--------------------------------------------------------------------------------
XXXXXX XXXXXXX November 3, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Computational Materials
$806,010,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-OP1
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.
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Page 1
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XXXXXX XXXXXXX November 3, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
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shall be deemed superseded and replaced in its entirety by such offering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 November 3, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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Approximately $806,010,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-OP1
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Option One Mortgage Corporation
Servicer
Transaction Highlights
--------------- ----------------- ------------------ -------------------------- ----------------
Avg Life to
Offered Expected Ratings Call /
Classes Description Balance(4) (S&P/Fitch/ Moody's) Mty(1)(2)
=============== ================= ================== ========================== ================
A-1a Not Offered 701,255,000 AAA/AAA/Aaa 2.45 / 2.65
--------------- ----------------- ------------------ -------------------------- ----------------
A-1b Floater 77,918,000 -/AAA/Aaa 2.45 / 2.65
--------------- ----------------- ------------------ -------------------------- ----------------
A-2a Floater 255,000,000 AAA/AAA/Aaa 1.00 / 1.00
--------------- ----------------- ------------------ -------------------------- ----------------
A-2b Floater 100,000,000 AAA/AAA/Aaa 3.01 / 3.01
--------------- ----------------- ------------------ -------------------------- ----------------
A-2c Floater 86,385,000 AAA/AAA/Aaa 6.38 / 7.64
--------------- ----------------- ------------------ -------------------------- ----------------
A-2d Floater 49,043,000 -/AAA/Aaa 2.51 / 2.75
--------------- ----------------- ------------------ -------------------------- ----------------
M-1 Floater 51,868,000 AA+/AA+/Aa1 4.98 / 5.49
--------------- ----------------- ------------------ -------------------------- ----------------
M-2 Floater 44,900,000 AA/AA/Aa2 4.94 / 5.44
--------------- ----------------- ------------------ -------------------------- ----------------
M-3 Floater 28,644,000 AA-/AA-/Aa3 4.92 / 5.39
--------------- ----------------- ------------------ -------------------------- ----------------
M-4 Floater 24,773,000 A+/A+/A1 4.91 / 5.35
--------------- ----------------- ------------------ -------------------------- ----------------
M-5 Floater 22,450,000 A/A/A2 4.89 / 5.30
--------------- ----------------- ------------------ -------------------------- ----------------
M-6 Floater 18,580,000 A-/A-/A3 4.89 / 5.25
--------------- ----------------- ------------------ -------------------------- ----------------
B-1 Floater 18,580,000 BBB+/BBB+/Baa1 4.89 / 5.19
--------------- ----------------- ------------------ -------------------------- ----------------
B-2 Floater 12,386,000 BBB/BBB/Baa2 4.87 / 5.10
--------------- ----------------- ------------------ -------------------------- ----------------
B-3 Floater 15,483,000 BBB-/BBB-/Baa3 4.87 / 4.99
--------------- ----------------- ------------------ -------------------------- ----------------
--------------- --------------- ----------------------------------- -------------------- ------------------
Modified
Duration To
Offered Call / Initial
Classes Mty(1)(2)(3) Payment Window To Call / Mty(1)(2) Subordination Level Benchmark
=============== =============== =================================== ==================== ==================
--------------- --------------------------------------------------- -------------------- ------------------
A-1a ***Not Offered*** 18.00% 1 Mo. LIBOR
--------------- --------------------------------------------------- -------------------- ------------------
A-1b 2.33 / 2.49 12/04 - 03/12 / 12/04 - 08/20 18.00% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
A-2a 0.99 / 0.99 12/04 - 01/07 / 12/04 - 01/07 18.00% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
A-2b 2.91 / 2.91 01/07 - 05/09 / 01/07 - 05/09 18.00% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
A-2c 5.90 / 6.89 05/09 - 03/12 / 05/09 - 04/21 18.00% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
A-2d 2.39 / 2.58 12/04 - 03/12 / 12/04 - 04/21 18.00% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
M-1 4.64 / 5.05 04/08 - 03/12 / 04/08 - 03/18 14.65% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
M-2 4.61 / 5.00 03/08 - 03/12 / 03/08 - 08/17 11.75% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
M-3 4.57 / 4.95 02/08 - 03/12 / 02/08 - 12/16 9.90% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
M-4 4.53 / 4.88 02/08 - 03/12 / 02/08 - 06/16 8.30% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
M-5 4.50 / 4.82 01/08 - 03/12 / 01/08 - 11/15 6.85% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
M-6 4.48 / 4.76 01/08 - 03/12 / 01/08 - 04/15 5.65% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
B-1 4.41 / 4.64 01/08 - 03/12 / 01/08 - 09/14 4.45% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
B-2 4.38 / 4.55 12/07 - 03/12 / 12/07 - 12/13 3.65% 1 Mo. LIBOR
--------------- --------------- ----------------------------------- -------------------- ------------------
B-3 4.22 / 4.30 12/07 - 03/12 / 12/07 - 05/13 2.65% 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-OP1.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: Option One Mortgage Corporation.
Servicer: Option One Mortgage Corporation.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), The Xxxxxxxx Capital
Group, L.P. and Xxxxxxxx Capital Partners, L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x Investors
Service.
--------------------------------------------------------------------------------
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
Offered Certificates: The Class A-1b, A-2a, A-2b, A-2c, A-2d, M-1,
M-2, M-3, M-4, M-5, M-6, B-1, B-2 and B-3 Certificates.
Class A Certificates: The Class A-1a, A-1b, A-2a, A-2b, A-2c and
A-2d Certificates.
Group I Class A The Class A-1a and Class A-1b Certificates.
Certificates:
Group II Class A The Class A-2a, Class A-2b, Class A-2c and Class A-2d
Certificates: Certificates.
Group II Class A The Class A-2a, Class A-2b and Class A-2c Certificates.
Sequential
Certificates:
Class A Certificate The Group I Class A Certificates and Group II Class A
Group: Certificates, as applicable.
Expected Closing December 2, 2004 through DTC and Euroclear or Clearstream.
Date: The Certificates will be sold without accrued interest.
Cut-off Date: November 1, 2004
Distribution Dates: The 25th of each month, or if such day is not a business
day, on the next business day, beginning December 25,
2004.
Final Scheduled For the Class A-2a Certificates, the Distribution Date
Distribution Date: occurring in November 2013, and for all other Offered
Certificates, the Distribution Date occurring in November
2034.
Minimum Denomination: The Offered Certificates will be issued and available in
denominations of $25,000 initial principal balance and
integral multiples of $1 in excess of $25,000.
Due Period: For any Distribution Date, the calendar month preceding
the month in which that Distribution Date occurs.
Interest Accrual The interest accrual period for the Offered Certificates
Period: with respect to any Distribution Date will be the period
beginning with the previous Distribution Date (or, in the
case of the first Distribution Date, the Closing Date) and
ending on the day prior to the current Distribution Date
(on an actual/360 day count basis).
Mortgage Loans: The Trust will consist of two groups of adjustable and
fixed rate sub-prime residential, first-lien and
second-lien mortgage loans.
Group I Mortgage Approximately $950.2 million of Mortgage Loans with
Loans: original principal balances that conform to the original
principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase by
Freddie Mac.
Group II Mortgage Approximately $598.1 million of Mortgage Loans that
Loans: 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 o Fixed Rate Mortgage Loans: CPR starting at
Speed: approximately 4% CPR in month 1 and increasing to 23% CPR
in month 16 (19%/15 increase for each month), and
remaining at 23% CPR thereafter
o ARM Mortgage Loans: 28% CPR
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage Loans,
2) 2.65% 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 5.30% of the aggregate principal balance of the
Mortgage Loans as of the last day of the applicable Due
Period, subject to a 0.50% floor, based on the aggregate
principal balance of the Mortgage Loans as of the cut-off
date, and
3) Subordination of distributions on the more subordinate
classes of certificates (if applicable) to the required
distributions on the more senior classes of certificates.
--------------------------------------------------------------------------------
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
Senior Enhancement For any Distribution Date, the percentage obtained by
Percentage: dividing (x) the aggregate Certificate Principal Balance
of the subordinate certificates (together with any
overcollateralization and taking into account the
distributions of the Principal Distribution Amount for
such Distribution Date) by (y) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period.
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in December 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 36.00%.
Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss
Trigger Event.
Delinquency Trigger A Delinquency Trigger Event is in effect on any
Event: Distribution Date if on that Distribution Date the
60 Day+ Rolling Average equals or exceeds [42.50%] of the
prior period's Senior Enhancement Percentage. The 60 Day+
Rolling Average will equal the rolling 3 month average
percentage of Mortgage Loans that are 60 or more days
delinquent.
Cumulative Loss A Cumulative Loss Trigger Event is in effect on any
Trigger Event: Distribution Date if the aggregate amount of Realized
Losses incurred since the cut-off date through the last
day of the related Prepayment Period divided by the
aggregate Stated Principal Balance of the mortgage loans
as of the cut-off date exceeds the applicable percentages
described below with respect to such distribution date:
Months 37- 48 [2.75] for the first month, plus an additional 1/12th of [1.25] for each month
thereafter (e.g., [3.375] in Month 43)
Months 49- 60 [4.00] for the first month, plus an additional 1/12th of [1.25] for each month
thereafter (e.g., [4.625] in Month 55)
Months 61- 72 [5.25] for the first month, plus an additional 1/12th of [0.75] for each month
thereafter (e.g., [5.625] in Month 67)
Months 73- thereafter [6.00]
Sequential Trigger A Sequential Trigger Event is in effect on any
Event: Distribution Date if, before the 37th Distribution Date,
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 2.75%, or if, on or after the 37th
Distribution Date, a Trigger Event is in effect.
Initial Class A: 18.00%
Subordination Class M-1: 14.65%
Percentage: Class M-2: 11.75%
Class M-3: 9.90%
Class M-4: 8.30%
Class M-5: 6.85%
Class M-6: 5.65%
Class B-1: 4.45%
Class B-2: 3.65%
Class B-3: 2.65%
Optional Clean-up When the current aggregate principal balance of the
Call: Mortgage Loans is less than or equal to 10% of the
aggregate principal balance of the Mortgage Loans as of
the cut-off date. The applicable fixed margin will
increase by 2x on the Class A Certificates and by 1.5x on
all other Certificates after the first distribution date
on which the Optional Clean-up Call is exercisable.
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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
Step-up Coupons: For all Offered Certificates the coupon will increase
after the optional clean-up call date, should the call not
be exercised.
Group I Class A The Class A-1a and A-1b Certificates will accrue interest
Certificates at a variable rate equal to the least of (i) one-month
Pass-Through Rate: 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.
Group II Class A The Class A-2a, A-2b, A-2c and A-2d Certificates will
Certificates accrue interest at a variable rate equal to the least of
Pass-Through Rate: (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is
exercisable), (ii) the Loan Group II Cap and (iii) the WAC
Cap.
Class M-1 The Class M-1 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
Class M-2 The Class M-2 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
Class M-3 The Class M-3 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
Class M-4 The Class M-4 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
Class M-5 The Class M-5 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
Class M-6 The Class M-6 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
Class B-1 The Class B-1 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
Class B-2 The Class B-2 Certificates will accrue interest at
Pass-Through Rate: 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 The Class B-3 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
WAC Cap: For any distribution date, the product of (i) the weighted
average of the mortgage rates for each mortgage loan (in
each case, less the applicable Expense Fee Rate) then in
effect on the beginning of the related Due Period,
adjusted, in each case, to accrue on the basis of a
360-day year and the actual number of days in the related
Interest Accrual Period.
Loan Group I Cap: For any distribution date, the product of (i) the weighted
average of the mortgage rates for each group I mortgage
loan (in each case, less the applicable Expense Fee Rate)
then in effect on the beginning of the related Due Period,
adjusted, in each case, to accrue on the basis of a
360-day year and the actual number of days in the related
Interest Accrual Period.
Loan Group II Cap: For any distribution date, the product of (i) the weighted
average of the mortgage rates for each group II mortgage
loan (in each case, less the applicable Expense Fee Rate)
then in effect on the beginning of the related Due Period,
adjusted, in each case, to accrue on the basis of a
360-day year and the actual number of days in the related
Interest Accrual 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.
