5957 7.7144 0.00%
55 2/25/2009 176,712,962.50 0.00 7.6041 7.7378 0.00%
56 3/25/2009 171,923,199.78 0.00 7.6519 7.758 0.00%
57 4/25/2009 167,262,372.42 0.00 7.6695 7.7759 0.00%
58 5/25/2009 162,727,064.45 0.00 7.6632 7.7982 0.00%
59 6/25/2009 158,305,105.10 0.00 7.7064 7.8092 0.00%
60 7/25/2009 154,002,350.04 0.00 7.7248 7.8203 0.00%
61 8/25/2009 149,815,601.22 0.00 7.7216 7.8338 0.00%
62 9/25/2009 145,741,746.11 0.00 7.7662 7.8695 0.00%
63 10/25/2009 141,777,758.28 0.00 7.7813 7.906 0.00%
64 11/25/2009 137,920,686.66 0.00 7.7302 7.9441 0.00%
65 12/25/2009 134,168,460.61 0.00 7.7689 8.0045 0.00%
66 1/25/2010 130,517,448.54 0.00 7.8097 8.0609 0.00%
67 2/25/2010 126,964,934.18 0.00 7.9238 8.1141 0.00%
68 3/25/2010 123,508,273.93 0.00 7.9848 8.1095 0.00%
69 4/25/2010 120,144,900.11 0.00 8.0219 8.0916 0.00%
70 5/25/2010 116,872,303.29 0.00 8.0686 8.0698 0.00%
71 6/25/2010 113,688,538.90 0.00 8.1078 8.0473 0.00%
72 7/25/2010 110,590,718.12 0.00 8.1088 8.0234 0.00%
73 8/25/2010 107,576,533.58 0.00 7.901 8.004 0.00%
74 9/25/2010 104,643,739.64 0.00 7.8723 8.0285 0.00%
75 10/25/2010 101,790,149.24 0.00 7.9032 8.0616 0.00%
76 11/25/2010 99,013,636.97 0.00 7.9341 8.0929 0.00%
77 12/25/2010 96,312,394.82 0.00 7.9682 8.1286 0.00%
78 1/25/2011 93,684,132.98 0.00 7.9996 8.1609 0.00%
79 2/25/2011 91,126,891.16 0.00 8.0364 8.1905 0.00%
80 3/25/2011 88,638,761.57 0.00 8.0691 8.1847 0.00%
81 4/25/2011 86,217,889.00 0.00 8.097 8.1714 0.00%
82 5/25/2011 83,862,464.82 0.00 8.1333 8.1558 0.00%
83 6/25/2011 81,570,819.32 0.00 8.1633 8.1393 0.00%
84 7/25/2011 79,341,147.64 0.00 8.1645 8.1222 0.00%
85 8/25/2011 77,171,784.20 0.00 8.0062 8.1072 0.00%
86 9/25/2011 75,061,108.03 0.00 7.9857 8.1174 0.00%
87 10/25/2011 73,007,541.44 0.00 8.0107 8.1327 0.00%
88 11/25/2011 71,009,549.25 0.00 8.0354 8.1459 0.00%
89 12/25/2011 69,065,639.83 0.00 8.0627 8.1616 0.00%
90 1/25/2012 67,174,356.30 0.00 8.0807 8.175 0.00%
91 2/25/2012 65,334,283.44 0.00 8.0603 8.1889 0.00%
92 3/25/2012 63,544,043.93 0.00 8.0742 8.1942 0.00%
93 4/25/2012 61,802,297.49 0.00 8.0955 8.1978 0.00%
94 5/25/2012 60,107,739.46 0.00 8.1224 8.2022 0.00%
95 6/25/2012 58,459,100.49 0.00 8.1453 8.2045 0.00%
96 7/25/2012 56,855,144.81 0.00 8.1563 8.208 0.00%
97 8/25/2012 55,294,669.99 0.00 8.0942 8.2131 0.00%
98 9/25/2012 53,776,505.80 0.00 8.0959 8.2457 0.00%
99 10/25/2012 52,299,513.46 0.00 8.1177 8.2824 0.00%
100 11/25/2012 50,862,584.56 0.00 8.1385 8.3172 0.00%
101 12/25/2012 49,464,640.66 0.00 8.1623 8.3572 0.00%
102 1/25/2013 48,104,631.82 0.00 8.1919 8.3939 0.00%
103 2/25/2013 46,781,536.48 0.00 8.2766 8.4298 0.00%
104 3/25/2013 45,494,360.44 0.00 8.3141 8.4377 0.00%
105 4/25/2013 44,242,136.40 0.00 8.3345 8.4392 0.00%
106 5/25/2013 43,023,922.51 0.00 8.3616 8.4419 0.00%
107 6/25/2013 41,838,802.47 0.00 8.3836 8.4422 0.00%
108 7/25/2013 40,685,884.44 0.00 8.3929 8.4435 0.00%
109 8/25/2013 39,564,300.55 0.00 8.3249 8.446 0.00%
110 9/25/2013 38,473,206.21 0.00 8.3244 8.4713 0.00%
111 10/25/2013 37,411,779.52 0.00 8.3454 8.4998 0.00%
112 11/25/2013 36,379,220.56 0.00 8.3655 8.5266 0.00%
113 12/25/2013 35,374,750.94 0.00 8.3884 8.5577 0.00%
114 1/25/2014 34,397,613.06 0.00 8.4128 8.5857 0.00%
115 2/25/2014 33,447,069.71 0.00 8.4656 8.6113 0.00%
116 3/25/2014 32,522,403.44 0.00 8.4942 8.6029 0.00%
117 4/25/2014 31,622,916.11 0.00 8.5128 8.588 0.00%
118 5/25/2014 30,747,928.21 0.00 8.5382 8.5714 0.00%
119 6/25/2014 29,896,778.57 0.00 8.5582 8.554 0.00%
120 7/25/2014 29,068,823.69 0.00 8.5545 8.5365 0.00%
121 8/25/2014 28,263,437.38 0.00 8.4208 8.5223 0.00%
122 9/25/2014 27,480,010.25 0.00 8.401 8.5396 0.00%
123 10/25/2014 26,717,949.30 0.00 8.4184 8.5625 0.00%
124 11/25/2014 25,976,677.41 0.00 8.4356 8.584 0.00%
125 12/25/2014 25,255,633.00 0.00 8.4553 8.6093 0.00%
126 1/25/2015 24,554,269.53 0.00 8.4754 8.6319 0.00%
127 2/25/2015 23,872,055.18 0.00 8.5152 8.653 0.00%
128 3/25/2015 23,208,472.38 0.00 8.5381 8.648 0.00%
129 4/25/2015 22,563,017.49 0.00 8.5538 8.6381 0.00%
130 5/25/2015 21,935,200.39 0.00 8.5757 8.6277 0.00%
131 6/25/2015 21,324,544.15 0.00 8.5927 8.6159 0.00%
132 7/25/2015 20,730,584.61 0.00 8.5918 8.6045 0.00%
133 8/25/2015 20,152,870.11 0.00 8.4898 8.5948 0.00%
134 9/25/2015 19,590,961.15 0.00 8.4765 8.6073 0.00%
135 10/25/2015 19,044,430.00 0.00 8.492 8.6239 0.00%
136 11/25/2015 18,512,860.48 0.00 8.5072 8.6385 0.00%
137 12/25/2015 17,995,847.55 0.00 8.5245 8.6563 0.00%
138 1/25/2016 17,492,997.09 0.00 8.5396 8.6715 0.00%
139 2/25/2016 17,003,925.58 0.00 8.5565 8.6833 0.00%
140 3/25/2016 16,528,259.80 0.00 8.5729 8.6611 0.00%
141 4/25/2016 16,065,636.57 0.00 8.5866 8.6323 0.00%
142 5/25/2016 15,615,702.50 0.00 8.6049 8.6008 0.00%
143 6/25/2016 15,178,113.68 0.00 8.619 8.5697 0.00%
144 7/25/2016 14,752,535.46 0.00 8.6033 8.5377 0.00%
145 8/25/2016 14,338,642.23 0.00 8.4315 8.5111 0.00%
146 9/25/2016 13,936,117.09 0.00 8.3973 8.5241 0.00%
147 10/25/2016 13,544,651.72 0.00 8.4084 8.5448 0.00%
148 11/25/2016 13,163,946.05 0.00 8.4198 8.5643 0.00%
149 12/25/2016 12,793,708.13 0.00 8.4336 8.5876 0.00%
150 1/25/2017 12,433,653.86 0.00 8.4503 8.6084 0.00%
151 2/25/2017 12,083,506.78 0.00 8.5006 8.6276 0.00%
152 3/25/2017 11,742,997.88 0.00 8.5217 8.6214 0.00%
153 4/25/2017 11,411,865.41 0.00 8.5325 8.6107 0.00%
154 5/25/2017 11,089,854.66 0.00 8.5483 8.5995 0.00%
155 6/25/2017 10,776,717.79 0.00 8.56 8.587 0.00%
156 7/25/2017 10,472,213.62 0.00 8.5566 8.5751 0.00%
157 8/25/2017 10,176,107.49 0.00 8.4684 8.567 0.00%
158 9/25/2017 9,888,171.05 0.00 8.4549 8.5949 0.00%
159 10/25/2017 9,608,182.13 0.00 8.4656 8.6289 0.00%
160 11/25/2017 9,335,924.52 0.00 8.476 8.6614 0.00%
161 12/25/2017 9,071,187.88 0.00 8.4889 8.6991 0.00%
162 1/25/2018 8,813,767.50 0.00 8.5132 8.7335 0.00%
163 2/25/2018 8,563,464.21 0.00 8.6231 8.7656 0.00%
164 3/25/2018 8,320,084.21 0.00 8.6583 8.7617 0.00%
165 4/25/2018 8,083,438.95 0.00 8.6693 8.7509 0.00%
166 5/25/2018 7,853,344.93 0.00 8.6851 8.7395 0.00%
167 6/25/2018 7,629,623.65 0.00 8.6965 8.7269 0.00%
168 7/25/2018 7,412,101.39 0.00 8.6929 8.7147 0.00%
169 8/25/2018 7,200,609.13 0.00 8.6043 8.7054 0.00%
170 9/25/2018 6,994,982.41 0.00 8.5908 8.7238 0.00%
171 10/25/2018 6,795,061.24 0.00 8.6014 8.7468 0.00%
172 11/25/2018 6,600,689.91 0.00 8.6116 8.7684 0.00%
173 12/25/2018 6,411,716.44 0.00 8.6242 8.7942 0.00%
174 1/25/2019 6,227,943.37 0.00 8.6418 8.8171 0.00%
175 2/25/2019 6,049,230.31 0.00 8.7054 8.8344 0.00%
176 3/25/2019 5,875,440.60 0.00 8.7289 8.8025 0.00%
177 4/25/2019 5,700,885.05 0.00 8.7387 8.7625 0.00%
178 5/25/2019 4,945,864.10 0.00 8.7535 8.7167 0.00%
179 6/25/2019 4,803,842.90 0.00 8.7634 8.673 0.00%
180 7/25/2019 4,665,784.74 0.00 8.7373 8.6276 0.00%
181 8/25/2019 4,531,580.86 0.00 8.5256 8.5881 0.00%
182 9/25/2019 4,401,125.46 0.00 8.4779 8.5852 0.00%
183 10/25/2019 4,274,315.60 0.00 8.4847 8.5908 0.00%
184 11/25/2019 4,151,051.15 0.00 8.4922 8.5951 0.00%
185 12/25/2019 4,031,234.69 0.00 8.5016 8.6017 0.00%
186 1/25/2020 3,914,771.47 0.00 8.5075 8.6065 0.00%
187 2/25/2020 3,801,569.29 0.00 8.5046 8.6093 0.00%
188 3/25/2020 3,691,538.49 0.00 8.5102 8.5914 0.00%
189 4/25/2020 3,584,591.83 0.00 8.5166 8.57 0.00%
190 5/25/2020 3,480,644.43 0.00 8.5265 8.547 0.00%
191 6/25/2020 3,379,613.75 0.00 8.5333 8.524 0.00%
192 7/25/2020 3,281,419.47 0.00 8.5205 8.5009 0.00%
193 8/25/2020 3,185,983.48 0.00 8.404 8.4828 0.00%
194 9/25/2020 3,093,229.78 0.00 8.3795 8.5024 0.00%
195 10/25/2020 3,003,084.44 0.00 8.385 8.5292 0.00%
196 11/25/2020 2,915,475.57 0.00 8.3907 8.5546 0.00%
197 12/25/2020 2,830,333.19 0.00 8.3985 8.5845 0.00%
198 1/25/2021 2,747,589.28 0.00 8.4168 8.6116 0.00%
199 2/25/2021 2,667,177.64 0.00 8.5121 8.6356 0.00%
200 3/25/2021 2,589,033.87 0.00 8.5398 8.6231 0.00%
201 4/25/2021 2,513,095.37 0.00 8.5462 8.6042 0.00%
202 5/25/2021 2,439,301.19 0.00 8.5562 8.5833 0.00%
203 6/25/2021 2,367,592.08 0.00 8.5624 8.5622 0.00%
204 7/25/2021 2,297,910.40 0.00 8.5509 8.5411 0.00%
205 8/25/2021 2,230,200.07 0.00 8.4435 8.5252 0.00%
206 9/25/2021 2,164,406.56 0.00 8.421 8.5499 0.00%
207 10/25/2021 2,100,476.82 0.00 8.4262 8.5821 0.00%
208 11/25/2021 2,038,359.24 0.00 8.4316 8.6128 0.00%
209 12/25/2021 1,978,003.63 0.00 8.4391 8.6486 0.00%
210 1/25/2022 1,919,361.18 0.00 8.4606 8.6813 0.00%
211 2/25/2022 1,862,384.39 0.00 8.5803 8.7105 0.00%
212 3/25/2022 1,807,027.08 0.00 8.6137 8.6989 0.00%
213 4/25/2022 1,753,244.31 0.00 8.6201 8.6798 0.00%
214 5/25/2022 1,700,992.40 0.00 8.63 8.6588 0.00%
215 6/25/2022 1,650,228.84 0.00 8.6361 8.6376 0.00%
216 7/25/2022 1,600,912.29 0.00 8.6245 8.6164 0.00%
217 8/25/2022 1,553,002.55 0.00 8.5169 8.6003 0.00%
218 9/25/2022 1,506,460.50 0.00 8.4943 8.6241 0.00%
219 10/25/2022 1,461,248.11 0.00 8.4995 8.6552 0.00%
220 11/25/2022 1,417,328.39 0.00 8.5048 8.6849 0.00%
221 12/25/2022 1,374,665.35 0.00 8.5123 8.7196 0.00%
222 1/25/2023 1,333,224.00 0.00 8.5331 8.7511 0.00%
223 2/25/2023 1,292,970.31 0.00 8.6485 8.7782 0.00%
224 3/25/2023 1,253,871.16 0.00 8.6807 8.7595 0.00%
225 4/25/2023 1,215,894.37 0.00 8.6868 8.7327 0.00%
226 5/25/2023 1,179,008.62 0.00 8.6966 8.7027 0.00%
227 6/25/2023 1,143,183.47 0.00 8.7024 8.6733 0.00%
228 7/25/2023 1,108,389.29 0.00 8.6848 8.6433 0.00%
229 8/25/2023 1,074,597.27 0.00 8.5444 8.6177 0.00%
230 9/25/2023 1,041,779.42 0.00 8.5129 8.6227 0.00%
231 10/25/2023 1,009,908.48 0.00 8.5173 8.6344 0.00%
232 11/25/2023 978,957.95 0.00 8.522 8.6444 0.00%
233 12/25/2023 948,902.07 0.00 8.5285 8.6573 0.00%
234 1/25/2024 919,715.78 0.00 8.5369 8.6681 0.00%
235 2/25/2024 891,374.72 0.00 8.5686 8.6731 0.00%
236 3/25/2024 863,855.21 0.00 8.5805 8.6336 0.00%
237 4/25/2024 837,145.70 0.00 8.5848 8.586 0.00%
238 5/25/2024 811,231.74 0.00 8.5921 8.5338 0.00%
239 6/25/2024 786,099.41 0.00 8.596 8.4838 0.00%
240 7/25/2024 761,697.53 0.00 8.5628 8.4321 0.00%
241 8/25/2024 738,005.57 0.00 8.3435 8.3873 0.00%
242 9/25/2024 715,003.58 0.00 8.2898 8.3835 0.00%
243 10/25/2024 692,672.14 0.00 8.291 8.3885 0.00%
244 11/25/2024 670,992.39 0.00 8.2935 8.393 0.00%
245 12/25/2024 649,945.98 0.00 8.2973 8.3998 0.00%
246 1/25/2025 629,515.07 0.00 8.3015 8.4049 0.00%
247 2/25/2025 609,682.30 0.00 8.3166 8.4046 0.00%
248 3/25/2025 590,430.81 0.00 8.322 8.3642 0.00%
249 4/25/2025 571,744.18 0.00 8.3239 8.3185 0.00%
250 5/25/2025 553,606.47 0.00 8.329 8.2662 0.00%
251 6/25/2025 536,002.16 0.00 8.3305 8.217 0.00%
252 7/25/2025 518,916.18 0.00 8.2971 8.1659 0.00%
253 8/25/2025 502,333.84 0.00 8.0877 8.1231 0.00%
254 9/25/2025 486,240.90 0.00 8.0346 8.1292 0.00%
255 10/25/2025 470,623.48 0.00 8.0336 8.146 0.00%
256 11/25/2025 455,468.10 0.00 8.0339 8.162 0.00%
257 12/25/2025 440,761.66 0.00 8.0357 8.1814 0.00%
258 1/25/2026 426,491.41 0.00 8.0462 8.1985 0.00%
259 2/25/2026 412,644.97 0.00 8.1185 8.2103 0.00%
260 3/25/2026 399,210.27 0.00 8.1362 8.1777 0.00%
261 4/25/2026 386,175.63 0.00 8.1371 8.1383 0.00%
262 5/25/2026 373,529.63 0.00 8.1404 8.0932 0.00%
263 6/25/2026 361,261.21 0.00 8.1405 8.0506 0.00%
264 7/25/2026 349,359.60 0.00 8.1112 8.0065 0.00%
265 8/25/2026 337,814.34 0.00 7.9337 7.9705 0.00%
266 9/25/2026 326,615.26 0.00 7.8879 7.9842 0.00%
267 10/25/2026 315,752.43 0.00 7.886 8.0084 0.00%
268 11/25/2026 305,216.26 0.00 7.8852 8.0316 0.00%
269 12/25/2026 294,997.41 0.00 7.8859 8.0588 0.00%
270 1/25/2027 285,086.79 0.00 7.9005 8.0835 0.00%
271 2/25/2027 275,475.57 0.00 8.0079 8.1027 0.00%
272 3/25/2027 266,155.15 0.00 8.0333 8.0745 0.00%
273 4/25/2027 257,117.21 0.00 8.0338 8.0384 0.00%
274 5/25/2027 248,353.60 0.00 8.0361 7.9971 0.00%
275 6/25/2027 239,856.44 0.00 8.0355 7.9581 0.00%
276 7/25/2027 231,618.07 0.00 8.0084 7.9178 0.00%
277 8/25/2027 223,631.01 0.00 7.8478 7.8849 0.00%
278 9/25/2027 215,888.03 0.00 7.8059 7.8986 0.00%
279 10/25/2027 208,382.06 0.00 7.8036 7.923 0.00%
280 11/25/2027 201,106.27 0.00 7.8022 7.9454 0.00%
281 12/25/2027 194,054.01 0.00 7.8023 7.9717 0.00%
282 1/25/2028 187,218.81 0.00 7.8162 7.9955 0.00%
283 2/25/2028 180,594.39 0.00 7.9222 8.0147 0.00%
284 3/25/2028 174,174.63 0.00 7.9474 7.9922 0.00%
285 4/25/2028 167,953.61 0.00 7.9474 7.9617 0.00%
286 5/25/2028 161,925.54 0.00 7.9485 7.9283 0.00%
287 6/25/2028 156,084.81 0.00 7.9475 7.8962 0.00%
288 7/25/2028 150,425.96 0.00 7.9249 7.8632 0.00%
289 8/25/2028 144,943.70 0.00 7.7945 7.8376 0.00%
290 9/25/2028 139,632.87 0.00 7.7603 7.8605 0.00%
291 10/25/2028 134,488.45 0.00 7.7579 7.893 0.00%
292 11/25/2028 129,505.60 0.00 7.7563 7.9242 0.00%
293 12/25/2028 124,679.58 0.00 7.7564 7.9603 0.00%
294 1/25/2029 120,005.80 0.00 7.7758 7.9934 0.00%
295 2/25/2029 115,479.80 0.00 7.9212 8.0206 0.00%
296 3/25/2029 111,097.24 0.00 7.9551 7.995 0.00%
297 4/25/2029 106,853.91 0.00 7.9555 7.9602 0.00%
298 5/25/2029 102,745.71 0.00 7.9572 7.9205 0.00%
299 6/25/2029 98,769.90 0.00 7.9561 7.8828 0.00%
300 7/25/2029 94,921.32 0.00 7.9297 7.8441 0.00%
301 8/25/2029 91,196.19 0.00 7.9297 7.8441 0.00%
302 9/25/2029 87,590.87 0.00 7.9297 7.8441 0.00%
303 10/25/2029 84,101.81 0.00 7.9297 7.8441 0.00%
304 11/25/2029 80,725.56 0.00 7.9297 7.8441 0.00%
305 12/25/2029 77,458.79 0.00 7.9297 7.8441 0.00%
306 1/25/2030 74,298.22 0.00 7.9297 7.8441 0.00%
307 2/25/2030 71,240.72 0.00 7.9297 7.8441 0.00%
308 3/25/2030 68,283.20 0.00 7.9297 7.8441 0.00%
309 4/25/2030 65,422.68 0.00 7.9297 7.8441 0.00%
310 5/25/2030 62,656.26 0.00 7.9297 7.8441 0.00%
311 6/25/2030 59,981.13 0.00 7.9297 7.8441 0.00%
312 7/25/2030 57,394.55 0.00 7.9297 7.8441 0.00%
313 8/25/2030 54,893.86 0.00 7.9297 7.8441 0.00%
314 9/25/2030 52,476.49 0.00 7.9297 7.8441 0.00%
315 10/25/2030 50,139.92 0.00 7.9297 7.8441 0.00%
316 11/25/2030 47,881.73 0.00 7.9297 7.8441 0.00%
317 12/25/2030 45,699.54 0.00 7.9297 7.8441 0.00%
318 1/25/2031 43,591.05 0.00 7.9297 7.8441 0.00%
319 2/25/2031 41,554.04 0.00 7.9297 7.8441 0.00%
320 3/25/2031 39,586.33 0.00 7.9297 7.8441 0.00%
321 4/25/2031 37,685.83 0.00 7.9297 7.8441 0.00%
322 5/25/2031 35,850.48 0.00 7.9297 7.8441 0.00%
323 6/25/2031 34,078.30 0.00 7.9297 7.8441 0.00%
324 7/25/2031 32,367.36 0.00 7.9297 7.8441 0.00%
325 8/25/2031 30,715.78 0.00 7.9297 7.8441 0.00%
326 9/25/2031 29,121.76 0.00 7.9297 7.8441 0.00%
327 10/25/2031 27,583.52 0.00 7.9297 7.8441 0.00%
328 11/25/2031 26,099.34 0.00 7.9297 7.8441 0.00%
329 12/25/2031 24,667.56 0.00 7.9297 7.8441 0.00%
330 1/25/2032 23,286.57 0.00 7.9297 7.8441 0.00%
331 2/25/2032 21,954.79 0.00 7.9297 7.8441 0.00%
332 3/25/2032 20,670.69 0.00 7.9297 7.8441 0.00%
333 4/25/2032 19,432.81 0.00 7.9297 7.8441 0.00%
334 5/25/2032 18,239.69 0.00 7.9297 7.8441 0.00%
335 6/25/2032 17,089.94 0.00 7.9297 7.8441 0.00%
336 7/25/2032 15,982.22 0.00 7.9297 7.8441 0.00%
337 8/25/2032 14,915.19 0.00 7.9297 7.8441 0.00%
338 9/25/2032 13,887.59 0.00 7.9297 7.8441 0.00%
339 10/25/2032 12,898.18 0.00 7.9297 7.8441 0.00%
340 11/25/2032 11,945.75 0.00 7.9297 7.8441 0.00%
341 12/25/2032 11,029.14 0.00 7.9297 7.8441 0.00%
342 1/25/2033 10,147.20 0.00 7.9297 7.8441 0.00%
343 2/25/2033 9,298.85 0.00 7.9297 7.8441 0.00%
344 3/25/2033 8,483.01 0.00 7.9297 7.8441 0.00%
345 4/25/2033 7,698.64 0.00 7.9297 7.8441 0.00%
346 5/25/2033 6,944.75 0.00 7.9297 7.8441 0.00%
347 6/25/2033 6,220.34 0.00 7.9297 7.8441 0.00%
348 7/25/2033 5,524.56 0.00 7.9297 7.8441 0.00%
349 8/25/2033 4,856.41 0.00 7.9297 7.8441 0.00%
350 9/25/2033 4,216.07 0.00 7.9297 7.8441 0.00%
351 10/25/2033 3,601.55 0.00 7.9297 7.8441 0.00%
352 11/25/2033 3,012.01 0.00 7.9297 7.8441 0.00%
353 12/25/2033 2,446.62 0.00 7.9297 7.8441 0.00%
354 1/25/2034 1,904.46 0.00 7.9297 7.8441 0.00%
355 2/25/2034 1,384.89 0.00 7.9297 7.8441 0.00%
356 3/25/2034 887.45 0 7.9297 7.8441 0.00%
357 4/25/2034 412.82 0 7.9297 7.8441 0.00%
Total
4 CDR - 55% Loss Severity - 6m lag
Triggers Calculated
-----------------------------------------------------------------------------------------------------------
150PPC - Forward
-----------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 8/25/2004 747,387,981.63 2,950,411.81 1.34 1.87 4.74%
2 9/25/2004 723,698,317.23 2,555,716.97 1.5973 2.1038 4.24%
3 10/25/2004 700,574,729.97 2,381,150.68 1.832 2.296 4.08%
4 11/25/2004 677,983,040.71 2,170,849.03 1.9919 2.4673 3.84%
5 12/25/2004 655,892,958.17 2,031,709.80 2.2045 2.6493 3.72%
6 1/25/2005 634,277,886.68 1,823,078.44 2.382 2.8147 3.45%
7 2/25/2005 613,114,985.15 277,380.95 2.5538 2.9817 0.54%
8 3/25/2005 589,860,813.08 326,092.64 2.7428 3.1321 0.66%
9 4/25/2005 567,114,575.52 87,911.43 2.8865 3.2652 0.19%
10 5/25/2005 544,861,641.57 63,420.22 3.036 3.4133 0.14%
11 6/25/2005 523,090,748.19 0.00 3.2044 3.5332 0.00%
12 7/25/2005 501,793,725.85 0.00 3.3364 3.655 0.00%
13 8/25/2005 480,985,791.85 0.00 3.4321 3.7661 0.00%
14 9/25/2005 461,031,992.09 0.00 3.5931 3.878 0.00%
15 10/25/2005 441,898,470.47 0.00 3.7157 3.9811 0.00%
16 11/25/2005 423,552,758.49 0.00 3.7657 4.0683 0.00%
17 12/25/2005 405,963,727.88 0.00 3.9075 4.1596 0.00%
18 1/25/2006 389,101,467.66 0.00 4.0158 4.2407 0.00%
19 2/25/2006 372,937,284.05 0.00 4.0779 4.3207 0.00%
20 3/25/2006 357,443,552.75 0.00 4.2043 4.3863 0.00%
21 4/25/2006 342,592,640.20 0.00 4.2583 4.4421 0.00%
22 5/25/2006 328,358,137.60 0.00 4.2869 4.5088 0.00%
23 6/25/2006 314,756,910.08 0.00 4.3949 4.5633 0.00%
24 7/25/2006 301,718,179.34 0.00 4.4677 4.6178 0.00%
25 8/25/2006 289,218,705.79 0.00 4.4588 4.6655 0.00%
26 9/25/2006 277,236,209.43 0.00 4.5595 4.7195 0.00%
27 10/25/2006 265,749,393.15 0.00 4.6201 4.7685 0.00%
28 11/25/2006 254,737,859.53 0.00 4.6167 4.8126 0.00%
29 12/25/2006 244,198,249.43 0.00 4.7078 4.8612 0.00%
30 1/25/2007 234,093,980.83 0.00 4.7624 4.9039 0.00%
31 2/25/2007 224,407,090.45 0.00 4.7694 4.9488 0.00%
32 3/25/2007 215,120,355.80 0.00 4.8498 4.9916 0.00%
33 4/25/2007 206,217,327.27 0.00 4.8984 5.0292 0.00%
34 5/25/2007 197,682,690.35 0.00 4.8933 5.0725 0.00%
35 6/25/2007 189,514,105.89 0.00 4.9641 5.1114 0.00%
36 7/25/2007 181,682,470.97 0.00 5.0136 5.1518 0.00%
37 8/25/2007 174,173,901.44 0.00 5.0176 5.1879 0.00%
38 9/25/2007 166,975,084.92 0.00 5.0888 5.2289 0.00%
39 10/25/2007 160,073,265.84 0.00 5.1281 5.2676 0.00%
40 11/25/2007 153,456,355.29 6,337,162.54 5.1288 5.3012 49.56%
41 12/25/2007 147,119,942.53 534,473.56 5.1952 5.3375 4.36%
42 1/25/2008 141,044,687.58 269,754.44 5.2355 5.3697 2.30%
43 2/25/2008 135,219,838.63 262,014.24 5.2521 5.4032 2.33%
44 3/25/2008 129,635,086.31 293,355.61 5.3139 5.4338 2.72%
45 4/25/2008 124,280,551.13 240,267.39 5.3416 5.462 2.32%
46 5/25/2008 119,146,827.45 269,853.35 5.3356 5.4938 2.72%
47 6/25/2008 114,226,390.77 235,899.21 5.3896 5.5241 2.48%
48 7/25/2008 109,508,747.69 243,051.05 5.4232 5.5562 2.66%
49 8/25/2008 104,985,550.41 215,501.78 5.4309 5.5842 2.46%
50 9/25/2008 100,648,794.51 203,179.23 5.4866 5.6146 2.42%
51 10/25/2008 96,490,808.78 210,734.84 5.5132 5.6423 2.62%
52 11/25/2008 92,504,257.00 183,013.12 5.5195 5.6667 2.37%
53 12/25/2008 88,682,844.13 46,093.00 5.5723 5.6922 0.62%
54 1/25/2009 85,018,950.57 30,197.84 5.5957 5.7144 0.43%
55 2/25/2009 81,506,092.17 30,770.52 5.6041 5.7378 0.45%
56 3/25/2009 78,138,051.50 69,247.29 5.6519 5.758 1.06%
57 4/25/2009 74,908,869.29 28,938.05 5.6695 5.7759 0.46%
58 5/25/2009 71,812,835.40 33,058.36 5.6632 5.7982 0.55%
59 6/25/2009 68,840,438.58 18,057.33 5.7064 5.8092 0.31%
60 7/25/2009 65,990,734.64 29,721.62 5.7248 5.8203 0.54%
61 8/25/2009 63,258,668.12 18,470.21 5.7216 5.8338 0.35%
62 9/25/2009 60,639,391.63 16,900.95 5.7662 5.8695 0.33%
63 10/25/2009 58,128,258.79 27,490.88 5.7813 5.906 0.57%
64 11/25/2009 55,720,818.29 25,875.94 5.7302 5.9441 0.56%
65 12/25/2009 53,413,535.07 33,882.44 5.7689 6.0045 0.76%
66 1/25/2010 51,201,507.47 22,759.27 5.8097 6.0609 0.53%
67 2/25/2010 49,080,810.53 18,518.23 5.9238 6.1141 0.45%
68 3/25/2010 47,047,680.78 42,465.49 5.9848 6.1095 1.08%
69 4/25/2010 45,098,512.18 15,921.00 6.0219 6.0916 0.42%
70 5/25/2010 43,229,849.62 26,504.72 6.0686 6.0698 0.74%
71 6/25/2010 41,438,825.83 17,755.63 6.1078 6.0473 0.51%
72 7/25/2010 39,721,764.98 25,428.61 6.1088 6.0234 0.77%
73 8/25/2010 38,075,619.13 24,794.94 5.901 6.004 0.78%
74 9/25/2010 36,497,465.79 25,713.53 5.8723 6.0285 0.85%
75 10/25/2010 34,984,502.07 31,019.51 5.9032 6.0616 1.06%
76 11/25/2010 33,534,040.84 25,068.30 5.9341 6.0929 0.90%
77 12/25/2010 32,143,606.79 29,901.34 5.9682 6.1286 1.12%
78 1/25/2011 30,810,621.82 23,772.01 5.9996 6.1609 0.93%
79 2/25/2011 29,532,717.83 23,139.16 6.0364 6.1905 0.94%
80 3/25/2011 28,307,624.18 37,121.74 6.0691 6.1847 1.57%
81 4/25/2011 27,133,164.73 22,193.66 6.097 6.1714 0.98%
82 5/25/2011 26,007,253.66 26,984.65 6.1333 6.1558 1.25%
83 6/25/2011 24,927,998.29 22,179.29 6.1633 6.1393 1.07%
84 7/25/2011 23,893,358.58 26,348.04 6.1645 6.1222 1.32%
85 8/25/2011 22,901,494.86 25,089.35 6.0062 6.1072 1.31%
86 9/25/2011 21,950,643.21 25,404.57 5.9857 6.1174 1.39%
87 10/25/2011 21,039,111.96 28,358.55 6.0107 6.1327 1.62%
88 11/25/2011 20,165,279.01 24,560.14 6.0354 6.1459 1.46%
89 12/25/2011 19,327,576.87 27,253.35 6.0627 6.1616 1.69%
90 1/25/2012 18,524,529.14 24,040.43 6.0807 6.175 1.56%
91 2/25/2012 17,754,706.24 24,346.09 6.0603 6.1889 1.65%
92 3/25/2012 17,016,737.48 29,378.91 6.0742 6.1942 2.07%
93 4/25/2012 16,309,308.90 24,066.97 6.0955 6.1978 1.77%
94 5/25/2012 15,631,161.11 26,637.63 6.1224 6.2022 2.04%
95 6/25/2012 14,981,147.78 24,165.83 6.1453 6.2045 1.94%
96 7/25/2012 14,358,042.35 26,196.74 6.1563 6.208 2.19%
97 8/25/2012 13,760,734.39 24,745.72 6.0942 6.2131 2.16%
98 9/25/2012 13,188,159.15 24,649.35 6.0959 6.2457 2.24%
99 10/25/2012 12,639,295.93 26,117.74 6.1177 6.2824 2.48%
100 11/25/2012 12,113,166.84 24,929.73 6.1385 6.3172 2.47%
101 12/25/2012 11,608,933.83 26,200.18 6.1623 6.3572 2.71%
102 1/25/2013 11,125,587.37 24,419.81 6.1919 6.3939 2.63%
103 2/25/2013 10,662,265.16 23,857.75 6.2766 6.4298 2.69%
104 3/25/2013 10,218,140.46 27,452.33 6.3141 6.4377 3.22%
105 4/25/2013 9,792,421.06 23,530.87 6.3345 6.4392 2.88%
106 5/25/2013 9,384,347.95 25,134.32 6.3616 6.4419 3.21%
107 6/25/2013 8,993,277.42 23,906.35 6.3836 6.4422 3.19%
108 7/25/2013 8,618,417.16 24,798.17 6.3929 6.4435 3.45%
109 8/25/2013 8,259,097.70 24,039.48 6.3249 6.446 3.49%
110 9/25/2013 7,914,677.11 23,966.11 6.3244 6.4713 3.63%
111 10/25/2013 7,584,539.99 24,583.57 6.3454 6.4998 3.89%
112 11/25/2013 7,268,096.66 24,027.04 6.3655 6.5266 3.97%
113 12/25/2013 6,964,827.13 24,533.27 6.3884 6.5577 4.23%
114 1/25/2014 6,674,138.94 23,775.08 6.4128 6.5857 4.27%
115 2/25/2014 6,395,512.20 23,604.45 6.4656 6.6113 4.43%
116 3/25/2014 6,128,448.44 24,951.53 6.4942 6.6029 4.89%
117 4/25/2014 5,872,469.99 23,455.33 6.5128 6.588 4.79%
118 5/25/2014 5,627,118.92 23,905.80 6.5382 6.5714 5.10%
119 6/25/2014 5,391,974.73 23,475.35 6.5582 6.554 5.22%
120 7/25/2014 5,166,595.26 23,754.40 6.5545 6.5365 5.52%
121 8/25/2014 4,950,576.74 23,590.02 6.4208 6.5223 5.72%
122 9/25/2014 4,743,532.07 23,569.25 6.401 6.5396 5.96%
123 10/25/2014 4,545,090.02 23,678.52 6.4184 6.5625 6.25%
124 11/25/2014 4,354,894.71 23,503.10 6.4356 6.584 6.48%
125 12/25/2014 4,172,609.44 23,552.81 6.4553 6.6093 6.77%
126 1/25/2015 3,997,902.45 23,434.89 6.4754 6.6319 7.03%
127 2/25/2015 3,830,460.13 90,377.91 6.5152 6.653 28.31%
128 3/25/2015 3,669,981.84 176,806.00 6.5381 6.648 57.81%
129 4/25/2015 3,516,179.45 169,436.79 6.5538 6.6381 57.83%
130 5/25/2015 3,368,776.77 162,435.37 6.5757 6.6277 57.86%
131 6/25/2015 3,227,520.52 155,661.01 6.5927 6.6159 57.88%
132 7/25/2015 3,092,143.72 149,167.68 6.5918 6.6045 57.89%
133 8/25/2015 2,962,402.92 142,943.77 6.4898 6.5948 57.90%
134 9/25/2015 2,838,064.67 136,977.96 6.4765 6.6073 57.92%
135 10/25/2015 2,718,905.15 131,259.69 6.492 6.6239 57.93%
136 11/25/2015 2,604,709.79 125,791.10 6.5072 6.6385 57.95%
137 12/25/2015 2,495,275.28 120,537.57 6.5245 6.6563 57.97%
138 1/25/2016 2,390,401.89 115,502.20 6.5396 6.6715 57.98%
139 2/25/2016 2,289,900.56 110,675.95 6.5565 6.6833 58.00%
140 3/25/2016 2,193,590.03 106,050.38 6.5729 6.6611 58.01%
141 4/25/2016 2,101,296.58 101,616.90 6.5866 6.6323 58.03%
142 5/25/2016 2,012,853.62 97,335.45 6.6049 6.6008 58.03%
143 6/25/2016 1,928,094.84 93,263.76 6.619 6.5697 58.05%
144 7/25/2016 1,846,874.24 89,361.34 6.6033 6.5377 58.06%
145 8/25/2016 1,769,045.00 85,621.17 6.4315 6.5111 58.08%
146 9/25/2016 1,694,466.36 82,036.17 6.3973 6.5241 58.10%
147 10/25/2016 1,623,003.34 78,599.78 6.4084 6.5448 58.11%
148 11/25/2016 1,554,526.47 75,283.56 6.4198 6.5643 58.11%
149 12/25/2016 1,488,906.88 72,128.80 6.4336 6.5876 58.13%
150 1/25/2017 1,426,031.17 69,105.35 6.4503 6.6084 58.15%
151 2/25/2017 1,365,785.34 66,207.76 6.5006 6.6276 58.17%
152 3/25/2017 1,308,060.13 63,431.03 6.5217 6.6214 58.19%
153 4/25/2017 1,252,750.82 60,770.25 6.5325 6.6107 58.21%
154 5/25/2017 1,199,757.05 58,237.19 6.5483 6.5995 58.25%
155 6/25/2017 1,148,986.34 55,792.45 6.56 6.587 58.27%
156 7/25/2017 1,100,342.19 53,449.59 6.5566 6.5751 58.29%
157 8/25/2017 1,053,736.17 51,204.38 6.4684 6.567 58.31%
158 9/25/2017 1,009,083.48 49,052.72 6.4549 6.5949 58.33%
159 10/25/2017 966,302.85 46,990.94 6.4656 6.6289 58.36%
160 11/25/2017 925,316.41 45,038.34 6.476 6.6614 58.41%
161 12/25/2017 886,054.83 43,144.12 6.4889 6.6991 58.43%
162 1/25/2018 848,440.71 41,328.93 6.5132 6.7335 58.45%
163 2/25/2018 812,405.43 39,589.50 6.6231 6.7656 58.48%
164 3/25/2018 777,883.23 37,922.88 6.6583 6.7617 58.50%
165 4/25/2018 744,811.14 36,326.19 6.6693 6.7509 58.53%
166 5/25/2018 713,128.80 34,817.96 6.6851 6.7395 58.59%
167 6/25/2018 682,783.51 33,350.64 6.6965 6.7269 58.61%
168 7/25/2018 653,713.98 31,944.62 6.6929 6.7147 58.64%
169 8/25/2018 625,867.01 30,597.36 6.6043 6.7054 58.67%
170 9/25/2018 599,191.61 29,306.38 6.5908 6.7238 58.69%
171 10/25/2018 573,638.91 28,069.45 6.6014 6.7468 58.72%
172 11/25/2018 549,162.06 26,890.82 6.6116 6.7684 58.76%
173 12/25/2018 525,717.64 25,763.88 6.6242 6.7942 58.81%
174 1/25/2019 503,252.39 24,683.64 6.6418 6.8171 58.86%
175 2/25/2019 481,725.79 23,648.17 6.7054 6.8344 58.91%
176 3/25/2019 461,099.02 23,200.85 6.7289 6.8025 60.38%
177 4/25/2019 440,789.68 79,489.41 6.7387 6.7625 216.40%
178 5/25/2019 364,063.78 17,917.55 6.7535 6.7167 59.06%
179 6/25/2019 348,436.32 17,155.58 6.7634 6.673 59.08%
180 7/25/2019 333,471.55 16,425.74 6.7373 6.6276 59.11%
181 8/25/2019 319,141.61 15,726.66 6.5256 6.5881 59.13%
182 9/25/2019 305,419.79 15,056.94 6.4779 6.5852 59.16%
183 10/25/2019 292,280.48 14,415.26 6.4847 6.5908 59.18%
184 11/25/2019 279,699.12 13,785.77 6.4922 6.5951 59.15%
185 12/25/2019 267,648.14 13,197.89 6.5016 6.6017 59.17%
186 1/25/2020 256,109.54 12,634.84 6.5075 6.6065 59.20%
187 2/25/2020 245,061.75 12,095.57 6.5046 6.6093 59.23%
188 3/25/2020 234,484.08 11,579.09 6.5102 6.5914 59.26%
189 4/25/2020 224,356.72 11,084.42 6.5166 6.57 59.29%
190 5/25/2020 214,660.67 10,606.14 6.5265 6.547 59.29%
191 6/25/2020 205,376.43 10,152.59 6.5333 6.524 59.32%
192 7/25/2020 196,488.00 9,718.23 6.5205 6.5009 59.35%
193 8/25/2020 187,978.67 9,302.26 6.404 6.4828 59.38%
194 9/25/2020 179,832.44 8,903.88 6.3795 6.5024 59.41%
195 10/25/2020 172,033.96 8,522.35 6.385 6.5292 59.45%
196 11/25/2020 164,568.54 8,157.58 6.3907 6.5546 59.48%
197 12/25/2020 157,422.28 7,807.74 6.3985 6.5845 59.52%
198 1/25/2021 150,581.51 7,472.73 6.4168 6.6116 59.55%
199 2/25/2021 144,033.32 7,151.92 6.5121 6.6356 59.59%
200 3/25/2021 137,765.34 6,844.76 6.5398 6.6231 59.62%
201 4/25/2021 131,765.71 6,550.67 6.5462 6.6042 59.66%
202 5/25/2021 126,023.08 6,270.56 6.5562 6.5833 59.71%
203 6/25/2021 120,527.04 6,000.81 6.5624 6.5622 59.75%
204 7/25/2021 115,266.64 5,742.53 6.5509 6.5411 59.78%
205 8/25/2021 110,231.88 5,495.23 6.4435 6.5252 59.82%
206 9/25/2021 105,413.22 5,258.43 6.421 6.5499 59.86%
207 10/25/2021 100,801.47 5,031.70 6.4262 6.5821 59.90%
208 11/25/2021 96,387.86 4,815.83 6.4316 6.6128 59.96%
209 12/25/2021 92,164.39 4,607.97 6.4391 6.6486 60.00%
210 1/25/2022 88,122.57 4,408.96 6.4606 6.6813 60.04%
211 2/25/2022 84,254.68 4,218.43 6.5803 6.7105 60.08%
212 3/25/2022 80,553.35 4,036.04 6.6137 6.6989 60.12%
213 4/25/2022 77,011.49 3,861.46 6.6201 6.6798 60.17%
214 5/25/2022 73,622.33 3,695.69 6.63 6.6588 60.24%
215 6/25/2022 70,379.85 3,535.60 6.6361 6.6376 60.28%
216 7/25/2022 67,277.30 3,382.35 6.6245 6.6164 60.33%
217 8/25/2022 64,308.73 3,235.64 6.5169 6.6003 60.38%
218 9/25/2022 61,468.43 3,095.19 6.4943 6.6241 60.42%
219 10/25/2022 58,750.94 2,960.75 6.4995 6.6552 60.47%
220 11/25/2022 56,151.02 2,832.67 6.5048 6.6849 60.54%
221 12/25/2022 53,663.87 2,709.47 6.5123 6.7196 60.59%
222 1/25/2023 51,284.47 2,591.55 6.5331 6.7511 60.64%
223 2/25/2023 49,008.21 2,478.68 6.6485 6.7782 60.69%
224 3/25/2023 46,830.69 2,370.65 6.6807 6.7595 60.75%
225 4/25/2023 44,747.70 2,267.27 6.6868 6.7327 60.80%
226 5/25/2023 42,755.21 2,168.61 6.6966 6.7027 60.87%
227 6/25/2023 40,849.44 2,073.88 6.7024 6.6733 60.92%
228 7/25/2023 39,026.57 1,983.21 6.6848 6.6433 60.98%
229 8/25/2023 37,283.05 1,896.44 6.5444 6.6177 61.04%
230 9/25/2023 35,615.49 1,813.40 6.5129 6.6227 61.10%
231 10/25/2023 34,020.63 1,733.91 6.5173 6.6344 61.16%
232 11/25/2023 32,495.35 1,657.12 6.522 6.6444 61.19%
233 12/25/2023 31,036.38 1,584.37 6.5285 6.6573 61.26%
234 1/25/2024 29,641.18 1,514.75 6.5369 6.6681 61.32%
235 2/25/2024 28,307.01 1,448.14 6.5686 6.6731 61.39%
236 3/25/2024 27,031.26 1,383.90 6.5805 6.6336 61.44%
237 4/25/2024 25,811.91 1,322.07 6.5848 6.586 61.46%
238 5/25/2024 24,646.88 1,261.51 6.5921 6.5338 61.42%
239 6/25/2024 23,533.75 1,205.88 6.596 6.4838 61.49%
240 7/25/2024 22,469.47 1,152.66 6.5628 6.4321 61.56%
241 8/25/2024 21,451.94 1,101.74 6.3435 6.3873 61.63%
242 9/25/2024 20,479.14 1,053.01 6.2898 6.3835 61.70%
243 10/25/2024 19,549.14 1,006.38 6.291 6.3885 61.78%
244 11/25/2024 18,660.09 960.78 6.2935 6.393 61.79%
245 12/25/2024 17,809.80 918.15 6.2973 6.3998 61.86%
246 1/25/2025 16,997.05 877.37 6.3015 6.4049 61.94%
247 2/25/2025 16,220.21 838.36 6.3166 6.4046 62.02%
248 3/25/2025 15,477.73 801.05 6.322 6.3642 62.11%
249 4/25/2025 14,768.13 765.35 6.3239 6.3185 62.19%
250 5/25/2025 14,089.97 730.54 6.329 6.2662 62.22%
251 6/25/2025 13,441.59 697.90 6.3305 6.217 62.31%
252 7/25/2025 12,822.02 666.69 6.2971 6.1659 62.39%
253 8/25/2025 12,230.01 636.85 6.0877 6.1231 62.49%
254 9/25/2025 11,664.35 608.30 6.0346 6.1292 62.58%
255 10/25/2025 11,123.91 580.99 6.0336 6.146 62.67%
256 11/25/2025 10,607.57 554.47 6.0339 6.162 62.73%
257 12/25/2025 10,114.11 529.52 6.0357 6.1814 62.83%
258 1/25/2026 9,642.72 505.67 6.0462 6.1985 62.93%
259 2/25/2026 9,192.45 482.86 6.1185 6.2103 63.03%
260 3/25/2026 8,762.37 461.05 6.1362 6.1777 63.14%
261 4/25/2026 8,351.61 440.20 6.1371 6.1383 63.25%
262 5/25/2026 7,959.30 420.06 6.1404 6.0932 63.33%
263 6/25/2026 7,584.56 401.01 6.1405 6.0506 63.45%
264 7/25/2026 7,226.70 382.79 6.1112 6.0065 63.56%
265 8/25/2026 6,885.00 365.38 5.9337 5.9705 63.68%
266 9/25/2026 6,558.74 348.74 5.8879 5.9842 63.81%
267 10/25/2026 6,247.25 332.83 5.886 6.0084 63.93%
268 11/25/2026 5,949.86 317.49 5.8852 6.0316 64.03%
269 12/25/2026 5,665.91 302.96 5.8859 6.0588 64.16%
270 1/25/2027 5,394.86 289.08 5.9005 6.0835 64.30%
271 2/25/2027 5,136.15 275.81 6.0079 6.1027 64.44%
272 3/25/2027 4,889.23 263.13 6.0333 6.0745 64.58%
273 4/25/2027 4,653.58 251.02 6.0338 6.0384 64.73%
274 5/25/2027 4,428.71 239.38 6.0361 5.9971 64.86%
275 6/25/2027 4,214.11 228.32 6.0355 5.9581 65.02%
276 7/25/2027 4,009.34 217.76 6.0084 5.9178 65.18%
277 8/25/2027 3,813.99 207.66 5.8478 5.8849 65.34%
278 9/25/2027 3,627.62 198.01 5.8059 5.8986 65.50%
279 10/25/2027 3,449.84 188.80 5.8036 5.923 65.67%
280 11/25/2027 3,280.27 179.94 5.8022 5.9454 65.83%
281 12/25/2027 3,118.51 171.53 5.8023 5.9717 66.00%
282 1/25/2028 2,964.24 163.51 5.8162 5.9955 66.19%
283 2/25/2028 2,817.14 155.84 5.9222 6.0147 66.38%
284 3/25/2028 2,676.87 148.52 5.9474 5.9922 66.58%
285 4/25/2028 2,543.14 141.53 5.9474 5.9617 66.78%
286 5/25/2028 2,415.65 134.84 5.9485 5.9283 66.98%
287 6/25/2028 2,294.12 128.46 5.9475 5.8962 67.19%
288 7/25/2028 2,178.28 122.37 5.9249 5.8632 67.41%
289 8/25/2028 2,067.88 116.56 5.7945 5.8376 67.64%
290 9/25/2028 1,962.67 111.01 5.7603 5.8605 67.87%
291 10/25/2028 1,862.43 105.72 5.7579 5.893 68.12%
292 11/25/2028 1,766.92 100.66 5.7563 5.9242 68.36%
293 12/25/2028 1,675.93 95.84 5.7564 5.9603 68.62%
294 1/25/2029 1,589.26 91.23 5.7758 5.9934 68.88%
295 2/25/2029 1,506.71 86.84 5.9212 6.0206 69.16%
296 3/25/2029 1,428.10 82.64 5.9551 5.995 69.44%
297 4/25/2029 1,353.24 78.64 5.9555 5.9602 69.73%
298 5/25/2029 1,281.97 74.80 5.9572 5.9205 70.02%
299 6/25/2029 1,214.15 71.16 5.9561 5.8828 70.33%
300 7/25/2029 1,149.59 67.69 5.9297 5.8441 70.66%
301 8/25/2029 1,088.14 64.37 5.9297 5.8441 70.99%
302 9/25/2029 1,029.67 61.21 5.9297 5.8441 71.34%
303 10/25/2029 974.04 58.20 5.9297 5.8441 71.70%
304 11/25/2029 921.11 55.30 5.9297 5.8441 72.04%
305 12/25/2029 870.74 52.56 5.9297 5.8441 72.43%
306 1/25/2030 822.85 49.95 5.9297 5.8441 72.84%
307 2/25/2030 777.30 47.46 5.9297 5.8441 73.27%
308 3/25/2030 734.00 45.08 5.9297 5.8441 73.70%
309 4/25/2030 692.83 42.82 5.9297 5.8441 74.17%
310 5/25/2030 653.70 40.66 5.9297 5.8441 74.64%
311 6/25/2030 616.52 38.60 5.9297 5.8441 75.13%
312 7/25/2030 581.19 36.64 5.9297 5.8441 75.65%
313 8/25/2030 547.63 34.77 5.9297 5.8441 76.19%
314 9/25/2030 515.76 33.00 5.9297 5.8441 76.78%
315 10/25/2030 485.49 31.30 5.9297 5.8441 77.37%
316 11/25/2030 456.75 29.69 5.9297 5.8441 78.00%
317 12/25/2030 429.47 28.15 5.9297 5.8441 78.66%
318 1/25/2031 403.58 26.68 5.9297 5.8441 79.33%
319 2/25/2031 379.02 25.29 5.9297 5.8441 80.07%
320 3/25/2031 355.72 23.96 5.9297 5.8441 80.83%
321 4/25/2031 333.61 22.70 5.9297 5.8441 81.65%
322 5/25/2031 312.66 21.49 5.9297 5.8441 82.48%
323 6/25/2031 292.79 20.35 5.9297 5.8441 83.40%
324 7/25/2031 273.97 19.26 5.9297 5.8441 84.36%
325 8/25/2031 256.13 18.22 5.9297 5.8441 85.36%
326 9/25/2031 239.23 17.23 5.9297 5.8441 86.43%
327 10/25/2031 223.23 16.29 5.9297 5.8441 87.57%
328 11/25/2031 208.08 15.40 5.9297 5.8441 88.81%
329 12/25/2031 193.74 14.55 5.9297 5.8441 90.12%
330 1/25/2032 180.18 13.74 5.9297 5.8441 91.51%
331 2/25/2032 167.35 12.98 5.9297 5.8441 93.07%
332 3/25/2032 155.22 12.25 5.9297 5.8441 94.70%
333 4/25/2032 143.75 11.55 5.9297 5.8441 96.42%
334 5/25/2032 132.92 10.90 5.9297 5.8441 98.41%
335 6/25/2032 122.69 10.27 5.9297 5.8441 100.45%
336 7/25/2032 113.03 9.68 5.9297 5.8441 102.77%
337 8/25/2032 103.91 9.11 5.9297 5.8441 105.21%
338 9/25/2032 95.31 8.57 5.9297 5.8441 107.90%
339 10/25/2032 87.20 8.07 5.9297 5.8441 111.06%
340 11/25/2032 79.56 7.58 5.9297 5.8441 114.33%
341 12/25/2032 72.35 7.12 5.9297 5.8441 118.09%
342 1/25/2033 65.57 6.69 5.9297 5.8441 122.43%
343 2/25/2033 59.19 6.28 5.9297 5.8441 127.32%
344 3/25/2033 53.19 5.89 5.9297 5.8441 132.88%
345 4/25/2033 47.55 5.51 5.9297 5.8441 139.05%
346 5/25/2033 42.25 5.16 5.9297 5.8441 146.56%
347 6/25/2033 37.27 4.83 5.9297 5.8441 155.51%
348 7/25/2033 32.60 4.51 5.9297 5.8441 166.01%
349 8/25/2033 28.22 4.21 5.9297 5.8441 179.02%
350 9/25/2033 24.13 3.93 5.9297 5.8441 195.44%
351 10/25/2033 20.29 3.66 5.9297 5.8441 216.46%
352 11/25/2033 16.70 3.41 5.9297 5.8441 245.03%
353 12/25/2033 13.35 3.18 5.9297 5.8441 285.84%
354 1/25/2034 10.22 2.96 5.9297 5.8441 347.55%
355 2/25/2034 7.30 2.74 5.9297 5.8441 450.41%
356 3/25/2034 4.57 2.53 5.9297 5.8441 664.33%
357 4/25/2034 2.05 2.06 5.9297 5.8441 1205.85%
4 CDR - 55% Loss Severity - 6m lag
Triggers Calculated
-----------------------------------------------------------------------------------------------------------
150PPC - Forward +200
-----------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 8/25/2004 747,387,981.63 2,950,411.81 1.34 1.87 4.74%
2 9/25/2004 723,698,317.23 1,336,378.17 3.5973 4.1038 2.22%
3 10/25/2004 700,574,729.97 1,244,502.25 3.832 4.296 2.13%
4 11/25/2004 677,983,040.71 1,039,593.87 3.9919 4.4673 1.84%
5 12/25/2004 655,892,958.17 975,650.73 4.2045 4.6493 1.79%
6 1/25/2005 634,277,886.68 777,646.68 4.382 4.8147 1.47%
7 2/25/2005 613,114,985.15 0.00 4.5538 4.9817 0.00%
8 3/25/2005 589,860,813.08 0.00 4.7428 5.1321 0.00%
9 4/25/2005 567,114,575.52 0.00 4.8865 5.2652 0.00%
10 5/25/2005 544,861,641.57 0.00 5.036 5.4133 0.00%
11 6/25/2005 523,090,748.19 0.00 5.2044 5.5332 0.00%
12 7/25/2005 501,793,725.85 0.00 5.3364 5.655 0.00%
13 8/25/2005 480,985,791.85 0.00 5.4321 5.7661 0.00%
14 9/25/2005 461,031,992.09 0.00 5.5931 5.878 0.00%
15 10/25/2005 441,898,470.47 0.00 5.7157 5.9811 0.00%
16 11/25/2005 423,552,758.49 0.00 5.7657 6.0683 0.00%
17 12/25/2005 405,963,727.88 0.00 5.9075 6.1596 0.00%
18 1/25/2006 389,101,467.66 0.00 6.0158 6.2407 0.00%
19 2/25/2006 372,937,284.05 0.00 6.0779 6.3207 0.00%
20 3/25/2006 357,443,552.75 0.00 6.2043 6.3863 0.00%
21 4/25/2006 342,592,640.20 0.00 6.2583 6.4421 0.00%
22 5/25/2006 328,358,137.60 0.00 6.2869 6.5088 0.00%
23 6/25/2006 314,756,916.96 0.00 6.3949 6.5633 0.00%
24 7/25/2006 301,718,192.57 0.00 6.4677 6.6178 0.00%
25 8/25/2006 289,218,724.85 0.00 6.4588 6.6655 0.00%
26 9/25/2006 277,236,233.84 0.00 6.5595 6.7195 0.00%
27 10/25/2006 265,749,422.45 0.00 6.6201 6.7685 0.00%
28 11/25/2006 254,737,893.31 0.00 6.6167 6.8126 0.00%
29 12/25/2006 244,198,294.83 0.00 6.7078 6.8612 0.00%
30 1/25/2007 234,094,036.89 0.00 6.7624 6.9039 0.00%
31 2/25/2007 224,407,156.26 0.00 6.7694 6.9488 0.00%
32 3/25/2007 215,120,430.52 0.00 6.8498 6.9916 0.00%
33 4/25/2007 206,217,414.78 0.00 6.8984 7.0292 0.00%
34 5/25/2007 197,682,789.54 0.00 6.8933 7.0725 0.00%
35 6/25/2007 189,514,228.52 0.00 6.9641 7.1114 0.00%
36 7/25/2007 181,682,615.08 0.00 7.0136 7.1518 0.00%
37 8/25/2007 174,174,065.16 0.00 7.0176 7.1879 0.00%
38 9/25/2007 166,975,266.49 0.00 7.0888 7.2289 0.00%
39 10/25/2007 160,073,488.33 0.00 7.1281 7.2676 0.00%
40 11/25/2007 153,456,622.95 0.00 7.1288 7.3012 0.00%
41 12/25/2007 147,120,688.87 0.00 7.1952 7.3375 0.00%
42 1/25/2008 141,045,874.58 0.00 7.2355 7.3697 0.00%
43 2/25/2008 135,221,430.53 0.00 7.2521 7.4032 0.00%
44 3/25/2008 129,637,049.46 0.00 7.3139 7.4338 0.00%
45 4/25/2008 124,282,870.71 0.00 7.3416 7.462 0.00%
46 5/25/2008 119,149,506.35 0.00 7.3356 7.4938 0.00%
47 6/25/2008 114,233,114.55 0.00 7.3896 7.5241 0.00%
48 7/25/2008 109,519,195.45 0.00 7.4232 7.5562 0.00%
49 8/25/2008 104,999,420.12 0.00 7.4309 7.5842 0.00%
50 9/25/2008 100,665,802.05 0.00 7.4866 7.6146 0.00%
51 10/25/2008 96,510,691.36 0.00 7.5132 7.6423 0.00%
52 11/25/2008 92,526,807.63 0.00 7.5195 7.6667 0.00%
53 12/25/2008 88,710,141.67 0.00 7.5723 7.6922 0.00%
54 1/25/2009 85,050,590.43 0.00 7.5957 7.7144 0.00%
55 2/25/2009 81,541,694.03 0.00 7.6041 7.7378 0.00%
56 3/25/2009 78,177,258.04 0.00 7.6519 7.758 0.00%
57 4/25/2009 74,951,344.32 0.00 7.6695 7.7759 0.00%
58 5/25/2009 71,858,273.88 0.00 7.6632 7.7982 0.00%
59 6/25/2009 68,888,942.38 0.00 7.7064 7.8092 0.00%
60 7/25/2009 66,041,994.99 0.00 7.7248 7.8203 0.00%
61 8/25/2009 63,312,395.63 0.00 7.7216 7.8338 0.00%
62 9/25/2009 60,695,315.25 0.00 7.7662 7.8695 0.00%
63 10/25/2009 58,186,124.42 0.00 7.7813 7.906 0.00%
64 11/25/2009 55,780,381.88 0.00 7.7302 7.9441 0.00%
65 12/25/2009 53,474,131.43 0.00 7.7689 8.0045 0.00%
66 1/25/2010 51,262,965.05 0.00 7.8097 8.0609 0.00%
67 2/25/2010 49,142,969.52 0.00 7.9238 8.1141 0.00%
68 3/25/2010 47,110,392.52 0.00 7.9848 8.1095 0.00%
69 4/25/2010 45,161,637.82 0.00 8.0219 8.0916 0.00%
70 5/25/2010 43,293,253.34 0.00 8.0686 8.0698 0.00%
71 6/25/2010 41,502,100.39 0.00 8.1078 8.0473 0.00%
72 7/25/2010 39,784,823.67 0.00 8.1088 8.0234 0.00%
73 8/25/2010 38,138,382.18 0.00 7.901 8.004 0.00%
74 9/25/2010 36,559,859.95 0.00 7.8723 8.0285 0.00%
75 10/25/2010 35,046,460.42 0.00 7.9032 8.0616 0.00%
76 11/25/2010 33,595,503.01 0.00 7.9341 8.0929 0.00%
77 12/25/2010 32,204,499.23 0.00 7.9682 8.1286 0.00%
78 1/25/2011 30,870,895.03 0.00 7.9996 8.1609 0.00%
79 2/25/2011 29,592,327.01 0.00 8.0364 8.1905 0.00%
80 3/25/2011 28,366,528.95 0.00 8.0691 8.1847 0.00%
81 4/25/2011 27,191,328.29 0.00 8.097 8.1714 0.00%
82 5/25/2011 26,064,640.86 0.00 8.1333 8.1558 0.00%
83 6/25/2011 24,984,494.21 0.00 8.1633 8.1393 0.00%
84 7/25/2011 23,948,945.00 0.00 8.1645 8.1222 0.00%
85 8/25/2011 22,956,156.33 0.00 8.0062 8.1072 0.00%
86 9/25/2011 22,004,366.86 0.00 7.9857 8.1174 0.00%
87 10/25/2011 21,091,887.62 0.00 8.0107 8.1327 0.00%
88 11/25/2011 20,217,099.23 0.00 8.0354 8.1459 0.00%
89 12/25/2011 19,378,449.49 0.00 8.0627 8.1616 0.00%
90 1/25/2012 18,574,448.74 0.00 8.0807 8.175 0.00%
91 2/25/2012 17,803,669.25 0.00 8.0603 8.1889 0.00%
92 3/25/2012 17,064,742.04 0.00 8.0742 8.1942 0.00%
93 4/25/2012 16,356,354.49 0.00 8.0955 8.1978 0.00%
94 5/25/2012 15,677,247.88 0.00 8.1224 8.2022 0.00%
95 6/25/2012 15,026,215.39 0.00 8.1453 8.2045 0.00%
96 7/25/2012 14,402,099.74 0.00 8.1563 8.208 0.00%
97 8/25/2012 13,803,791.32 0.00 8.0942 8.2131 0.00%
98 9/25/2012 13,230,226.17 0.00 8.0959 8.2457 0.00%
99 10/25/2012 12,680,384.14 0.00 8.1177 8.2824 0.00%
100 11/25/2012 12,153,287.01 0.00 8.1385 8.3172 0.00%
101 12/25/2012 11,647,996.90 0.00 8.1623 8.3572 0.00%
102 1/25/2013 11,163,614.41 0.00 8.1919 8.3939 0.00%
103 2/25/2013 10,699,277.23 0.00 8.2766 8.4298 0.00%
104 3/25/2013 10,254,158.52 0.00 8.3141 8.4377 0.00%
105 4/25/2013 9,827,465.53 0.00 8.3345 8.4392 0.00%
106 5/25/2013 9,418,438.05 0.00 8.3616 8.4419 0.00%
107 6/25/2013 9,026,347.22 0.00 8.3836 8.4422 0.00%
108 7/25/2013 8,650,494.16 0.00 8.3929 8.4435 0.00%
109 8/25/2013 8,290,208.78 0.00 8.3249 8.446 0.00%
110 9/25/2013 7,944,848.57 0.00 8.3244 8.4713 0.00%
111 10/25/2013 7,613,797.50 0.00 8.3454 8.4998 0.00%
112 11/25/2013 7,296,464.88 0.00 8.3655 8.5266 0.00%
113 12/25/2013 6,992,284.35 0.00 8.3884 8.5577 0.00%
114 1/25/2014 6,700,712.88 0.00 8.4128 8.5857 0.00%
115 2/25/2014 6,421,229.80 0.00 8.4656 8.6113 0.00%
116 3/25/2014 6,153,335.90 0.00 8.4942 8.6029 0.00%
117 4/25/2014 5,896,552.52 0.00 8.5128 8.588 0.00%
118 5/25/2014 5,650,420.71 0.00 8.5382 8.5714 0.00%
119 6/25/2014 5,414,500.44 0.00 8.5582 8.554 0.00%
120 7/25/2014 5,188,369.81 0.00 8.5545 8.5365 0.00%
121 8/25/2014 4,971,624.30 0.00 8.4208 8.5223 0.00%
122 9/25/2014 4,763,876.06 0.00 8.401 8.5396 0.00%
123 10/25/2014 4,564,753.21 0.00 8.4184 8.5625 0.00%
124 11/25/2014 4,373,899.22 0.00 8.4356 8.584 0.00%
125 12/25/2014 4,190,972.23 0.00 8.4553 8.6093 0.00%
126 1/25/2015 4,015,644.50 0.00 8.4754 8.6319 0.00%
127 2/25/2015 3,847,601.77 0.00 8.5152 8.653 0.00%
128 3/25/2015 3,686,542.75 0.00 8.5381 8.648 0.00%
129 4/25/2015 3,532,178.58 0.00 8.5538 8.6381 0.00%
130 5/25/2015 3,384,232.29 0.00 8.5757 8.6277 0.00%
131 6/25/2015 3,242,438.34 0.00 8.5927 8.6159 0.00%
132 7/25/2015 3,106,542.16 0.00 8.5918 8.6045 0.00%
133 8/25/2015 2,976,299.65 0.00 8.4898 8.5948 0.00%
134 9/25/2015 2,851,476.79 0.00 8.4765 8.6073 0.00%
135 10/25/2015 2,731,849.21 0.00 8.492 8.6239 0.00%
136 11/25/2015 2,617,201.82 0.00 8.5072 8.6385 0.00%
137 12/25/2015 2,507,328.37 0.00 8.5245 8.6563 0.00%
138 1/25/2016 2,402,031.13 0.00 8.5396 8.6715 0.00%
139 2/25/2016 2,301,120.55 0.00 8.5565 8.6833 0.00%
140 3/25/2016 2,204,414.89 0.00 8.5729 8.6611 0.00%
141 4/25/2016 2,111,739.89 0.00 8.5866 8.6323 0.00%
142 5/25/2016 2,022,928.53 0.00 8.6049 8.6008 0.00%
143 6/25/2016 1,937,820.64 0.00 8.619 8.5697 0.00%
144 7/25/2016 1,856,262.68 0.00 8.6033 8.5377 0.00%
145 8/25/2016 1,778,107.47 0.00 8.4315 8.5111 0.00%
146 9/25/2016 1,703,213.88 0.00 8.3973 8.5241 0.00%
147 10/25/2016 1,631,446.62 0.00 8.4084 8.5448 0.00%
148 11/25/2016 1,562,675.99 0.00 8.4198 8.5643 0.00%
149 12/25/2016 1,496,777.65 0.00 8.4336 8.5876 0.00%
150 1/25/2017 1,433,632.39 0.00 8.4503 8.6084 0.00%
151 2/25/2017 1,373,125.93 0.00 8.5006 8.6276 0.00%
152 3/25/2017 1,315,148.71 0.00 8.5217 8.6214 0.00%
153 4/25/2017 1,259,595.71 0.00 8.5325 8.6107 0.00%
154 5/25/2017 1,206,366.24 0.00 8.5483 8.5995 0.00%
155 6/25/2017 1,155,363.77 0.00 8.56 8.587 0.00%
156 7/25/2017 1,106,495.78 0.00 8.5566 8.5751 0.00%
157 8/25/2017 1,059,673.55 0.00 8.4684 8.567 0.00%
158 9/25/2017 1,014,812.05 0.00 8.4549 8.5949 0.00%
159 10/25/2017 971,829.76 0.00 8.4656 8.6289 0.00%
160 11/25/2017 930,648.54 0.00 8.476 8.6614 0.00%
161 12/25/2017 891,193.46 0.00 8.4889 8.6991 0.00%
162 1/25/2018 853,392.72 0.00 8.5132 8.7335 0.00%
163 2/25/2018 817,177.47 0.00 8.6231 8.7656 0.00%
164 3/25/2018 782,481.73 0.00 8.6583 8.7617 0.00%
165 4/25/2018 749,242.23 0.00 8.6693 8.7509 0.00%
166 5/25/2018 717,398.34 0.00 8.6851 8.7395 0.00%