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Page 6
Group I Class A As to any Distribution Date, the supplemental interest
Basis Risk Carry amount for the Group I Class A Certificates will equal
Forward Amount: the sum of:
(i) The excess, if any, of interest that would otherwise
be due on such Certificates at the Group I Class A
Certificates 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 Group I Class A Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the related
Group I Class A Certificates Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
Group II Class A As to any Distribution Date, the supplemental interest
Basis Risk Carry amount for each of the Group II Class A 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 Group II Class A
Certificates 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 Group II Class A Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the related
Group II Class A Certificates 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
M-4, M-5, M-6, B-1, amount for each of the Class M-1, M-2, M-3, M-4, M-5, M-6,
B-2 and B-3 Basis B-1, B-2 and B-3 Certificates will equal the sum of:
Risk 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 On each Distribution Date and after payments of servicing
Distributions on and trustee fees and other expenses, interest
Offered Certificates: 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, pro rata to the Group I
Class A 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, pro rata to the Group I
Class A 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 M-4 Certificates, its Accrued
Certificate Interest;
(vii) To the Class M-5 Certificates, its Accrued
Certificate Interest;
(viii) To the Class M-6 Certificates, its Accrued
Certificate Interest;
(ix) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(x) To the Class B-2 Certificates, its Accrued Certificate
Interest; and
(xi) 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.
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Page 7
Principal On each Distribution Date (a) prior to the Stepdown Date
Distributions on or (b) on which a Trigger Event is in effect, principal
Offered Certificates: 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 M-4 Certificates, until the Certificate
Principal Balance thereof has been reduced to zero;
(vi) to the Class M-5 Certificates, until the Certificate
Principal Balance thereof has been reduced to zero;
(vii) to the Class M-6 Certificates, until the Certificate
Principal Balance thereof has been reduced to zero;
(viii) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has been reduced to
zero;
(ix) to the Class B-2 Certificates, until the Certificate
Principal Balance thereof has been reduced to zero; and
(x) 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 M-4 Certificates, the lesser of the
remaining Principal Distribution Amount and the Class M-4
Principal Distribution Amount, until the Certificate
Principal Balance thereof has been reduced to zero;
(vi) to the Class M-5 Certificates, the lesser of the
remaining Principal Distribution Amount and the Class M-5
Principal Distribution Amount, until the Certificate
Principal Balance thereof has been reduced to zero;
(vii) to the Class M-6 Certificates, the lesser of the
remaining Principal Distribution Amount and the Class M-6
Principal Distribution Amount, until the Certificate
Principal Balance thereof has been reduced to zero;
(viii) 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;
(ix) 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
(x) 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 Except as described below, the Group II Class A Sequential
Allocation: Certificates will receive principal sequentially; the
Class A-2b Certificates will not receive principal
distributions until the Certificate Principal Balance of
the Class A-2a Certificates has been reduced to zero, and
the Class A-2c Certificates will not receive principal
distributions until the Certificate Principal Balance of
the Class A-2b 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 Group I Class A 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 Group I Class A 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 Group I Class A 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 I Class
A Certificates are required to be distributed pro rata
between the Class A-1a Certificates and the Class A-1b
Certificates, with the exception that if a Sequential
Trigger Event is in effect, principal distributions from
the Group I Mortgage Loans will be distributed first, to
the Class A-1a Certificates until their Class Certificate
balance has been reduced to zero, and second, to the Group
II Class A Sequential Certificates, until their Class
Certificate balance has been reduced to zero, and finally,
to the Class A-1b Certificates until their Class
Certificate balance has been reduced to zero.
Any principal distributions allocated to the Group II
Class A Certificates are required to be distributed pro
rata between the Group II Class A Sequential Certificates
and the Class A-2d Certificates, with the exception that
if a Sequential Trigger Event is in effect, principal
distributions from the Group II Mortgage Loans will be
distributed first, to the Group II Class A Sequential
Certificates until their Class Certificate balance has
been reduced to zero, and second, to the Class A-1a
Certificates, until their Class Certificate balance has
been reduced to zero, and finally, to the Class A-2d
Certificates until their Class Certificate balance has
been reduced to zero. Principal distributions to the Group
II Class A Sequential Certificates will be allocated first
to the Class A-2a Certificates, until their Class
Certificate Balance has been reduced to zero, then to the
Class A-2b Certificates, until their Class Certificate
Balance has been reduced to zero, and then to the Class
A-2c 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 first,
on a pro rata basis, to the Group II Class A Sequential
Certificates, and, second, to the Class A-2d Certificates,
with the exception that if a Class A-2a Accelerated
Amortization Event is also in effect, principal
distributions to the Group II Class A Certificates will be
sequential to the Class A-2a Certificates and then pro
rata between the Class A-2b and Class A-2c Certificates.
Class A-1b Interest Beginning on the first Distribution Date, and for a period
Rate Cap: of 26 months thereafter, an Interest Rate Cap will be
entered into by the Trust for the benefit of the Class
A-1b Certificates.
For its duration, the Class A-1b 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-1b Interest Rate Cap Notional
Balance ("the Class A-1b Interest Rate Cap Payment") as
described on the schedule herein.
--------------------------------------------------------------------------------
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 A-1b Interest The Class A-1b Interest Rate Cap Payment shall be
Rate Cap Payment available to pay any Basis Risk Carry Forward Amount due
Allocation: to the Class A-1b Certificates.
Class A-2a Interest Beginning on the first Distribution Date, and for a period
Rate Cap: of 37 months thereafter, an Interest Rate Cap will be
entered into by the Trust mainly for the benefit of the
Class A-2a Certificates.
For its duration, the Class A-2a Interest Rate Cap pays
the Trust the product of (i) the excess, if any, of the
then current 1-month LIBOR rate over the cap strike (on an
Actual/360 day count basis) and (ii) the Class A-2a
Interest Rate Cap Notional Balance ("the Class A-2a
Interest Rate Cap Payment") as described on the schedule
herein.
Class A-2a Interest The Class A-2a Interest Rate Cap Payment shall be
Rate Cap Payment available to pay any Basis Risk Carry Forward Amount due
Allocation: to the Class A-2a, Class A-2b, Class A-2c and Class A-2d
Certificates, sequentially.
Class A-2b, Class Beginning on the first Distribution Date, and for a period
A-2c, and Class A-2d of 26 months thereafter, an Interest Rate Cap will be
Interest Rate Cap: entered into by the Trust for the benefit of the Class
A-2b, Class A-2c, and Class A-2d Certificates.
For its duration, the Class A-2b, Class A-2c, and Class
A-2d 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 Class A-2b, Class
A-2c, and Class A-2d Interest Rate Cap Payment") as
described on the schedule herein.
Class A-2b, Class The Class A-2b, Class A-2c, and Class A-2d Interest Rate
A-2c, and Class A-2d Cap Payment shall be available to pay any Basis Risk Carry
Interest Rate Cap Forward Amount due to the Class A-2b, A-2c and A-2d
Payment Allocation: Certificates on a pro rata basis.
Class M Interest Beginning on the first Distribution Date, and for a period
Rate Cap: of 38 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 The Class M Interest Rate Cap Payment shall be available
Rate Cap Payment to pay any Basis Risk Carry Forward Amount due to the
Allocation: Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and
Class M-6 Certificates on a pro rata basis.
Class B Interest Beginning on the first Distribution Date, and for a period
Rate Cap: of 38 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 The Class B Interest Rate Cap Payment shall be available
Rate Cap Payment to pay any Basis Risk Carry Forward Amount due to the
Allocation: Class B-1, Class B-2 and Class B-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 10
Allocation of Net For any Distribution Date, any Net Monthly Excess Cashflow
Monthly Excess shall be paid as follows:
Cashflow:
(i) to the Class M-1 Certificates, the unpaid interest
shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid interest
shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid interest
shortfall amount;
(vi) to the Class M-3 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class M-4 Certificates, the unpaid interest
shortfall amount;
(viii) to the Class M-4 Certificates, the allocated
unreimbursed realized loss amount;
(ix) to the Class M-5 Certificates, the unpaid interest
shortfall amount;
(x) to the Class M-5 Certificates, the allocated
unreimbursed realized loss amount;
(xi) to the Class M-6 Certificates, the unpaid interest
shortfall amount;
(xii) to the Class M-6 Certificates, the allocated
unreimbursed realized loss amount;
(xiii) to the Class B-1 Certificates, the unpaid interest
shortfall amount;
(xiv) to the Class B-1 Certificates, the allocated
unreimbursed realized loss amount;
(xv) to the Class B-2 Certificates, the unpaid interest
shortfall amount;
(xvi) to the Class B-2 Certificates, the allocated
unreimbursed realized loss amount;
(xvii) to the Class B-3 Certificates, the unpaid interest
shortfall amount;
(xviii) to the Class B-3 Certificates, the allocated
unreimbursed realized loss amount;
(xix) concurrently, any Group I Class A Basis Risk Carry
Forward Amount to the Group I Class A Certificates, and
any Group II Class A Basis Risk Carry Forward Amount to
the Group II Class A Certificates; and
(xx) sequentially, to Classes M-1, M-2, M-3, M-4, M-5,
M-6, B-1, B-2 and B-3 Certificates, in such order, any
Basis Risk Carry Forward Amount for such classes; and
(xxi) in the event that a Class A-2a Accelerated
Amortization Event is in effect, to the Class A-2a
certificates as additional principal in the amount equal
to the Class A-2a Accelerated Amortization Amount until
their Class Certificate Balance has been reduced to zero.
Interest Remittance For any Distribution Date, the portion of available funds
Amount: for such Distribution Date attributable to interest
received or advanced on the Mortgage Loans.
Accrued Certificate For any Distribution Date and each class of Offered
Interest: Certificates, equals the amount of interest accrued during
the related interest accrual period at the related
Pass-through Rate, reduced by any prepayment interest
shortfalls and shortfalls resulting from the application
of the Servicemembers Civil Relief Act or similar state
law allocated to such class.
Principal On any Distribution Date, the sum of (i) the Basic
Distribution Amount: Principal Distribution Amount and (ii) the Extra Principal
Distribution Amount.
Basic Principal On any Distribution Date, the excess of (i) the aggregate
Distribution Amount: principal remittance amount over (ii) the Excess
Subordinated Amount, if any.
Net Monthly Excess For any Distribution Date is the amount of funds available
Cashflow: for distribution on such Distribution Date remaining after
making all distributions of interest and principal on the
certificates.
Extra Principal For any Distribution Date, the lesser of (i) the excess of
Distribution Amount: (x) interest collected or advanced with respect to the
Mortgage Loans with due dates in the related Due Period
(less servicing and trustee fees and expenses), over (y)
the sum of interest payable on the Certificates on such
Distribution Date and (ii) the overcollateralization
deficiency amount for such Distribution Date.
Excess Subordinated For any Distribution Date, means the excess, if any of
Amount: (i) the overcollateralization and (ii) the required
overcollateralization for such Distribution Date.
Class A Principal For any Distribution Date, the percentage equivalent of a
Allocation fraction, determined as follows: (i) in the case of the
Percentage: Group I 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 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.
--------------------------------------------------------------------------------
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 A Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the aggregate Certificate Principal Balance of the
Class A Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the product
of (i) approximately 64.00% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last day
of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period over $7,741,475.
Class A-2a With respect to any Distribution Date beginning with the
Accelerated Distribution Date in November 2011, until the Class
Amortization Event: Certificate Balance of the Class A-2a Certificates has
been reduced to zero, a Class A-2a Accelerated
Amortization Event exists if the Class Certificate Balance
of the Class A-2a Certificates (after application of the
Principal Distribution Amount on that Distribution Date)
exceeds a target amount for such Distribution Date, as set
forth on the Class A-2a Target Balance Schedule attached
hereto.
Class A-2a With respect to any Distribution Date, the lesser of
Accelerated (a) the amount of funds remaining after making payments
Amortization Amount: pursuant to clause (xx) of the Allocation of Net Monthly
Excess Cashflow described above and (b) the Class
Certificate Balance of the Class A-2a certificates (after
application of the related Principal Distribution Amount
on that Distribution Date).
Class M-1 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date) and (ii) the Certificate
Principal Balance of the Class M-1 Certificates
immediately prior to such Distribution Date over (y) the
lesser of (A) the product of (i) approximately 70.70% and
(ii) the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due
Period over $7,741,475.
Class M-2 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date) and (iii)
the Certificate Principal Balance of the Class M-2
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 76.50% 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 $7,741,475.
Class M-3 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such
Distribution Date) and (iv) the Certificate Principal
Balance of the Class M-3 Certificates immediately prior to
such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 80.20% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last day
of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period over $7,741,475.