167 6/25/2018 686,891.92 0.00 8.6965 8.7269 0.00%
168 7/25/2018 657,667.26 0.00 8.6929 8.7147 0.00%
169 8/25/2018 629,670.95 0.00 8.6043 8.7054 0.00%
170 9/25/2018 602,851.78 0.00 8.5908 8.7238 0.00%
171 10/25/2018 577,160.69 0.00 8.6014 8.7468 0.00%
172 11/25/2018 552,550.62 0.00 8.6116 8.7684 0.00%
173 12/25/2018 528,976.39 0.00 8.6242 8.7942 0.00%
174 1/25/2019 506,386.26 0.00 8.6418 8.8171 0.00%
175 2/25/2019 484,739.51 0.00 8.7054 8.8344 0.00%
176 3/25/2019 463,997.14 0.00 8.7289 8.8025 0.00%
177 4/25/2019 443,576.57 0.00 8.7387 8.7625 0.00%
178 5/25/2019 366,743.65 0.00 8.7535 8.7167 0.00%
179 6/25/2019 351,015.42 0.00 8.7634 8.673 0.00%
180 7/25/2019 335,953.62 0.00 8.7373 8.6276 0.00%
181 8/25/2019 321,530.22 0.00 8.5256 8.5881 0.00%
182 9/25/2019 307,718.42 0.00 8.4779 8.5852 0.00%
183 10/25/2019 294,492.48 0.00 8.4847 8.5908 0.00%
184 11/25/2019 281,827.79 0.00 8.4922 8.5951 0.00%
185 12/25/2019 269,700.73 0.00 8.5016 8.6017 0.00%
186 1/25/2020 258,088.68 0.00 8.5075 8.6065 0.00%
187 2/25/2020 246,969.98 0.00 8.5046 8.6093 0.00%
188 3/25/2020 236,323.86 0.00 8.5102 8.5914 0.00%
189 4/25/2020 226,130.41 0.00 8.5166 8.57 0.00%
190 5/25/2020 216,370.57 0.00 8.5265 8.547 0.00%
191 6/25/2020 207,026.08 0.00 8.5333 8.524 0.00%
192 7/25/2020 198,079.42 0.00 8.5205 8.5009 0.00%
193 8/25/2020 189,513.84 0.00 8.404 8.4828 0.00%
194 9/25/2020 181,313.25 0.00 8.3795 8.5024 0.00%
195 10/25/2020 173,462.27 0.00 8.385 8.5292 0.00%
196 11/25/2020 165,946.13 0.00 8.3907 8.5546 0.00%
197 12/25/2020 158,750.72 0.00 8.3985 8.5845 0.00%
198 1/25/2021 151,862.48 0.00 8.4168 8.6116 0.00%
199 2/25/2021 145,268.45 0.00 8.5121 8.6356 0.00%
200 3/25/2021 138,956.19 0.00 8.5398 8.6231 0.00%
201 4/25/2021 132,913.79 0.00 8.5462 8.6042 0.00%
202 5/25/2021 127,129.86 0.00 8.5562 8.5833 0.00%
203 6/25/2021 121,593.44 0.00 8.5624 8.5622 0.00%
204 7/25/2021 116,294.08 0.00 8.5509 8.5411 0.00%
205 8/25/2021 111,221.74 0.00 8.4435 8.5252 0.00%
206 9/25/2021 106,366.81 0.00 8.421 8.5499 0.00%
207 10/25/2021 101,720.08 0.00 8.4262 8.5821 0.00%
208 11/25/2021 97,272.74 0.00 8.4316 8.6128 0.00%
209 12/25/2021 93,016.32 0.00 8.4391 8.6486 0.00%
210 1/25/2022 88,942.74 0.00 8.4606 8.6813 0.00%
211 2/25/2022 85,044.24 0.00 8.5803 8.7105 0.00%
212 3/25/2022 81,313.39 0.00 8.6137 8.6989 0.00%
213 4/25/2022 77,743.07 0.00 8.6201 8.6798 0.00%
214 5/25/2022 74,326.48 0.00 8.63 8.6588 0.00%
215 6/25/2022 71,057.06 0.00 8.6361 8.6376 0.00%
216 7/25/2022 67,928.59 0.00 8.6245 8.6164 0.00%
217 8/25/2022 64,935.05 0.00 8.5169 8.6003 0.00%
218 9/25/2022 62,070.71 0.00 8.4943 8.6241 0.00%
219 10/25/2022 59,330.07 0.00 8.4995 8.6552 0.00%
220 11/25/2022 56,707.86 0.00 8.5048 8.6849 0.00%
221 12/25/2022 54,199.05 0.00 8.5123 8.7196 0.00%
222 1/25/2023 51,798.80 0.00 8.5331 8.7511 0.00%
223 2/25/2023 49,502.48 0.00 8.6485 8.7782 0.00%
224 3/25/2023 47,305.66 0.00 8.6807 8.7595 0.00%
225 4/25/2023 45,204.09 0.00 8.6868 8.7327 0.00%
226 5/25/2023 43,193.72 0.00 8.6966 8.7027 0.00%
227 6/25/2023 41,270.63 0.00 8.7024 8.6733 0.00%
228 7/25/2023 39,431.11 0.00 8.6848 8.6433 0.00%
229 8/25/2023 37,671.57 0.00 8.5444 8.6177 0.00%
230 9/25/2023 35,988.61 0.00 8.5129 8.6227 0.00%
231 10/25/2023 34,378.94 0.00 8.5173 8.6344 0.00%
232 11/25/2023 32,839.43 0.00 8.522 8.6444 0.00%
233 12/25/2023 31,367.06 0.00 8.5285 8.6573 0.00%
234 1/25/2024 29,958.96 0.00 8.5369 8.6681 0.00%
235 2/25/2024 28,612.38 0.00 8.5686 8.6731 0.00%
236 3/25/2024 27,324.68 0.00 8.5805 8.6336 0.00%
237 4/25/2024 26,093.83 0.00 8.5848 8.586 0.00%
238 5/25/2024 24,917.73 0.00 8.5921 8.5338 0.00%
239 6/25/2024 23,794.38 0.00 8.596 8.4838 0.00%
240 7/25/2024 22,720.24 0.00 8.5628 8.4321 0.00%
241 8/25/2024 21,693.20 0.00 8.3435 8.3873 0.00%
242 9/25/2024 20,711.23 0.00 8.2898 8.3835 0.00%
243 10/25/2024 19,772.39 0.00 8.291 8.3885 0.00%
244 11/25/2024 18,874.83 0.00 8.2935 8.393 0.00%
245 12/25/2024 18,016.76 0.00 8.2973 8.3998 0.00%
246 1/25/2025 17,196.49 0.00 8.3015 8.4049 0.00%
247 2/25/2025 16,412.37 0.00 8.3166 8.4046 0.00%
248 3/25/2025 15,662.86 0.00 8.322 8.3642 0.00%
249 4/25/2025 14,946.46 0.00 8.3239 8.3185 0.00%
250 5/25/2025 14,261.73 0.00 8.329 8.2662 0.00%
251 6/25/2025 13,607.31 0.00 8.3305 8.217 0.00%
252 7/25/2025 12,981.88 0.00 8.2971 8.1659 0.00%
253 8/25/2025 12,384.18 0.00 8.0877 8.1231 0.00%
254 9/25/2025 11,813.03 0.00 8.0346 8.1292 0.00%
255 10/25/2025 11,267.25 0.00 8.0336 8.146 0.00%
256 11/25/2025 10,745.77 0.00 8.0339 8.162 0.00%
257 12/25/2025 10,247.51 0.00 8.0357 8.1814 0.00%
258 1/25/2026 9,771.46 0.00 8.0462 8.1985 0.00%
259 2/25/2026 9,316.67 0.00 8.1185 8.2103 0.00%
260 3/25/2026 8,882.21 0.00 8.1362 8.1777 0.00%
261 4/25/2026 8,467.19 0.00 8.1371 8.1383 0.00%
262 5/25/2026 8,070.76 0.00 8.1404 8.0932 0.00%
263 6/25/2026 7,692.12 0.00 8.1405 8.0506 0.00%
264 7/25/2026 7,330.48 0.00 8.1112 8.0065 0.00%
265 8/25/2026 6,985.11 0.00 7.9337 7.9705 0.00%
266 9/25/2026 6,655.28 0.00 7.8879 7.9842 0.00%
267 10/25/2026 6,340.33 0.00 7.886 8.0084 0.00%
268 11/25/2026 6,039.60 0.00 7.8852 8.0316 0.00%
269 12/25/2026 5,752.46 0.00 7.8859 8.0588 0.00%
270 1/25/2027 5,478.32 0.00 7.9005 8.0835 0.00%
271 2/25/2027 5,216.61 0.00 8.0079 8.1027 0.00%
272 3/25/2027 4,966.79 0.00 8.0333 8.0745 0.00%
273 4/25/2027 4,728.32 0.00 8.0338 8.0384 0.00%
274 5/25/2027 4,500.71 0.00 8.0361 7.9971 0.00%
275 6/25/2027 4,283.48 0.00 8.0355 7.9581 0.00%
276 7/25/2027 4,076.17 0.00 8.0084 7.9178 0.00%
277 8/25/2027 3,878.35 0.00 7.8478 7.8849 0.00%
278 9/25/2027 3,689.59 0.00 7.8059 7.8986 0.00%
279 10/25/2027 3,509.50 0.00 7.8036 7.923 0.00%
280 11/25/2027 3,337.68 0.00 7.8022 7.9454 0.00%
281 12/25/2027 3,173.77 0.00 7.8023 7.9717 0.00%
282 1/25/2028 3,017.43 0.00 7.8162 7.9955 0.00%
283 2/25/2028 2,868.31 0.00 7.9222 8.0147 0.00%
284 3/25/2028 2,726.09 0.00 7.9474 7.9922 0.00%
285 4/25/2028 2,590.47 0.00 7.9474 7.9617 0.00%
286 5/25/2028 2,461.16 0.00 7.9485 7.9283 0.00%
287 6/25/2028 2,337.86 0.00 7.9475 7.8962 0.00%
288 7/25/2028 2,220.31 0.00 7.9249 7.8632 0.00%
289 8/25/2028 2,108.26 0.00 7.7945 7.8376 0.00%
290 9/25/2028 2,001.45 0.00 7.7603 7.8605 0.00%
291 10/25/2028 1,899.66 0.00 7.7579 7.893 0.00%
292 11/25/2028 1,802.65 0.00 7.7563 7.9242 0.00%
293 12/25/2028 1,710.22 0.00 7.7564 7.9603 0.00%
294 1/25/2029 1,622.15 0.00 7.7758 7.9934 0.00%
295 2/25/2029 1,538.25 0.00 7.9212 8.0206 0.00%
296 3/25/2029 1,458.33 0.00 7.9551 7.995 0.00%
297 4/25/2029 1,382.21 0.00 7.9555 7.9602 0.00%
298 5/25/2029 1,309.72 0.00 7.9572 7.9205 0.00%
299 6/25/2029 1,240.72 0.00 7.9561 7.8828 0.00%
300 7/25/2029 1,175.03 0.00 7.9297 7.8441 0.00%
301 8/25/2029 1,112.49 0.00 7.9297 7.8441 0.00%
302 9/25/2029 1,052.96 0.00 7.9297 7.8441 0.00%
303 10/25/2029 996.30 0.00 7.9297 7.8441 0.00%
304 11/25/2029 942.39 0.00 7.9297 7.8441 0.00%
305 12/25/2029 891.09 0.00 7.9297 7.8441 0.00%
306 1/25/2030 842.29 0.00 7.9297 7.8441 0.00%
307 2/25/2030 795.87 0.00 7.9297 7.8441 0.00%
308 3/25/2030 751.73 0.00 7.9297 7.8441 0.00%
309 4/25/2030 709.75 0.00 7.9297 7.8441 0.00%
310 5/25/2030 669.85 0.00 7.9297 7.8441 0.00%
311 6/25/2030 631.91 0.00 7.9297 7.8441 0.00%
312 7/25/2030 595.86 0.00 7.9297 7.8441 0.00%
313 8/25/2030 561.60 0.00 7.9297 7.8441 0.00%
314 9/25/2030 529.05 0.00 7.9297 7.8441 0.00%
315 10/25/2030 498.13 0.00 7.9297 7.8441 0.00%
316 11/25/2030 468.77 0.00 7.9297 7.8441 0.00%
317 12/25/2030 440.89 0.00 7.9297 7.8441 0.00%
318 1/25/2031 414.43 0.00 7.9297 7.8441 0.00%
319 2/25/2031 389.31 0.00 7.9297 7.8441 0.00%
320 3/25/2031 365.47 0.00 7.9297 7.8441 0.00%
321 4/25/2031 342.85 0.00 7.9297 7.8441 0.00%
322 5/25/2031 321.40 0.00 7.9297 7.8441 0.00%
323 6/25/2031 301.07 0.00 7.9297 7.8441 0.00%
324 7/25/2031 281.78 0.00 7.9297 7.8441 0.00%
325 8/25/2031 263.51 0.00 7.9297 7.8441 0.00%
326 9/25/2031 246.19 0.00 7.9297 7.8441 0.00%
327 10/25/2031 229.79 0.00 7.9297 7.8441 0.00%
328 11/25/2031 214.25 0.00 7.9297 7.8441 0.00%
329 12/25/2031 199.55 0.00 7.9297 7.8441 0.00%
330 1/25/2032 185.63 0.00 7.9297 7.8441 0.00%
331 2/25/2032 172.46 0.00 7.9297 7.8441 0.00%
332 3/25/2032 160.00 0.00 7.9297 7.8441 0.00%
333 4/25/2032 148.23 0.00 7.9297 7.8441 0.00%
334 5/25/2032 137.09 0.00 7.9297 7.8441 0.00%
335 6/25/2032 126.58 0.00 7.9297 7.8441 0.00%
336 7/25/2032 116.64 0.00 7.9297 7.8441 0.00%
337 8/25/2032 107.27 0.00 7.9297 7.8441 0.00%
338 9/25/2032 98.41 0.00 7.9297 7.8441 0.00%
339 10/25/2032 90.07 0.00 7.9297 7.8441 0.00%
340 11/25/2032 82.20 0.00 7.9297 7.8441 0.00%
341 12/25/2032 74.78 0.00 7.9297 7.8441 0.00%
342 1/25/2033 67.79 0.00 7.9297 7.8441 0.00%
343 2/25/2033 61.21 0.00 7.9297 7.8441 0.00%
344 3/25/2033 55.02 0.00 7.9297 7.8441 0.00%
345 4/25/2033 49.20 0.00 7.9297 7.8441 0.00%
346 5/25/2033 43.73 0.00 7.9297 7.8441 0.00%
347 6/25/2033 38.59 0.00 7.9297 7.8441 0.00%
348 7/25/2033 33.76 0.00 7.9297 7.8441 0.00%
349 8/25/2033 29.24 0.00 7.9297 7.8441 0.00%
350 9/25/2033 25.00 0.00 7.9297 7.8441 0.00%
351 10/25/2033 21.04 0.00 7.9297 7.8441 0.00%
352 11/25/2033 17.32 0.00 7.9297 7.8441 0.00%
353 12/25/2033 13.85 0.00 7.9297 7.8441 0.00%
354 1/25/2034 10.61 0.00 7.9297 7.8441 0.00%
355 2/25/2034 7.58 0.00 7.9297 7.8441 0.00%
356 3/25/2034 4.75 0 7.9297 7.8441 0.00%
357 4/25/2034 2.14 0 7.9297 7.8441 0.00%
Total
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
MSAC-2004 WMC1
--------------------------
1 Month LIBOR = 1.34
-------------------------- --------------------------
100 PPC 1 Month LIBOR = 1.87
-------------------------- --------------------------
Month Sub AFC
1 7.06
2 6.16
3 6.36
4 6.16
5 6.37
6 6.17
7 6.17
8 6.84
9 6.18
10 6.39
11 6.18
12 6.39
13 6.18
14 6.18
15 6.39
16 6.18
17 6.39
18 6.19
19 6.19
20 6.85
21 6.19
22 7.20
23 6.97
24 7.20
25 6.97
26 6.97
27 7.20
28 6.97
29 7.20
30 6.97
31 6.97
32 7.72
33 6.98
34 7.25
35 7.02
36 7.25
37 7.02
38 7.02
39 7.25
40 7.02
41 7.25
42 7.02
43 7.02
44 7.50
45 7.02
46 7.26
47 7.02
48 7.26
49 7.02
50 7.02
51 7.26
52 7.02
53 7.26
54 7.02
55 7.02
56 7.78
57 7.02
58 7.33
59 7.09
60 7.33
61 7.10
62 7.10
63 7.33
64 7.10
65 7.33
66 7.10
67 7.10
68 7.86
69 7.10
70 7.33
71 7.10
72 7.33
73 7.10
74 7.10
75 7.34
76 7.10
77 7.34
78 7.10
79 7.10
80 7.86
81 7.10
82 7.34
83 7.10
84 7.34
85 7.10
86 7.10
87 7.34
88 7.10
89 7.34
90 7.10
91 7.10
92 7.59
93 7.10
94 7.34
95 7.11
96 7.34
97 7.11
98 7.11
99 7.34
100 7.11
101 7.34
102 7.11
103 7.11
104 7.87
105 7.11
106 7.35
107 7.11
108 7.35
109 7.11
110 7.11
111 7.35
112 7.11
113 7.35
114 7.11
115 7.11
116 7.87
117 7.11
118 7.35
119 7.11
120 7.35
121 7.11
122 7.11
123 7.35
124 7.12
125 7.35
126 7.12
127 7.12
128 7.88
129 7.12
130 7.36
131 7.12
132 7.36
133 7.12
134 7.12
135 7.36
136 7.12
137 7.36
138 7.12
139 7.12
140 7.61
141 7.12
142 7.36
143 7.12
144 7.36
145 7.12
146 7.12
147 7.36
148 7.13
149 7.36
150 7.13
151 7.13
152 7.89
153 7.13
154 7.37
155 7.13
156 7.37
157 7.13
158 7.13
159 7.37
160 7.13
161 7.37
162 7.13
163 7.13
164 7.90
165 7.13
166 7.37
167 7.14
168 7.37
169 7.14
170 7.14
171 7.38
172 7.14
173 7.38
174 7.14
175 7.14
176 7.91
177 7.14
178 7.04
179 6.81
180 7.04
181 6.81
182 6.81
183 7.04
184 6.81
185 7.04
186 6.81
187 6.81
188 7.28
189 6.81
190 7.04
191 6.81
192 7.04
193 6.81
194 6.81
195 7.04
196 6.81
197 7.04
198 6.81
199 6.81
200 7.54
201 6.81
202 7.03
203 6.81
204 7.03
205 6.81
206 6.81
207 7.03
208 6.81
209 7.03
210 6.81
211 6.81
212 7.53
213 6.80
214 7.03
215 6.80
216 7.03
217 6.80
218 6.80
219 7.03
220 6.80
221 7.03
222 6.80
223 6.80
224 7.53
225 6.80
226 7.03
227 6.80
228 7.03
229 6.80
230 6.80
231 7.03
232 6.80
233 7.03
234 6.80
235 6.80
236 7.27
237 6.80
238 7.02
239 6.80
240 7.02
241 6.80
242 6.80
243 7.02
244 6.80
245 7.02
246 6.80
247 6.80
248 7.52
249 6.79
250 7.02
251 6.79
252 7.02
253 6.79
254 6.79
255 7.02
256 6.79
257 7.02
258 6.79
259 6.79
260 7.52
261 6.79
262 7.02
263 6.79
264 7.02
265 6.79
266 6.79
267 7.01
268 6.79
269 7.01
270 6.79
271 6.79
272 7.51
273 6.79
274 7.01
275 6.79
276 7.01
277 6.78
278 6.78
279 7.01
280 6.78
281 7.01
282 6.78
283 6.78
284 7.25
285 6.78
286 7.01
287 6.78
288 7.01
289 6.78
290 6.78
291 7.01
292 6.78
293 7.01
294 6.78
295 6.78
296 7.50
297 6.78
298 7.00
299 6.78
300 7.00
301 6.78
302 6.78
303 7.00
304 6.78
305 7.00
306 6.77
307 6.77
308 7.50
309 6.77
310 7.00
311 6.77
312 7.00
313 6.77
314 6.77
315 7.00
316 6.77
317 7.00
318 6.77
319 6.77
320 7.50
321 6.77
322 6.99
323 6.77
324 6.99
325 6.77
326 6.77
327 6.99
328 6.77
329 6.99
330 6.77
331 6.77
332 7.23
333 6.77
334 6.99
335 6.76
336 6.99
337 6.76
338 6.76
339 6.99
340 6.76
341 6.99
342 6.76
343 6.76
344 7.49
345 6.76
346 6.99
347 6.76
348 6.98
349 6.76
350 6.76
351 6.98
352 6.76
353 6.98
354 6.76
355 6.76
356 7.48
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuers or counterpartys
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction (tax
treatment) and any fact that may be relevant to understanding the tax treatment
of the transaction described herein (tax structure) and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
------------------------
Class A-2/A-3 Cashcap Assumptions
------------------------ FRM 50% PPC
0 7/25/2004 10.36 ARMs 4-25 CPR over 12 months
1 8/25/2004 9.38 25 CPR for 12 Months
2 9/25/2004 9.55 60 CPR for 3 Months
3 10/25/2004 9.31 35 CPR thereafter
4 11/25/2004 9.49
5 12/25/2004 9.26
6 1/25/2005 9.24
7 2/25/2005 9.91 A-3 is paid off in period 46
8 3/25/2005 9.22 Cashcap is the same for both bonds up until this point
9 4/25/2005 9.44
10 5/25/2005 9.22
11 6/25/2005 9.43
12 7/25/2005 9.21
13 8/25/2005 9.21
14 9/25/2005 9.42
15 10/25/2005 9.2
16 11/25/2005 9.41
17 12/25/2005 9.19
18 1/25/2006 9.19
19 2/25/2006 9.88
20 3/25/2006 9.2
21 4/25/2006 10.08
22 5/25/2006 9.95
23 6/25/2006 10.34
24 7/25/2006 10.11
25 8/25/2006 10.15
26 9/25/2006 10.45
27 10/25/2006 10.41
28 11/25/2006 10.72
29 12/25/2006 10.47
30 1/25/2007 10.5
31 2/25/2007 11.45
32 3/25/2007 10.6
33 4/25/2007 11
34 5/25/2007 10.73
35 6/25/2007 11.07
36 7/25/2007 30.88
37 8/25/2007 11.39
38 9/25/2007 11.68
39 10/25/2007 11.71
40 11/25/2007 12
41 12/25/2007 11.51
42 1/25/2008 11.43
43 2/25/2008 12.19
44 3/25/2008 11.38
45 4/25/2008 12.16
46 5/25/2008 11.74
47 6/25/2008 12.09
48 7/25/2008 11.67
49 8/25/2008 11.64
50 9/25/2008 12
51 10/25/2008 11.87
52 11/25/2008 12.23
53 12/25/2008 11.8
54 1/25/2009 11.76
55 2/25/2009 12.98
56 3/25/2009 11.69
57 4/25/2009 12.27
58 5/25/2009 11.83
59 6/25/2009 12.18
60 7/25/2009 11.75
61 8/25/2009 11.71
62 9/25/2009 12.05
63 10/25/2009 11.67
64 11/25/2009 12.02
65 12/25/2009 11.59
66 1/25/2010 11.55
67 2/25/2010 12.74
68 3/25/2010 11.47
69 4/25/2010 11.84
70 5/25/2010 11.42
71 6/25/2010 11.76
72 7/25/2010 11.34
73 8/25/2010 11.3
74 9/25/2010 11.64
75 10/25/2010 11.24
76 11/25/2010 11.58
77 12/25/2010 11.17
78 1/25/2011 11.13
79 2/25/2011 12.28
80 3/25/2011 11.05
81 4/25/2011 11.39
82 5/25/2011 10.99
83 6/25/2011 11.32
84 7/25/2011 10.92
85 8/25/2011 10.88
86 9/25/2011 11.21
87 10/25/2011 10.81
88 11/25/2011 11.14
89 12/25/2011 10.74
90 1/25/2012 10.71
91 2/25/2012 11.41
92 3/25/2012 10.65
93 4/25/2012 9.65
94 5/25/2012 9.12
95 6/25/2012 9.41
96 7/25/2012 9.1
97 8/25/2012 9.09
98 9/25/2012 9.38
99 10/25/2012 9.06
100 11/25/2012 9.36
101 12/25/2012 9.04
102 1/25/2013 9.03
103 2/25/2013 9.99
104 3/25/2013 9.02
105 4/25/2013 9.31
106 5/25/2013 9
107 6/25/2013 9.29
108 7/25/2013 8.99
109 8/25/2013 8.98
110 9/25/2013 9.28
111 10/25/2013 8.97
112 11/25/2013 9.26
113 12/25/2013 8.96
114 1/25/2014 8.96
115 2/25/2014 9.91
116 3/25/2014 8.95
117 4/25/2014 9.24
118 5/25/2014 8.94
119 6/25/2014 9.24
120 7/25/2014 8.94
121 8/25/2014 8.94
122 9/25/2014 9.24
123 10/25/2014 8.94
124 11/25/2014 9.24
125 12/25/2014 8.94
126 1/25/2015 8.94
127 2/25/2015 9.9
128 3/25/2015 8.94
129 4/25/2015 9.24
130 5/25/2015 8.95
131 6/25/2015 9.25
132 7/25/2015 8.95
133 8/25/2015 8.96
134 9/25/2015 9.26
135 10/25/2015 8.97
136 11/25/2015 9.27
137 12/25/2015 8.98
138 1/25/2016 8.98
139 2/25/2016 9.61
140 3/25/2016 9
141 4/25/2016 9.31
142 5/25/2016 9.01
143 6/25/2016 9.32
144 7/25/2016 9.03
145 8/25/2016 9.04
146 9/25/2016 9.35
147 10/25/2016 9.06
148 11/25/2016 9.37
149 12/25/2016 9.08
150 1/25/2017 9.09
151 2/25/2017 10.08
152 3/25/2017 9.12
153 4/25/2017 9.43
154 5/25/2017 9.14
155 6/25/2017 9.46
156 7/25/2017 9.17
157 8/25/2017 9.19
158 9/25/2017 9.51
159 10/25/2017 9.22
160 11/25/2017 9.54
161 12/25/2017 9.25
162 1/25/2018 9.27
163 2/25/2018 10.28
164 3/25/2018 9.3
165 4/25/2018 9.63
166 5/25/2018 9.34
167 6/25/2018 9.67
168 7/25/2018 9.38
169 8/25/2018 9.4
170 9/25/2018 9.74
171 10/25/2018 9.45
172 11/25/2018 9.78
173 12/25/2018 9.49
174 1/25/2019 9.52
175 2/25/2019 10.56
176 3/25/2019 9.56
177 4/25/2019 9.3
178 5/25/2019 9.02
179 6/25/2019 9.35
180 7/25/2019 9.08
181 8/25/2019 9.11
182 9/25/2019 9.44
183 10/25/2019 9.17
184 11/25/2019 9.5
185 12/25/2019 9.23
186 1/25/2020 9.26
187 2/25/2020 9.94
188 3/25/2020 9.33
189 4/25/2020 9.68
190 5/25/2020 9.4
191 6/25/2020 9.75
192 7/25/2020 9.47
193 8/25/2020 9.51
194 9/25/2020 9.87
195 10/25/2020 9.59
196 11/25/2020 9.96
197 12/25/2020 9.68
198 1/25/2021 9.72
199 2/25/2021 10.81
200 3/25/2021 9.81
201 4/25/2021 10.18
202 5/25/2021 9.9
203 6/25/2021 10.28
204 7/25/2021 10
205 8/25/2021 10.05
206 9/25/2021 10.44
207 10/25/2021 10.15
208 11/25/2021 10.55
209 12/25/2021 10.26
210 1/25/2022 10.32
211 2/25/2022 11.49
212 3/25/2022 10.44
213 4/25/2022 10.9
214 5/25/2022 10.66
215 6/25/2022 11.13
216 7/25/2022 10.9
217 8/25/2022 11.02
218 9/25/2022 11.53
219 10/25/2022 11.29
220 11/25/2022 11.82
221 12/25/2022 11.59
222 1/25/2023 11.75
223 2/25/2023 13.2
224 3/25/2023 12.1
225 4/25/2023 12.69
226 5/25/2023 12.48
227 6/25/2023 13.11
228 7/25/2023 12.9
229 8/25/2023 13.13
230 9/25/2023 13.82
231 10/25/2023 13.64
232 11/25/2023 14.38
233 12/25/2023 14.21
234 1/25/2024 14.52
235 2/25/2024 15.88
236 3/25/2024 15.22
237 4/25/2024 16.12
238 5/25/2024 16
239 6/25/2024 16.99
240 7/25/2024 16.91
241 8/25/2024 17.42
242 9/25/2024 18.58
243 10/25/2024 18.58
244 11/25/2024 19.89
245 12/25/2024 19.97
246 1/25/2025 20.77
247 2/25/2025 23.99
248 3/25/2025 22.66
249 4/25/2025 24.57
250 5/25/2025 25.03
251 6/25/2025 27.35
252 7/25/2025 28.12
253 8/25/2025 30.04
254 9/25/2025 33.36
255 10/25/2025 34.97
256 11/25/2025 39.5
257 12/25/2025 42.25
258 1/25/2026 47.35
259 2/25/2026 59.83
260 3/25/2026 63.17
261 4/25/2026 78.97
262 5/25/2026 97.33
263 6/25/2026 139.77
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------
fico
Master & Sched
% of Gross Gross Gross Gross Sub Serv Rem Rem Orig Initial
Count Balance Balance Rate Margin Lifecap Lifefloor Fees Term Amort Term Cap
------------------------------------------------------------------------------------------------------------------------------
500 10 1,738,390 0.23 7.257 6.158 13.645 7.145 0.520 353 356 356 1.500
501 - 510 59 9,211,197 1.23 7.790 6.449 14.186 7.672 0.520 357 357 360 1.676
511 - 520 70 12,415,508 1.66 7.780 6.481 14.303 7.785 0.520 356 356 359 2.020
521 - 530 89 16,834,644 2.25 7.828 6.839 14.311 7.807 0.520 357 356 360 1.723
531 - 540 80 13,564,908 1.81 7.630 6.408 14.083 7.588 0.520 354 356 357 1.902
541 - 550 81 13,274,012 1.78 7.533 6.675 13.983 7.483 0.520 354 354 357 1.731
551 - 560 136 23,012,037 3.08 7.108 6.498 13.572 7.068 0.520 352 352 355 1.748
561 - 570 116 22,694,923 3.04 7.079 6.337 13.527 7.014 0.520 353 355 357 1.713
571 - 580 115 20,027,233 2.68 7.191 6.401 13.555 7.036 0.520 351 356 355 1.892
581 - 590 169 27,143,873 3.63 7.092 6.035 13.253 6.753 0.520 343 355 347 1.984
591 - 600 200 34,499,126 4.62 7.083 6.034 13.279 6.782 0.520 338 350 342 1.850
601 - 610 237 46,150,871 6.17 6.913 6.043 13.075 6.575 0.520 342 352 345 2.141
611 - 620 283 48,248,459 6.46 6.722 5.767 12.852 6.352 0.520 342 353 345 2.208
621 - 630 309 58,461,212 7.82 6.720 5.844 12.790 6.303 0.520 339 352 342 2.113
631 - 640 317 57,538,260 7.70 6.890 5.873 12.993 6.518 0.520 336 352 340 2.129
641 - 650 312 53,330,216 7.14 6.801 5.845 12.835 6.346 0.520 337 354 340 2.311
651 - 660 290 49,749,961 6.66 6.795 5.748 12.818 6.332 0.520 336 354 340 2.034
661 - 670 254 47,966,339 6.42 6.680 5.777 12.697 6.209 0.520 335 352 338 2.480
671 - 680 193 36,945,727 4.94 6.646 5.836 12.739 6.239 0.520 333 351 336 2.017
681 - 690 135 26,833,741 3.59 6.602 5.774 12.744 6.262 0.520 336 352 340 2.042
691 - 700 151 26,834,514 3.59 6.768 5.794 12.734 6.227 0.520 334 356 337 2.121
701 - 710 98 17,959,495 2.40 6.524 5.763 12.499 6.008 0.520 334 354 338 2.109
711 - 720 99 16,535,050 2.21 6.511 5.495 12.545 6.054 0.520 336 357 339 2.525
721 - 730 72 13,042,581 1.75 6.607 5.948 12.763 6.256 0.520 337 356 341 2.147
731 - 740 86 17,353,754 2.32 6.335 5.525 12.379 5.879 0.520 333 355 337 2.192
741 - 750 43 8,387,287 1.12 6.410 5.799 12.506 6.006 0.520 337 356 340 2.027
751 - 760 52 9,926,537 1.33 6.707 5.839 12.723 6.223 0.520 330 353 333 2.275
761 - 770 35 7,391,269 0.99 6.671 5.539 12.797 6.297 0.520 340 357 344 1.962
771 - 780 41 7,875,312 1.05 6.726 5.423 12.499 5.999 0.520 323 356 326 2.237
781 - 790 7 980,022 0.13 5.917 5.386 12.036 5.536 0.520 343 357 346 2.684
791 - 800 6 930,490 0.12 6.743 5.807 12.770 6.270 0.520 346 355 350 2.028
801 - 810 5 531,036 0.07 6.933 5.719 13.177 6.677 0.520 342 357 345 3.771
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------
Month
Periodic to Next Provided Known
Cap Adj LTV FICOs Avg Balance LTV>80w/MI
------------------------------------------------------------------------
1.000 21 81.83 500 173,839 0.00
501 - 1.013 21 76.07 506 156,122 0.00
511 - 1.000 21 79.31 515 177,364 0.00
521 - 1.000 21 79.60 525 189,153 0.00
531 - 1.000 24 76.10 535 169,561 0.00
541 - 1.000 22 80.87 546 163,877 0.00
551 - 1.000 23 80.76 555 169,206 0.00
561 - 1.000 21 80.64 565 195,646 0.00
571 - 1.014 22 81.12 576 174,150 0.00
581 - 1.000 23 82.61 585 160,615 0.00
591 - 1.000 23 80.69 595 172,496 0.00
601 - 1.000 24 83.72 606 194,729 0.00
611 - 1.000 24 82.67 615 170,489 0.00
621 - 1.000 22 81.88 625 189,195 0.00
631 - 1.000 24 82.62 636 181,509 0.00
641 - 1.000 25 83.41 645 170,930 0.00
651 - 1.000 25 82.76 655 171,552 0.00
661 - 1.000 27 84.40 665 188,844 0.00
671 - 1.000 21 83.87 675 191,429 0.00
681 - 1.000 25 82.01 686 198,768 0.00