--------------------------------------------------------------------------------
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
Class M-4 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such
Distribution Date), (iv) the Certificate Principal Balance
of the Class M-3 Certificates (after taking into account
the payment of the Class M-3 Principal Distribution Amount
on such Distribution Date) and (v) the Certificate
Principal Balance of the Class M-4 Certificates
immediately prior to such Distribution Date over (y) the
lesser of (A) the product of (i) approximately 83.40% 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 $7,741,475.
Class M-5 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such
Distribution Date), (iv) the Certificate Principal Balance
of the Class M-3 Certificates (after taking into account
the payment of the Class M-3 Principal Distribution Amount
on such Distribution Date), (v) the Certificate Principal
Balance of the Class M-4 Certificates (after taking into
account the payment of the Class M-4 Principal
Distribution Amount on such Distribution Date) and (vi)
the Certificate Principal Balance of the Class M-5
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 86.30% 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 $7,741,475.
Class M-6 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such
Distribution Date), (iv) the Certificate Principal Balance
of the Class M-3 Certificates (after taking into account
the payment of the Class M-3 Principal Distribution Amount
on such Distribution Date), (v) the Certificate Principal
Balance of the Class M-4 Certificates (after taking into
account the payment of the Class M-4 Principal
Distribution Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the payment of the
Class M-5 Principal Distribution Amount on such
Distribution Date) and (vii) the Certificate Principal
Balance of the Class M-6 Certificates immediately prior to
such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 88.70% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last day
of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period over $7,741,475.
--------------------------------------------------------------------------------
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
Class B-1 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such
Distribution Date), (iv) the Certificate Principal Balance
of the Class M-3 Certificates (after taking into account
the payment of the Class M-3 Principal Distribution Amount
on such Distribution Date), (v) the Certificate Principal
Balance of the Class M-4 Certificates (after taking into
account the payment of the Class M-4 Principal
Distribution Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the payment of the
Class M-5 Principal Distribution Amount on such
Distribution Date), (vii) the Certificate Principal
Balance of the Class M-6 Certificates (after taking into
account the payment of the Class M-6 Principal
Distribution Amount on such Distribution Date) and (viii)
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 91.10% 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 $7,741,475.
Class B-2 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such
Distribution Date), (iv) the Certificate Principal Balance
of the Class M-3 Certificates (after taking into account
the payment of the Class M-3 Principal Distribution Amount
on such Distribution Date), (v) the Certificate Principal
Balance of the Class M-4 Certificates (after taking into
account the payment of the Class M-4 Principal
Distribution Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the payment of the
Class M-5 Principal Distribution Amount on such
Distribution Date), (vii) the Certificate Principal
Balance of the Class M-6 Certificates (after taking into
account the payment of the Class M-6 Principal
Distribution Amount on such Distribution Date), (viii) 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 (ix) the Certificate Principal
Balance of the Class B-2 Certificates immediately prior to
such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 92.70% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last day
of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period over $7,741,475.
--------------------------------------------------------------------------------
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
Class B-3 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such
Distribution Date), (iv) the Certificate Principal Balance
of the Class M-3 Certificates (after taking into account
the payment of the Class M-3 Principal Distribution Amount
on such Distribution Date), (v) the Certificate Principal
Balance of the Class M-4 Certificates (after taking into
account the payment of the Class M-4 Principal
Distribution Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the payment of the
Class M-5 Principal Distribution Amount on such
Distribution Date), (vii) the Certificate Principal
Balance of the Class M-6 Certificates (after taking into
account the payment of the Class M-6 Principal
Distribution Amount on such Distribution Date), (viii) 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), (ix) 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 (x) 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 94.70% and
(ii) the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due
Period over $7,741,475.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
SMMEA Eligibility: It is anticipated that none of the Offered Certificates
will be SMMEA eligible.
Prospectus: The Class A-1b, Class A-2a, Class A-2b, Class A-2c,
Class A-2d, Class M-1, Class M-2, Class M-3, Class M-4,
Class M-5, Class M-6, 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 15
Weighted Average Life Sensitivity
To CALL
----------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100
----------------------------------------------------------------------------------------------------------
A-1b WAL (yrs) 4.95 4.18 3.34 2.45
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 1 - 172 1 - 147 1 - 118 1 - 88
----------------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 1.98 1.67 1.34 1.00
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 3/25/2009 7/25/2008 10/25/2007 1/25/2007
Window 1 - 52 1 - 44 1 - 35 1 - 26
----------------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 6.32 5.30 4.24 3.01
First Payment Date 3/25/2009 7/25/2008 10/25/2007 1/25/2007
Expected Final Maturity 12/25/2013 7/25/2012 12/25/2010 5/25/2009
Window 52 - 109 44 - 92 35 - 73 26 - 54
----------------------------------------------------------------------------------------------------------
A-2c WAL (yrs) 12.57 10.69 8.58 6.38
First Payment Date 12/25/2013 7/25/2012 12/25/2010 5/25/2009
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 109 - 172 92 - 147 73 - 118 54 - 88
----------------------------------------------------------------------------------------------------------
A-2d WAL (yrs) 5.04 4.25 3.42 2.51
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 1 - 172 1 - 147 1 - 118 1 - 88
----------------------------------------------------------------------------------------------------------
M-1 WAL 9.51 8.04 6.45 4.98
First Payment Date 6/25/2009 9/25/2008 12/25/2007 4/25/2008
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 55 - 172 46 - 147 37 - 118 41 - 88
----------------------------------------------------------------------------------------------------------
M-2 WAL 9.51 8.04 6.45 4.94
First Payment Date 6/25/2009 9/25/2008 12/25/2007 3/25/2008
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 55 - 172 46 - 147 37 - 118 40 - 88
----------------------------------------------------------------------------------------------------------
M-3 WAL 9.51 8.04 6.45 4.92
First Payment Date 6/25/2009 9/25/2008 12/25/2007 2/25/2008
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 55 - 172 46 - 147 37 - 118 39 - 88
----------------------------------------------------------------------------------------------------------
M-4 WAL 9.51 8.04 6.45 4.91
First Payment Date 6/25/2009 9/25/2008 12/25/2007 2/25/2008
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 55 - 172 46 - 147 37 - 118 39 - 88
----------------------------------------------------------------------------------------------------------
M-5 WAL 9.51 8.04 6.45 4.89
First Payment Date 6/25/2009 9/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 55 - 172 46 - 147 37 - 118 38 - 88
----------------------------------------------------------------------------------------------------------
M-6 WAL 9.51 8.04 6.45 4.89
First Payment Date 6/25/2009 9/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 55 - 172 46 - 147 37 - 118 38 - 88
----------------------------------------------------------------------------------------------------------
B-1 WAL 9.51 8.04 6.45 4.89
First Payment Date 6/25/2009 9/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 55 - 172 46 - 147 37 - 118 38 - 88
----------------------------------------------------------------------------------------------------------
B-2 WAL 9.51 8.04 6.45 4.87
First Payment Date 6/25/2009 9/25/2008 12/25/2007 12/25/2007
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 55 - 172 46 - 147 37 - 118 37 - 88
----------------------------------------------------------------------------------------------------------
B-3 WAL 9.51 8.04 6.45 4.87
First Payment Date 6/25/2009 9/25/2008 12/25/2007 12/25/2007
Expected Final Maturity 3/25/2019 2/25/2017 9/25/2014 3/25/2012
Window 55 - 172 46 - 147 37 - 118 37 - 88
----------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------
PPC (%) 125 150 175
--------------------------------------------------------------------------------------
A-1b WAL (yrs) 1.82 1.35 1.06
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2007
Window 1 - 68 1 - 55 1 - 34
--------------------------------------------------------------------------------------
A-2a WAL (yrs) 0.79 0.65 0.54
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 7/25/2006 4/25/2006 1/25/2006
Window 1 - 20 1 - 17 1 - 14
--------------------------------------------------------------------------------------
A-2b WAL (yrs) 2.18 1.77 1.47
First Payment Date 7/25/2006 4/25/2006 1/25/2006
Expected Final Maturity 8/25/2007 2/25/2007 9/25/2006
Window 20 - 33 17 - 27 14 - 22
--------------------------------------------------------------------------------------
A-2c WAL (yrs) 4.74 3.17 2.30
First Payment Date 8/25/2007 2/25/2007 9/25/2006
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2007
Window 33 - 68 27 - 55 22 - 34
--------------------------------------------------------------------------------------
A-2d WAL (yrs) 1.88 1.40 1.10
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2007
Window 1 - 68 1 - 55 1 - 34
--------------------------------------------------------------------------------------
M-1 WAL 4.47 4.56 3.73
First Payment Date 9/25/2008 5/25/2009 9/25/2007
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2008
Window 46 - 68 54 - 55 34 - 46
--------------------------------------------------------------------------------------
M-2 WAL 4.30 4.28 3.81
First Payment Date 6/25/2008 11/25/2008 9/25/2008
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2008
Window 43 - 68 48 - 55 46 - 46
--------------------------------------------------------------------------------------
M-3 WAL 4.21 4.03 3.81
First Payment Date 5/25/2008 8/25/2008 9/25/2008
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2008
Window 42 - 68 45 - 55 46 - 46
--------------------------------------------------------------------------------------
M-4 WAL 4.16 3.89 3.72
First Payment Date 4/25/2008 6/25/2008 6/25/2008
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2008
Window 41 - 68 43 - 55 43 - 46
--------------------------------------------------------------------------------------
M-5 WAL 4.12 3.80 3.56
First Payment Date 3/25/2008 5/25/2008 4/25/2008
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2008
Window 40 - 68 42 - 55 41 - 46
--------------------------------------------------------------------------------------
M-6 WAL 4.09 3.73 3.45
First Payment Date 2/25/2008 4/25/2008 3/25/2008
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2008
Window 39 - 68 41 - 55 40 - 46
--------------------------------------------------------------------------------------
B-1 WAL 4.07 3.67 3.36
First Payment Date 1/25/2008 3/25/2008 1/25/2008
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2008
Window 38 - 68 40 - 55 38 - 46
--------------------------------------------------------------------------------------
B-2 WAL 4.03 3.62 3.31
First Payment Date 1/25/2008 2/25/2008 12/25/2007
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2008
Window 38 - 68 39 - 55 37 - 46
--------------------------------------------------------------------------------------
B-3 WAL 4.03 3.60 3.25
First Payment Date 1/25/2008 1/25/2008 12/25/2007
Expected Final Maturity 7/25/2010 6/25/2009 9/25/2008
Window 38 - 68 38 - 55 37 - 46
--------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
Weighted Average Life Sensitivity
To MATURITY
----------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100
----------------------------------------------------------------------------------------------------------
A-1b WAL (yrs) 5.29 4.49 3.61 2.65
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 4/25/2031 2/25/2029 7/25/2025 8/25/2020
Window 1 - 317 1 - 291 1 - 248 1 - 189
----------------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 1.98 1.67 1.34 1.00
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 3/25/2009 7/25/2008 10/25/2007 1/25/2007
Window 1 - 52 1 - 44 1 - 35 1 - 26
----------------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 6.32 5.30 4.24 3.01
First Payment Date 3/25/2009 7/25/2008 10/25/2007 1/25/2007
Expected Final Maturity 12/25/2013 7/25/2012 12/25/2010 5/25/2009
Window 52 - 109 44 - 92 35 - 73 26 - 54
----------------------------------------------------------------------------------------------------------
A-2c WAL (yrs) 14.54 12.52 10.20 7.64
First Payment Date 12/25/2013 7/25/2012 12/25/2010 5/25/2009
Expected Final Maturity 9/25/2031 8/25/2029 2/25/2026 4/25/2021
Window 109 - 322 92 - 297 73 - 255 54 - 197
----------------------------------------------------------------------------------------------------------
A-2d WAL (yrs) 5.42 4.61 3.73 2.75
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 9/25/2031 8/25/2029 2/25/2026 4/25/2021
Window 1 - 322 1 - 297 1 - 255 1 - 197
----------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 10.38 8.83 7.13 5.49
First Payment Date 6/25/2009 9/25/2008 12/25/2007 4/25/2008
Expected Final Maturity 9/25/2028 1/25/2026 7/25/2022 3/25/2018
Window 55 - 286 46 - 254 37 - 212 41 - 160
----------------------------------------------------------------------------------------------------------
M-2 WAL 10.35 8.80 7.10 5.44
First Payment Date 6/25/2009 9/25/2008 12/25/2007 3/25/2008
Expected Final Maturity 11/25/2027 3/25/2025 10/25/2021 8/25/2017
Window 55 - 276 46 - 244 37 - 203 40 - 153
----------------------------------------------------------------------------------------------------------
M-3 WAL 10.31 8.77 7.07 5.39
First Payment Date 6/25/2009 9/25/2008 12/25/2007 2/25/2008
Expected Final Maturity 12/25/2026 4/25/2024 11/25/2020 12/25/2016
Window 55 - 265 46 - 233 37 - 192 39 - 145
----------------------------------------------------------------------------------------------------------
M-4 WAL 10.27 8.73 7.04 5.35
First Payment Date 6/25/2009 9/25/2008 12/25/2007 2/25/2008
Expected Final Maturity 3/25/2026 7/25/2023 4/25/2020 6/25/2016
Window 55 - 256 46 - 224 37 - 185 39 - 139
----------------------------------------------------------------------------------------------------------
M-5 WAL 10.22 8.68 6.99 5.30
First Payment Date 6/25/2009 9/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 6/25/2025 10/25/2022 7/25/2019 11/25/2015
Window 55 - 247 46 - 215 37 - 176 38 - 132
---------------------------------------------------------------------------------------------------------
M-6 WAL 10.16 8.61 6.94 5.25
First Payment Date 6/25/2009 9/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 7/25/2024 11/25/2021 10/25/2018 4/25/2015
Window 55 - 236 46 - 204 37 - 167 38 - 125
---------------------------------------------------------------------------------------------------------
B-1 WAL 10.06 8.52 6.86 5.19
First Payment Date 6/25/2009 9/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 8/25/2023 1/25/2021 1/25/2018 9/25/2014
Window 55 - 225 46 - 194 37 - 158 38 - 118
---------------------------------------------------------------------------------------------------------
B-2 WAL 9.93 8.41 6.76 5.10
First Payment Date 6/25/2009 9/25/2008 12/25/2007 12/25/2007
Expected Final Maturity 5/25/2022 11/25/2019 2/25/2017 12/25/2013
Window 55 - 210 46 - 180 37 - 147 37 - 109
---------------------------------------------------------------------------------------------------------
B-3 WAL 9.74 8.23 6.61 4.99
First Payment Date 6/25/2009 9/25/2008 12/25/2007 12/25/2007
Expected Final Maturity 4/25/2021 12/25/2018 4/25/2016 5/25/2013
Window 55 - 197 46 - 169 37 - 137 37 - 102
---------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------
PPC (%) 125 150 175
--------------------------------------------------------------------------------------
A-1b WAL (yrs) 1.99 1.46 1.06
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 3/25/2017 9/25/2014 9/25/2007
Window 1 - 148 1 - 118 1 - 34
--------------------------------------------------------------------------------------
A-2a WAL (yrs) 0.79 0.65 0.54
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 7/25/2006 4/25/2006 1/25/2006
Window 1 - 20 1 - 17 1 - 14
--------------------------------------------------------------------------------------
A-2b WAL (yrs) 2.18 1.77 1.47
First Payment Date 7/25/2006 4/25/2006 1/25/2006
Expected Final Maturity 8/25/2007 2/25/2007 9/25/2006
Window 20 - 33 17 - 27 14 - 22
--------------------------------------------------------------------------------------
A-2c WAL (yrs) 5.79 3.99 2.30
First Payment Date 8/25/2007 2/25/2007 9/25/2006
Expected Final Maturity 11/25/2017 5/25/2015 9/25/2007
Window 33 - 156 27 - 126 22 - 34
--------------------------------------------------------------------------------------
A-2d WAL (yrs) 2.08 1.56 1.10
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 11/25/2017 5/25/2015 9/25/2007
Window 1 - 156 1 - 126 1 - 34
--------------------------------------------------------------------------------------
M-1 WAL (yrs) 4.89 5.16 6.15
First Payment Date 9/25/2008 5/25/2009 9/25/2007
Expected Final Maturity 5/25/2015 5/25/2013 8/25/2013
Window 46 - 126 54 - 102 34 - 105
--------------------------------------------------------------------------------------
M-2 WAL 4.71 4.60 4.73
First Payment Date 6/25/2008 11/25/2008 1/25/2009
Expected Final Maturity 11/25/2014 12/25/2012 7/25/2011
Window 43 - 120 48 - 97 50 - 80
--------------------------------------------------------------------------------------
M-3 WAL 4.59 4.33 4.20
First Payment Date 5/25/2008 8/25/2008 9/25/2008
Expected Final Maturity 5/25/2014 7/25/2012 3/25/2011
Window 42 - 114 45 - 92 46 - 76
--------------------------------------------------------------------------------------
M-4 WAL 4.52 4.18 3.95
First Payment Date 4/25/2008 6/25/2008 6/25/2008
Expected Final Maturity 12/25/2013 3/25/2012 11/25/2010
Window 41 - 109 43 - 88 43 - 72
--------------------------------------------------------------------------------------
M-5 WAL 4.45 4.06 3.77
First Payment Date 3/25/2008 5/25/2008 4/25/2008
Expected Final Maturity 7/25/2013 11/25/2011 8/25/2010
Window 40 - 104 42 - 84 41 - 69
--------------------------------------------------------------------------------------
M-6 WAL 4.39 3.97 3.64
First Payment Date 2/25/2008 4/25/2008 3/25/2008
Expected Final Maturity 1/25/2013 6/25/2011 4/25/2010
Window 39 - 98 41 - 79 40 - 65
--------------------------------------------------------------------------------------
B-1 WAL 4.32 3.87 3.52
First Payment Date 1/25/2008 3/25/2008 1/25/2008
Expected Final Maturity 7/25/2012 1/25/2011 12/25/2009
Window 38 - 92 40 - 74 38 - 61
--------------------------------------------------------------------------------------
B-2 WAL 4.23 3.77 3.42
First Payment Date 1/25/2008 2/25/2008 12/25/2007
Expected Final Maturity 12/25/2011 8/25/2010 8/25/2009
Window 38 - 85 39 - 69 37 - 57
--------------------------------------------------------------------------------------
B-3 WAL 4.14 3.68 3.31
First Payment Date 1/25/2008 1/25/2008 12/25/2007
Expected Final Maturity 7/25/2011 3/25/2010 4/25/2009
Window 38 - 80 38 - 64 37 - 53
--------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
CPR Sensitivity
To CALL
-------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
-------------------------------------------------------------------------------------------------------
A-1b WAL (yrs) 3.30 2.57 2.04
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 1 - 117 1 - 92 1 - 75
-------------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 1.25 0.99 0.81
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 9/25/2007 1/25/2007 9/25/2006
Window 1 - 34 1 - 26 1 - 22
-------------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 4.09 3.12 2.32
First Payment Date 9/25/2007 1/25/2007 9/25/2006
Expected Final Maturity 10/25/2010 7/25/2009 11/25/2007
Window 34 - 71 26 - 56 22 - 36
-------------------------------------------------------------------------------------------------------
A-2c WAL (yrs) 8.41 6.63 5.36
First Payment Date 10/25/2010 7/25/2009 11/25/2007
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 71 - 117 56 - 92 36 - 75
-------------------------------------------------------------------------------------------------------
A-2d WAL (yrs) 3.30 2.57 2.04
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 1 - 117 1 - 92 1 - 75
-------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 6.36 5.15 4.59
First Payment Date 12/25/2007 3/25/2008 7/25/2008
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 37 - 117 40 - 92 44 - 75
-------------------------------------------------------------------------------------------------------
M-2 WAL 6.36 5.13 4.49