691 - 1.000 25 83.45 695 177,712 0.00
701 - 1.000 25 83.78 706 183,260 0.00
711 - 1.000 26 84.51 715 167,021 0.00
721 - 1.000 24 83.47 726 181,147 0.00
731 - 1.000 25 82.99 736 201,788 0.00
741 - 1.000 23 82.05 745 195,053 0.00
751 - 1.000 27 83.95 755 190,895 0.00
761 - 1.000 24 83.51 766 211,179 0.00
771 - 1.000 23 81.74 776 192,081 0.00
781 - 1.000 30 78.96 786 140,003 0.00
791 - 1.000 22 83.68 794 155,082 0.00
801 - 1.000 44 87.58 805 106,207 0.00
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Here's what we like to see:
The percentages per table should add up to 100% (denominator = corresponding
aggregate collateral pool balance)
For example, if the collateral matices are for group II collateral, denominator
to be used for all the % should be as of aggregate group II collateral balance)
FICO & Documentation
--------------------------------------------------------------------------------------------
FICO Score Full DOC Limited Doc Stated Doc All Docs Avg Prin Bal Current LTV
--------------------------------------------------------------------------------------------
(50 increment)
500-550 7.65 0.13 1.19 8.97 172,336 78.46
551-600 13.67 0.77 2.61 17.04 173,067 80.95
601-650 22.87 1.86 10.56 35.29 180,884 82.61
651-700 12.98 0.62 11.59 25.20 184,096 83.19
701-750 5.16 0.61 4.04 9.80 184,116 83.31
751-800 1.55 0.22 1.86 3.63 192,224 82.81
801-850 0.06 0.00 0.01 0.07 106,207 87.51
Total 63.93 4.21 31.86 100.00 180,093 82.18
--------------------------------------------------------------------------------------------
LTV & FICO
------------------------------------------------------------------------------------------------------------------------------------
Current LTV FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Avg Prin Bal WAC Gross Margin
------------------------------------------------------------------------------------------------------------------------------------
(10
increment)
0.01-10 0.00 0.01 0.00 0.00 0.00 0.00 0.00 0.01 59,726 6.500 6.375
10.01-20 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.02 66,794 6.060 5.780
20.01-30 0.00 0.02 0.02 0.00 0.00 0.00 0.00 0.04 72,346 6.305 5.745
30.01-40 0.00 0.05 0.06 0.06 0.06 0.00 0.00 0.23 242,704 6.563 6.048
40.01-50 0.17 0.24 0.23 0.16 0.05 0.00 0.00 0.85 158,530 6.624 6.066
50.01-60 0.41 0.56 0.53 0.71 0.10 0.03 0.00 2.34 187,828 6.447 5.841
60.01-70 1.16 1.72 1.87 0.84 0.19 0.34 0.00 6.13 223,379 6.448 5.562
70.01-80 3.43 6.03 18.38 13.64 6.15 2.04 0.02 49.70 223,207 6.391 5.725
80.01-90 3.54 5.94 7.36 4.38 0.95 0.60 0.04 22.83 207,047 6.895 6.302
90.01-100 0.25 2.45 6.84 5.41 2.30 0.62 0.01 17.87 101,970 8.419 6.627
Total 8.97 17.04 35.29 25.20 9.80 3.63 0.07 100.00 180,093 6.876 5.963
------------------------------------------------------------------------------------------------------------------------------------
Prin Balance & FICO
-------------------------------------------------------------------------------------------------------------------------------
Prin Balance FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Current LTV WAC
-------------------------------------------------------------------------------------------------------------------------------
(50,000 increments)
$1-$50,000 0.05 0.36 1.07 0.73 0.27 0.10 0.01 2.59 96.07 10.477
$50,001-$100,000 0.89 1.39 2.71 2.10 0.90 0.34 0.02 8.35 87.71 8.563
$100,001-$150,000 1.92 2.50 4.48 2.66 1.02 0.26 0.00 12.84 82.88 7.304
$150,001 - $200,000 1.63 3.40 4.70 2.98 0.95 0.53 0.00 14.20 80.96 6.814
$200,001 - $250,000 1.48 2.21 3.79 3.16 1.24 0.39 0.00 12.27 80.66 6.573
$250,001 - $300,000 0.80 1.95 3.78 3.01 0.93 0.30 0.00 10.77 82.14 6.523
$300,001 - $350,000 0.92 1.61 3.48 2.28 1.29 0.43 0.04 10.05 81.13 6.389
$350,001 - $400,000 0.50 1.00 2.83 1.77 1.11 0.40 0.00 7.61 82.15 6.480
$400,001 - $450,000 0.17 0.40 2.27 1.53 0.46 0.28 0.00 5.11 81.89 6.189
$450,001 - $500,000 0.26 0.72 1.42 1.48 0.32 0.13 0.00 4.33 78.30 6.277
$500,001 - $550,000 0.07 0.49 0.63 1.40 0.28 0.00 0.00 2.87 81.85 6.415
$550,001 - $600,000 0.00 0.39 1.53 0.54 0.54 0.16 0.00 3.16 82.22 6.388
$600,001 - $650,000 0.08 0.34 0.58 0.67 0.00 0.00 0.00 1.67 77.24 6.130
$650,001 - $700,000 0.09 0.18 0.45 0.28 0.18 0.09 0.00 1.27 81.85 6.513
$700,001 - $750,000 0.00 0.10 0.89 0.29 0.19 0.10 0.00 1.57 76.49 6.007
$750,001 - $800,000 0.10 0.00 0.32 0.21 0.00 0.00 0.00 0.63 80.48 6.679
$800,001 - $850,000 0.00 0.00 0.11 0.11 0.00 0.00 0.00 0.22 69.94 6.062
$850,001 - $900,000 0.00 0.00 0.24 0.00 0.00 0.12 0.00 0.35 75.97 6.279
$900,001 - $950,000 0.00 0.00 0.00 0.00 0.12 0.00 0.00 0.12 73.85 6.250
Total 8.97 17.04 35.29 25.20 9.80 3.63 0.07 100.00 82.18 6.876
-------------------------------------------------------------------------------------------------------------------------------
-----------------------------------
Prin Balance Gross Margin
-----------------------------------
(50,000 increments)
$1-$50,000 7.044
$50,001-$100,000 6.393
$100,001-$150,000 6.199
$150,001 - $200,000 6.072
$200,001 - $250,000 6.034
$250,001 - $300,000 6.025
$300,001 - $350,000 5.777
$350,001 - $400,000 5.944
$400,001 - $450,000 5.695
$450,001 - $500,000 5.763
$500,001 - $550,000 5.857
$550,001 - $600,000 5.745
$600,001 - $650,000 5.591
$650,001 - $700,000 6.137
$700,001 - $750,000 5.632
$750,001 - $800,000 5.450
$800,001 - $850,000 4.751
$850,001 - $900,000 5.820
$900,001 - $950,000 5.375
Total 5.963
-----------------------------------
Prepayment Penalty & FICO
-------------------------------------------------------------------------------------------------------------------------------
Prepayment Penalty Term FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Current LTV
-------------------------------------------------------------------------------------------------------------------------------
(whatever increments)
0 2.28 4.80 6.89 5.39 1.96 1.03 0.01 22.38 82.92
6 0.00 0.11 0.00 0.00 0.00 0.00 0.00 0.11 67.46
12 0.12 0.75 2.18 1.80 0.37 0.23 0.00 5.45 78.55
24 5.63 8.84 19.67 12.62 5.28 1.60 0.06 53.69 82.44
36 0.94 2.54 6.54 5.39 2.19 0.77 0.00 18.37 81.72
Total 8.97 17.04 35.29 25.20 9.80 3.63 0.07 100.00 82.18
-------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------
Prepayment Penalty Term WAC Gross Margin Avg Prin Bal
--------------------------------------------------------------
(whatever increments)
0 7.353 6.117 156,752
6 7.842 0.000 418,764
12 6.660 5.762 260,978
24 6.676 5.947 198,951
36 6.936 5.755 151,211
Total 6.876 5.963 180,093
--------------------------------------------------------------
Mortg Rates & FICO
--------------------------------------------------------------------------------------------------------------------------
Mortg Rates FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Current LTV
--------------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.501-5.0% 0.00 0.05 0.38 0.64 0.49 0.18 0.00 1.73 78.16
5.001-5.5% 0.00 0.48 3.20 2.65 1.74 0.33 0.00 8.39 77.46
5.501-6.0% 0.26 1.94 7.40 6.32 2.58 1.03 0.00 19.54 79.55
6.001-6.5% 0.54 3.27 9.00 5.84 1.92 0.93 0.05 21.56 80.22
6.501-7.0% 1.57 3.99 6.61 4.14 1.31 0.43 0.00 18.05 81.33
7.001-7.5% 1.89 3.13 2.94 1.65 0.30 0.10 0.00 10.02 83.33
7.501-8.0% 1.97 2.30 2.15 1.16 0.33 0.14 0.01 8.08 83.82
8.001-8.5% 1.25 0.78 0.58 0.15 0.22 0.06 0.00 3.05 84.81
8.501-9.0% 1.05 0.27 0.27 0.42 0.30 0.08 0.00 2.39 87.18
9.001-9.5% 0.23 0.17 0.06 0.31 0.11 0.05 0.00 0.92 92.53
9.501-10.0% 0.15 0.07 0.37 0.49 0.06 0.05 0.00 1.18 95.39
10.001-10.5% 0.01 0.08 0.45 0.34 0.07 0.02 0.00 0.96 99.14
10.501-11.0% 0.02 0.30 1.32 0.82 0.33 0.19 0.00 2.99 98.96
11.001-11.5% 0.01 0.03 0.08 0.05 0.02 0.00 0.00 0.19 97.55
11.501-12.0% 0.00 0.05 0.21 0.04 0.00 0.00 0.00 0.31 99.53
12.001-12.5% 0.00 0.03 0.03 0.04 0.01 0.01 0.00 0.12 99.70
12.501-13% 0.00 0.10 0.23 0.14 0.01 0.01 0.00 0.50 99.32
13.001-13.5% 0.00 0.00 0.01 0.01 0.00 0.00 0.00 0.02 98.74
Total 8.97 17.04 35.29 25.20 9.80 3.63 0.07 100.00 82.18
--------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------
Mortg Rates WAC Gross Margin Avg Prin Bal
---------------------------------------------------------
(50 bps increment)
4.501-5.0% 4.865 4.702 315,031
5.001-5.5% 5.364 5.189 290,358
5.501-6.0% 5.872 5.496 256,641
6.001-6.5% 6.324 5.804 235,560
6.501-7.0% 6.828 6.170 210,087
7.001-7.5% 7.329 6.516 182,245
7.501-8.0% 7.805 6.780 178,669
8.001-8.5% 8.320 7.228 130,293
8.501-9.0% 8.851 7.376 106,323
9.001-9.5% 9.353 7.773 75,540
9.501-10.0% 9.890 7.105 72,379
10.001-10.5% 10.410 7.625 61,540
10.501-11.0% 10.866 0.000 63,880
11.001-11.5% 11.294 0.000 38,848
11.501-12.0% 11.929 0.000 37,442
12.001-12.5% 12.379 0.000 37,292
12.501-13% 12.847 0.000 37,532
13.001-13.5% 13.306 0.000 35,094
Total 6.876 5.963 180,093
---------------------------------------------------------
Mortg Rates & LTV
--------------------------------------------------------------------------------------------------------------------
Mortg Rates 0.01-10 10.01-20 20.01-30 30.01-40 40.01-50 50.01-60 60.01-70 70.01-80 80.01-90
--------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.501-5.0% 0.00 0.00 0.00 0.00 0.00 0.09 0.17 1.28 0.18
5.001-5.5% 0.00 0.01 0.02 0.00 0.16 0.21 0.93 5.88 0.80
5.501-6.0% 0.00 0.00 0.00 0.05 0.13 0.56 1.17 12.43 4.01
6.001-6.5% 0.01 0.00 0.01 0.10 0.06 0.50 1.47 12.83 4.51
6.501-7.0% 0.00 0.01 0.00 0.00 0.29 0.54 1.13 8.85 4.85
7.001-7.5% 0.00 0.00 0.02 0.01 0.07 0.22 0.65 3.46 3.78
7.501-8.0% 0.00 0.00 0.00 0.05 0.10 0.13 0.29 3.03 2.63
8.001-8.5% 0.00 0.00 0.00 0.00 0.03 0.03 0.17 1.03 0.95
8.501-9.0% 0.00 0.00 0.00 0.00 0.00 0.06 0.12 0.72 0.46
9.001-9.5% 0.00 0.00 0.00 0.00 0.01 0.00 0.01 0.10 0.26
9.501-10.0% 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.06 0.20
10.001-10.5% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03
10.501-11.0% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.16
11.001-11.5% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.01
11.501-12.0% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
12.001-12.5% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
12.501-13% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02
13.001-13.5% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Total 0.01 0.02 0.04 0.23 0.85 2.34 6.13 49.70 22.83
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Mortg Rates 90.01-100 total avg FICO Gross Margin Avg Prin Bal
--------------------------------------------------------------------------------
(50 bps increment)
4.501-5.0% 0.01 1.73 684.2 4.702 315,031
5.001-5.5% 0.39 8.39 663.2 5.189 290,358
5.501-6.0% 1.18 19.54 656.5 5.496 256,641
6.001-6.5% 2.07 21.56 644.4 5.804 235,560
6.501-7.0% 2.38 18.05 627.1 6.170 210,087
7.001-7.5% 1.81 10.02 601.9 6.516 182,245
7.501-8.0% 1.85 8.08 599.4 6.780 178,669
8.001-8.5% 0.85 3.05 585.1 7.228 130,293
8.501-9.0% 1.03 2.39 600.9 7.376 106,323
9.001-9.5% 0.54 0.92 625.9 7.773 75,540
9.501-10.0% 0.90 1.18 642.2 7.105 72,379
10.001-10.5% 0.93 0.96 650.2 7.625 61,540
10.501-11.0% 2.83 2.99 654.9 0.000 63,880
11.001-11.5% 0.16 0.19 628.3 0.000 38,848
11.501-12.0% 0.30 0.31 628.8 0.000 37,442
12.001-12.5% 0.12 0.12 656.0 0.000 37,292
12.501-13% 0.49 0.50 632.4 0.000 37,532
13.001-13.5% 0.02 0.02 642.2 0.000 35,094
Total 17.87 100.00 635.2 5.963 180,093
--------------------------------------------------------------------------------
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
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
All records
Selection Criteria: All records
Table of Contents
1. Range of Gross Interest Rates (%)
1. Range of Gross Interest Rates (%)
----------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------
4.500 - 4.749 3 957,250 0.13 4.625 357 74.15 671
4.750 - 4.999 34 10,764,833 1.44 4.871 355 78.16 684
5.000 - 5.249 37 9,012,252 1.21 5.121 355 78.02 680
5.250 - 5.499 105 31,759,270 4.25 5.321 354 77.91 662
5.500 - 5.749 152 40,396,550 5.41 5.553 349 78.06 659
5.750 - 5.999 436 113,601,358 15.20 5.893 354 80.17 658
6.000 - 6.249 200 50,972,357 6.82 6.087 349 79.52 648
6.250 - 6.499 365 84,524,915 11.31 6.324 355 80.05 648
6.500 - 6.749 331 71,318,232 9.54 6.554 354 81.27 635
6.750 - 6.999 443 95,588,870 12.79 6.876 355 81.57 624
7.000 - 7.249 125 22,975,920 3.07 7.076 353 82.66 612
7.250 - 7.499 232 42,065,377 5.63 7.323 354 83.91 607
7.500 - 7.749 193 34,751,885 4.65 7.556 353 83.93 597
7.750 - 7.999 224 41,466,546 5.55 7.863 355 84.18 598
8.000 - 8.249 55 8,135,459 1.09 8.091 356 81.42 580
8.250 - 8.499 103 11,568,331 1.55 8.311 328 86.60 591
8.500 - 8.749 55 7,725,066 1.03 8.532 332 84.68 581
8.750 - 8.999 132 13,576,965 1.82 8.853 292 88.89 605
9.000 - 9.249 31 3,491,562 0.47 9.048 333 81.25 574
9.250 - 9.499 44 3,557,900 0.48 9.315 266 92.64 626
9.500 - 9.749 41 2,692,653 0.36 9.516 212 95.84 650
9.750 - 9.999 106 7,553,861 1.01 9.894 199 95.73 648
10.000 - 10.249 14 1,055,076 0.14 10.023 213 97.24 627
10.250 - 10.499 42 2,609,024 0.35 10.279 177 99.55 653
10.500 - 10.749 74 4,580,522 0.61 10.505 179 98.96 647
10.750 - 10.999 341 21,934,420 2.93 10.866 177 98.98 655
11.000 - 11.249 7 269,343 0.04 11.012 177 98.81 666
11.250 - 11.499 29 1,171,717 0.16 11.262 191 97.89 626
11.500 - 11.749 7 256,555 0.03 11.552 177 96.94 640
11.750 - 11.999 59 2,195,021 0.29 11.933 177 99.54 630
12.000 - 12.249 9 310,054 0.04 12.118 175 100.00 626
12.250 - 12.499 4 91,000 0.01 12.378 175 99.08 601
12.500 - 12.749 18 758,898 0.10 12.531 182 98.77 664
12.750 - 12.999 95 3,558,565 0.48 12.859 177 99.53 633
13.000 - 13.249 1 32,677 0.00 13.125 176 95.00 669
13.250 - 13.499 3 107,700 0.01 13.361 177 100.00 634
Total: 4,150 747,387,982 100.00 6.876 340 82.39 635
----------------------------------------------------------------------------------------------------------------------
Minimum: 4.625
Maximum: 13.490
Weighted Average: 6.876
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
Adjustable Rate Population
Selection Criteria: Adjustable Rate Population
Table of Contents
1. Range of Gross Interest Rates (%)
1. Range of Gross Interest Rates (%)
---------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------
4.500 - 4.749 3 957,250 0.17 4.625 357 74.15 671
4.750 - 4.999 33 10,662,030 1.89 4.872 357 78.17 683
5.000 - 5.249 36 8,910,606 1.58 5.121 357 78.16 680
5.250 - 5.499 99 30,159,890 5.35 5.323 357 78.49 663
5.500 - 5.749 130 35,285,078 6.26 5.554 357 78.85 659
5.750 - 5.999 351 93,046,694 16.52 5.895 357 80.76 656
6.000 - 6.249 151 39,475,699 7.01 6.090 357 80.66 645
6.250 - 6.499 279 67,861,650 12.05 6.324 357 81.02 648
6.500 - 6.749 244 54,327,152 9.65 6.556 357 82.03 632
6.750 - 6.999 319 72,977,535 12.96 6.876 357 83.08 624
7.000 - 7.249 94 18,570,238 3.30 7.065 357 83.06 609
7.250 - 7.499 183 34,814,502 6.18 7.322 357 84.33 605
7.500 - 7.749 151 29,173,807 5.18 7.558 357 84.19 595
7.750 - 7.999 175 35,371,917 6.28 7.861 357 84.21 597
8.000 - 8.249 43 6,556,749 1.16 8.087 357 81.81 574
8.250 - 8.499 61 8,438,891 1.50 8.319 357 84.15 567
8.500 - 8.749 30 5,485,273 0.97 8.534 357 82.47 558
8.750 - 8.999 42 6,151,156 1.09 8.874 356 82.20 538
9.000 - 9.249 21 2,763,610 0.49 9.048 356 78.21 556
9.250 - 9.499 9 1,167,880 0.21 9.406 357 85.69 539
9.500 - 9.749 2 233,794 0.04 9.501 356 83.39 534
9.750 - 9.999 4 596,093 0.11 9.878 357 85.55 541
10.000 - 10.249 1 215,514 0.04 10.000 355 90.00 528
10.500 - 10.749 1 47,543 0.01 10.500 357 85.00 536
Total: 2,462 563,250,550 100.00 6.552 357 81.66 632
---------------------------------------------------------------------------------------------------------------------
Minimum: 4.625
Maximum: 10.500
Weighted Average: 6.552
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
Fixed Rate Population
Selection Criteria: Fixed Rate Population
Table of Contents
1. Range of Gross Interest Rates (%)
1. Range of Gross Interest Rates (%)
---------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------
4.750 - 4.999 1 102,803 0.06 4.750 177 77.04 709
5.000 - 5.249 1 101,646 0.06 5.125 177 66.15 679
5.250 - 5.499 6 1,599,379 0.87 5.281 309 66.97 661
5.500 - 5.749 22 5,111,472 2.78 5.551 299 72.65 658
5.750 - 5.999 85 20,554,664 11.16 5.880 344 77.49 668
6.000 - 6.249 49 11,496,658 6.24 6.079 324 75.58 659
6.250 - 6.499 86 16,663,265 9.05 6.322 345 76.09 648
6.500 - 6.749 87 16,991,079 9.23 6.545 343 78.86 644
6.750 - 6.999 124 22,611,334 12.28 6.879 348 76.70 625
7.000 - 7.249 31 4,405,682 2.39 7.124 337 81.00 625
7.250 - 7.499 49 7,250,875 3.94 7.325 341 81.88 616
7.500 - 7.749 42 5,578,078 3.03 7.546 336 82.55 603
7.750 - 7.999 49 6,094,629 3.31 7.877 346 83.99 602
8.000 - 8.249 12 1,578,710 0.86 8.108 352 79.79 608
8.250 - 8.499 42 3,129,440 1.70 8.291 249 93.22 655
8.500 - 8.749 25 2,239,793 1.22 8.524 273 90.08 636
8.750 - 8.999 90 7,425,809 4.03 8.837 238 94.44 660
9.000 - 9.249 10 727,951 0.40 9.045 246 92.80 643
9.250 - 9.499 35 2,390,020 1.30 9.271 222 96.03 669
9.500 - 9.749 39 2,458,859 1.34 9.518 199 97.03 661
9.750 - 9.999 102 6,957,768 3.78 9.895 185 96.60 657
10.000 - 10.249 13 839,561 0.46 10.029 177 99.10 653
10.250 - 10.499 42 2,609,024 1.42 10.279 177 99.55 653
10.500 - 10.749 73 4,532,980 2.46 10.505 177 99.10 648
10.750 - 10.999 341 21,934,420 11.91 10.866 177 98.98 655
11.000 - 11.249 7 269,343 0.15 11.012 177 98.81 666
11.250 - 11.499 29 1,171,717 0.64 11.262 191 97.89 626
11.500 - 11.749 7 256,555 0.14 11.552 177 96.94 640
11.750 - 11.999 59 2,195,021 1.19 11.933 177 99.54 630
12.000 - 12.249 9 310,054 0.17 12.118 175 100.00 626
12.250 - 12.499 4 91,000 0.05 12.378 175 99.08 601
12.500 - 12.749 18 758,898 0.41 12.531 182 98.77 664
12.750 - 12.999 95 3,558,565 1.93 12.859 177 99.53 633
13.000 - 13.249 1 32,677 0.02 13.125 176 95.00 669
13.250 - 13.499 3 107,700 0.06 13.361 177 100.00 634
Total: 1,688 184,137,432 100.00 7.865 289 84.61 645
---------------------------------------------------------------------------------------------------------------------
Minimum: 4.750
Maximum: 13.490
Weighted Average: 7.865
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
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
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Collateral Analysis
Wtd Avg Wtd Avg Wtd Avg Wtd Avg
FICO Low FICO High LTV Current Balance GWAC % MI FICO DTI % SFD % PUD % Owner Occ % Full Doc
-------- -------- ----- --------------- ------- ---- ------- ------- ----- ----- ----------- ----------
500 524 > 65 174,129.62 7.779 0.00 514 41.05 85.64 11.92 99.58 86.01
525 549 > 65 172,727.54 7.715 0.00 537 38.36 77.13 17.50 98.26 89.90
550 574 > 65 184,348.88 7.168 0.00 562 39.13 77.14 15.52 98.35 82.11
575 599 > 70 160,686.33 7.200 0.00 588 40.62 75.49 15.70 95.99 81.67
600 624 > 70 181,571.00 6.836 0.00 612 40.46 77.43 12.33 96.00 75.40
625 649 > 70 176,819.00 6.892 0.00 637 39.93 70.10 17.28 96.35 58.34
650 674 > 80 129,452.79 7.663 0.00 661 38.92 72.33 16.44 93.65 62.61
675 699 > 80 138,698.98 7.454 0.00 685 39.68 69.47 13.77 91.82 65.73
700 724 > 80 118,668.25 7.279 0.00 711 38.67 69.13 13.25 90.40 65.24
725 749 > 85 122,769.38 7.693 0.00 734 38.03 59.09 14.64 83.63 67.23
750 774 > 85 132,353.30 7.650 0.00 761 34.78 54.14 18.23 76.20 54.56
775 799 > 85 99,894.08 8.747 0.00 781 39.50 61.39 1.55 92.79 46.19
800 max > 85 119,895.47 6.790 0.00 806 35.44 6.05 88.08 100.00 94.12
FICO Low % Ltd Doc % Stated Doc % Int Only
-------- ---------- ------------ ----------
500 1.42 12.57 0.00
525 1.35 8.75 0.00
550 5.04 12.85 0.61
575 4.57 13.76 6.15
600 5.22 19.38 16.82
625 6.21 35.45 17.95
650 1.77 35.62 15.59
675 3.27 31.00 12.83
700 2.47 32.28 13.33
725 4.33 28.44 10.93
750 0.64 44.80 0.00
775 15.60 38.21 0.00
800 0.00 5.88 88.08
Wtd Avg Wtd Avg Wtd Avg Wtd Avg
LTV Low LTV High DTI Current Balance GWAC % MI FICO DTI % SFD % PUD % Owner Occ % Full Doc
-------- -------- ----- --------------- ------- ---- ------- ------- ----- ----- ----------- ----------
60% 64% > 50 160,541.20 6.130 0.00 666 52.66 58.63 0.00 80.35 80.35
65% 69% > 50 213,407.52 7.207 0.00 554 50.77 85.98 0.00 100.00 85.98
70% 74% > 50 152,705.32 6.094 0.00 655 52.15 77.33 0.00 88.36 92.39
75% 79% > 50 238,190.47 6.575 0.00 609 53.99 78.31 14.28 93.32 69.28
80% 84% > 50 238,568.33 6.367 0.00 641 52.38 67.64 16.68 96.83 83.62
85% 89% > 50 220,465.83 6.696 0.00 619 53.47 87.46 12.54 97.72 90.83
90% 94% > 50 245,440.14 7.001 0.00 609 52.93 82.43 12.93 84.66 95.53
95% 99% > 50 207,604.41 7.023 0.00 624 53.12 82.75 9.72 100.00 84.83
100% max > 50 68,245.99 10.038 0.00 650 52.83 65.96 27.09 94.69 83.46
LTV Low % Ltd Doc % Stated Doc % Int Only
-------- ---------- ------------ ----------
60 0.00 19.65 0.00
65 0.00 14.02 0.00
70 0.00 7.61 0.00
75 3.57 27.16 0.00
80 1.70 14.68 7.97
85 0.00 9.17 0.00
90 2.52 1.95 2.24
95 12.47 2.71 9.44
100 2.56 13.98 0.00
Wtd Avg Wtd Avg Wtd Avg Wtd Avg
DTI Low DTI High FICO Current Balance GWAC % MI FICO DTI % SFD % PUD % Owner Occ % Full Doc
-------- -------- ----- --------------- ------- ---- ------- ------- ----- ----- ----------- ----------
20% 24% < 525 173,528.69 7.650 0.00 516 22.77 86.81 0.00 100.00 63.34
25% 29% < 550 144,559.05 7.601 0.00 531 27.32 78.02 19.75 94.29 85.03
30% 34% < 575 170,052.77 7.280 0.00 546 32.58 83.85 7.14 97.79 87.80
35% 39% < 600 172,451.28 7.348 0.00 559 37.89 81.82 11.17 98.31 79.52
40% 44% < 625 184,828.74 7.041 0.00 584 42.62 75.56 15.11 96.76 72.43
45% 49% < 650 175,261.33 7.095 0.00 593 47.47 73.43 19.31 96.00 72.08
50% 54% < 675 188,985.13 6.982 0.00 607 52.21 78.05 14.52 95.02 85.52
55% max < 700 222,312.07 6.809 0.00 613 56.48 79.01 8.84 96.01 88.53
DTI Low % Ltd Doc % Stated Doc % Int Only
-------- ---------- ------------ ----------
20 0.00 36.66 0.00
25 3.92 11.05 0.00
30 3.46 8.74 0.00
35 1.24 19.25 4.45
40 6.70 20.87 12.58
45 5.43 22.48 5.81
50 3.13 11.35 6.16
55 1.75 9.72 0.00
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
Sub 550 FICOs
Selection Criteria: Sub 550 FICOs
Table of Contents
1. Credit Score
2. Range of Combined Original LTV Ratios (%)
3. Documentation Level
4. Occupancy
5. Range of Cut-off Date Principal Balances ($)
1. Credit Score
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
500 - 524 182 31,523,462 47.99 7.758 356 78.85 513
525 - 549 197 34,169,020 52.01 7.645 355 78.25 536
Total: 379 65,692,482 100.00 7.699 356 78.54 525
------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 549
Weighted Average: 525
2. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 4 460,820 0.70 7.222 357 42.39 537
45.01 - 50.00 6 764,090 1.16 7.173 357 48.30 523
50.01 - 55.00 6 1,226,547 1.87 6.941 357 52.52 524
55.01 - 60.00 10 1,827,507 2.78 7.213 357 57.56 524
60.01 - 65.00 14 2,628,941 4.00 7.572 357 63.31 525
65.01 - 70.00 30 6,059,319 9.22 7.408 355 68.65 528
70.01 - 75.00 48 7,849,441 11.95 7.832 357 74.37 521
75.01 - 80.00 106 17,402,869 26.49 7.715 355 79.64 525
80.01 - 85.00 112 18,017,271 27.43 7.911 356 84.59 526
85.01 - 90.00 35 7,900,244 12.03 7.540 357 89.68 529
90.01 - 95.00 6 1,401,691 2.13 7.780 356 94.88 526
95.01 - 100.00 2 153,743 0.23 11.316 177 100.00 524
Total: 379 65,692,482 100.00 7.699 356 78.54 525
------------------------------------------------------------------------------------------------------------------------------
Minimum: 40.69
Maximum: 100.00
Weighted Average: 78.54
3. Documentation Level
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
Full Documentation 332 55,815,219 84.96 7.696 355 79.95 526
Stated Documentation 41 8,894,114 13.54 7.699 357 70.14 525
Limited Documentation 6 983,150 1.50 7.887 356 74.51 528
Total: 379 65,692,482 100.00 7.699 356 78.54 525
------------------------------------------------------------------------------------------------------------------------------
4. Occupancy
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
Primary 374 65,049,104 99.02 7.694 356 78.61 525
Investment 4 524,602 0.80 8.148 357 68.32 532
Second Home 1 118,776 0.18 8.375 357 83.80 523
Total: 379 65,692,482 100.00 7.699 356 78.54 525
------------------------------------------------------------------------------------------------------------------------------
5. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 9 393,298 0.60 9.313 298 79.10 526
50,001 - 75,000 29 1,848,313 2.81 8.411 350 77.96 528
75,001 - 100,000 51 4,566,595 6.95 8.058 353 75.36 528
100,001 - 125,000 58 6,583,129 10.02 7.887 353 80.42 525
125,001 - 150,000 54 7,388,490 11.25 7.804 357 79.19 524
150,001 - 175,000 27 4,364,931 6.64 7.806 357 76.85 527
175,001 - 200,000 40 7,487,655 11.40 7.683 357 75.36 524
200,001 - 225,000 23 4,899,081 7.46 7.619 357 80.14 522
225,001 - 250,000 24 5,740,297 8.74 7.523 356 77.85 522
250,001 - 275,000 12 3,155,423 4.80 7.512 357 76.67 525
275,001 - 300,000 10 2,841,354 4.33 7.575 357 78.68 523
300,001 - 325,000 10 3,132,814 4.77 7.702 356 81.38 532
325,001 - 350,000 11 3,741,998 5.70 7.217 357 82.99 528
350,001 - 375,000 4 1,415,223 2.15 7.945 356 84.73 528
375,001 - 400,000 6 2,351,039 3.58 7.801 357 73.52 520
400,001 - 425,000 2 821,940 1.25 7.240 356 89.89 510
425,001 - 450,000 1 445,855 0.68 5.990 357 80.00 548
450,001 - 475,000 1 464,192 0.71 8.750 357 75.00 513
475,001 - 500,000 3 1,476,317 2.25 7.014 357 74.04 528
500,001 - 750,000 3 1,816,402 2.77 6.964 357 81.55 535
750,001 - 1,000,000 1 758,139 1.15 8.500 356 80.00 532
Total: 379 65,692,482 100.00 7.699 356 78.54 525
------------------------------------------------------------------------------------------------------------------------------
Minimum: 33,876
Maximum: 758,139
Average: 173,331
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
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
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
Interest Only Loans
Selection Criteria: Interest Only Loans
Table of Contents
1. Credit Score
2. Range of Combined Original LTV Ratios (%)
3. Documentation Level
4. Occupancy
5. Range of Cut-off Date Principal Balances ($)
1. Credit Score
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
550 - 574 1 294,500 0.29 5.750 356 95.00 561
575 - 599 15 4,607,913 4.51 6.105 357 78.20 590
600 - 624 54 19,964,676 19.53 6.095 357 81.40 615
625 - 649 77 25,030,865 24.48 6.068 357 81.28 637
650 - 674 62 20,346,019 19.90 5.908 357 83.64 663
675 - 699 44 12,732,456 12.45 5.851 357 83.03 685
700 - 724 27 7,737,950 7.57 5.520 357 82.70 711
725 - 749 22 6,671,486 6.53 5.575 357 82.65 735
750 - 774 11 2,998,312 2.93 5.759 357 78.19 761
775 - 799 6 1,534,600 1.50 4.998 357 79.95 782
800 + 1 316,800 0.31 6.375 357 90.00 806
Total: 320 102,235,576 100.00 5.917 357 82.01 660
------------------------------------------------------------------------------------------------------------------------------
Minimum: 561
Maximum: 806
Weighted Average: 660
2. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 1 129,824 0.13 5.375 356 25.49 626
30.01 - 35.00 1 100,000 0.10 5.750 357 34.01 688
45.01 - 50.00 1 239,075 0.23 5.375 356 48.19 621
50.01 - 55.00 3 670,716 0.66 5.493 357 53.09 664
55.01 - 60.00 1 207,000 0.20 6.625 357 58.47 619
60.01 - 65.00 2 948,250 0.93 5.004 357 64.55 620
65.01 - 70.00 4 2,259,300 2.21 6.353 357 67.22 635
70.01 - 75.00 4 2,554,500 2.50 5.803 357 74.59 615
75.01 - 80.00 221 66,626,738 65.17 5.764 357 79.75 665
80.01 - 85.00 10 4,165,018 4.07 5.736 357 83.52 642
85.01 - 90.00 31 10,761,935 10.53 6.467 357 89.70 658
90.01 - 95.00 41 13,573,220 13.28 6.331 357 94.86 658
Total: 320 102,235,576 100.00 5.917 357 82.01 660
------------------------------------------------------------------------------------------------------------------------------
Minimum: 25.49
Maximum: 95.00
Weighted Average: 82.01
3. Documentation Level
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
Full Documentation 289 91,692,065 89.69 5.923 357 82.60 660
Limited Documentation 22 7,221,716 7.06 5.915 357 77.86 645
Stated Documentation 9 3,321,795 3.25 5.765 357 74.70 677
Total: 320 102,235,576 100.00 5.917 357 82.01 660
------------------------------------------------------------------------------------------------------------------------------
4. Occupancy
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
Primary 312 100,735,286 98.53 5.921 357 82.06 659
Second Home 7 1,315,790 1.29 5.423 356 77.17 702
Investment 1 184,500 0.18 7.500 357 90.00 638
Total: 320 102,235,576 100.00 5.917 357 82.01 660
------------------------------------------------------------------------------------------------------------------------------
5. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
75,001 - 100,000 8 718,320 0.70 5.961 357 73.60 694
100,001 - 125,000 11 1,234,377 1.21 6.030 357 81.57 673
125,001 - 150,000 15 2,050,916 2.01 5.932 357 78.39 671
150,001 - 175,000 19 3,138,988 3.07 5.872 357 80.52 687
175,001 - 200,000 21 3,958,406 3.87 6.063 357 85.38 664
200,001 - 225,000 19 4,075,083 3.99 5.912 357 80.30 663
225,001 - 250,000 23 5,449,766 5.33 5.522 357 78.36 658
250,001 - 275,000 25 6,599,456 6.46 5.838 357 81.91 667
275,001 - 300,000 23 6,582,519 6.44 5.792 357 83.07 663
300,001 - 325,000 26 8,198,923 8.02 5.741 357 83.32 676
325,001 - 350,000 16 5,356,836 5.24 5.910 357 82.25 663
350,001 - 375,000 11 3,983,690 3.90 5.746 356 82.19 644
375,001 - 400,000 25 9,700,881 9.49 6.161 357 83.62 649
400,001 - 425,000 10 4,108,971 4.02 5.949 357 85.94 655
425,001 - 450,000 15 6,552,400 6.41 5.952 357 81.82 651
450,001 - 475,000 6 2,783,500 2.72 5.804 357 83.35 638
475,001 - 500,000 8 3,952,118 3.87 6.156 357 80.20 626
500,001 - 750,000 38 23,003,425 22.50 5.993 357 81.63 663
750,001 - 1,000,000 1 787,000 0.77 5.875 357 74.95 633
Total: 320 102,235,576 100.00 5.917 357 82.01 660
------------------------------------------------------------------------------------------------------------------------------
Minimum: 79,600
Maximum: 787,000
Average: 319,486
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
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
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
Second Lien Loans
Selection Criteria: Second Lien Loans
Table of Contents
1. Credit Score
2. Range of Combined Original LTV Ratios (%)
3. Documentation Level
4. Occupancy
5. Range of Cut-off Date Principal Balances ($)
1. Credit Score
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
500 - 524 1 33,876 0.06 12.875 177 100.00 500
525 - 549 1 119,867 0.21 10.875 177 100.00 531
550 - 574 2 239,301 0.42 10.491 176 85.76 562
575 - 599 91 4,529,421 7.92 11.233 177 98.81 589
600 - 624 141 7,720,475 13.51 10.876 177 99.20 614
625 - 649 228 12,550,147 21.95 10.909 177 98.53 637
650 - 674 207 12,044,075 21.07 10.548 177 99.43 662
675 - 699 118 7,679,428 13.43 10.013 177 98.83 687
700 - 724 81 4,797,756 8.39 9.800 177 99.54 711
725 - 749 54 3,732,656 6.53 9.484 177 99.13 735
750 - 774 38 2,562,984 4.48 9.999 177 99.21 761
775 - 799 13 1,114,265 1.95 9.945 177 97.49 779
800 + 2 42,886 0.08 9.854 176 100.00 803
Total: 977 57,167,136 100.00 10.487 177 98.96 662
------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 805
Weighted Average: 662
2. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
60.01 - 65.00 1 144,593 0.25 9.750 175 64.94 685
70.01 - 75.00 1 148,664 0.26 9.990 175 71.44 640
75.01 - 80.00 1 139,812 0.24 9.990 177 77.37 623
80.01 - 85.00 3 539,234 0.94 10.399 177 83.43 598
85.01 - 90.00 28 1,835,314 3.21 10.497 177 89.68 682
90.01 - 95.00 63 3,439,612 6.02 10.711 177 94.88 655
95.01 - 100.00 880 50,919,907 89.07 10.477 177 99.97 663
Total: 977 57,167,136 100.00 10.487 177 98.96 662
------------------------------------------------------------------------------------------------------------------------------
Minimum: 64.94
Maximum: 100.00
Weighted Average: 98.96
3. Documentation Level
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
Full Documentation 550 31,863,475 55.74 10.201 177 99.18 653
Stated Documentation 377 21,658,750 37.89 10.972 177 98.70 678
Limited Documentation 50 3,644,911 6.38 10.104 177 98.53 654
Total: 977 57,167,136 100.00 10.487 177 98.96 662
------------------------------------------------------------------------------------------------------------------------------
4. Occupancy
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
Primary 955 56,074,981 98.09 10.480 177 98.95 662
Second Home 19 862,431 1.51 10.880 177 99.73 707
Investment 3 229,724 0.40 10.578 177 97.00 692
Total: 977 57,167,136 100.00 10.487 177 98.96 662
------------------------------------------------------------------------------------------------------------------------------
5. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 120 2,369,608 4.15 11.312 178 99.00 647
25,001 - 50,000 381 14,230,658 24.89 10.850 177 99.39 654
50,001 - 75,000 226 13,899,685 24.31 10.420 177 99.38 667
75,001 - 100,000 144 12,404,301 21.70 10.265 177 99.80 668
100,001 - 125,000 46 5,172,867 9.05 10.355 177 98.94 657
125,001 - 150,000 42 5,874,092 10.28 10.289 177 96.57 662
150,001 - 175,000 10 1,612,848 2.82 10.486 177 98.42 662
175,001 - 200,000 7 1,353,679 2.37 9.620 177 94.93 680
225,001 - 250,000 1 249,397 0.44 8.750 177 90.00 778
Total: 977 57,167,136 100.00 10.487 177 98.96 662
------------------------------------------------------------------------------------------------------------------------------
Minimum: 14,288
Maximum: 249,397
Average: 58,513
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. 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.
MORGAN STANLEY
MSAC 2004-WMC1
Fixed Rate Population
Selection Criteria: Fixed Rate Population
Table of Contents
1. Documentation Level
2. Credit Score
3. Range of Combined Original LTV Ratios (%)
4. Documentation Level Greater than 85% LTV
1. Documentation Level
------------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Documentation Level Loans Balance Balance Balance Rate LTV FICO Score
------------------------------------------------------------------------------------------------------------------------------
Full Documentation 1,049 117,505,713 63.81 112,017 7.662 85.39 633.5
Stated Documentation 577 60,262,287 32.73 104,441 8.181 82.41 665.2
Limited Documentation 62 6,369,432 3.46 102,733 8.617 91.05 656.8
Total: 1,688 184,137,432 100.00 109,086 7.865 84.61 644.7
------------------------------------------------------------------------------------------------------------------------------
2. Credit Score
------------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Credit Score Loans Balance Balance Balance Rate LTV FICO Score
------------------------------------------------------------------------------------------------------------------------------
481 - 500 1 33,876 0.02 33,876 12.875 100.00 500.0
501 - 520 17 1,705,217 0.93 100,307 8.332 78.32 510.4
521 - 540 25 4,077,903 2.21 163,116 7.939 76.41 528.7
541 - 560 42 5,385,491 2.92 128,226 7.471 77.87 552.7
561 - 580 56 7,798,885 4.24 139,266 7.609 75.88 568.4
581 - 600 151 16,244,666 8.82 107,581 7.980 80.25 591.8
601 - 620 225 25,114,198 13.64 111,619 7.792 85.22 610.8
621 - 640 272 28,911,284 15.70 106,291 7.999 85.30 631.1
641 - 660 278 27,516,934 14.94 98,982 8.057 85.85 650.8
661 - 680 214 23,331,915 12.67 109,028 7.834 87.08 669.2
681 - 700 148 17,152,341 9.31 115,894 7.622 85.01 690.2
701 - 720 96 9,913,448 5.38 103,265 7.725 88.54 709.5
721 - 740 76 8,388,619 4.56 110,377 7.530 85.14 731.1
741 - 760 43 4,392,023 2.39 102,140 8.005 89.14 752.1
761 - 780 37 3,735,177 2.03 100,951 8.404 89.96 771.6
781 - 800 5 392,569 0.21 78,514 7.967 85.58 789.9
801 - 820 2 42,886 0.02 21,443 9.854 100.00 803.5
Total: 1,688 184,137,432 100.00 109,086 7.865 84.61 644.7
------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 805
Weighted Average: 645
3. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Range of Combined Mortgage Principal Principal Principal Interest Original Average
Original LTV Ratios (%) Loans Balance Balance Balance Rate LTV FICO Score
------------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 1 421,661 0.23 421,661 6.125 33.04 726.0
40.01 - 45.00 9 1,896,314 1.03 210,702 6.350 42.78 647.5
45.01 - 50.00 13 1,703,264 0.92 131,020 6.575 47.83 602.9
50.01 - 55.00 24 4,140,349 2.25 172,515 6.364 52.52 633.0
55.01 - 60.00 24 4,376,043 2.38 182,335 6.382 58.40 649.4
60.01 - 65.00 33 6,266,888 3.40 189,906 6.758 62.68 605.9
65.01 - 70.00 47 8,591,563 4.67 182,799 6.386 68.15 636.0
70.01 - 75.00 77 14,232,419 7.73 184,837 6.616 73.39 630.3
75.01 - 80.00 229 37,791,523 20.52 165,028 6.645 79.42 642.4
80.01 - 85.00 98 18,269,021 9.92 186,419 6.843 83.97 627.8
85.01 - 90.00 113 18,638,944 10.12 164,946 7.228 89.52 637.2
90.01 - 95.00 121 13,586,896 7.38 112,288 7.969 94.41 652.5
95.01 - 100.00 899 54,222,546 29.45 60,314 10.284 99.97 663.3
Total: 1,688 184,137,432 100.00 109,086 7.865 84.61 644.7
------------------------------------------------------------------------------------------------------------------------------
Minimum: 33.04
Maximum: 100.00
Weighted Average: 84.61
4. Documentation Level Greater than 85% LTV
------------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Documentation Level Mortgage Principal Principal Principal Interest Original Average
Greater than 85% LTV Loans Balance Balance Balance Rate LTV FICO Score
------------------------------------------------------------------------------------------------------------------------------
Full Documentation 688 57,491,065 66.50 83,563 8.722 96.26 646.5
Stated Documentation 391 24,163,523 27.95 61,799 10.539 98.27 677.7
Limited Documentation 54 4,793,798 5.55 88,774 9.288 96.60 660.2
Total: 1,133 86,448,386 100.00 76,300 9.261 96.84 656.0
------------------------------------------------------------------------------------------------------------------------------
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
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. 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.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. 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.
Deal Name: MSAC 2004-WMC1
Detailed collateral info 747,387,981.63
% of
# of group
Loans Balance Avg. Balance balance WAC WARM FICO OLTV CLTV
------------------------------------------------------------------------------------------------------------------------------------
Aggregated 4150 747,387,981.63 180,093.49 6.876 340 635 82.39
------------------------------------------------------------------------------------------------------------------------------------
RATE
10.001-10.5 117 7,200,139.99 61,539.66 0.96% 10.410 178 650 99.17
10.501-11 350 22,357,970.31 63,879.92 2.99% 10.866 177 655 98.99
11.001-11.5 36 1,398,536.74 38,848.24 0.19% 11.294 189 628 97.58
greater than 11.5 190 7,109,863.91 37,420.34 0.95% 12.500 177 634 99.46
5.09%
Average Loan Balance
0-24,999 120 2,369,608.38 19,746.74 0.32% 11.312 178 647 99.00
25-49,999 442 17,011,666.86 38,487.93 2.28% 10.361 201 647 95.74
50-74,999 410 25,828,881.60 62,997.27 3.46% 9.013 251 640 89.67
6.05%
400-500k 157 70,527,361.39 449,218.86 9.44% 6.229 356 644 80.44
500-600k 82 45,074,154.05 549,684.81 6.03% 6.401 353 652 82.24
600-700k 34 22,027,545.61 647,868.99 2.95% 6.296 357 637 79.43
700-800k 22 16,431,443.63 746,883.80 2.20% 6.198 349 646 77.80
800-900k 5 4,317,411.82 863,482.36 0.58% 6.194 356 660 73.89
900-1000k 1 922,353.25 922,353.25 0.12% 6.250 357 741 74.06
21.31%
FICO
N/A or Below 500 -- -- -- 0.00% -- -- -- --
500-519 128 21,456,003.86 167,625.03 2.87% 7.718 356 509 78.25
520-539 172 30,920,896.76 179,772.66 4.14% 7.778 356 528 78.38
540-559 211 35,061,790.12 166,169.62 4.69% 7.276 354 551 80.27
560-579 229 43,236,363.21 188,805.08 5.78% 7.128 351 569 81.12
580-599 370 60,989,866.17 164,837.48 8.16% 7.097 340 590 81.40
25.64%
LTV
80` 1,236 271,922,844.82 220,002.30 36.38% 6.357 356 652 80.00
80-84` 136 30,444,870.69 223,859.34 4.07% 6.744 348 616 83.10
85-89` 367 73,472,149.45 200,196.59 9.83% 6.918 352 602 86.52
90-94` 391 83,825,674.62 214,387.91 11.22% 6.930 351 629 90.70
95-99` 329 58,117,853.58 176,650.01 7.78% 7.317 339 637 95.17
100` 915 59,438,989.03 64,960.64 7.95% 9.902 209 664 100.00
77.23%
2nd Home 75 13,007,614.26 173,434.86 1.74% 6.886 332 674 79.93
Invest Property 182 28,185,135.59 154,863.38 3.77% 6.977 349 660 79.12
5.51%
2nd lien 977 57,167,135.96 58,512.93 7.65% 10.487 177 662 98.96
Silent Seconds 1,064 252,920,233.49 237,706.99 33.84% 6.286 357 661 79.30
Documentation Type
Stated Doc 1,318 238,118,670.94 180,666.67 31.86% 7.032 337 656 80.15
Limited 156 31,476,785.94 201,774.27 4.21% 6.877 333 644 82.71
36.07%
Cash Out 1,393 287,744,764.40 206,564.80 38.50% 6.767 348 617 81.09
2-4 Family 172 40,305,969.12 234,337.03 5.39% 6.912 340 668 79.45
Condo 388 61,846,701.37 159,398.71 8.28% 6.743 335 657 83.11
13.67%
Credit Grade
B 381 66,327,113.13 174,086.91 8.87% 7.554 356 535 78.57
C 42 6,633,656.11 157,944.19 0.89% 8.467 355 526 73.81
9.76%
Debt to Income Ratio
40-45 997 184,814,843.15 185,370.96 24.73% 6.836 339 640 82.26
45-50 909 160,630,376.24 176,711.08 21.49% 7.000 339 632 82.84
50-55 285 56,072,860.32 196,746.88 7.50% 6.847 343 627 84.34
greater than 55 40 8,875,197.76 221,879.94 1.19% 6.727 346 625 82.06
54.91%
% of % of % Single
DTI Full Doc Primary Owner Family % Cashout
----------------------------------------------------------------------------------------------
Aggregated 39.61 63.93 94.49 71.50 38.50
----------------------------------------------------------------------------------------------
RATE
10.001-10.5 39.55 58.08 99.71 77.47 11.15
10.501-11 41.33 40.26 98.60 67.90 19.52
11.001-11.5 42.76 44.01 100.00 52.37 15.28
greater than 11.5 41.48 47.09 95.32 60.28 19.29
Average Loan Balance
0-24,999 39.69 63.91 97.49 76.88 11.10
25-49,999 39.44 59.26 93.26 71.65 14.82
50-74,999 38.55 63.00 91.47 73.78 23.36
400-500k 39.74 63.35 96.06 71.75 37.93
500-600k 39.68 66.29 96.45 64.74 41.27
600-700k 38.48 61.68 97.21 61.92 47.76
700-800k 40.43 77.00 95.55 68.89 40.60
800-900k 36.62 60.44 80.64 61.05 60.44
900-1000k 34.89 0.00 100.00 100.00 0.00
FICO
N/A or Below 500 -- -- -- -- --
500-519 41.02 86.68 100.00 85.70 61.13
520-539 38.69 82.62 97.92 81.67 55.89
540-559 38.61 82.78 97.83 79.33 56.00
560-579 39.41 81.82 97.09 73.27 54.28
580-599 40.29 79.31 95.06 75.81 41.22
LTV
80 40.34 58.34 96.88 67.66 21.09
80-84 39.53 69.80 95.20 73.83 58.99
85-89 40.18 74.43 95.24 76.44 59.86
90-94 39.27 80.74 90.06 72.28 46.28
95-99 40.04 81.11 95.09 77.18 41.66
100 39.91 63.31 98.01 71.10 17.02
2nd Home 38.86 39.04 0.00 62.11 18.75
Invest Property 37.64 61.29 0.00 53.02 35.30
2nd lien 40.26 55.74 98.09 67.81 16.66
Silent Seconds 40.54 55.30 97.66 66.41 16.55
Documentation Type
Stated Doc 39.83 0.00 92.79 69.43 31.85
Limited 37.77 0.00 94.69 67.33 21.25
Cash Out 39.57 71.32 95.69 74.00 100.00
2-4 Family 38.40 43.04 79.00 0.00 35.76
Condo 39.20 63.82 92.68 0.00 30.53
Credit Grade
B 39.33 83.54 98.35 80.10 58.85
C 39.80 79.89 97.94 77.48 57.12
Debt to Income Ratio
40-45 42.61 59.53 95.56 69.76 36.63
45-50 47.54 59.99 94.53 69.04 37.54
50-55 52.21 83.93 94.64 76.18 42.16
greater than 55 56.71 92.35 96.11 79.49 61.40
Notes: OLTV means the original LTV of the loan; CLTV applies if there is a
silent 2nd lien behind;
FICO Range
---- <=59LTV---- ----60-70 LTV---- ----70-80 LTV----
# $ # $ # $
500 -- -- -- -- 3 597,757.32
501-550 26 4,034,228.06 31 6,839,234.62 88 13,917,417.02
551-600 39 6,177,794.88 53 11,390,641.04 106 21,179,476.80
601-650 38 5,561,314.81 49 13,506,875.19 161 39,726,468.41
>650 33 7,924,392.60 37 7,732,674.18 112 31,577,324.51
----------------------------------------------------------------------------------------------------------------------------
Total 136 23,697,730.35 170 39,469,425.03 470 106,998,444.06
----------------------------------------------------------------------------------------------------------------------------
---- >=80LTV---- ---- Total----
# $ # $
500 7 1,140,633.09 10 1,738,390.41
501-550 234 40,509,388.93 379 65,300,268.63
551-600 538 88,629,279.32 736 127,377,192.04
601-650 1,210 204,934,358.54 1,458 263,729,016.95
>650 1,385 242,008,722.31 1,567 289,243,113.60
--------------------------------------------------------------------------------------
Total 3,374 577,222,382.19 4,150 747,387,981.63
--------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. 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.