First Payment Date 12/25/2007 2/25/2008 5/25/2008
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 37 - 117 39 - 92 42 - 75
-------------------------------------------------------------------------------------------------------
M-3 WAL 6.36 5.11 4.43
First Payment Date 12/25/2007 2/25/2008 4/25/2008
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 37 - 117 39 - 92 41 - 75
-------------------------------------------------------------------------------------------------------
M-4 WAL 6.36 5.10 4.39
First Payment Date 12/25/2007 1/25/2008 3/25/2008
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 37 - 117 38 - 92 40 - 75
-------------------------------------------------------------------------------------------------------
M-5 WAL 6.36 5.09 4.37
First Payment Date 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 37 - 117 38 - 92 39 - 75
-------------------------------------------------------------------------------------------------------
M-6 WAL 6.36 5.09 4.35
First Payment Date 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 37 - 117 38 - 92 39 - 75
-------------------------------------------------------------------------------------------------------
B-1 WAL 6.36 5.08 4.33
First Payment Date 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 37 - 117 37 - 92 38 - 75
-------------------------------------------------------------------------------------------------------
B-2 WAL 6.36 5.07 4.32
First Payment Date 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 37 - 117 37 - 92 38 - 75
-------------------------------------------------------------------------------------------------------
B-3 WAL 6.36 5.07 4.31
First Payment Date 12/25/2007 12/25/2007 12/25/2007
Expected Final Maturity 8/25/2014 7/25/2012 2/25/2011
Window 37 - 117 37 - 92 37 - 75
-------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
CPR Sensitivity
To MATURITY
-------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
-------------------------------------------------------------------------------------------------------
A-1b WAL (yrs) 3.58 2.80 2.23
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 10/25/2025 12/25/2021 1/25/2019
Window 1 - 251 1 - 205 1 - 170
-------------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 1.25 0.99 0.81
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 9/25/2007 1/25/2007 9/25/2006
Window 1 - 34 1 - 26 1 - 22
-------------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 4.09 3.12 2.32
First Payment Date 9/25/2007 1/25/2007 9/25/2006
Expected Final Maturity 10/25/2010 7/25/2009 11/25/2007
Window 34 - 71 26 - 56 22 - 36
-------------------------------------------------------------------------------------------------------
A-2c WAL (yrs) 9.86 7.82 6.35
First Payment Date 10/25/2010 7/25/2009 11/25/2007
Expected Final Maturity 11/25/2025 12/25/2021 1/25/2019
Window 71 - 252 56 - 205 36 - 170
-------------------------------------------------------------------------------------------------------
A-2d WAL (yrs) 3.58 2.81 2.23
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 11/25/2025 12/25/2021 1/25/2019
Window 1 - 252 1 - 205 1 - 170
-------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 7.02 5.71 5.05
First Payment Date 12/25/2007 3/25/2008 7/25/2008
Expected Final Maturity 4/25/2022 11/25/2018 5/25/2016
Window 37 - 209 40 - 168 44 - 138
-------------------------------------------------------------------------------------------------------
M-2 WAL 7.00 5.65 4.93
First Payment Date 12/25/2007 2/25/2008 5/25/2008
Expected Final Maturity 7/25/2021 3/25/2018 11/25/2015
Window 37 - 200 39 - 160 42 - 132
-------------------------------------------------------------------------------------------------------
M-3 WAL 6.97 5.61 4.85
First Payment Date 12/25/2007 2/25/2008 4/25/2008
Expected Final Maturity 9/25/2020 7/25/2017 4/25/2015
Window 37 - 190 39 - 152 41 - 125
-------------------------------------------------------------------------------------------------------
M-4 WAL 6.93 5.58 4.79
First Payment Date 12/25/2007 1/25/2008 3/25/2008
Expected Final Maturity 1/25/2020 1/25/2017 10/25/2014
Window 37 - 182 38 - 146 40 - 119
-------------------------------------------------------------------------------------------------------
M-5 WAL 6.89 5.53 4.73
First Payment Date 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 5/25/2019 6/25/2016 5/25/2014
Window 37 - 174 38 - 139 39 - 114
-------------------------------------------------------------------------------------------------------
M-6 WAL 6.83 5.49 4.68
First Payment Date 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 8/25/2018 11/25/2015 11/25/2013
Window 37 - 165 38 - 132 39 - 108
-------------------------------------------------------------------------------------------------------
B-1 WAL 6.76 5.42 4.60
First Payment Date 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 11/25/2017 3/25/2015 5/25/2013
Window 37 - 156 37 - 124 38 - 102
-------------------------------------------------------------------------------------------------------
B-2 WAL 6.66 5.33 4.53
First Payment Date 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 12/25/2016 6/25/2014 9/25/2012
Window 37 - 145 37 - 115 38 - 94
-------------------------------------------------------------------------------------------------------
B-3 WAL 6.52 5.21 4.43
First Payment Date 12/25/2007 12/25/2007 12/25/2007
Expected Final Maturity 2/25/2016 10/25/2013 3/25/2012
Window 37 - 135 37 - 107 37 - 88
-------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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)
A-1b A-2a A-2b A-2c A-2d M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3
Period Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap
------ (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%)
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/
360 360 360 360 360 360 360 360 360 360 360 360 360 360
0 -- -- -- -- -- -- -- -- -- -- -- -- -- --
1 11.75 N/A 11.75 11.75 11.75 11.50 11.50 11.50 11.50 11.50 11.50 11.50 11.50 11.50
2 9.39 N/A 9.38 9.38 9.38 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
3 9.41 N/A 9.41 9.41 9.41 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
4 10.15 N/A 10.14 10.14 10.14 9.94 9.94 9.94 9.94 9.94 9.94 9.94 9.94 9.94
5 9.43 N/A 9.42 9.43 9.43 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
6 9.66 N/A 9.66 9.66 9.66 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46
7 9.45 N/A 9.44 9.44 9.44 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
8 9.68 N/A 9.67 9.67 9.68 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46
9 9.46 N/A 9.45 9.45 9.46 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
10 9.47 N/A 9.46 9.46 9.47 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
11 9.71 N/A 9.70 9.70 9.70 9.47 9.47 9.47 9.47 9.47 9.47 9.47 9.47 9.47
12 9.49 N/A 9.48 9.48 9.49 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
13 9.73 N/A 9.71 9.72 9.72 9.47 9.47 9.47 9.47 9.47 9.47 9.47 9.47 9.47
14 9.51 N/A 9.50 9.50 9.50 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
15 9.52 N/A 9.51 9.51 9.52 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
16 10.22 N/A 10.15 10.15 10.16 9.95 9.95 9.95 9.95 9.95 9.95 9.95 9.95 9.95
17 9.49 N/A 9.43 9.43 9.44 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
18 9.73 N/A 9.67 9.67 9.68 9.47 9.47 9.47 9.47 9.47 9.47 9.47 9.47 9.47
19 9.52 N/A 9.45 9.45 9.46 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
20 9.77 N/A 9.71 9.71 9.72 9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48
21 9.56 N/A 9.50 9.50 9.51 9.27 9.27 9.27 9.27 9.27 9.27 9.27 9.27 9.27
22 9.41 N/A 9.43 9.43 9.44 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43
23 9.73 N/A 9.74 9.74 9.75 9.71 9.71 9.71 9.71 9.71 9.71 9.71 9.71 9.71
24 9.44 N/A 9.46 9.46 9.47 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43
25 9.75 N/A 9.78 9.78 9.78 9.71 9.71 9.71 9.71 9.71 9.71 9.71 9.71 9.71
26 9.47 N/A 9.50 9.50 9.50 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43
27 9.49 ** 9.53 9.53 9.53 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43
28 10.86 -- 10.69 10.69 10.69 10.62 10.62 10.62 10.62 10.62 10.62 10.62 10.62 10.62
29 9.84 -- 9.68 9.68 9.68 9.65 9.65 9.65 9.65 9.65 9.65 9.65 9.65 9.65
30 10.20 -- 10.03 10.03 10.03 9.95 9.95 9.95 9.95 9.95 9.95 9.95 9.95 9.95
31 9.90 -- 9.74 9.74 9.74 9.64 9.64 9.64 9.64 9.64 9.64 9.64 9.64 9.64
32 10.27 -- 10.11 10.11 10.11 9.95 9.95 9.95 9.95 9.95 9.95 9.95 9.95 9.95
33 9.99 -- 9.85 9.85 9.85 9.66 9.66 9.66 9.66 9.66 9.66 9.66 9.66 9.66
34 10.90 -- 10.70 10.70 10.70 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92
35 11.31 -- 11.11 11.11 11.11 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25
36 11.00 -- 10.79 10.79 10.79 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92
37 45.68 -- 45.47 45.47 45.47 10.24 10.24 10.24 10.24 10.24 10.24 10.24 10.24 10.24
38 13.63 -- 13.43 13.43 13.43 9.91 9.91 9.91 9.91 9.91 9.91 9.91 9.91 9.91
39 13.53 -- 13.34 13.34 13.34 9.91 9.91 9.91 9.91 9.91 9.91 9.91 9.91 9.91
40 15.14 -- 14.87 14.87 14.87 11.14 11.14 11.14 11.14 11.14 11.14 11.14 11.14 11.14
41 14.06 -- 13.82 13.82 13.82 10.41 10.41 10.41 10.41 10.41 10.41 10.41 10.41 10.41
42 14.43 -- 14.17 14.17 14.17 10.75 10.75 10.75 10.75 10.75 10.75 10.75 10.75 10.75
43 13.87 -- 13.62 13.62 13.62 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40
44 14.31 -- 14.05 14.05 14.05 10.74 10.74 10.74 10.74 10.74 10.74 10.74 10.74 10.74
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
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)
A-1b A-2a A-2b A-2c A-2d M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3
Period Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap
------ (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%)
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/
360 360 360 360 360 360 360 360 360 360 360 360 360 360
45 13.85 -- 13.60 13.60 13.60 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40
46 13.90 -- 13.65 13.65 13.65 10.44 10.44 10.44 10.44 10.44 10.44 10.44 10.44 10.44
47 14.36 -- 14.09 14.09 14.09 10.78 10.78 10.78 10.78 10.78 10.78 10.78 10.78 10.78
48 13.89 -- 13.63 13.63 13.63 10.43 10.43 10.43 10.43 10.43 10.43 10.43 10.43 10.43
49 14.34 -- 14.08 14.08 14.08 10.77 10.77 10.77 10.77 10.77 10.77 10.77 10.77 10.77
50 13.87 -- 13.62 13.62 13.62 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42
51 13.87 -- 13.62 13.62 13.62 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42
52 15.41 -- 15.13 15.13 15.13 11.58 11.58 11.58 11.58 11.58 11.58 11.58 11.58 11.58
53 13.92 -- 13.66 13.66 13.66 10.46 10.46 10.46 10.46 10.46 10.46 10.46 10.46 10.46
54 14.37 -- 14.11 14.11 14.11 10.80 10.80 10.80 10.80 10.80 10.80 10.80 10.80 10.80
55 13.90 -- 13.65 13.65 13.65 10.44 10.44 10.44 10.44 10.44 10.44 10.44 10.44 10.44
56 14.36 -- -- 14.09 14.09 10.79 10.79 10.79 10.79 10.79 10.79 10.79 10.79 10.79
57 13.89 -- -- 13.63 13.63 10.43 10.43 10.43 10.43 10.43 10.43 10.43 10.43 10.43
58 13.89 -- -- 13.63 13.63 10.43 10.43 10.43 10.43 10.43 10.43 10.43 10.43 10.43
59 14.35 -- -- 14.08 14.08 10.77 10.77 10.77 10.77 10.77 10.77 10.77 10.77 10.77
60 13.88 -- -- 13.62 13.62 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42
61 14.33 -- -- 14.06 14.06 10.76 10.76 10.76 10.76 10.76 10.76 10.76 10.76 10.76
62 13.87 -- -- 13.60 13.60 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40
63 13.86 -- -- 13.60 13.60 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40
64 15.34 -- -- 15.05 15.05 11.51 11.51 11.51 11.51 11.51 11.51 11.51 11.51 11.51
65 13.85 -- -- 13.59 13.59 10.39 10.39 10.39 10.39 10.39 10.39 10.39 10.39 10.39
66 14.30 -- -- 14.03 14.03 10.73 10.73 10.73 10.73 10.73 10.73 10.73 10.73 10.73
67 13.84 -- -- 13.57 13.57 10.37 10.37 10.37 10.37 10.37 10.37 10.37 10.37 10.37
68 14.29 -- -- 14.02 14.02 10.71 10.71 10.71 10.71 10.71 10.71 10.71 10.71 10.71
69 13.82 -- -- 13.56 13.56 10.36 10.36 10.36 10.36 10.36 10.36 10.36 10.36 10.36
70 13.82 -- -- 13.55 13.55 10.36 10.36 10.36 10.36 10.36 10.36 10.36 10.36 10.36
71 14.27 -- -- 14.00 14.00 10.70 10.70 10.70 10.70 10.70 10.70 10.70 10.70 10.70
72 13.81 -- -- 13.54 13.54 10.35 10.35 10.35 10.35 10.35 10.35 10.35 10.35 10.35
73 14.26 -- -- 13.99 13.99 10.68 10.68 10.68 10.68 10.68 10.68 10.68 10.68 10.68
74 13.80 -- -- 13.53 13.53 10.33 10.33 10.33 10.33 10.33 10.33 10.33 10.33 10.33
75 13.79 -- -- 13.52 13.52 10.33 10.33 10.33 10.33 10.33 10.33 10.33 10.33 10.33
76 15.26 -- -- 14.96 14.96 11.43 11.43 11.43 11.43 11.43 11.43 11.43 11.43 11.43
77 13.78 -- -- 13.51 13.51 10.32 10.32 10.32 10.32 10.32 10.32 10.32 10.32 10.32
78 14.23 -- -- 13.95 13.95 10.65 10.65 10.65 10.65 10.65 10.65 10.65 10.65 10.65
79 13.77 -- -- 13.50 13.50 10.30 10.30 10.30 10.30 10.30 10.30 10.30 10.30 10.30
80 14.22 -- -- 13.94 13.94 10.64 10.64 10.64 10.64 10.64 10.64 10.64 10.64 10.64
81 13.76 -- -- 13.49 13.49 10.29 10.29 10.29 10.29 10.29 10.29 10.29 10.29 10.29
82 13.75 -- -- 13.48 13.48 10.29 10.29 10.29 10.29 10.29 10.29 10.29 10.29 10.29
83 14.20 -- -- 13.92 13.92 10.62 10.62 10.62 10.62 10.62 10.62 10.62 10.62 10.62
84 13.74 -- -- 13.47 13.47 10.27 10.27 10.27 10.27 10.27 10.27 10.27 10.27 10.27
85 14.19 -- -- 13.91 13.91 10.61 10.61 10.61 10.61 10.61 10.61 10.61 10.61 10.61
86 13.73 -- -- 13.45 13.45 10.26 10.26 10.26 10.26 10.26 10.26 10.26 10.26 10.26
87 13.72 -- -- 13.45 13.45 10.26 10.26 10.26 10.26 10.26 10.26 10.26 10.26 10.26
88 14.66 -- -- 14.37 14.37 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96
89 13.71 -- -- 13.44 13.44 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25
90 14.16 -- -- 13.88 13.88 10.58 10.58 10.58 10.58 10.58 10.58 10.58 10.58 10.58
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)
A-1b A-2a A-2b A-2c A-2d M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3
Period Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap
------ (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%)
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/
360 360 360 360 360 360 360 360 360 360 360 360 360 360
91 12.20 -- -- 11.92 11.92 10.23 10.23 10.23 10.23 10.23 10.23 10.23 10.23 10.23
92 11.57 -- -- 11.29 11.29 10.57 10.57 10.57 10.57 10.57 10.57 10.57 10.57 10.57
93 11.22 -- -- 10.94 10.94 10.22 10.22 10.22 10.22 10.22 10.22 10.22 10.22 10.22
94 11.23 -- -- 10.96 10.96 10.22 10.22 10.22 10.22 10.22 10.22 10.22 10.22 10.22
95 11.63 -- -- 11.34 11.34 10.55 10.55 10.55 10.55 10.55 10.55 10.55 10.55 10.55
96 11.27 -- -- 11.00 11.00 10.20 10.20 10.20 10.20 10.20 10.20 10.20 10.20 10.20
97 11.67 -- -- 11.38 11.38 10.54 10.54 10.54 10.54 10.54 10.54 10.54 10.54 10.54
98 11.31 -- -- 11.03 11.03 10.19 10.19 10.19 10.19 10.19 10.19 10.19 10.19 10.19
99 11.33 -- -- 11.05 11.05 10.19 10.19 10.19 10.19 10.19 10.19 10.19 10.19 10.19
100 12.57 -- -- 12.26 12.26 11.27 11.27 11.27 11.27 11.27 11.27 11.27 11.27 11.27
101 11.38 -- -- 11.10 11.10 10.18 10.18 10.18 10.18 10.18 10.18 10.18 10.18 10.18
102 11.78 -- -- 11.49 11.49 10.51 10.51 10.51 10.51 10.51 10.51 10.51 10.51 10.51
103 11.42 -- -- 11.14 11.14 10.16 10.16 10.16 10.16 10.16 10.16 10.16 10.16 10.16
104 11.83 -- -- 11.54 11.54 10.50 10.50 10.50 10.50 10.50 10.50 10.50 10.50 --
105 11.47 -- -- 11.19 11.19 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15 --
106 11.50 -- -- 11.22 11.22 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15 --
107 11.91 -- -- 11.62 11.62 10.48 10.48 10.48 10.48 10.48 10.48 10.48 10.48 --
108 11.55 -- -- 11.27 11.27 10.13 10.13 10.13 10.13 10.13 10.13 10.13 10.13 --
109 11.97 -- -- 11.68 11.68 10.47 10.47 10.47 10.47 10.47 10.47 10.47 10.47 --
110 11.61 -- -- 11.33 11.33 10.12 10.12 10.12 10.12 10.12 10.12 10.12 10.12 --
111 11.64 -- -- 11.36 11.36 10.12 10.12 10.12 10.12 10.12 10.12 10.12 -- --
112 12.92 -- -- 12.61 12.61 11.19 11.19 11.19 11.19 11.19 11.19 11.19 -- --
113 11.71 -- -- 11.42 11.42 10.11 10.11 10.11 10.11 10.11 10.11 10.11 -- --
114 12.13 -- -- 11.84 11.84 10.44 10.44 10.44 10.44 10.44 10.44 10.44 -- --
115 11.77 -- -- 11.49 11.49 10.09 10.09 10.09 10.09 10.09 10.09 10.09 -- --
116 12.20 -- -- 11.91 11.91 10.42 10.42 10.42 10.42 10.42 10.42 10.42 -- --
117 11.85 -- -- 11.56 11.56 10.08 10.08 10.08 10.08 10.08 10.08 10.08 -- --
118 11.88 -- -- 11.60 11.60 10.08 10.08 10.08 10.08 10.08 10.08 10.08 -- --
119 12.32 -- -- 12.03 12.03 10.41 10.41 10.41 10.41 10.41 10.41 10.41 -- --
120 11.96 -- -- 11.68 11.68 10.07 10.07 10.07 10.07 10.07 10.07 -- -- --
121 12.41 -- -- 12.11 12.11 10.39 10.39 10.39 10.39 10.39 10.39 -- -- --
122 12.05 -- -- 11.76 11.76 10.05 10.05 10.05 10.05 10.05 10.05 -- -- --
123 12.09 -- -- 11.81 11.81 10.05 10.05 10.05 10.05 10.05 10.05 -- -- --
124 13.44 -- -- 13.12 13.12 11.12 11.12 11.12 11.12 11.12 11.12 -- -- --
125 12.18 -- -- 11.90 11.90 10.04 10.04 10.04 10.04 10.04 10.04 -- -- --
126 12.64 -- -- 12.34 12.34 10.37 10.37 10.37 10.37 10.37 10.37 -- -- --
127 12.28 -- -- 12.00 12.00 10.02 10.02 10.02 10.02 10.02 10.02 -- -- --
128 12.74 -- -- 12.45 12.45 10.35 10.35 10.35 10.35 10.35 -- -- -- --
129 12.39 -- -- 12.10 12.10 10.01 10.01 10.01 10.01 10.01 -- -- -- --
130 12.44 -- -- 12.15 12.15 10.01 10.01 10.01 10.01 10.01 -- -- -- --
131 12.91 -- -- 12.62 12.62 10.34 10.34 10.34 10.34 10.34 -- -- -- --
132 12.55 -- -- 12.27 12.27 10.00 10.00 10.00 10.00 10.00 -- -- -- --
133 13.03 -- -- 12.74 12.74 10.32 10.32 10.32 10.32 10.32 -- -- -- --
134 12.67 -- -- 12.39 12.39 9.99 9.99 9.99 9.99 9.99 -- -- -- --
135 12.74 -- -- 12.45 12.45 9.98 9.98 9.98 9.98 -- -- -- -- --
136 13.68 -- -- 13.38 13.38 10.66 10.66 10.66 10.66 -- -- -- -- --
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-1b A-2a A-2b A-2c A-2d M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3
Period Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap
------ (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%)
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/
360 360 360 360 360 360 360 360 360 360 360 360 360 360
137 12.87 -- -- 12.58 12.58 9.97 9.97 9.97 9.97 -- -- -- -- --
138 13.37 -- -- 13.07 13.07 10.29 10.29 10.29 10.29 -- -- -- -- --
139 13.01 -- -- 12.72 12.72 9.96 9.96 9.96 9.96 -- -- -- -- --
140 13.52 -- -- 13.22 13.22 10.28 10.28 10.28 10.28 -- -- -- -- --
141 13.15 -- -- 12.86 12.86 9.95 9.95 9.95 -- -- -- -- -- --
142 13.23 -- -- 12.94 12.94 9.94 9.94 9.94 -- -- -- -- -- --
143 13.75 -- -- 13.45 13.45 10.27 10.27 10.27 -- -- -- -- -- --
144 13.39 -- -- 13.10 13.10 9.93 9.93 9.93 -- -- -- -- -- --
145 13.93 -- -- 13.62 13.62 10.25 10.25 10.25 -- -- -- -- -- --
146 13.56 -- -- 13.27 13.27 9.92 9.92 9.92 -- -- -- -- -- --
147 13.65 -- -- 13.36 13.36 9.91 9.91 9.91 -- -- -- -- -- --
148 15.22 -- -- 14.89 14.89 10.97 10.97 -- -- -- -- -- -- --
149 13.84 -- -- 13.54 13.54 9.90 9.90 -- -- -- -- -- -- --
150 14.40 -- -- 14.10 14.10 10.23 10.23 -- -- -- -- -- -- --
151 14.03 -- -- 13.74 13.74 9.89 9.89 -- -- -- -- -- -- --
152 14.61 -- -- 14.30 14.30 10.21 10.21 -- -- -- -- -- -- --
153 14.24 -- -- 13.95 13.95 9.88 9.88 -- -- -- -- -- -- --
154 14.35 -- -- 14.06 14.06 9.87 9.87 -- -- -- -- -- -- --
155 14.94 -- -- 14.64 14.64 10.20 10.20 -- -- -- -- -- -- --
156 14.58 -- -- 14.28 14.28 9.86 -- -- -- -- -- -- -- --
157 15.19 -- -- 14.88 14.88 10.19 -- -- -- -- -- -- -- --
158 14.82 -- -- 14.52 14.52 9.85 -- -- -- -- -- -- -- --
159 14.94 -- -- 14.65 14.65 9.85 -- -- -- -- -- -- -- --
160 16.69 -- -- 16.36 16.36 10.90 -- -- -- -- -- -- -- --
161 15.20 -- -- 14.91 14.91 9.84 -- -- -- -- -- -- -- --
162 15.85 -- -- 15.55 15.55 10.16 -- -- -- -- -- -- -- --
163 15.48 -- -- 15.18 15.18 9.83 -- -- -- -- -- -- -- --
164 16.23 -- -- 15.92 15.92 -- -- -- -- -- -- -- -- --
165 15.96 -- -- 15.66 15.66 -- -- -- -- -- -- -- -- --
166 16.22 -- -- 15.92 15.92 -- -- -- -- -- -- -- -- --
167 17.05 -- -- 16.74 16.74 -- -- -- -- -- -- -- -- --
168 16.80 -- -- 16.51 16.51 -- -- -- -- -- -- -- -- --
169 17.70 -- -- 17.39 17.39 -- -- -- -- -- -- -- -- --
170 17.47 -- -- 17.17 17.17 -- -- -- -- -- -- -- -- --
171 17.84 -- -- 17.54 17.54 -- -- -- -- -- -- -- -- --
172 20.19 -- -- 19.86 19.86 -- -- -- -- -- -- -- -- --
173 18.67 -- -- 18.37 18.37 -- -- -- -- -- -- -- -- --
174 19.77 -- -- 19.46 19.46 -- -- -- -- -- -- -- -- --
175 19.64 -- -- 19.34 19.34 -- -- -- -- -- -- -- -- --
176 20.86 -- -- 20.55 20.55 -- -- -- -- -- -- -- -- --
177 20.78 -- -- 20.48 20.48 -- -- -- -- -- -- -- -- --
178 21.43 -- -- 21.13 21.13 -- -- -- -- -- -- -- -- --
179 22.88 -- -- 22.57 22.57 -- -- -- -- -- -- -- -- --
180 22.93 -- -- 22.63 22.63 -- -- -- -- -- -- -- -- --
181 24.59 -- -- 24.28 24.28 -- -- -- -- -- -- -- -- --
182 24.76 -- -- 24.46 24.46 -- -- -- -- -- -- -- -- --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-1b A-2a A-2b A-2c A-2d M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3
Period Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap Cap
------ (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%)
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/
360 360 360 360 360 360 360 360 360 360 360 360 360 360
183 25.84 -- -- 25.54 25.54 -- -- -- -- -- -- -- -- --
184 28.92 -- -- 28.60 28.60 -- -- -- -- -- -- -- -- --
185 28.43 -- -- 28.13 28.13 -- -- -- -- -- -- -- -- --
186 31.01 -- -- 30.70 30.70 -- -- -- -- -- -- -- -- --
187 31.82 -- -- 31.52 31.52 -- -- -- -- -- -- -- -- --
188 35.07 -- -- 34.76 34.76 -- -- -- -- -- -- -- -- --
189 36.44 -- -- 36.14 36.14 -- -- -- -- -- -- -- -- --
190 39.44 -- -- 39.14 39.14 -- -- -- -- -- -- -- -- --
191 44.52 -- -- 44.21 44.21 -- -- -- -- -- -- -- -- --
192 47.63 -- -- 47.33 47.33 -- -- -- -- -- -- -- -- --
193 -- -- -- 54.89 54.89 -- -- -- -- -- -- -- -- --
194 -- -- -- 60.76 60.76 -- -- -- -- -- -- -- -- --
195 -- -- -- 71.35 71.35 -- -- -- -- -- -- -- -- --
196 -- -- -- 96.27 96.27 -- -- -- -- -- -- -- -- --
197 -- -- -- 112.26 112.26 -- -- -- -- -- -- -- -- --
198 -- -- -- 165.71 165.71 -- -- -- -- -- -- -- -- --
199 -- -- -- 287.16 287.16 -- -- -- -- -- -- -- -- --
200 -- -- -- * * -- -- -- -- -- -- -- -- --
201 -- -- -- -- -- -- -- -- -- -- -- -- -- --
* In Period 200 the Class A-2c has a balance of $43,475 and is paid $207,621 in
interest, and the Class A-2d has a balance of $4,831 and is paid $23,069 in
interest.
**The Cap for the Class A-2a Certificates is shown as "N/A" because the Class
A-2a is uncapped.
The Caps for the Class A-2b, Class A-2c, and Class A-2d do not reflect any
potential payments from the Class A-2a Interest Rate Cap.