MORGAN STANLEY
MSAC 2004-WMC1
----------------------------------------------------------
Selection Criteria: Full Documentation & Purchase
==========================================================
Number of Mortgage Loans: 1,120
Total Current Balance: 173,631,923.76
Average Current Balance: 155,028.50
Weighted Average FICO Score: 651.2
Weighted Average Current Combined LTV: 85.31
Weighted Average DTI Ratio: 39.73
% Cash-Out Refinance: 0.0
% Full Documentation: 100.0
% Owner Occupied: 93.3
Weighted Average Coupon: 6.856
Weighted Average Margin: 5.760
% 2-4 Family: 4.1
% MH: 0.0
% PUD: 17.9
% Condo: 12.3
% Silent Second: 57.50
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
----------------------------------------------------------
----------------------------------------------------------
Selection Criteria: Limited Documentation & Purchase
==========================================================
Number of Mortgage Loans: 107
Total Current Balance: 21,083,929.01
Average Current Balance: 197,046.07
Weighted Average FICO Score: 655.9
Weighted Average Current Combined LTV: 83.01
Weighted Average DTI Ratio: 37.50
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 97.8
Weighted Average Coupon: 6.943
Weighted Average Margin: 5.718
% 2-4 Family: 1.4
% MH: 0.0
% PUD: 18.1
% Condo: 11.6
% Silent Second: 67.96
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
-------------------------------------------------------------
----------------------------------------------------------
Selection Criteria: Stated Documentation & Purchase
==========================================================
Number of Mortgage Loans: 764
Total Current Balance: 122,117,891.71
Average Current Balance: 159,840.17
Weighted Average FICO Score: 673.7
Weighted Average Current Combined LTV: 82.81
Weighted Average DTI Ratio: 40.50
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 92.9
Weighted Average Coupon: 7.307
Weighted Average Margin: 5.952
% 2-4 Family: 9.2
% MH: 0.0
% PUD: 15.3
% Condo: 8.6
% Silent Second: 66.14
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
----------------------------------------------------------
----------------------------------------------------------------
Selection Criteria: Full Documentation & Refinance - Cashout
================================================================
Number of Mortgage Loans: 1,008
Total Current Balance: 205,208,320.44
Average Current Balance: 203,579.68
Weighted Average FICO Score: 608.5
Weighted Average Current Combined LTV: 82.40
Weighted Average DTI Ratio: 39.77
% Cash-Out Refinance: 100.0
% Full Documentation: 100.0
% Owner Occupied: 96.8
Weighted Average Coupon: 6.775
Weighted Average Margin: 6.066
% 2-4 Family: 3.3
% MH: 0.0
% PUD: 15.1
% Condo: 6.4
% Silent Second: 13.83
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
----------------------------------------------------------------
----------------------------------------------------------------
Selection Criteria: Limited Documentation & Refinance - Cashout
================================================================
Number of Mortgage Loans: 29
Total Current Balance: 6,688,697.64
Average Current Balance: 230,644.75
Weighted Average FICO Score: 624.2
Weighted Average Current Combined LTV: 82.06
Weighted Average DTI Ratio: 38.24
% Cash-Out Refinance: 100.0
% Full Documentation: 0.0
% Owner Occupied: 82.0
Weighted Average Coupon: 6.750
Weighted Average Margin: 6.018
% 2-4 Family: 15.6
% MH: 0.0
% PUD: 15.2
% Condo: 2.0
% Silent Second: 18.18
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
----------------------------------------------------------------
Selection Criteria: Stated Documentation & Refinance - Cashout
================================================================
Number of Mortgage Loans: 356
Total Current Balance: 75,847,746.32
Average Current Balance: 213,055.47
Weighted Average FICO Score: 639.0
Weighted Average Current Combined LTV: 76.66
Weighted Average DTI Ratio: 39.12
% Cash-Out Refinance: 100.0
% Full Documentation: 0.0
% Owner Occupied: 93.8
Weighted Average Coupon: 6.746
Weighted Average Margin: 6.077
% 2-4 Family: 8.6
% MH: 0.0
% PUD: 12.6
% Condo: 7.5
% Silent Second: 16.17
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
----------------------------------------------------------------
----------------------------------------------------------------
Selection Criteria: Full Documentation & Refinance - Rate Term
================================================================
Number of Mortgage Loans: 548
Total Current Balance: 98,952,280.55
Average Current Balance: 180,569.86
Weighted Average FICO Score: 609.4
Weighted Average Current Combined LTV: 81.58
Weighted Average DTI Ratio: 39.11
% Cash-Out Refinance: 0.0
% Full Documentation: 100.0
% Owner Occupied: 95.7
Weighted Average Coupon: 6.743
Weighted Average Margin: 6.038
% 2-4 Family: 3.4
% MH: 0.0
% PUD: 11.1
% Condo: 5.1
% Silent Second: 11.78
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
----------------------------------------------------------------
------------------------------------------------------------------
Selection Criteria: Limited Documentation & Refinance - Rate Term
==================================================================
Number of Mortgage Loans: 20
Total Current Balance: 3,704,159.29
Average Current Balance: 185,207.96
Weighted Average FICO Score: 613.0
Weighted Average Current Combined LTV: 80.68
Weighted Average DTI Ratio: 38.44
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 100.0
Weighted Average Coupon: 6.726
Weighted Average Margin: 5.994
% 2-4 Family: 9.0
% MH: 0.0
% PUD: 13.3
% Condo: 19.0
% Silent Second: 23.28
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
------------------------------------------------------------------
------------------------------------------------------------------
Selection Criteria: Stated Documentation & Refinance - Rate Term
==================================================================
Number of Mortgage Loans: 198
Total Current Balance: 40,153,032.91
Average Current Balance: 202,793.10
Weighted Average FICO Score: 635.7
Weighted Average Current Combined LTV: 77.28
Weighted Average DTI Ratio: 39.13
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 90.5
Weighted Average Coupon: 6.738
Weighted Average Margin: 6.213
% 2-4 Family: 8.7
% MH: 0.0
% PUD: 10.5
% Condo: 7.1
% Silent Second: 8.99
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: 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
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. 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.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. 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.
MORGAN STANLEY
MSAC 2004-WMC1
Adjustable Rate Population
Selection Criteria: Adjustable Rate Population
Table of Contents
1. Documentation Level
2. Credit Score
3. Range of Combined Original LTV Ratios (%)
4. Documentation Level Greater than 85% LTV
1. Documentation Level
--------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Documentation Level Loans Balance Balance Balance Rate Margin LTV FICO Score
--------------------------------------------------------------------------------------------------------------------------
Full Documentation 1,627 360,286,812 63.97 221,442 6.516 5.943 82.86 621.1
Stated Documentation 741 177,856,384 31.58 240,022 6.643 6.027 79.39 653.2
Limited Documentation 94 25,107,354 4.46 267,100 6.435 5.805 80.59 640.9
Total: 2,462 563,250,550 100.00 228,778 6.552 5.963 81.66 632.1
--------------------------------------------------------------------------------------------------------------------------
2. Credit Store
--------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Credit Score Loans Balance Balance Balance Rate Margin LTV FICO Score
--------------------------------------------------------------------------------------------------------------------------
481 - 500 9 1,704,515 0.30 189,391 7.145 6.158 81.47 500
501 - 520 112 19,921,488 3.54 177,870 7.737 6.467 77.90 511.3
521 - 540 144 26,321,649 4.67 182,789 7.709 6.647 78.29 529.4
541 - 560 175 30,900,558 5.49 176,575 7.227 6.566 81.31 551.7
561 - 580 175 34,923,272 6.20 199,562 7.025 6.368 81.98 570.5
581 - 600 218 45,398,332 8.06 208,249 6.768 6.035 82.00 590.5
601 - 620 295 69,285,132 12.30 234,865 6.462 5.903 82.44 610.6
621 - 640 354 87,088,188 15.46 246,012 6.408 5.858 81.23 630.6
641 - 660 324 75,563,243 13.42 233,220 6.339 5.799 82.10 650.1
661 - 680 233 61,580,151 10.93 264,292 6.223 5.803 83.07 670
681 - 700 138 36,515,913 6.48 264,608 6.245 5.784 81.65 690.4
701 - 720 101 24,581,096 4.36 243,377 6.031 5.630 82.35 710.8
721 - 740 82 22,007,716 3.91 268,387 6.041 5.707 82.46 731.4
741 - 760 52 13,921,801 2.47 267,727 6.119 5.820 81.17 750
761 - 780 39 11,531,404 2.05 295,677 6.147 5.481 80.21 770.8
781 - 800 8 1,517,944 0.27 189,743 5.893 5.591 80.14 789.8
801 - 820 3 488,150 0.09 162,717 6.677 5.719 86.49 805.1
Total: 2,462 563,250,550 100.00 228,778 6.552 5.963 81.66 632.1
--------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 806
Weighted Average: 632
3. Range of Combined Original LTV Ratios (%)
----------------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Loans Balance Balance Balance Rate Margin LTV FICO Score
Range of Combined Original LTV Ratios (%)
----------------------------------------------------------------------------------------------------------------------------------
<= 10.00 1 59,726 0.01 59,726 6.500 6.375 10.00 562
10.01 - 15.00 1 59,844 0.01 59,844 6.750 6.125 15.00 577
15.01 - 20.00 1 73,743 0.01 73,743 5.500 5.500 17.24 593
20.01 - 25.00 2 99,702 0.02 49,851 6.950 6.250 22.85 557.6
25.01 - 30.00 2 189,683 0.03 94,841 5.967 5.480 25.86 606.4
30.01 - 35.00 5 1,027,981 0.18 205,596 6.818 6.151 33.41 607.3
35.01 - 40.00 1 249,285 0.04 249,285 6.250 5.625 38.46 686
40.01 - 45.00 7 880,819 0.16 125,831 6.550 5.966 43.43 586.8
45.01 - 50.00 11 1,860,822 0.33 169,166 6.984 6.114 48.04 572.1
50.01 - 55.00 17 3,477,014 0.62 204,530 5.955 5.281 53.09 618.3
55.01 - 60.00 26 5,105,495 0.91 196,365 6.850 6.205 57.77 579.9
60.01 - 65.00 41 10,992,542 1.95 268,111 6.170 5.350 63.10 606.7
65.01 - 70.00 86 20,310,767 3.61 236,172 6.543 5.684 68.51 603.5
70.01 - 75.00 150 35,557,245 6.31 237,048 6.581 5.959 74.11 607
75.01 - 80.00 1,204 282,723,752 50.20 234,820 6.321 5.695 79.78 650
80.01 - 85.00 264 54,371,512 9.65 205,953 6.966 6.244 84.28 587.8
85.01 - 90.00 349 79,031,623 14.03 226,452 6.781 6.338 89.55 622.5
90.01 - 95.00 249 59,118,384 10.50 237,423 6.939 6.638 94.65 633.9
95.01 - 100.00 45 8,060,612 1.43 179,125 7.163 6.521 99.69 667.3
Total: 2,462 563,250,550 100.00 228,778 6.552 5.963 81.66 632.1
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 10.00
Maximum: 100.00
Weighted Average: 81.66
4. Documentation Level Greater than 85% LTV
----------------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Documentation Level Greater than 85% LTV Loans Balance Balance Balance Rate Margin LTV FICO Score
----------------------------------------------------------------------------------------------------------------------------------
Full Documentation 525 117,538,287 80.39 223,882 6.822 6.460 92.28 624.3
Stated Documentation 99 24,602,729 16.83 248,512 7.094 6.507 91.46 655.2
Limited Documentation 19 4,069,602 2.78 214,190 6.761 6.516 93.28 625.8
Total: 643 146,210,618 100.00 227,388 6.866 6.469 92.17 629.6
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. 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.
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
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. 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.
FICO Score
------------------------------------------------------------------------------------------------------------------------------------
Total Balance Adjusted Balance[1]
----------------------- -------------------
FICO Amount %[2] CLTV Amount %[2] WA Loan Balance WAC
------------------------------------------------------------------------------------------------------------------------------------
FICO NA 0 0% > 65.0 0 0%
-------------------- ---------------- -----------------------------
0 - 500 1,738,390 0% > 65.0 1,738,390 0% 173,839 7.257
-------------------- ---------------- -----------------------------
500.01 - 550 65,300,269 9% > 70.0 52,278,505 7% 172,296 7.712
-------------------- ---------------- -----------------------------
550.01 - 575 54,918,103 7% > 70.0 45,947,315 6% 183,060 7.082
-------------------- ---------------- -----------------------------
575.01 - 600 72,459,089 10% > 70.0 61,885,132 8% 166,191 7.124
-------------------- ---------------- -----------------------------
600.01 - 620 94,399,329 13% > 70.0 88,580,288 12% 181,537 6.816
-------------------- ---------------- -----------------------------
620.01 - 650 169,329,687 23% > 80.0 64,584,541 9% 180,522 6.803
-------------------- ---------------- -----------------------------
650.01 - 680 134,662,027 18% > 80.0 52,620,147 7% 182,716 6.713
-------------------- ---------------- -----------------------------
680.01 - 700 53,668,255 7% > 85.0 16,929,575 2% 187,651 6.685
-------------------- ---------------- -----------------------------
700.01 - 750 73,278,166 10% > 85.0 22,300,218 3% 184,116 6.478
-------------------- ---------------- -----------------------------
750.01 - 800 27,103,630 4% > 85.0 9,058,390 1% 192,224 6.676
-------------------- ---------------- -----------------------------
800 + 531,036 0% > 85.0 359,686 0% 106,207 6.933
------------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 416,282,187 56% 180,093 6.876
------------------------------------------------------------------------------------------------------------------------------------
FICO: Average 635 Min: 500 Max: 806
-------------------- ---------------- ----------------
------------------------------------------------------------------------------------------------------------------------------------
% Covered by
-------------
FICO Mortgage Ins. WA FICO WA CLTV WA DTI % SFR/ PUD % Owner Occ. % Full Doc % Cashout Refi
------------------------------------------------------------------------------------------------------------------------------------
FICO NA
----------------------------------------------------------------------------------------------------------
0 - 500 - 500 81.83 43.79 100.0 100.0 90.6 92.6
----------------------------------------------------------------------------------------------------------
500.01 - 550 - 527 78.58 39.21 95.3 99.0 85.1 56.2
----------------------------------------------------------------------------------------------------------
550.01 - 575 - 562 81.14 38.82 91.8 97.4 81.3 55.8
----------------------------------------------------------------------------------------------------------
575.01 - 600 - 589 81.20 40.44 89.9 94.8 79.3 42.6
----------------------------------------------------------------------------------------------------------
600.01 - 620 - 611 83.18 39.98 88.3 95.6 73.4 50.9
----------------------------------------------------------------------------------------------------------
620.01 - 650 - 635 82.61 39.93 89.0 95.8 60.0 38.1
----------------------------------------------------------------------------------------------------------
650.01 - 680 - 664 83.65 39.77 84.7 94.0 50.3 31.9
----------------------------------------------------------------------------------------------------------
680.01 - 700 - 690 82.73 38.69 76.3 89.8 54.5 26.1
----------------------------------------------------------------------------------------------------------
700.01 - 750 - 723 83.50 39.01 75.2 90.6 52.6 20.3
----------------------------------------------------------------------------------------------------------
750.01 - 800 - 767 83.00 39.00 72.9 85.8 42.7 11.7
----------------------------------------------------------------------------------------------------------
800 + - 805 87.58 39.03 80.1 100.0 80.1 59.7
------------------------------------------------------------------------------------------------------------------------------------
Total: - 635 82.39 39.61 86.1 94.5 63.9 38.5
------------------------------------------------------------------------------------------------------------------------------------
FICO: Average
Debt To Income (DTI) Ratio
------------------------------------------------------------------------------------------------------------------------------------
Total Balance Adjusted Balance[1]
-------------------------------- -------------------
DTI Amount %[2] FICO Amount %[2] WA Loan Balance WAC
------------------------------------------------------------------------------------------------------------------------------------
<= 20 24,385,916 3% < 550 2,484,140 0% 160,434 6.767
-------------------- ---------------- ----------------------------
20.001 - 25.00 30,821,775 4% < 550 4,504,189 1% 163,078 6.878
-------------------- ---------------- ----------------------------
25.001 - 30.00 57,012,252 8% < 575 9,352,911 1% 177,057 6.682
-------------------- ---------------- ----------------------------
30.001 - 35.00 90,031,839 12% < 575 17,005,277 2% 180,787 6.858
-------------------- ---------------- ----------------------------
35.001 - 40.00 134,742,922 18% < 600 33,720,612 5% 177,761 6.917
-------------------- ---------------- ----------------------------
40.001 - 45.00 184,814,843 25% < 625 67,739,535 9% 185,371 6.836
-------------------- ---------------- ----------------------------
45.001 - 50.00 160,630,376 21% < 650 99,046,682 13% 176,711 7.000
-------------------- ---------------- ----------------------------
50.001 - 55.00 56,072,860 8% < 675 44,390,795 6% 196,747 6.847
-------------------- ---------------- ----------------------------
55+ 8,875,198 1% < 700 8,113,620 1% 221,880 6.727
------------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 286,357,761 38% 180,093 6.876
------------------------------------------------------------------------------------------------------------------------------------
DTI: Average 39.61 Min: 2.00 Max: 59.92
-------------------- ---------------- ----------------
------------------------------------------------------------------------------------------------------------------------------------
% Covered by
DTI Mortgage Ins. WA FICO WA CLTV WA DTI % SFR/ PUD % Owner Occ. % Full Doc % Cashout Refi
------------------------------------------------------------------------------------------------------------------------------------
<= 20 - 631 78.76 14.64 86.7 90.7 74.3 48.3
-------------------------------------------------------------------------------------------------------------
20.001 - 25.00 - 622 81.59 22.97 81.4 94.0 67.7 39.6
-------------------------------------------------------------------------------------------------------------
25.001 - 30.00 - 641 81.41 27.58 84.0 91.1 68.8 39.9
-------------------------------------------------------------------------------------------------------------
30.001 - 35.00 - 637 82.84 32.57 87.4 94.5 64.9 41.2
-------------------------------------------------------------------------------------------------------------
35.001 - 40.00 - 637 82.17 37.75 85.4 95.0 59.0 34.8
-------------------------------------------------------------------------------------------------------------
40.001 - 45.00 - 640 82.26 42.61 85.3 95.6 59.5 36.6
-------------------------------------------------------------------------------------------------------------
45.001 - 50.00 - 632 82.84 47.54 87.1 94.5 60.0 37.5
-------------------------------------------------------------------------------------------------------------
50.001 - 55.00 - 627 84.34 52.21 90.1 94.6 83.9 42.2
-------------------------------------------------------------------------------------------------------------
55+ - 625 82.06 56.71 88.1 96.1 92.3 61.4
------------------------------------------------------------------------------------------------------------------------------------
Total: - 635 82.39 39.61 86.1 94.5 63.9 38.5
------------------------------------------------------------------------------------------------------------------------------------
DTI: Average
Combined Loan To Value (CLTV) Ratio
------------------------------------------------------------------------------------------------------------------------------------
Total Balance
-------------------------------- Adjusted Balance[1]
CLTV Amount %[2] DTI Amount %[2] WA Loan Balance WAC
------------------------------------------------------------------------------------------------------------------------------------
< 60.00 25,621,744 3% > 50 2,577,573 0% 176,702 6.484
-------------------- ---------------- -----------------------------
60.01 - 70.00 46,161,760 6% > 50 1,820,757 0% 223,004 6.454
-------------------- ---------------- -----------------------------
70.01 - 80.00 370,304,940 50% > 50 25,825,976 3% 223,075 6.391
-------------------- ---------------- -----------------------------
80.01 - 85.00 72,640,533 10% > 50 7,791,197 1% 200,664 6.935
-------------------- ---------------- -----------------------------
85.01 - 90.00 97,670,568 13% > 50 12,266,358 2% 211,408 6.866
-------------------- ---------------- -----------------------------
90.01 - 95.00 72,705,279 10% > 50 10,686,326 1% 196,501 7.132
-------------------- ---------------- -----------------------------
95.01 - 100.00 62,283,158 8% > 50 3,979,872 1% 65,978 9.880
-------------------- ---------------- -----------------------------
100+ 0 0% > 50 0 0%
------------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 64,948,058 9% 180,093 6.876
------------------------------------------------------------------------------------------------------------------------------------
CLTV: Average 82.39 Min: 10.00 Max: 100.00
-------------------- --------------- --------------
------------------------------------------------------------------------------------------------------------------------------------
% Covered by
CLTV Mortgage Ins. WA FICO WA CLTV WA DTI % SFR/ PUD % Owner Occ % Full Doc % Cashout Refi
------------------------------------------------------------------------------------------------------------------------------------
< 60.00 - 616 51.15 36.26 84.8 85.2 53.1 58.9
--------------------------------------------------------------------------------------------------------------
60.01 - 70.00 - 611 66.36 37.22 87.1 90.4 52.8 57.4
--------------------------------------------------------------------------------------------------------------
70.01 - 80.00 - 644 78.95 39.99 84.0 95.8 57.1 30.0
--------------------------------------------------------------------------------------------------------------
80.01 - 85.00 - 598 84.21 39.54 88.7 94.2 73.5 58.2
--------------------------------------------------------------------------------------------------------------
85.01 - 90.00 - 625 89.54 39.78 89.1 90.7 78.1 52.1
--------------------------------------------------------------------------------------------------------------
90.01 - 95.00 - 637 94.60 40.04 90.2 96.4 81.1 42.2
--------------------------------------------------------------------------------------------------------------
95.01 - 100.00 - 664 99.93 39.77 86.1 97.7 63.9 18.0
--------------------------------------------------------------------------------------------------------------
100+
------------------------------------------------------------------------------------------------------------------------------------
Total: - 635 82.39 39.61 86.1 94.5 63.9 38.5
------------------------------------------------------------------------------------------------------------------------------------
CLTV: Average
[1] Balance of the collateral cut with second qualifier, i.e. (CLTV), FICO, DTI
etc. All other cuts except the adjusted balance are only for the main bucket
[2] Percent of the Aggregate Principal Balance - calculated automatically.
GEOGRAPHIC CONCENTRATION - TOP 12 STATES
------------------------------------------------------------------------------------------------------------------------------------
Total Balance
--------------------------------- WA Loan % Covered by
STATE Amount %[2] Balance WAC Mortgage Ins. WA FICO WA CLTV
------------------------------------------------------------------------------------------------------------------------------------
California 446,361,115 60% 219,342 6.692 - 644 81.94
-------------------- --------------------------------------------------------------------------
Illinois 29,553,488 4% 153,127 6.940 - 625 83.57
-------------------- --------------------------------------------------------------------------
Texas 28,918,305 4% 128,526 7.111 - 627 80.29
-------------------- --------------------------------------------------------------------------
New York 26,932,851 4% 251,709 6.778 - 635 77.61
-------------------- --------------------------------------------------------------------------
Florida 26,719,648 4% 137,024 7.233 - 619 84.61
-------------------- --------------------------------------------------------------------------
Washington 17,561,177 2% 141,622 6.995 - 629 83.25
-------------------- --------------------------------------------------------------------------
Maryland 17,453,631 2% 164,657 7.269 - 604 82.61
-------------------- --------------------------------------------------------------------------
Virginia 16,475,457 2% 138,449 7.391 - 630 85.40
-------------------- --------------------------------------------------------------------------
Arizona 15,905,271 2% 115,256 7.150 - 636 85.36
-------------------- --------------------------------------------------------------------------
Georgia 12,660,043 2% 122,913 7.771 - 605 84.97
-------------------- --------------------------------------------------------------------------
Nevada 10,109,470 1% 144,421 6.885 - 651 84.75
-------------------- --------------------------------------------------------------------------
Massachusetts 9,763,646 1% 232,468 6.695 - 633 79.56
-------------------- --------------------------------------------------------------------------
Other 88,973,880 12% 128,389 7.270 - 616 84.08
------------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 180,093 6.876 - 635 82.39
------------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------
STATE WA DTI % SFR/ PUD % Owner Occ % Full Doc % Cashout Refi
----------------------------------------------------------------------------------------
California 39.51 84.1 95.6 62.5 38.7
-----------------------------------------------------------------------
Illinois 40.14 77.3 98.3 63.5 55.6
-----------------------------------------------------------------------
Texas 36.59 99.2 93.3 57.8 -
-----------------------------------------------------------------------
New York 41.60 70.0 91.2 42.6 38.1
-----------------------------------------------------------------------
Florida 39.91 93.5 91.5 66.4 45.1
-----------------------------------------------------------------------
Washington 40.58 95.0 96.7 68.4 34.7
-----------------------------------------------------------------------
Maryland 41.65 92.7 95.6 73.4 51.8
-----------------------------------------------------------------------
Virginia 40.91 90.3 97.4 74.4 48.2
-----------------------------------------------------------------------
Arizona 41.13 92.8 91.3 69.2 37.0
-----------------------------------------------------------------------
Georgia 41.30 97.6 96.8 74.1 47.2
-----------------------------------------------------------------------
Nevada 37.99 97.3 70.9 80.2 32.6
-----------------------------------------------------------------------
Massachusetts 39.43 55.0 97.4 45.1 44.4
-----------------------------------------------------------------------
Other 39.07 93.1 91.5 72.3 38.0
----------------------------------------------------------------------------------------
Total: 39.61 86.1 94.5 63.9 38.5
----------------------------------------------------------------------------------------
Principal Balance
------------------------------------------------------------------------------------------------------------------------------------
Total Balance
Scheduled Principal ----------------- % Covered by
Balance Amount %[2] WA Loan Balance WAC Mortgage Ins. WA FICO WA CLTV
------------------------------------------------------------------------------------------------------------------------------------
0 - $50K 19,381,275 3% 34,486 10.477 - 647 96.14
----------------- -----------------------------------------------------------------------
$51 - $200K 264,464,211 35% 120,102 7.404 - 626 83.46
----------------- -----------------------------------------------------------------------
$200.1 - $250K 91,707,976 12% 224,225 6.573 - 631 80.89
----------------- -----------------------------------------------------------------------
$250.1 - $300K 80,523,724 11% 274,825 6.523 - 635 82.35
----------------- -----------------------------------------------------------------------
$300.1 - $400K 132,010,525 18% 344,675 6.428 - 641 81.76
----------------- -----------------------------------------------------------------------
$400.1 - $500K 70,527,361 9% 449,219 6.229 - 644 80.44
----------------- -----------------------------------------------------------------------
$500.1 - $600K 45,074,154 6% 549,685 6.401 - 652 82.24
----------------- -----------------------------------------------------------------------
$600.1 - $700K 22,027,546 3% 647,869 6.296 - 637 79.43
----------------- -----------------------------------------------------------------------
$700.1 - $800K 16,431,444 2% 746,884 6.198 - 646 77.80
----------------- -----------------------------------------------------------------------
$800.1 - $900K 4,317,412 1% 863,482 6.194 - 660 73.89
----------------- -----------------------------------------------------------------------
$900.1 - $1000K 922,353 0% 922,353 6.250 - 741 74.06
----------------- -----------------------------------------------------------------------
>$1000K 0 0%
------------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 180,093 6.876 - 635 82.39
------------------------------------------------------------------------------------------------------------------------------------
Principal Balance: Average 180,093 Min: 14,288 Max: 922,353
------------- ------------- -----------
---------------------------------------------------------------------------------------------
Scheduled Principal
Balance WA DTI % SFR/ PUD % Owner Occ % Full Doc % Cashout Refi
---------------------------------------------------------------------------------------------
0 - $50K 39.47 87.2 93.8 59.8 14.4
-----------------------------------------------------------------------
$51 - $200K 38.95 87.5 93.1 67.6 35.6
-----------------------------------------------------------------------
$200.1 - $250K 39.63 80.5 93.4 58.6 44.0
-----------------------------------------------------------------------
$250.1 - $300K 40.63 86.3 93.2 58.8 41.5
-----------------------------------------------------------------------
$300.1 - $400K 40.43 84.6 97.3 62.9 39.3
-----------------------------------------------------------------------
$400.1 - $500K 39.74 87.4 96.1 63.3 37.9
-----------------------------------------------------------------------
$500.1 - $600K 39.68 84.2 96.5 66.3 41.3
-----------------------------------------------------------------------
$600.1 - $700K 38.48 97.2 97.2 61.7 47.8
-----------------------------------------------------------------------
$700.1 - $800K 40.43 91.2 95.5 77.0 40.6
-----------------------------------------------------------------------
$800.1 - $900K 36.62 80.6 80.6 60.4 60.4
-----------------------------------------------------------------------
$900.1 - $1000K 34.89 100.0 100.0 0.0 0.0
-----------------------------------------------------------------------
>$1000K
---------------------------------------------------------------------------------------------
Total: 39.61 86.1 94.5 63.9 38.5
---------------------------------------------------------------------------------------------
Documentation Type
------------------------------------------------------------------------------------------------------------------------------------
Total Balance
--------------------------------- % Covered by
Doc Type Amount %[2] WA Loan Balance WAC Mortgage Ins. WA FICO WA CLTV
------------------------------------------------------------------------------------------------------------------------------------
Full Doc 477,792,525 64% 178,547 6.798 - 624 83.48
-------------------- --------------------------------------------------------------------------
Stated Doc 238,118,671 32% 180,667 7.032 - 656 80.15
-------------------- --------------------------------------------------------------------------
Limited Doc 31,476,786 4% 201,774 6.877 - 644 82.71
-------------------- --------------------------------------------------------------------------
NINA 0 0%
-------------------- --------------------------------------------------------------------------
Other 0 0%
------------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 180,093 6.876 - 635 82.39
------------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------
Doc Type WA DTI % SFR/ PUD % Owner Occ % Cashout Refi
-----------------------------------------------------------------------------------
Full Doc 39.62 87.9 95.3 42.9
----------------------------------------------------------
Stated Doc 39.83 82.8 92.8 31.9
----------------------------------------------------------
Limited Doc 37.77 84.2 94.7 21.2
----------------------------------------------------------
NINA
----------------------------------------------------------
Other
-----------------------------------------------------------------------------------
Total: 39.61 86.1 94.5 38.5
-----------------------------------------------------------------------------------
Property Type
------------------------------------------------------------------------------------------------------------------------------------
Total Balance
-------------------------------- % Covered by
Property Type Amount %[2] WA Loan Balance WAC Mortgage Ins. WA FICO WA CLTV
------------------------------------------------------------------------------------------------------------------------------------
Single Family 532,822,006 71% 177,017 6.890 - 630 82.38
-------------------- --------------------------------------------------------------------------
PUD 110,844,196 15% 193,108 6.874 - 637 82.99
-------------------- --------------------------------------------------------------------------
Townhouse 1,569,108 0% 261,518 6.624 - 675 87.37
-------------------- --------------------------------------------------------------------------
2-4 Family 40,305,969 5% 234,337 6.912 - 668 79.45
-------------------- --------------------------------------------------------------------------
Condo 61,846,701 8% 159,399 6.743 - 657 83.11
-------------------- --------------------------------------------------------------------------
Manufactured 0 0%
-------------------- --------------------------------------------------------------------------
Other 0 0%
------------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 180,093 6.876 - 635 82.39
------------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------
Property Type WA DTI % Owner Occ % Full Doc % Cashout Refi
----------------------------------------------------------------------------------
Single Family 39.53 95.7 65.1 40.0
---------------------------------------------------------
PUD 40.67 95.3 65.9 37.5
---------------------------------------------------------
Townhouse 39.18 83.0 60.2 0.0
---------------------------------------------------------
2-4 Family 38.40 79.0 43.0 35.8
---------------------------------------------------------
Condo 39.20 92.7 63.8 30.5
---------------------------------------------------------
Manufactured
---------------------------------------------------------
Other
----------------------------------------------------------------------------------
Total: 39.61 94.5 63.9 38.5
----------------------------------------------------------------------------------
Primary Mortgage Insurance
------------------------------------------------------------------------------------------------------------------------------------
Total Balance
--------------------------------- % Covered by
Mortgage Insurance Amount %[2] WA Loan Balance WAC Mortgage Ins. WA FICO WA CLTV
------------------------------------------------------------------------------------------------------------------------------------
Loans >80 LTV w/MI - 0%
-------------------------------------------------------------------------------------------------------------
Loans >80 LTV w/o MI - 0% - - - - -
-------------------------------------------------------------------------------------------------------------
Other - 0% - - - - -
------------------------------------------------------------------------------------------------------------------------------------
Total: 0% - - - - -
------------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------
Is MI down
Mortgage Insurance WA DTI % Owner Occ % Cashout Refi % Full Doc to 60 LTV
-----------------------------------------------------------------------------------------------
Loans >80 LTV w/MI
--------------------------------------------------------------------------
Loans >80 LTV w/o MI - - - - -
--------------------------------------------------------------------------
Other - - - - -
-----------------------------------------------------------------------------------------------
Total: - - - - -
-----------------------------------------------------------------------------------------------
Loan Purpose
------------------------------------------------------------------------------------------------------------------------
Total Balance
--------------------------------- % Covered by
Loan Purpose Amount %[2] WA Loan Balance WAC Mortgage Ins. WA. FICO
------------------------------------------------------------------------------------------------------------------------
Debt Consolidation - 0%
-------------------- --------------------------------------------------------------
Refinance - Cashout 287,744,764 39% 206,565 6.767 - 617
-------------------- --------------------------------------------------------------
Purchase 316,833,744 42% 159,133 7.035 - 660
-------------------- --------------------------------------------------------------
Refinance - Rate Term 142,809,473 19% 186,435 6.741 - 617
-------------------- --------------------------------------------------------------
Other - 0%
------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 180,093 6.876 - 635
------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------
Loan Purpose WA CLTV WA DTI % SFR/ PUD % Owner Occ
-----------------------------------------------------------------------------
Debt Consolidation
------------------------------------------------------
Refinance - Cashout 81.09 39.57 88.4 95.7
------------------------------------------------------
Purchase 84.37 39.88 82.7 93.5
------------------------------------------------------
Refinance - Rate Term 80.59 39.09 89.0 94.3
------------------------------------------------------
Other
-----------------------------------------------------------------------------
Total: 82.39 39.61 86.1 94.5
-----------------------------------------------------------------------------
Fixed Vs. Floating Collateral
-----------------------------------------------------------------------------------------------------------------------------------
Total Balance
--------------------------------- % Covered by
Collateral Type Amount %[2] WA Loan Balance WAC Mortgage Ins. WA FICO WA CLTV
-----------------------------------------------------------------------------------------------------------------------------------
Fixed 184,137,432 25% 109,086 7.865 - 645 84.61
-------------------- -------------------------------------------------------------------------
Floating 20,711,161 3% 252,575 6.200 - 651 81.42
-------------------- -------------------------------------------------------------------------
A2/6 414,489,988 55% 213,215 6.743 - 624 81.57
-------------------- -------------------------------------------------------------------------
A3/6 25,813,824 3% 222,533 6.292 - 633 81.97
-------------------- -------------------------------------------------------------------------
Other 102,235,576 14% 319,486 5.917 - 660 82.01
-----------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 180,093 6.876 - 635 82.39
-----------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------
Collateral Type WA DTI % SFR/ PUD % Owner Occ % Cashout Refi Index Margin
---------------------------------------------------------------------------------------------------------------
Fixed 39.38 86.2 94.6 41.7 0.000
--------------------------------------------------------------------------------------
Floating 36.28 83.0 84.1 39.1 6 Month Libor 5.773
--------------------------------------------------------------------------------------
A2/6 40.07 86.1 93.9 38.8 6 Month Libor 6.090
--------------------------------------------------------------------------------------
A3/6 40.11 91.8 95.7 32.9 6 Month Libor 5.855
--------------------------------------------------------------------------------------
Other 38.70 85.4 98.5 32.8 6 Month Libor 5.517
---------------------------------------------------------------------------------------------------------------
Total: 39.61 86.1 94.5 38.5 5.963
---------------------------------------------------------------------------------------------------------------
Lien Status
------------------------------------------------------------------------------------------------------------------------------------
Total Balance
--------------------------------- % Covered by
Lien Status Amount %[2] WA Loan Balance WAC Mortgage Ins. WA FICO WA CLTV
------------------------------------------------------------------------------------------------------------------------------------
First Lien 690,220,846 92% 217,529 6.577 - 633 81.01
-------------------- --------------------------------------------------------------------------
Second Lien 57,167,136 8% 58,513 10.487 - 662 98.96
-------------------- --------------------------------------------------------------------------
Third Lien 0 0%
------------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 180,093 6.876 - 635 82.39
------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
Lien Status WA DTI % SFR/ PUD % Owner Occ % Cashout Refi
-------------------------------------------------------------------------------------
First Lien 39.55 86.3 94.2 40.3
------------------------------------------------------------
Second Lien 40.26 84.0 98.1 16.7
------------------------------------------------------------
Third Lien
-------------------------------------------------------------------------------------
Total: 39.61 86.1 94.5 38.5
-------------------------------------------------------------------------------------
Occupancy Status
------------------------------------------------------------------------------------------------------------------------------------
Total Balance
--------------------------------- % Covered by
Occupancy Type Amount %[2] WA Loan Balance WAC Mortgage Ins. WA. FICO WA CLTV
------------------------------------------------------------------------------------------------------------------------------------
Primary Residence 706,195,232 94% 181,401 6.872 - 634 82.56
-------------------- --------------------------------------------------------------------------
Second Home 13,007,614 2% 173,435 6.886 - 674 79.93
-------------------- --------------------------------------------------------------------------
Investment 28,185,136 4% 154,863 6.977 - 660 79.12
-------------------- --------------------------------------------------------------------------
Non-owner 0 0%
-------------------- --------------------------------------------------------------------------
Other 0 0%
------------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 180,093 6.876 - 635 82.39
------------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------
Occupancy Type WA DTI % SFR/ PUD % Owner Occ % Cashout Refi
-----------------------------------------------------------------------------------
Primary Residence 39.70 87.2 100.0 39.0
----------------------------------------------------------
Second Home 38.86 78.1 0.0 18.8
----------------------------------------------------------
Investment 37.64 63.1 0.0 35.3
----------------------------------------------------------
Non-owner
----------------------------------------------------------
Other
-----------------------------------------------------------------------------------
Total: 39.61 86.1 94.5 38.5
-----------------------------------------------------------------------------------
Prepayment Penalty
---------------------------------------------------------------------------------------------------------------------------------
Total Balance
------------------------------------- % Covered by
Prepayment Charges Term at Origination Amount %[2] WA Loan Balance WAC Mortgage Ins.
---------------------------------------------------------------------------------------------------------------------------------
0 Months 167,254,390 22% 156,752 7.353 -
------------------------- ----------------------------------------------------
6 Months 837,529 0% 418,764 7.842 -
------------------------- ----------------------------------------------------
12 Months 40,712,562 5% 260,978 6.660 -
------------------------- ----------------------------------------------------
24 Months 401,284,321 54% 198,951 6.676 -
------------------------- ----------------------------------------------------
36 Months 137,299,180 18% 151,211 6.936 -
------------------------- ----------------------------------------------------
60 Months 0 0%
---------------------------------------------------------------- ----------------------------------------------------
Other 0 0%
---------------------------------------------------------------------------------------------------------------------------------
Total: 747,387,982 100% 180,093 6.876 -
---------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Prepayment Charges Term at Origination # of Loans WA FICO WA CLTV WA DTI % SFR/ PUD % Owner Occ % Cashout Refi
-----------------------------------------------------------------------------------------------------------------------------------
0 Months 1,067 632 83.12 39.95 86.4 93.1 33.2
-----------------------------------------------------------------------------------------
6 Months 2 562 67.63 29.58 100.0 100.0 100.0
-----------------------------------------------------------------------------------------
12 Months 156 645 78.74 39.34 78.8 93.5 38.0
-----------------------------------------------------------------------------------------
24 Months 2,017 632 82.63 39.90 86.1 95.4 38.6
-----------------------------------------------------------------------------------------
36 Months 908 645 81.95 38.48 88.1 93.7 44.4
-----------------------------------------------------------------------------------------
60 Months
-----------------------------------------------------------------------------------------------------------------------------------
Other
-----------------------------------------------------------------------------------------------------------------------------------
Total: 4,150 635 82.39 39.61 86.1 94.5 38.5
-----------------------------------------------------------------------------------------------------------------------------------
Section 32 Loans
------------------------------------------------------------------------------------------------------------------------------------
Total Balance
--------------------------------- % Covered by
Amount %[2] WA Loan Balance WAC Mortgage Ins. WA FICO WA CLTV
------------------------------------------------------------------------------------------------------------------------------------
Section 32 Loans 0 0% 0 0 0 0
------------------------------------------------------------------------------------------------------------------------------------
Total: - 0 0 0 0.00
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------
WA DTI % SFR/ PUD % Owner Occ % Cashout Refi
------------------------------------------------------------------------------------
Section 32 Loans 0 0 0 0
------------------------------------------------------------------------------------
Total: 0.00 0.0 0.0 0.0
------------------------------------------------------------------------------------
Top 5 MSA
---------
--------------------------------------------------------
MSA %[2]
--- ----
--------------------------------------------------------
No MSA 78.28
--------------------------------------------------------
San Diego 4.66
--------------------------------------------------------
Phoenix-Mesa 1.91
--------------------------------------------------------
Las Vegas, NV-AZ 1.30
--------------------------------------------------------
Atlanta 1.10
--------------------------------------------------------
Norfolk-Virginia Beach-Newport News, VA-NC 0.75
--------------------------------------------------------
Top 5 Originators
-----------------
---------------------------------------------
Originator %[2]
----
---------------------------------------------
WMC 100.00
---------------------------------------------
---------------------------------------------
---------------------------------------------
---------------------------------------------
---------------------------------------------
Servicers
---------
----------------------------------------
Servicer %[2]
----
----------------------------------------
HomEq 100.00
----------------------------------------
----------------------------------------
----------------------------------------
----------------------------------------
Rating Agency Base Case Loss Expectations
---------------------------------------------------------------------------------------------------------------------
Standard & Poors: Analyst Name : Moody's: Analyst Name :
----------------- --------
---------------------------------------------------------------------------------------------------------------------
Foreclosure Frequency Loss Severity Cumulative Losses Foreclosure Frequency
------------------------------------------------------------------------------------------------------------------------------------
AA
------------------------------------------------------------------------------------------------------------------------------------
A
------------------------------------------------------------------------------------------------------------------------------------
A-
------------------------------------------------------------------------------------------------------------------------------------
BBB+
------------------------------------------------------------------------------------------------------------------------------------
BBB
------------------------------------------------------------------------------------------------------------------------------------
BBB-
------------------------------------------------------------------------------------------------------------------------------------
B
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------
--------------------------------------------------------
Loss Severity Cumulative Losses
-----------------------------------------------------------------------
AA
-----------------------------------------------------------------------
A
-----------------------------------------------------------------------
A-
-----------------------------------------------------------------------
BBB+
-----------------------------------------------------------------------
BBB
-----------------------------------------------------------------------
BBB-
-----------------------------------------------------------------------
B
-----------------------------------------------------------------------
Assuming LIBOR Ramp: 1 month LIBOR+300 over 36 months; 50% Loss Severity; 12
month lag for liquidation losses, Solve for first dollar of principal loss, i.e.
breakeven CDR and corresponding cumulative losses.
---------------------------------------------------------------------------------------------
Breakeven CDR Cumulative Losses
----------------------------------------------------------------------------------------------------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
----------------------------------------------------------------------------------------------------------------------
AA
----------------------------------------------------------------------------------------------------------------------
A
----------------------------------------------------------------------------------------------------------------------
BBB
----------------------------------------------------------------------------------------------------------------------
BBB-
----------------------------------------------------------------------------------------------------------------------
Default Ramp - 0 to 4.5 CDR over 36 months; and other assumptions remaining same
as breakeven CDR, solve for a multiple of default ramp at first dollar principal
loss for the following prepayment speeds:
---------------------------------------------------------------------------------------------
Multiple of Default Ramp Cumulative Losses
----------------------------------------------------------------------------------------------------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
----------------------------------------------------------------------------------------------------------------------
AA
----------------------------------------------------------------------------------------------------------------------
A
----------------------------------------------------------------------------------------------------------------------
BBB
----------------------------------------------------------------------------------------------------------------------
BBB-
----------------------------------------------------------------------------------------------------------------------
0 - 500 173839.041 7.257036499 0 500 81.83256626 43.79227503 100
500.01 - 550 172296.2233 7.712409346 0 526.6021087 78.57607875 39.21416192 95.30811272
550.01 - 575 183060.3442 7.081819385 0 562.4269063 81.1383395 38.81824516 91.76413335
575.01 - 600 166190.5706 7.124028572 0 588.9374331 81.196406 40.44187244 89.85660048
600.01 - 620 181537.172 6.815629501 0 610.6715727 83.18247874 39.97848698 88.27021005
620.01 - 650 180522.0549 6.803275203 0 635.3619166 82.61280867 39.93260031 88.96815987
650.01 - 680 182716.454 6.71329167 0 664.4682649 83.65249319 39.76514415 84.66273138
680.01 - 700 187651.2406 6.684960501 0 690.3119007 82.72777692 38.68561939 76.28392848
700.01 - 750 184115.9954 6.478009886 0 723.0335271 83.50488586 39.0088922 75.16726715
750.01 - 800 192224.3235 6.675677693 0 766.572773 83.00137074 38.99741218 72.88891336
800 + 106207.276 6.933257381 0 804.9828781 87.58088928 39.03321115 80.1133041
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704
0 - 500 100 90.63373342 92.56859741
500.01 - 550 99.01473929 85.12342858 56.22272735
550.01 - 575 97.42504266 81.3254687 55.80850563
575.01 - 600 94.80053257 79.32720333 42.55342214
600.01 - 620 95.64370771 73.37858973 50.88578409
620.01 - 650 95.84595755 60.02506756 38.14423943
650.01 - 680 94.03838214 50.3120772 31.87024231
680.01 - 700 89.82729696 54.5128596 26.08623774
700.01 - 750 90.60458454 52.6420624 20.3357093
750.01 - 800 85.79860342 42.69490014 11.72623805
800 + 100 80.1133041 59.65692972
Total: 94.48843829 63.92831254 38.50005238
<= 20.00 160433.6559 6.766590869 0 631.3151674 78.75833208 14.63796154 86.74242239
20.01 - 25.00 163078.1743 6.877793382 0 622.1488953 81.58637473 22.97223983 81.42862668
25.01 - 30.00 177056.6836 6.682185113 0 641.0710678 81.40791755 27.5806325 84.02130363
30.01 - 35.00 180786.8261 6.857658232 0 636.603144 82.83637485 32.5732781 87.37145007
35.01 - 40.00 177761.1108 6.91658208 0 637.1476082 82.1719925 37.75192447 85.37558088
40.01 - 45.00 185370.956 6.836198478 0 640.1714209 82.26355367 42.61418281 85.26900506
45.01 - 50.00 176711.085 7.000331525 0 631.5677437 82.83890327 47.53705161 87.07564897
50.01 - 55.00 196746.8783 6.846942294 0 627.2388023 84.33658531 52.21061077 90.11882102
55.01 + 221879.944 6.726715711 0 624.7810421 82.06030768 56.71480507 88.12745779
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704
<= 20.00 90.72955107 74.34957864 48.2732965
20.01 - 25.00 93.96672867 67.68372663 39.56831996
25.01 - 30.00 91.06027589 68.76992399 39.93614303
30.01 - 35.00 94.49361726 64.92433007 41.17109764
35.01 - 40.00 95.04373252 59.00758301 34.78320884
40.01 - 45.00 95.56234356 59.52595568 36.62559885
45.01 - 50.00 94.5306394 59.98924778 37.53542649
50.01 - 55.00 94.63644017 83.93063188 42.16271766
55.01 + 96.10548813 92.34632198 61.39621862
Total: 94.48843829 63.92831254 38.50005238
<= 60.00 176701.6839 6.484051692 0 616.397532 51.15276721 36.25636739 84.83739938
60.01 - 70.00 223003.6702 6.454054026 0 610.6571894 66.36370828 37.21588565 87.07503957
70.01 - 80.00 223075.2653 6.39066381 0 644.3227262 78.94877206 39.98919256 83.99789941
80.01 - 85.00 200664.456 6.935168544 0 597.8516876 84.20540157 39.54285241 88.69632497
85.01 - 90.00 211408.1548 6.866426773 0 625.2708527 89.54289755 39.78233245 89.14719117
90.01 - 95.00 196500.7545 7.131666773 0 637.380487 94.60295766 40.0441498 90.16673812
95.01 - 100.00 65977.92121 9.880129432 0 663.8385976 99.93032031 39.77361314 86.10611931
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704
<= 60.00 85.23263309 53.10493185 58.92195036
60.01 - 70.00 90.39196977 52.84395866 57.36314433
70.01 - 80.00 95.77362453 57.08892485 30.0039764
80.01 - 85.00 94.22253162 73.45754525 58.16363852
85.01 - 90.00 90.69135484 78.05751804 52.11157027
90.01 - 95.00 96.43573441 81.12589112 42.24846259
95.01 -100.00 97.68255125 63.91346748 17.97754564
Total: 94.48843829 63.92831254 38.50005238
California 219342.0712 6.691606702 0 643.5765467 81.93507644 39.50924514 84.11295647
Illinois 153126.8806 6.940113896 0 624.6712688 83.57062682 40.13675005 77.25659926
Texas 128525.8021 7.110501307 0 626.5694703 80.28862119 36.59464625 99.19613388
New York 251708.8923 6.777805412 0 635.3914177 77.6096408 41.59553183 70.00862276
Florida 137023.8365 7.23349815 0 619.1938467 84.61012034 39.91228009 93.45659373
Washington 141622.3914 6.995057446 0 628.889909 83.25388802 40.58114236 94.99457124
Maryland 164656.8917 7.269190572 0 603.6851048 82.61296666 41.64505253 92.66222464
Virginia 138449.2219 7.390843176 0 629.9185915 85.40289008 40.91203757 90.34851233
Arizona 115255.5851 7.14952609 0 635.9986009 85.35625721 41.12505455 92.80288353
Georgia 122913.0388 7.7711151 0 604.5032976 84.96915647 41.30069139 97.57250864
Nevada 144420.9974 6.885254474 0 651.1792289 84.74963824 37.99072402 97.26582299
Massachusetts 232467.7595 6.695111374 0 632.5330483 79.56132577 39.42707215 54.95837451
Other 128389.437 7.270406922 0 615.5935733 84.07645062 39.06720971 93.08521971
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704
California 95.56435599 62.46057966 38.68088839
Illinois 98.3447481 63.47516258 55.63628538
Texas 93.34597606 57.82512086 0
New York 91.16324307 42.59545495 38.06580231
Florida 91.46434919 66.40319053 45.083475
Washington 96.65060824 68.39407775 34.65582235
Maryland 95.63108249 73.3922765 51.78335023
Virginia 97.35146437 74.37827992 48.22794349
Arizona 91.25538136 69.15572952 37.00900665
Georgia 96.80541362 74.12142328 47.17639269
Nevada 70.90313436 80.1634004 32.61436909
Massachusetts 97.44522771 45.0634323 44.4205241
Other 91.51851872 72.30776484 37.97131159
Total: 94.48843829 63.92831254 38.50005238
BALCURR lt 50000 34486.25488 10.47732243 0 647.1625677 96.13600607 39.46679352 87.15973475
BALCURR between 50000 -200000 120101.8216 7.404418611 0 625.9491669 83.46309867 38.94612175 87.48624757
BALCURR between 200000 -250000 224224.8803 6.572848459 0 631.1340337 80.88784153 39.63447474 80.54020365
BALCURR between 250000 -300000 274824.9977 6.523437799 0 635.421273 82.35108666 40.63487483 86.28260308
BALCURR between 300000 -400000 344675.0005 6.428437326 0 641.3851113 81.7619737 40.42641583 84.55086677
BALCURR between 400000 -500000 449218.8624 6.229368906 0 643.7611377 80.43505709 39.7432517 87.44616256
BALCURR between 500000 -500000 549684.8055 6.4009942 0 651.817159 82.23663412 39.68007279 84.23695612
BALCURR between 600000 -700000 647868.9885 6.295770184 0 636.9122693 79.42578661 38.47936496 97.19247704
BALCURR between 700000 -800000 746883.8014 6.198030232 0 646.1012023 77.79635674 40.42518042 91.24082806
BALCURR between 800000 -900000 863482.364 6.194470546 0 660.4356652 73.88723677 36.61611201 80.64319169
BALCURR between 900000 -1000000 922353.25 6.25 0 741 74.06 34.89 100
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704
BALCURR lt 50000 93.77266668 59.82637028 14.36762925
BALCURR between 50000 -200000 93.06871549 67.56178657 35.59617803
BALCURR between 200000 -250000 93.4009992 58.58923039 44.02961823
BALCURR between 250000 -300000 93.17654564 58.78246725 41.50377063
BALCURR between 300000 -400000 97.31232337 62.91320143 39.29294461
BALCURR between 400000 -500000 96.05605639 63.34712449 37.9278794
BALCURR between 500000 -500000 96.45480317 66.28717388 41.26649592
BALCURR between 600000 -700000 97.21493483 61.67847027 47.75836372
BALCURR between 700000 -800000 95.5451316 77.00302685 40.60304901
BALCURR between 800000 -900000 80.64319169 60.43871279 60.43871279
BALCURR between 900000 -1000000 100 0 0
Total: 94.48843829 63.92831254 38.50005238
Full Doc 178547.2813 6.797778058 0 624.1829402 83.47806977 39.61945897 87.91007937
Stated Doc 180666.6699 7.032105079 0 656.2260827 80.15005372 39.82618277 82.7824132
Limited Doc 201774.2688 6.876564592 0 644.0990533 82.70629148 37.76863101 84.2463173
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704
Full Doc 95.32165039 100 42.94925304
Stated Doc 92.79011536 0 31.85291856
Limited Doc 94.68858205 0 21.24962076
Total: 94.48843829 63.92831254 38.50005238
PUD 193108.3561 6.874298187 0 636.9747185 82.99091578 40.67314354 100
Single Family 177017.2779 6.889502551 0 629.8244378 82.38322379 39.52616115 100
Townhouse 261518.0617 6.623581873 0 674.9799856 87.36706191 39.17619279 0
2-4 Family 234337.0298 6.911712854 0 667.5733646 79.44755311 38.396196 0
Condo 159398.7149 6.742868506 0 656.5946627 83.10540626 39.19702019 0
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704
PUD 95.32755291 65.93923082 37.46414999
Single Family 95.7289035 65.11329732 39.96120041
Townhouse 82.98858606 60.16754662 0
2-4 Family 79.00358586 43.03871788 35.75585638
Condo 92.68103947 63.82469848 30.53374513
Total: 94.48843829 63.92831254 38.50005238
Loans >80 LTV w/o MI
Other
Total:
Refinance - Cashout 206564.7986 6.766679677 0 616.8904336 81.0936561 39.56590521 88.42868308
Purchase 159132.9706 7.035412514 0 660.1546534 84.36624272 39.87631669 82.74353084
Refinance - Rate Term 186435.343 6.741306786 0 616.8885624 80.59271163 39.09421155 88.97019747
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704
Refinance - Cashout 95.69490392 71.31609184 100
Purchase 93.4554242 54.80221939 0
Refinance - Rate Term 94.34936873 69.28971772 0
Total: 94.48843829 63.92831254 38.50005238
Fixed 109086.1564 7.865149188 0 644.6798995 84.60670606 39.37778282 86.17909944 94.6238122
Floating 252575.1387 6.200182223 0 651.0689015 81.41535704 36.28168034 82.97122992 84.08452635
A2/6 213215.015 6.743 0.000 624.3263203 81.56591595 40.06759015 86.08830279 93.8768263
A3/6 222532.966 6.292 0.000 632.9079389 81.97149611 40.10873912 91.8403846 95.67416157
Other 319486.1745 5.917342111 0 659.7988557 82.00695926 38.70263956 85.35092075 98.5325167
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704 94.48843829
Fixed 63.81413705 41.73173042 0
Floating 68.6044505 39.08660618 5.773488462
A2/6 57.27222123 38.78093316 6.089889105
A3/6 65.84977443 32.89146623 5.855436813
Other 89.68704318 32.83798889 5.516722298
Total: 63.92831254 38.50005238 5.963474362
First Lien 217529.4187 6.576674202 0 632.9770516 81.01269101 39.55340218 86.30143884
Second Lien 58512.93343 10.48675202 0 662.4407039 98.95724208 40.25887416 83.95677166
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704
First Lien 94.19017912 64.60672007 40.3092263
Second Lien 98.08954038 55.73739985 16.65656603
Total: 94.48843829 63.92831254 38.50005238
Primary Residence 181401.2925 6.871531217 0 633.5325608 82.56059961 39.69938102 87.18973119
Second Home 173434.8568 6.885969858 0 673.8350845 79.9324321 38.86478998 78.08294886
Investment 154863.3824 6.976818947 0 659.9625198 79.12391212 37.63738375 63.08200868
Total: 180093.4895 6.875753068 0 635.2307038 82.38525602 39.60737076 86.12209704
Primary Residence 100 64.49204123 38.99163623
Second Home 0 39.04050242 18.75104121
Investment 0 61.28963504 35.29741916
Total: 94.48843829 63.92831254 38.50005238
0 Months 156752.0056 7.352802873 0 1067 632.1354361 83.11513137 39.9477891
6 Months 418764.395 7.841562105 0 2 562 67.62930905 29.58
12 Months 260977.9623 6.659762266 0 156 645.0566793 78.74108964 39.34075534
24 Months 198951.0762 6.676128384 0 2017 632.2349602 82.63040663 39.89974559
36 Months 151210.5508 6.936221222 0 908 645.2900083 81.95023469 38.47860607
Total: 180093.4895 6.875753068 0 4150 635.2307038 82.38525602 39.60737076
0 Months 86.35689713 93.07534557 33.15699274
6 Months 100 100 100
12 Months 78.8288758 93.53719783 38.01063319
24 Months 86.06331169 95.42409664 38.63270095
36 Months 88.08584417 93.72362875 44.39111394
Total: 86.12209704 94.48843829 38.50005238
LOANID FICO CLTV WAC DTI Principal Balance
------ ---- ---- --- --- -----------------
10948489 625 90.00 11.750 32.38 23,453.44
10957786 643 80.00 6.375 46.10 195,452.48
10950410 674 80.00 6.750 36.74 114,900.75
10947722 695 95.69 5.990 45.85 264,252.93
10946014 661 90.00 6.000 50.16 98,696.33
10942270 706 80.00 5.750 47.76 130,966.27
10947364 739 80.00 5.875 43.00 161,103.29
10952734 523 85.00 6.990 39.36 139,902.41
10956284 523 85.00 7.990 48.46 114,516.98
10948258 603 95.00 7.750 22.94 47,904.80
10945812 560 90.00 7.625 10.94 125,275.65
10944098 661 80.00 6.625 36.64 158,633.48
10942100 778 80.00 6.875 35.44 315,198.98
10941980 710 80.00 6.250 43.69 221,549.27
10942007 591 100.00 12.500 49.70 32,962.83
10956652 639 100.00 12.875 45.24 47,546.05
10939872 550 95.00 8.500 37.46 71,906.83
10955755 669 100.00 10.875 43.83 49,920.54
10950095 710 100.00 10.875 42.14 49,944.53
10936391 787 100.00 10.875 39.49 49,925.69
10956216 549 79.86 6.625 25.43 117,087.53
10959060 727 79.10 5.875 41.48 264,185.48
10914787 593 85.00 7.376 45.95 125,216.84
10947921 504 85.00 6.990 48.55 419,707.24
10949112 666 100.00 10.250 46.32 44,443.51
10952922 653 75.00 6.990 39.04 321,700.73
10948617 666 95.00 9.500 43.52 115,083.03
10952894 540 90.00 7.625 22.57 94,261.96
10946781 655 80.00 6.500 44.02 227,168.79
10957251 669 80.00 6.500 44.50 227,378.28
10918599 587 75.00 5.880 16.72 373,848.47
10945738 611 100.00 12.875 43.78 30,998.25
10955642 581 57.47 6.125 37.14 250,980.27
10941974 684 80.00 6.625 48.26 155,442.63
10956314 655 61.40 6.250 48.98 174,499.25
10947308 645 100.00 10.500 46.07 36,356.21
10953138 559 82.98 6.450 39.87 388,926.22
10951701 593 85.00 7.750 33.13 230,707.28
10938299 659 80.00 7.500 38.39 114,941.89
10948658 647 100.00 10.875 41.14 71,693.31
10950710 668 80.00 6.875 42.08 343,128.00
10944656 656 41.48 5.875 56.56 474,030.54
10960089 638 80.00 6.990 47.42 101,348.19
10938347 690 100.00 10.875 38.88 37,144.72
10945313 698 100.00 10.875 49.90 37,144.72
10953928 626 80.00 7.625 44.78 105,688.53
10948352 567 95.00 7.990 34.59 154,535.56
10945315 675 90.00 7.500 39.16 62,811.17
10954074 678 80.00 7.000 48.47 397,414.56
10949953 697 100.00 8.750 41.27 34,914.12
10950264 707 90.60 6.375 49.18 302,652.19
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10948488 625 80.00 5.750 28.36 188,800.00
10953154 670 80.00 5.250 40.89 174,400.00
10948833 623 80.00 6.500 32.03 221,600.00
10953082 662 80.00 6.000 34.06 202,349.40
10941101 593 89.83 7.375 32.85 265,000.00
10953467 690 80.00 5.250 34.61 180,000.00
10946798 702 80.00 4.990 36.08 172,000.00
10949107 716 52.37 6.000 26.03 210,000.00
10950016 762 80.00 5.366 42.32 188,000.00
10951371 656 80.00 5.500 40.69 193,600.00
10952460 773 80.00 5.990 41.13 216,000.00
10958783 674 80.00 5.250 37.10 187,917.15
10955428 702 80.00 5.500 39.15 200,000.00
10946244 581 80.00 6.500 38.46 242,400.00
10943897 653 90.00 5.500 25.63 202,400.12
10949674 688 95.00 5.990 30.00 222,964.39
10944169 716 80.00 5.250 41.07 193,600.00
10952840 677 80.00 5.625 46.19 212,000.00
10952370 612 80.00 5.990 30.38 228,000.00
10952113 630 80.00 5.500 39.54 208,000.00
10950228 733 80.00 5.240 51.74 199,156.51
10938592 673 80.00 6.000 54.70 232,000.00
10943793 659 89.00 5.750 37.32 222,500.00
10957644 634 80.00 5.875 53.96 228,000.00
10921968 661 80.00 6.375 36.20 252,000.00
10950404 712 80.00 5.500 44.98 216,000.00
10956787 676 80.00 5.990 33.94 240,000.00
10941924 658 80.00 5.625 43.87 224,000.00
10955459 715 80.00 5.750 44.93 229,550.00
10947664 631 95.00 6.125 43.74 247,000.00
10947809 586 90.00 6.750 44.73 279,000.00
10945840 694 90.00 6.375 43.33 261,000.00
10952408 663 95.00 6.750 50.89 282,150.00
10952219 669 80.00 5.990 34.22 244,000.00
10954841 610 80.00 6.625 45.11 276,000.00
10956099 640 90.00 6.500 28.14 269,997.00
10951145 715 80.00 5.490 45.75 224,000.00
10946856 609 53.88 5.750 46.02 236,000.00
10951147 653 80.00 5.500 50.71 228,000.00
10947893 635 80.00 6.251 37.16 263,200.00
10938623 643 80.00 5.625 25.53 236,000.00
10934896 644 80.00 5.750 37.10 242,341.64
10934000 644 89.68 6.366 38.81 278,000.00
10956041 614 80.00 5.125 41.94 220,752.83
10946283 644 80.00 6.125 35.30 267,200.00
10950644 658 80.00 5.990 40.20 260,800.00
10947299 659 87.95 6.125 37.83 269,978.01
10950986 748 80.00 5.250 42.58 228,549.00
10941050 683 80.00 5.750 37.77 251,600.00
10946745 640 80.00 6.375 31.70 284,000.00
10943606 586 80.00 5.990 49.10 264,000.00
10935423 641 95.00 5.750 39.94 253,650.00
10953903 647 80.00 5.990 42.91 268,000.00
10943084 621 48.19 5.375 33.21 239,075.00
10942266 752 69.23 5.990 44.80 270,000.00
10955168 695 80.00 6.250 41.93 283,999.98