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 24
Interest Rate Cap Schedules
Class A-1b Cap
-----------------------------------------
Period Balance ($) Strike % Ceiling %
1 77,918,000.00 6.35 9.00
2 75,711,415.25 6.35 9.00
3 73,537,990.68 6.35 9.00
4 71,396,486.33 6.35 9.00
5 69,285,778.41 6.35 9.00
6 67,204,853.85 6.35 9.00
7 65,152,819.81 6.35 9.00
8 63,128,897.54 6.35 9.00
9 61,132,419.79 6.35 9.00
10 59,162,827.76 6.35 9.00
11 57,219,667.63 6.35 9.00
12 55,302,594.77 6.35 9.00
13 53,411,353.01 6.35 9.00
14 51,546,048.97 6.35 9.00
15 49,729,838.47 6.35 9.00
16 47,961,647.12 6.40 9.00
17 46,240,203.74 6.40 9.00
18 44,564,270.90 6.40 9.00
19 42,932,643.97 6.40 9.00
20 41,344,150.28 6.40 9.00
21 39,797,648.25 6.40 9.00
22 38,292,061.82 8.60 9.00
23 36,829,404.75 8.60 9.00
24 35,405,327.43 8.60 9.00
25 34,018,811.10 8.60 9.00
26 32,668,863.94 8.60 9.00
27 31,354,520.39 8.60 9.00
28 - - -
29 - - -
30 - - -
31 - - -
32 - - -
33 - - -
34 - - -
35 - - -
36 - - -
37 - - -
38 - - -
39 - - -
40 - - -
Class A-2a Cap
------------------------------------------
Period Balance ($) Strike % Ceiling %
1 255,000,000.00 6.60 -
2 245,898,636.38 6.60 -
3 236,948,380.97 6.60 -
4 228,146,789.99 6.60 -
5 219,491,420.46 6.60 -
6 210,979,869.27 6.60 -
7 202,609,772.58 6.60 -
8 194,378,805.11 6.60 -
9 186,284,679.58 6.60 -
10 178,325,146.05 6.60 -
11 170,497,991.32 6.60 -
12 162,801,038.35 6.60 -
13 155,232,145.67 6.60 -
14 147,789,206.75 6.60 -
15 140,470,149.51 6.60 -
16 133,272,935.72 6.65 -
17 126,195,560.43 6.65 -
18 119,236,051.47 6.65 -
19 112,392,468.88 6.65 -
20 105,662,904.43 6.65 -
21 99,046,093.62 6.65 -
22 92,539,634.30 8.70 -
23 86,161,233.83 8.70 -
24 79,888,906.96 8.70 -
25 73,720,910.18 8.70 -
26 67,655,528.40 8.70 -
27 61,691,074.56 8.70 -
28 55,825,889.12 9.50 -
29 50,058,339.67 9.50 -
30 44,386,820.42 9.50 -
31 38,809,751.81 9.50 -
32 33,325,580.10 9.50 -
33 27,932,776.89 9.50 -
34 22,629,941.26 10.50 -
35 17,416,851.57 10.50 -
36 12,290,694.04 10.50 -
37 7,249, 991.09 10.50 -
38 2,293,336.21 10.50 -
39 - - -
40 - - -
Class A-2b, Class A-2c, Class A-2d Cap
-------------------------------------------
Period Balance ($) Strike % Ceiling %
1 235,428,000.00 6.35 9.00
2 234,111,656.84 6.35 9.00
3 232,809,546.76 6.35 9.00
4 231,521,016.90 6.35 9.00
5 230,245,496.22 6.35 9.00
6 228,982,498.81 6.35 9.00
7 227,731,622.72 6.35 9.00
8 226,492,548.38 6.35 9.00
9 225,265,036.73 6.35 9.00
10 224,048,926.99 6.35 9.00
11 222,844,134.19 6.35 9.00
12 221,650,652.80 6.35 9.00
13 220,468,741.71 6.35 9.00
14 219,299,166.10 6.35 9.00
15 218,159,895.26 6.35 9.00
16 217,050,358.75 6.45 9.00
17 215,969,778.42 6.45 9.00
18 214,917,396.58 6.45 9.00
19 213,892,475.43 6.45 9.00
20 212,894,296.53 6.45 9.00
21 211,922,214.83 6.45 9.00
22 210,975,498.42 8.45 9.00
23 210,055,183.42 8.45 9.00
24 209,158,828.57 8.45 9.00
25 208,285,808.47 8.45 9.00
26 207,435,514.13 8.45 9.00
27 202,222,700.42 8.45 9.00
28 - - -
29 - - -
30 - - -
31 - - -
32 - - -
33 - - -
34 - - -
35 - - -
36 - - -
37 - - -
38 - - -
39 - - -
40 - - -
--------------------------------------------------------------------------------
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 25
Interest Rate Cap Schedules
Class M Cap Class B Cap
----------------------------------------- ------------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
2 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
3 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
4 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
5 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
6 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
7 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
8 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
9 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
10 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
11 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
12 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
13 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
14 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
15 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
16 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
17 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
18 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
19 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
20 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
21 191,215,000.00 5.75 8.50 46,449,000.00 4.35 7.10
22 191,215,000.00 7.65 8.70 46,449,000.00 6.25 7.30
23 191,215,000.00 7.65 8.70 46,449,000.00 6.25 7.30
24 191,215,000.00 7.65 8.70 46,449,000.00 6.25 7.30
25 191,215,000.00 7.65 8.70 46,449,000.00 6.25 7.30
26 191,215,000.00 7.65 8.70 46,449,000.00 6.25 7.30
27 191,215,000.00 7.65 8.70 46,449,000.00 6.25 7.30
28 191,215,000.00 8.25 8.90 46,449,000.00 6.85 7.50
29 191,215,000.00 8.25 8.90 46,449,000.00 6.85 7.50
30 191,215,000.00 8.25 8.90 46,449,000.00 6.85 7.50
31 191,215,000.00 8.25 8.90 46,449,000.00 6.85 7.50
32 191,215,000.00 8.25 8.90 46,449,000.00 6.85 7.50
33 191,215,000.00 8.25 8.90 46,449,000.00 6.85 7.50
34 191,215,000.00 9.00 9.15 46,449,000.00 7.60 7.75
35 191,215,000.00 9.00 9.15 46,449,000.00 7.60 7.75
36 191,215,000.00 9.00 9.15 46,449,000.00 7.60 7.75
37 191,215,000.00 9.00 9.15 46,449,000.00 7.60 7.75
38 191,215,000.00 9.00 9.15 40,068,727.99 7.60 7.75
39 181,902,453.70 9.00 9.15 34,636,012.27 7.60 7.75
40 - - - - - -
--------------------------------------------------------------------------------
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 26
--------------------------------------------------------------------------------
Class A-2a Target Balance Schedule
--------------------------------------------------------------------------------
Distribution Date Month Target Balance ($)
----------------------- ------------------
November 2011 $25,021,896.06
December 2011 $22,821,672.02
January 2012 $20,633,754.29
February 2012 $18,458,071.48
March 2012 $16,294,552.64
April 2012 $14,143,127.23
May 2012 $12,003,725.12
June 2012 $9,876,276.59
July 2012 $7,760,712.31
August 2012 $5,656,963.36
September 2012 $3,564,961.23
October 2012 $1,484,637.79
November 2012 and thereafter -
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 27
XXXXXX XXXXXXX
MSAC 2004-OP1
All records
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Original Combined 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
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 8,879
Aggregate Principal Balance ($): 1,548,294,930
Weighted Average Current Mortgage Rate (%): 7.232
Non-Zero Weighted Average Margin (%): 5.471
Non-Zero Weighted Average Maximum Rate (%): 13.240
Weighted Average Stated Original Term (months): 357
Weighted Average Stated Remaining Term (months): 354
Weighted Average Combined Original LTV (%): 77.20
% First Liens: 99.33
% Owner Occupied: 94.89
% Purchase: 27.60
% Full Doc: 63.66
Non-Zero Weighted Average Credit Score: 608
2. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 5 342,616 0.02 8.059 117 72.44
Fixed - 15 Year 158 16,037,039 1.04 7.528 177 70.07
Fixed - 20 Year 92 11,096,741 0.72 7.462 237 70.91
Fixed - 30 Year 2,147 349,521,467 22.57 7.299 357 75.09
ARM - 6 Month 5 1,522,194 0.10 7.663 357 68.66
ARM - 2 Year/6 Month 5,720 1,001,374,070 64.68 7.305 357 77.80
ARM - 3 Year/6 Month 451 82,030,371 5.30 6.879 356 76.24
ARM - 15 Year Fix/ Adj 30 YR 6 728,189 0.05 7.847 357 79.37
Interest Only Arm - 5 Year/2 year fixed 230 64,794,215 4.18 6.371 357 82.87
Interest Only Arm - 5 Year/3 year fixed 45 13,925,949 0.90 6.175 357 81.71
Interest Only Fixed - 30 Year 20 6,922,080 0.45 6.296 356 74.17
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
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 Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 55 14,908,962 0.96 4.883 355 72.57
5.000 - 5.999 681 158,860,625 10.26 5.705 355 74.64
6.000 - 6.999 2,831 575,584,089 37.18 6.581 354 76.00
7.000 - 7.999 2,812 474,240,514 30.63 7.530 355 78.40
8.000 - 8.999 1,697 237,415,108 15.33 8.466 354 79.42
9.000 - 9.999 584 67,697,743 4.37 9.437 351 77.96
10.000 - 10.999 157 14,347,699 0.93 10.388 349 78.92
11.000 - 11.999 57 4,865,978 0.31 11.438 344 76.60
12.000 - 12.999 5 374,211 0.02 12.412 357 83.45
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.150
Maximum: 12.700
Weighted Average: 7.232
4. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 108 5,375,208 0.35 8.630 330 60.94
50,001 - 75,000 1,118 70,222,750 4.54 8.311 345 77.39
75,001 - 100,000 1,148 100,988,970 6.52 7.797 349 77.11
100,001 - 125,000 1,112 125,436,975 8.10 7.584 352 77.50
125,001 - 150,000 1,053 144,802,652 9.35 7.358 354 76.36
150,001 - 175,000 907 147,234,491 9.51 7.273 352 76.91
175,001 - 200,000 725 136,230,864 8.80 7.213 355 76.09
200,001 - 225,000 590 125,459,029 8.10 7.174 357 77.01
225,001 - 250,000 483 115,020,054 7.43 7.068 355 77.17
250,001 - 275,000 374 98,114,659 6.34 7.120 355 76.43
275,001 - 300,000 275 79,123,927 5.11 7.061 357 76.60
300,001 - 325,000 204 63,834,863 4.12 6.886 356 78.49
325,001 - 350,000 162 54,549,078 3.52 6.914 355 78.53
350,001 - 375,000 138 50,089,824 3.24 7.009 357 79.69
375,001 - 400,000 120 46,642,072 3.01 6.984 357 79.74
400,001 - 425,000 74 30,562,459 1.97 6.770 357 81.16
425,001 - 450,000 74 32,410,602 2.09 6.747 354 79.46
450,001 - 475,000 38 17,497,385 1.13 6.601 352 80.10
475,001 - 500,000 55 26,924,960 1.74 6.967 357 76.44
500,001 - 750,000 103 60,824,586 3.93 6.708 357 77.81
750,001 - 1,000,000 13 11,578,781 0.75 6.388 356 71.44
1,000,001 >= 5 5,370,739 0.35 6.386 357 62.44
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 40,765
Maximum: 1,125,000
Average: 174,377
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 Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
120 5 342,616 0.02 8.059 117 72.44
180 180 17,996,624 1.16 7.492 177 70.10
240 93 11,149,287 0.72 7.467 237 70.95
360 8,601 1,518,806,403 98.10 7.227 357 77.33
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 357
6. Range of Stated Remaining Terms (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
109 - 120 5 342,616 0.02 8.059 117 72.44
169 - 180 180 17,996,624 1.16 7.492 177 70.10
229 - 240 93 11,149,287 0.72 7.467 237 70.95
349 - 360 8,601 1,518,806,403 98.10 7.227 357 77.33
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 117
Maximum: 359
Weighted Average: 354
7. Range of Original Combined LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Original Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 1 80,686 0.01 7.340 355 12.46
15.01 - 20.00 4 271,450 0.02 6.679 320 18.11
20.01 - 25.00 15 1,752,007 0.11 6.790 344 22.85
25.01 - 30.00 28 2,920,965 0.19 6.970 350 27.80
30.01 - 35.00 29 3,025,373 0.20 7.151 348 32.58
35.01 - 40.00 85 10,761,910 0.70 7.160 342 38.04
40.01 - 45.00 102 13,274,376 0.86 6.979 349 42.86
45.01 - 50.00 165 23,404,579 1.51 7.151 347 47.97
50.01 - 55.00 190 32,704,230 2.11 6.826 351 52.88
55.01 - 60.00 335 61,263,457 3.96 6.938 353 57.97
60.01 - 65.00 553 102,934,994 6.65 7.163 352 63.42
65.01 - 70.00 734 140,337,502 9.06 7.173 352 68.74
70.01 - 75.00 897 170,614,508 11.02 7.220 355 74.01
75.01 - 80.00 3,013 504,319,892 32.57 7.201 355 79.64
80.01 - 85.00 815 148,586,082 9.60 7.201 354 84.44
85.01 - 90.00 1,149 210,186,397 13.58 7.457 356 89.62
90.01 - 95.00 679 115,043,690 7.43 7.372 356 94.71
95.01 - 100.00 85 6,812,832 0.44 9.112 349 99.84
-----------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
-----------------------------------------------------------------------------------------------------------------------------------
Minimum: 12.46
Maximum: 100.00
Weighted Average: 77.20
8. Range of Gross Margins (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,422 383,919,943 24.80 7.296 346 74.75