10953309 670 80.00 6.500 44.08 300,000.00
10936708 656 80.00 5.990 42.77 272,000.00
10951846 698 80.00 5.501 37.50 248,000.00
10948695 608 95.00 7.000 38.92 332,500.00
10943123 677 80.00 4.990 45.53 227,200.00
10935503 618 80.00 6.625 27.96 312,000.00
10951245 734 80.00 5.750 42.51 264,000.00
10941889 589 80.00 5.250 37.41 240,400.00
10953315 716 80.00 5.500 24.48 252,000.00
10954937 608 85.00 4.875 44.62 225,250.00
10936231 734 95.00 6.750 32.34 322,421.68
10949229 695 80.00 6.750 48.42 328,000.00
10938808 674 52.94 4.750 30.18 224,715.79
10947172 650 80.00 5.000 41.56 236,000.00
10950958 633 76.62 5.750 29.49 272,000.00
10951162 751 80.00 6.375 44.18 307,192.00
10958973 677 80.00 5.250 49.58 248,800.00
10952957 638 80.00 5.990 44.87 286,400.00
10955232 612 90.00 5.500 43.27 261,000.00
10936160 737 80.00 5.125 27.07 244,000.00
10945806 678 79.88 5.625 42.51 268,000.00
10953647 707 90.00 6.625 32.11 325,800.00
10945048 758 80.00 5.500 34.82 265,600.00
10939006 680 80.00 5.750 25.32 280,000.00
10950182 724 80.00 5.750 32.65 280,000.00
10938718 806 90.00 6.375 34.15 316,800.00
10949238 680 80.00 4.875 31.23 239,200.00
10949675 696 80.00 6.251 30.02 311,200.00
10945474 761 80.00 5.250 26.69 259,920.00
10953475 617 80.00 5.500 43.94 272,570.00
10938028 623 95.00 6.375 32.93 323,000.00
10947901 615 90.00 6.500 36.20 333,000.00
10954461 677 94.93 6.250 45.17 318,000.00
10944334 663 80.00 5.500 37.00 276,000.00
10951387 678 80.00 5.251 39.56 263,941.44
10951342 679 86.09 5.875 40.07 296,999.85
10939370 622 80.00 6.250 53.70 319,200.00
10960397 677 80.00 5.500 30.90 278,400.00
10938807 667 80.00 5.750 42.09 293,529.66
10940691 561 95.00 5.750 48.33 294,500.00
10945097 634 80.00 6.375 42.42 332,000.00
10947810 706 80.00 4.625 3.00 240,000.00
10952132 647 95.00 7.000 40.94 379,998.00
10952879 718 80.00 5.375 44.91 279,920.00
10930724 622 80.00 5.990 41.99 316,000.00
10935668 721 95.00 5.990 43.19 318,250.00
10956096 615 90.00 6.626 36.25 360,000.00
10953015 636 80.00 5.990 44.29 318,400.00
10954111 664 80.00 6.125 43.63 329,599.99
10948302 689 95.00 5.990 48.49 323,000.00
10956026 617 80.00 5.750 31.93 309,600.00
10942252 697 80.00 6.750 45.55 375,999.00
10939292 658 80.00 6.625 47.58 368,000.00
10957160 622 80.00 6.250 32.81 343,616.00
10952973 682 80.00 4.750 49.56 260,000.00
10950312 644 80.00 5.990 46.55 328,000.00
10956764 651 80.00 4.990 33.96 272,000.00
10939108 667 80.00 5.500 42.64 300,000.00
10947674 679 80.00 5.125 48.86 279,920.00
10942431 662 95.00 6.625 37.65 375,250.00
10949199 598 80.00 6.626 39.44 377,063.00
10956975 669 80.00 5.501 36.62 304,000.00
10946946 589 80.00 5.750 42.37 320,000.00
10944434 665 79.91 5.250 15.76 291,600.00
10948656 694 80.00 5.000 40.96 280,000.00
10952282 713 95.00 5.250 28.29 294,500.00
10945605 601 79.68 5.300 39.46 298,000.00
10950115 647 95.00 6.750 23.14 396,513.45
10951718 630 80.00 5.500 37.96 311,859.68
10941142 638 90.00 6.500 36.83 378,000.00
10953683 661 90.00 6.500 28.21 378,000.00
10954015 617 80.00 5.990 42.30 344,000.00
10954543 605 79.21 6.750 35.39 400,000.00
10947883 718 80.00 5.000 48.93 289,600.00
10952030 716 80.00 5.250 25.31 305,600.00
10930726 642 80.00 6.991 44.47 429,600.00
10945896 635 76.92 7.750 42.51 500,000.00
10954783 665 80.00 5.500 43.55 323,200.00
10925744 684 80.00 5.125 42.32 301,600.00
10958869 670 80.00 5.375 47.21 320,000.00
10925018 631 80.00 5.876 46.24 352,000.00
10949650 673 80.00 5.750 42.52 344,000.00
10941595 644 80.00 6.250 43.92 378,958.00
10943728 729 80.00 5.250 49.39 313,600.00
10949204 587 80.00 6.250 19.36 380,000.00
10943543 701 95.00 5.875 40.97 356,250.00
10939504 697 90.00 5.875 41.94 355,339.69
10948398 710 80.00 5.750 36.42 351,200.00
10939198 651 80.00 5.500 37.60 336,000.00
10926472 676 90.00 7.750 30.87 522,000.00
10938952 688 95.00 6.500 25.32 407,550.00
10942328 663 81.45 5.500 29.37 338,000.00
10957615 635 95.00 6.490 45.49 408,500.00
10945037 616 80.00 6.375 43.17 400,000.00
10959207 650 80.00 6.375 12.26 400,000.00
10944493 648 80.00 4.990 41.67 308,000.00
10935852 645 80.00 5.125 44.81 320,000.00
10948762 643 80.00 5.750 36.98 360,000.00
10943207 757 80.00 5.366 49.18 336,000.00
10951636 612 95.00 6.125 25.34 389,500.00
10945442 663 95.00 5.990 36.73 380,000.00
10941430 669 80.00 5.125 43.80 324,000.00
10949992 670 80.00 4.990 37.22 316,000.00
10944208 627 80.00 6.625 31.76 432,000.00
10943102 596 80.00 5.170 44.98 328,000.00
10956167 664 80.00 6.000 44.75 384,000.00
10947180 641 80.00 6.500 41.58 424,000.00
10957042 635 95.00 6.500 43.07 426,550.00
10946920 632 80.00 6.000 39.54 388,800.00
10935529 634 80.00 6.125 44.31 400,000.00
10943279 608 80.00 5.750 49.95 374,400.00
10955478 739 80.00 5.125 35.70 334,319.98
10951807 786 80.00 4.750 42.89 316,000.00
10947383 611 77.67 6.000 39.46 400,000.00
10952949 633 80.00 5.990 43.44 400,000.00
10948472 623 80.00 5.876 49.02 392,000.00
10936966 627 80.00 6.375 45.42 432,000.00
10952721 681 80.00 5.625 42.38 375,200.00
10953703 621 85.00 5.375 42.12 361,250.00
10945348 678 90.00 5.875 46.02 400,421.37
10948296 622 77.78 7.250 43.67 525,000.00
10950009 606 90.00 6.250 43.43 432,000.00
10955303 717 95.00 5.875 31.72 408,500.00
10955607 612 78.18 6.125 40.43 430,000.00
10946768 603 80.00 5.875 36.17 412,000.00
10947566 625 85.00 5.750 36.60 408,000.00
10961817 747 80.00 5.365 37.39 380,000.00
10949609 630 80.00 6.125 40.88 440,000.00
10943717 712 80.00 5.490 43.98 395,600.00
10945853 619 80.00 5.625 36.50 408,000.00
10946516 698 80.00 6.250 35.78 460,000.00
10948423 613 80.00 5.125 39.48 372,000.00
10947445 740 80.00 5.500 33.22 400,000.00
10951459 647 90.00 6.336 45.19 472,500.00
10945569 726 80.00 4.625 27.21 343,999.83
10950581 680 80.00 5.875 42.07 436,000.00
10948670 671 80.00 6.000 34.34 448,000.00
10946944 668 80.00 5.875 32.60 440,000.00
10946812 606 80.00 5.990 44.63 450,400.00
10947426 660 80.00 5.500 44.21 412,000.00
10952753 636 80.00 5.250 37.07 396,000.00
10946903 652 80.00 6.250 40.99 484,000.00
10944487 682 80.00 5.500 37.77 420,000.00
10947066 645 80.00 6.375 41.28 504,000.00
10941816 614 80.00 5.990 44.18 469,600.00
10961220 733 80.00 5.500 38.16 432,000.00
10942860 599 65.00 4.625 47.64 373,250.00
10956095 661 94.91 6.366 43.97 522,000.00
10953517 725 95.00 6.750 35.78 564,300.00
10958729 610 78.14 6.125 39.86 500,000.00
10944812 591 70.00 5.990 42.33 489,300.00
10929737 636 84.52 5.500 40.74 446,250.00
10951838 669 90.00 7.001 49.51 598,498.67
10949969 609 85.00 5.990 27.53 493,000.00
10950347 629 80.00 5.375 44.04 448,000.00
10950510 668 94.95 5.875 32.52 498,500.00
10940777 646 83.00 5.751 40.92 487,318.00
10941964 742 80.00 5.250 40.94 448,000.00
10946777 608 80.00 5.500 42.58 472,000.00
10949131 626 80.00 4.990 24.39 432,000.00
10955968 679 80.00 5.890 30.77 512,000.00
10946355 666 90.00 7.625 44.07 738,000.00
10949617 662 95.00 6.375 26.59 577,600.00
10946271 648 80.00 6.125 40.12 555,672.00
10953614 683 90.00 5.875 33.87 530,100.00
10944316 645 95.00 6.500 49.47 598,500.00
10938277 710 80.00 5.750 26.81 524,000.00
10946414 601 73.53 5.500 18.28 500,000.00
10953563 733 84.59 5.990 18.95 549,000.00
10950688 606 80.00 6.000 38.88 552,000.00
10946431 659 80.00 5.750 37.29 536,000.00
10931391 700 76.78 5.625 49.86 533,650.00
10958380 664 90.00 6.250 35.69 608,400.00
10942538 653 90.00 4.750 28.69 459,000.00
10951579 619 76.97 6.000 44.18 584,849.63
10953945 584 75.00 6.375 38.02 637,500.00
10949678 693 80.00 5.251 38.89 524,000.00
10949041 664 80.00 4.990 50.28 506,000.00
10945568 634 64.25 5.250 42.81 575,000.00
10952968 623 65.22 6.625 39.17 749,999.99
10943493 634 66.67 6.450 40.45 750,000.00
10953281 624 80.00 5.375 36.87 616,000.00
10946264 634 74.56 5.375 39.27 630,000.00
10948616 666 80.00 5.250 38.57 617,245.76
10946831 663 80.00 5.375 31.55 633,009.00
10940980 625 76.53 6.126 43.87 750,000.00
10955291 621 80.39 6.125 44.45 750,000.00
10957399 772 76.40 5.750 44.44 700,000.00
10944129 704 80.00 4.760 18.05 600,000.00
10951967 731 80.00 4.750 40.21 599,599.45
10945383 622 94.41 5.250 39.07 675,000.00
10954284 633 74.95 5.875 37.93 787,000.00
10946865 629 78.95 5.375 33.30 750,000.00
10955373 780 80.00 4.750 49.79 744,000.00
10937323 678 100.00 6.750 33.68 122,572.79
10579547 795 80.00 7.760 15.56 142,172.50
10928837 611 95.00 10.875 52.03 30,692.63
10570279 624 90.00 7.375 30.45 339,324.50
10596252 659 80.00 7.375 41.98 110,288.35
10928836 611 80.00 6.125 52.03 163,194.83
10949222 653 79.90 6.125 43.20 835,713.13
10934436 622 95.00 7.500 53.95 560,500.00
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
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the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MSAC 2004-WMC1 Data
Collateral Characteristics Pool Balance $747,387,981.63
# of Loans # 4150
Avg Prin Balance $180,093.49
WAC % 6.876
WA Net Rate % 6.356
WAM # 340.124
Seasoning # 3.29
Second Liens % 7.649
WA CLTV % 82.385
WA FICO # 635
Prepay Penalties % 77.621
Arm Characteristics WAC (Arms only) % 6.552
WAM (Arms only) # 356.703
WA Margin % 5.963
WA Initial Cap % 2.080
WA Periodic Cap % 1.001
WA Cap % 6.496
WA Months to Roll # 24
Loan Type Fixed % 24.637
Balloons % 7.460
2/28 Arms % 55.458
3/27 Arms % 3.454
Other Hybrid Arms % 16.450
Index 1-Month LIBOR % 0.000
6-Month LIBOR % 75.363
Other Index % 24.637
Loan Purpose Purchase % 42.392
Cash-Out Refi % 38.500
Rate-Term Refi % 19.108
Debt Consolidation % 0.000
Occupancy Status Owner % 94.488
Second Home % 1.740
Investor % 3.771
Property Type Single Family % 71.501
2-4 Family % 5.393
PUD % 14.831
MH % 0.000
Condo % 8.275
Doc Type Full Doc % 63.928
Stated Doc % 31.860
Limited Doc % 4.212
No Doc % 0.000
MI Data MI Flag Y/N N
% of Pool Covered % N/A
Effective LTV % N/A
FICO Distribution FICO <460 % 0.000
FICO 460-479 % 0.000
FICO 480-499 % 0.000
FICO 500-519 % 2.871
FICO 520-539 % 4.137
FICO 540-559 % 4.691
FICO 560-579 % 5.785
FICO 580-599 % 8.160
FICO 600-619 % 12.426
FICO 620-639 % 15.120
FICO 640-659 % 13.953
FICO 660-679 % 11.875
FICO 680-699 % 7.151
FICO 700-719 % 4.703
FICO 720-739 % 3.963
FICO 740-759 % 2.778
FICO >760 % 2.386
LTV Distribution LTV <20 % 0.026
LTV 20.01-30 % 0.039
LTV 30.01-40 % 0.227
LTV 40.01-50 % 0.848
LTV 50.01-60 % 2.288
LTV 60.01-70 % 6.176
LTV 70.01-80 % 49.547
LTV 80.01-90 % 22.788
LTV 90.01-100 % 18.061
LTV >100 % 0.000
Data Data
Loan Balance Distribution $ 0-25,000 # & % 120 0.317
$ 25,001-50,000 # & % 442 2.276
$ 50,001-75,000 # & % 410 3.456
$ 75,001-100,000 # & % 417 4.890
$ 100,001-150,000 # & % 769 12.841
$ 150,001-200,000 # & % 606 14.198
$ 200,001-250,000 # & % 409 12.270
$ 250,001-300,000 # & % 293 10.774
$ 300,001-350,000 # & % 232 10.050
$ 350,001-400,000 # & % 151 7.613
$ 400,001-450,000 # & % 90 5.110
$ 450,001-500,000 # & % 67 4.326
$ 500,001-550,000 # & % 41 2.874
$ 550,001-600,000 # & % 41 3.157
$ 600,001-650,000 # & % 20 1.672
$ 650,001-700,000 # & % 14 1.275
$ 700,001-750,000 # & % 16 1.572
$ 750,001-800,000 # & % 6 0.626
$ 800,001-850,000 # & % 2 0.225
$ 850,001-900,000 # & % 3 0.353
$ 900,001-950,000 # & % 1 0.123
$ 950,001-1,000,000 # & % 0 0.000
> $ 1,000,001 # & % 0 0.000
Geographic Distribution AK % 0.000
AL % 0.000
AR % 0.038
AZ % 2.128
CA % 59.723
CO % 1.289
CT % 1.140
DC % 0.224
DE % 0.174
FL % 3.575
GA % 1.694
HI % 0.000
IA % 0.000
ID % 0.241
IL % 3.954
IN % 0.128
KS % 0.083
KY % 0.046
LA % 0.912
MA % 1.306
MD % 2.335
ME % 0.043
MI % 1.150
MN % 0.287
MO % 0.182
MS % 0.268
MT % 0.331
NC % 0.535
ND % 0.000
NE % 0.071
NH % 0.120
NJ % 0.659
NM % 0.088
NV % 1.353
NY % 3.604
OH % 0.638
OK % 0.147
OR % 0.356
PA % 1.305
RI % 0.197
SC % 0.198
SD % 0.041
TN % 0.481
TX % 3.869
UT % 0.273
VA % 2.204
VT % 0.043
WA % 2.350
WI % 0.199
WV % 0.000
WY % 0.016
Please populate column D (&E) with the corresponding pool characteristics in
Column B.
- For values in currency format, omit $.
- For values in percentage format, provide data to 3 decimal places and omit %.
- For WAC Net Rate, subtract servicing fee, trustee fee, and initial MI fee.
- For MI Flag, Y or N.
Balance # of loans WAC WA FICO WA CLTV Owner Occ % Cashout Refi% Full Doc%
$600,000-650,000 20 6.130 629 77.423 95.092 35.055 65.102
$650,001-700,000 14 6.513 647 82.053 100.000 64.421 57.188
$700,001-750,000 16 6.007 654 76.647 93.771 43.587 81.010
$751,001-800,000 6 6.679 627 80.682 100.000 33.112 66.944
$800,001-850,000 2 6.062 646 70.248 50.298 50.298 50.298
$850,001-900,000 3 6.279 669 76.209 100.000 66.907 66.907
$900,001-950,000 1 6.250 741 74.060 100.000 0.000 0.000
$950,001-1,000,000 0 0.000 0 0.000 0.000 0.000 0.000
>$1,000,000 0 0.000 0 0.000 0.000 0.000 0.000
Please populate appropriate loan characteristics for each loan bucket.
Percentage by range Loans without MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
<20 0.000 0.000 0.000 0.026 0.000 0.000 0.000 0.000
20-30 0.000 0.000 0.000 0.021 0.017 0.000 0.000 0.000
30-40 0.000 0.000 0.000 0.053 0.056 0.061 0.056 0.000
40-50 0.000 0.000 0.171 0.236 0.233 0.162 0.047 0.000
CLTVs 50-60 0.000 0.000 0.409 0.509 0.534 0.706 0.100 0.030
60-70 0.000 0.000 1.162 1.770 1.873 0.841 0.192 0.337
70-80 0.000 0.128 3.294 6.013 18.377 13.611 6.060 2.063
80-90 0.000 0.082 3.473 5.848 7.339 4.410 1.045 0.590
90-100 0.000 0.022 0.228 2.567 6.858 5.406 2.303 0.677
>100 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Loans with MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
<20
20-30
30-40
40-50
LTVs 50-60
60-70
70-80
80-90
90-100
>100
Loan Count Loans without MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
<20 0 0 0 3 0 0 0 0
20-30 0 0 0 3 1 0 0 0
30-40 0 0 0 1 2 3 1 0
40-50 0 0 11 10 11 7 1 0
CLTVs 50-60 0 0 16 23 27 20 4 1
60-70 0 0 44 63 55 29 9 7
70-80 0 5 151 246 603 415 178 62
80-90 0 3 148 218 253 145 40 17
90-100 0 2 9 169 506 404 165 59
>100 0 0 0 0 0 0 0 0
# 0 10 379 736 1458 1023 398 146
Loans with MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
<20
20-30
30-40
40-50
LTVs 50-60
60-70
70-80
80-90
90-100
>100
Please provide a breakdown of percentages for each cell of the matrix for loans
that fall within the appropriate category brokendown between loans with MI and
loans without MI as well as the loan count for each breakdown in the matrices
below. The sum of the percentages for the with MI and without MI percentages
should equal 100%. The sum of the loans in the matrices below should equal the
number of loans in the pool. If FICO is not available for loan, default to <450
bucket. If deal does not have MI, provide data for the entire pool in the "Loans
without MI" matrix.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
California Loans
Selection Criteria: California Loans
Table of Contents
1. Top 50 Cities
2. Northern - Southern California Breakout
1. Top 50 Cities
--------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Top 50 Cities Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------------------------------------------------------------------------
Los Angeles 155 36,145,745 8.10 6.868 338 79.97 656
San Diego 70 16,239,554 3.64 6.415 338 82.08 656
Sacramento 67 9,154,137 2.05 6.792 338 83.11 639
Palmdale 65 8,579,563 1.92 6.924 334 83.91 643
San Xxxx 24 7,074,429 1.58 6.575 338 80.57 636
Riverside 32 5,691,332 1.28 6.735 327 81.70 632
Fontana 31 5,491,961 1.23 6.852 339 84.49 603
Simi Valley 21 5,436,411 1.22 6.399 332 79.57 655
Corona 21 5,369,640 1.20 6.323 346 83.48 651
Vallejo 24 4,961,033 1.11 6.565 342 82.44 614
Santa Clari 22 4,959,273 1.11 7.025 336 81.18 628
Moreno Vall 27 4,837,477 1.08 6.846 337 81.84 639
Santa Xxx 21 4,533,011 1.02 7.109 333 79.26 661
Antioch 20 4,469,129 1.00 6.375 335 84.64 664
Glendale 14 4,419,256 0.99 6.326 345 85.30 629
Northridge 12 4,252,398 0.95 6.826 334 82.28 644
Oakland 11 4,040,508 0.91 6.937 342 83.52 679
Granada Hil 10 3,994,009 0.89 6.304 346 79.77 646
Anaheim 15 3,990,457 0.89 6.840 328 85.34 618
Xxxx City 13 3,973,682 0.89 6.567 333 82.12 678
Chula Vista 13 3,803,684 0.85 6.389 312 83.05 653
Long Beach 18 3,757,802 0.84 6.855 341 82.10 627
Sylmar 21 3,740,331 0.84 6.665 336 83.16 667
Lancaster 28 3,680,746 0.82 6.946 339 83.89 622
Thousand Oa 13 3,562,684 0.80 6.774 338 76.87 651
Bakersfield 24 3,559,569 0.80 7.051 350 86.90 630
Whittier 16 3,534,839 0.79 6.834 315 80.63 688
Ontario 19 3,500,011 0.78 6.839 337 81.46 606
Murrieta 12 3,276,580 0.73 6.410 348 80.16 624
Huntington 12 3,187,760 0.71 6.423 337 75.54 640
Oxnard 11 3,134,856 0.70 6.532 343 81.14 644
Pasadena 9 3,005,379 0.67 6.680 339 82.10 632
Pittsburg 14 2,965,930 0.66 6.646 318 82.25 631
San Xxxxxxx 25 2,890,148 0.65 6.864 339 84.52 634
West Hills 8 2,883,905 0.65 7.044 342 79.90 606
North Hills 14 2,881,073 0.65 6.732 335 82.87 680
Rancho Cuca 13 2,745,547 0.62 7.019 344 81.87 612
Inglewood 14 2,733,318 0.61 6.714 339 81.17 626
Fullerton 10 2,718,847 0.61 6.674 330 76.29 648
Oceanside 8 2,717,203 0.61 7.197 333 82.15 630
Pomona 15 2,644,816 0.59 6.938 341 84.28 636
Xxxxxx 12 2,631,287 0.59 6.815 344 84.72 630
Richmond 10 2,618,210 0.59 6.596 331 84.94 685
Camarillo 9 2,591,617 0.58 6.658 335 84.50 653
Hayward 12 2,526,435 0.57 6.649 331 84.61 665
San Leandro 9 2,470,466 0.55 6.436 339 89.94 663
Van Nuys 11 2,438,201 0.55 6.919 339 83.84 663
Pacoima 14 2,327,918 0.52 6.985 335 79.89 634
Spring Vall 9 2,289,604 0.51 6.517 320 82.39 655
El Cajon 6 2,231,153 0.50 6.711 350 80.77 607
Other 951 209,698,192 46.98 6.656 340 81.90 643
Total: 2,035 446,361,115 100.00 6.692 339 81.94 644
--------------------------------------------------------------------------------------------------------------------------
2. Northern - Southern California Breakout
-----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Northern - Southern California Breakout Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------------
California-Northern 481 106,263,059 23.81 6.621 339 82.81 642
California-Southern 1,554 340,098,056 76.19 6.714 338 81.66 644
Total: 2,035 446,361,115 100.00 6.692 339 81.94 644
-----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
Original Balance > $450k
Selection Criteria: Original Balance > $450k
Table of Contents
1. Credit Score
2. Range of Combined Original LTV Ratios (%)
3. Documentation Level
4. Occupancy
5. Range of Cut-off Date Principal Balances ($)
1. Credit Score
-----------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------
500 - 524 3 1,467,743 1.21 7.980 357 80.09 516
525 - 549 5 3,047,306 2.51 7.153 357 77.23 537
550 - 574 13 7,192,214 5.92 7.140 356 82.63 565
575 - 599 17 9,327,275 7.67 6.580 345 77.53 590
600 - 624 34 20,271,237 16.68 6.274 357 80.41 615
625 - 649 44 25,876,964 21.29 6.301 357 79.02 638
650 - 674 42 23,359,331 19.22 6.095 349 81.15 663
675 - 699 25 13,802,314 11.35 6.141 352 79.51 686
700 - 724 11 6,376,118 5.25 6.020 357 80.36 708
725 - 749 11 6,394,729 5.26 5.980 357 80.09 734
750 - 774 4 2,361,172 1.94 6.543 357 78.06 766
775 - 799 3 2,079,948 1.71 5.528 357 74.83 778
Total: 212 121,556,349 100.00 6.311 354 79.82 646
-----------------------------------------------------------------------------------------------------------------------
Minimum: 513
Maximum: 780
Weighted Average: 646
2. Range of Combined Original LTV Ratios (%)
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 1 474,031 0.39 5.875 356 41.48 656
45.01 - 50.00 1 508,964 0.42 7.990 357 47.44 577
50.01 - 55.00 2 1,378,458 1.13 5.676 260 52.95 679
55.01 - 60.00 1 455,594 0.37 5.800 356 55.45 594
60.01 - 65.00 8 5,181,716 4.26 5.907 357 63.46 628
65.01 - 70.00 10 6,417,894 5.28 6.080 357 68.21 648
70.01 - 75.00 23 13,411,141 11.03 6.267 357 73.81 642
75.01 - 80.00 101 56,251,796 46.28 6.194 356 79.46 656
80.01 - 85.00 22 12,646,660 10.40 6.574 352 83.66 624
85.01 - 90.00 24 14,019,000 11.53 6.678 349 89.61 637
90.01 - 95.00 18 10,282,544 8.46 6.573 356 94.08 645
95.01 - 100.00 1 528,552 0.43 6.490 357 100.00 666
Total: 212 121,556,349 100.00 6.311 354 79.82 646
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 41.48
Maximum: 100.00
Weighted Average: 79.82
3. Documentation Level
---------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------------------------------------------------------------------------
Full Documentation 137 78,880,030 64.89 6.216 355 80.91 639
Stated Documentation 62 34,911,737 28.72 6.533 350 77.51 659
Limited Documentation 13 7,764,583 6.39 6.280 357 79.11 657
Total: 212 121,556,349 100.00 6.311 354 79.82 646
-----------------------------------------------------------------------------------------------------------------------
4. Occupancy
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
-------------------------------------------------------------------------------------------------------------------------
Primary 204 116,784,873 96.07 6.303 355 80.15 645
Second Home 4 2,679,795 2.20 6.056 308 69.68 682
Investment 4 2,091,682 1.72 7.081 357 74.44 654
Total: 212 121,556,349 100.00 6.311 354 79.82 646
-----------------------------------------------------------------------------------------------------------------------
5. Range of Cut-off Date Principal Balances ($)
-----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------------
425,001 - 450,000 1 449,893 0.37 5.990 357 95.00 654
450,001 - 475,000 23 10,673,973 8.78 6.167 351 77.67 643
475,001 - 500,000 44 21,659,575 17.82 6.331 357 78.90 637
500,001 - 750,000 132 78,852,401 64.87 6.313 353 80.62 648
750,001 - 1,000,000 12 9,920,507 8.16 6.428 357 77.11 652
Total: 212 121,556,349 100.00 6.311 354 79.82 646
-----------------------------------------------------------------------------------------------------------------------
Minimum: 449,893
Maximum: 922,353
Average: 573,379
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2004-WMC1
CLTV >= 95
Selection Criteria: CLTV >= 95
Table of Contents
1. Credit Score
2. Range of Combined Original LTV Ratios (%)
3. Documentation Level
4. Occupancy
5. Range of Cut-off Date Principal Balances ($)
1. Credit Score
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
500 - 524 4 718,814 0.61 7.643 347 95.24 515
525 - 549 3 634,591 0.54 8.485 323 95.94 541
550 - 574 38 6,513,416 5.54 7.612 355 95.04 565
575 - 599 114 8,824,443 7.51 9.460 272 97.19 586
600 - 624 199 19,844,853 16.88 8.589 287 96.97 613
625 - 649 277 25,255,682 21.48 8.759 273 97.63 638
650 - 674 246 21,716,899 18.47 8.865 259 98.21 662
675 - 699 144 14,090,362 11.99 8.414 264 98.46 686
700 - 724 96 8,680,483 7.38 8.100 258 98.15 711
725 - 749 66 6,774,694 5.76 8.246 260 97.64 733
750 - 774 44 3,644,479 3.10 8.834 238 98.69 761
775 - 799 11 815,241 0.69 10.254 177 100.00 779
800 + 2 42,886 0.04 9.854 176 100.00 803
Total: 1,244 117,556,843 100.00 8.624 273 97.61 650
------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 805
Weighted Average: 650
2. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 300 55,273,685 47.02 7.209 345 95.00 635
95.01 - 100.00 944 62,283,158 52.98 9.880 210 99.93 664
Total: 1,244 117,556,843 100.00 8.624 273 97.61 650
------------------------------------------------------------------------------------------------------------------------------
Minimum: 95.00
Maximum: 100.00
Weighted Average: 97.61
3. Documentation Level
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
Full Documentation 802 84,770,668 72.11 8.165 291 97.30 643
Stated Documentation 384 26,816,937 22.81 10.075 220 98.62 676
Limited Documentation 58 5,969,238 5.08 8.627 257 97.53 640
Total: 1,244 117,556,843 100.00 8.624 273 97.61 650
------------------------------------------------------------------------------------------------------------------------------
4. Occupancy
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
Primary 1,206 113,522,053 96.57 8.648 272 97.65 649
Second Home 28 2,804,541 2.39 8.387 301 96.85 686
Investment 10 1,230,248 1.05 6.948 333 95.65 702
Total: 1,244 117,556,843 100.00 8.624 273 97.61 650
------------------------------------------------------------------------------------------------------------------------------
5. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 112 2,196,771 1.87 11.352 178 99.71 646
25,001 - 50,000 376 14,072,669 11.97 10.817 178 99.53 653
50,001 - 75,000 232 14,339,042 12.20 10.287 187 99.44 664
75,001 - 100,000 169 14,581,587 12.40 9.870 206 99.28 661
100,001 - 125,000 84 9,541,303 8.12 8.840 266 98.17 651
125,001 - 150,000 68 9,413,882 8.01 8.845 260 98.23 659
150,001 - 175,000 41 6,591,638 5.61 8.169 313 96.81 626
175,001 - 200,000 32 5,992,733 5.10 7.543 324 96.54 644
200,001 - 225,000 21 4,476,776 3.81 7.072 357 96.68 662
225,001 - 250,000 18 4,277,468 3.64 6.734 357 95.27 645
250,001 - 275,000 18 4,747,855 4.04 7.100 357 95.61 623
275,001 - 300,000 14 4,053,583 3.45 6.937 357 95.74 630
300,001 - 325,000 10 3,171,850 2.70 6.822 356 95.00 647
325,001 - 350,000 9 3,018,032 2.57 6.907 357 95.58 640
350,001 - 375,000 8 2,896,488 2.46 6.904 357 95.65 669
375,001 - 400,000 9 3,469,875 2.95 6.624 357 95.00 651
400,001 - 425,000 12 4,936,197 4.20 6.734 357 95.84 634
425,001 - 450,000 2 876,443 0.75 6.238 357 95.00 645
475,001 - 500,000 1 483,179 0.41 6.500 357 95.00 637
500,001 - 750,000 8 4,419,472 3.76 6.555 356 95.60 650
Total: 1,244 117,556,843 100.00 8.624 273 97.61 650
------------------------------------------------------------------------------------------------------------------------------
Minimum: 14,288
Maximum: 598,500
Average: 94,499
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