<= 3.500 81 18,736,019 1.21 5.364 354 69.01
3.501 - 4.000 269 61,290,051 3.96 5.748 356 73.76
4.001 - 4.500 646 136,246,265 8.80 6.223 357 74.78
4.501 - 5.000 1,073 212,649,174 13.73 6.648 357 77.20
5.001 - 5.500 1,171 212,329,548 13.71 7.116 357 78.99
5.501 - 6.000 1,064 184,867,044 11.94 7.475 357 79.66
6.001 - 6.500 894 146,896,924 9.49 7.839 357 80.18
6.501 - 7.000 723 118,356,149 7.64 8.323 356 79.22
7.001 - 7.500 299 40,769,865 2.63 8.677 356 79.88
7.501 - 8.000 173 23,131,193 1.49 9.110 357 77.73
8.001 - 8.500 44 6,802,465 0.44 9.424 355 78.46
8.501 - 9.000 14 1,699,358 0.11 9.913 357 75.34
9.001 - 9.500 2 214,289 0.01 10.632 355 75.33
9.501 - 10.000 3 336,677 0.02 10.415 356 85.77
>10.000 1 49,966 0.00 11.300 358 58.82
-----------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
-----------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 2.490
Maximum: 10.300
Non-Zero Weighted Average: 5.471
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 Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,422 383,919,943 24.80 7.296 346 74.75
<=5.000 57 15,027,581 0.97 4.895 355 72.93
5.001 - 5.500 179 42,099,287 2.72 5.374 356 73.18
5.501 - 6.000 481 107,868,861 6.97 5.843 357 76.27
6.001 - 6.500 779 162,337,767 10.48 6.323 356 76.92
6.501 - 7.000 1,206 239,053,018 15.44 6.809 357 78.27
7.001 - 7.500 959 172,835,265 11.16 7.311 357 78.80
7.501 - 8.000 1,106 185,668,370 11.99 7.796 357 79.33
8.001 - 8.500 669 102,102,828 6.59 8.286 357 79.36
8.501 - 9.000 557 79,126,610 5.11 8.758 357 79.41
9.001 - 9.500 244 31,122,589 2.01 9.280 357 78.96
9.501 - 10.000 139 18,115,858 1.17 9.768 355 75.17
10.001 -10.500 48 5,023,721 0.32 10.255 357 79.57
10.501 - 11.000 19 2,852,390 0.18 10.802 357 70.30
11.001 - 11.500 8 715,477 0.05 11.356 358 73.02
11.501 - 12.000 6 425,365 0.03 11.809 357 64.48
-----------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
-----------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.150
Maximum: 12.000
Non-Zero Weighted Average: 7.210
10. Range of Maximum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,422 383,919,943 24.80 7.296 346 74.75
<= 12.500 1,464 318,967,958 20.60 5.980 356 76.15
12.501 - 13.000 1,188 235,838,854 15.23 6.795 357 78.25
13.001 - 13.500 957 172,046,373 11.11 7.270 357 78.56
13.501 - 14.000 1,098 185,448,920 11.98 7.764 357 79.30
14.001 - 14.500 681 106,345,248 6.87 8.228 357 79.17
14.501 - 15.000 578 83,234,385 5.38 8.681 357 79.43
15.001 - 15.500 256 33,009,845 2.13 9.213 357 79.35
15.501 - 16.000 149 19,475,028 1.26 9.664 355 75.67
16.001 - 16.500 47 5,057,720 0.33 10.171 357 77.61
16.501 - 17.000 22 3,455,121 0.22 10.633 357 70.34
17.001 - 17.500 11 1,070,171 0.07 11.011 357 76.09
17.501 - 18.000 6 425,365 0.03 11.809 357 64.48
-----------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
-----------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 10.150
Maximum: 18.000
Non-Zero Weighted Average: 13.240
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 Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,422 383,919,943 24.80 7.296 346 74.75
1 6 1,629,364 0.11 7.718 357 69.74
2 23 6,330,969 0.41 6.415 355 77.49
3 6,427 1,156,308,492 74.68 7.214 357 78.02
5 1 106,162 0.01 8.950 356 95.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 5.000
Non-Zero Weighted Average: 2.992
12. Subsequent Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,422 383,919,943 24.80 7.296 346 74.75
1 6,316 1,132,961,725 73.17 7.216 357 78.06
1.5 136 30,085,747 1.94 6.993 355 75.61
2 5 1,327,515 0.09 6.918 355 89.66
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 2.000
Non-Zero Weighted Average: 1.014
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 Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,422 383,919,943 24.80 7.296 346 74.75
Feb-05 4 1,022,888 0.07 7.571 357 70.40
Mar-05 1 499,306 0.03 7.850 358 65.10
Mar-06 1 52,911 0.00 7.400 353 73.89
Apr-06 14 2,164,508 0.14 7.485 353 79.85
May-06 37 8,759,612 0.57 7.323 354 79.65
Jun-06 296 67,534,309 4.36 6.693 355 78.36
Jul-06 554 109,618,354 7.08 7.257 356 75.71
Aug-06 3,610 628,248,443 40.58 7.254 357 78.33
Sep-06 1,437 249,740,032 16.13 7.377 358 78.48
Oct-06 1 50,116 0.00 7.900 359 85.00
Apr-07 2 266,194 0.02 7.948 354 84.61
May-07 5 449,629 0.03 7.105 354 81.50
Jun-07 38 8,563,036 0.55 5.947 355 75.77
Jul-07 70 14,015,930 0.91 6.437 356 77.59
Aug-07 268 52,304,241 3.38 6.905 356 76.83
Sep-07 113 20,357,289 1.31 7.007 357 77.51
Aug-19 5 675,547 0.04 7.757 357 78.93
Sep-19 1 52,642 0.00 9.000 358 85.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
14. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
California 1,445 364,444,210 23.54 6.955 355 75.18
New York 841 202,611,797 13.09 7.031 354 74.63
Massachusetts 634 140,559,337 9.08 6.841 356 74.04
Florida 765 105,125,462 6.79 7.518 353 78.84
New Jersey 480 94,004,773 6.07 7.427 354 75.21
Texas 471 53,703,796 3.47 7.690 343 79.53
Illinois 293 42,461,212 2.74 7.691 357 79.87
Virginia 255 41,427,159 2.68 7.625 354 77.95
Connecticut 224 39,682,988 2.56 7.103 356 77.39
Pennsylvania 334 38,558,566 2.49 7.411 351 79.88
Maryland 189 37,218,349 2.40 7.627 356 77.09
Rhode Island 207 36,646,415 2.37 6.992 354 76.64
Nevada 180 35,308,479 2.28 7.140 356 79.22
Michigan 285 30,591,541 1.98 7.874 356 81.82
Arizona 208 29,428,280 1.90 7.217 356 82.03
Other 2,068 256,522,566 16.57 7.481 353 81.13
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 48
15. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Primary 8,332 1,469,150,891 94.89 7.202 354 77.20
Non-Owner Occupied 429 60,235,774 3.89 7.926 355 77.22
Second Home 118 18,908,265 1.22 7.293 355 76.93
-----------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
16. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 6,976 1,178,701,571 76.13 7.241 354 76.97
2-4 Family 799 173,835,106 11.23 7.121 355 76.31
Planned Unit Development 600 117,633,074 7.60 7.235 356 79.44
Condo 441 71,149,713 4.60 7.344 356 79.24
Manufactured Housing 63 6,975,466 0.45 7.212 347 80.32
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
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 Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 5,377 972,480,209 62.81 7.203 353 74.91
Purchase 2,640 427,382,144 27.60 7.276 356 82.30
Refinance - Rate Term 862 148,432,577 9.59 7.290 351 77.54
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
18. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Full 6,043 985,569,134 63.66 7.179 354 78.34
Stated Documentation 2,800 556,719,843 35.96 7.320 354 75.22
Limited 36 6,005,954 0.39 7.671 347 74.66
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
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 Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
NA 95 11,970,358 0.77 7.972 354 73.49
500 - 524 885 146,451,659 9.46 8.183 355 73.11
525 - 549 1,040 167,428,850 10.81 7.930 355 72.74
550 - 574 973 165,115,035 10.66 7.583 355 74.21
575 - 599 1,111 195,899,890 12.65 7.214 354 76.39
600 - 624 1,578 264,244,724 17.07 7.043 354 78.88
625 - 649 1,310 236,374,763 15.27 6.863 353 78.77
650 - 674 883 165,798,001 10.71 6.724 353 80.08
675 - 699 442 83,958,211 5.42 6.744 353 81.33
700 - 724 280 55,226,974 3.57 6.807 354 81.47
725 - 749 170 32,182,963 2.08 6.743 356 80.91
750 - 774 81 17,426,867 1.13 6.513 355 80.15
775 - 799 28 5,436,270 0.35 6.352 356 78.09
800 + 3 780,365 0.05 5.526 342 70.70
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 806
Non-Zero Weighted Average: 608
20. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 2,401 404,990,192 26.16 7.416 353 77.32
12 545 119,833,411 7.74 7.023 352 73.53
24 4,176 739,368,635 47.75 7.191 357 78.28
30 2 469,488 0.03 8.903 358 95.00
36 1,754 283,574,394 18.32 7.160 349 75.74
60 1 58,810 0.00 6.620 174 50.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 60
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 Comb
Lien Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 8,729 1,537,911,537 99.33 7.212 354 77.15
2nd Lien 150 10,383,393 0.67 10.182 330 84.98
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
22. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 8,584 1,462,652,686 94.47 7.284 354 76.92
60 295 85,642,244 5.53 6.333 357 81.98
------------------------------------------------------------------------------------------------------------------------------------
Total: 8,879 1,548,294,930 100.00 7.232 354 77.20
------------------------------------------------------------------------------------------------------------------------------------
XXXXXX XXXXXXX
MSAC 2004-OP1
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 ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Original Combined LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 6,026
Aggregate Principal Balance ($): 950,211,543
Weighted Average Current Mortgage Rate (%): 7.232
Non-Zero Weighted Average Margin (%): 5.451
Non-Zero Weighted Average Maximum Rate (%): 13.221
Weighted Average Stated Original Term (months): 357
Weighted Average Stated Remaining Term (months): 354
Weighted Average Combined Original LTV (%): 77.02
% First Liens: 99.39
% Owner Occupied: 94.70
% Purchase: 28.91
% Full Doc: 65.17
Non-Zero Weighted Average Credit Score: 606
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 Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 2 155,261 0.02 7.427 117 75.34
Fixed - 15 Year 99 9,172,560 0.97 7.486 177 70.40
Fixed - 20 Year 58 6,917,508 0.73 7.332 237 68.31
Fixed - 30 Year 1,343 197,560,961 20.79 7.361 357 74.88
ARM - 6 Month 4 1,022,888 0.11 7.571 357 70.40
ARM - 2 Year/6 Month 3,995 641,006,824 67.46 7.265 357 77.48
ARM - 3 Year/6 Month 328 53,114,882 5.59 6.888 356 76.82
Interest Only Arm - 5 Year/2 year fixed 167 34,591,277 3.64 6.474 357 83.85
Interest Only Arm - 5 Year/3 year fixed 30 6,669,380 0.70 6.357 357 81.66
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
3. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 39 8,369,807 0.88 4.864 355 71.53
5.000 - 5.999 477 91,889,867 9.67 5.703 355 74.23
6.000 - 6.999 1,948 346,389,988 36.45 6.576 354 75.53
7.000 - 7.999 1,951 303,827,561 31.97 7.537 355 78.45
8.000 - 8.999 1,200 157,861,075 16.61 8.463 355 79.56
9.000 - 9.999 313 33,824,696 3.56 9.382 351 76.20
10.000 - 10.999 71 6,090,422 0.64 10.391 344 78.04
11.000 - 11.999 26 1,880,191 0.20 11.541 335 80.20
12.000 - 12.999 1 77,937 0.01 12.700 357 79.99
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.150
Maximum: 12.700
Weighted Average: 7.232
4. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 68 3,391,044 0.36 8.468 333 60.49
50,001 - 75,000 757 47,529,497 5.00 8.190 345 76.98
75,001 - 100,000 781 68,557,180 7.21 7.645 350 76.86
100,001 - 125,000 814 91,980,587 9.68 7.476 352 77.39
125,001 - 150,000 759 104,480,572 11.00 7.313 354 76.32
150,001 - 175,000 687 111,547,999 11.74 7.227 353 76.67
175,001 - 200,000 540 101,537,541 10.69 7.122 356 76.45
200,001 - 225,000 439 93,375,903 9.83 7.069 357 77.55
225,001 - 250,000 379 90,177,896 9.49 7.036 357 77.14
250,001 - 275,000 290 76,023,760 8.00 7.097 355 76.48
275,001 - 300,000 216 62,116,501 6.54 7.039 357 76.70
300,001 - 325,000 162 50,684,663 5.33 6.822 355 78.92
325,001 - 350,000 67 22,185,750 2.33 6.774 357 79.79
350,001 - 375,000 21 7,650,770 0.81 6.904 358 78.18
375,001 - 400,000 19 7,302,057 0.77 6.897 357 80.41
400,001 - 425,000 17 7,032,155 0.74 6.759 357 81.79
425,001 - 450,000 4 1,767,153 0.19 6.734 357 74.57
450,001 - 475,000 1 453,116 0.05 6.490 355 72.25
475,001 - 500,000 5 2,417,398 0.25 6.531 357 72.13
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 49,522
Maximum: 498,436
Average: 157,685
5. Stated Original Term (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
120 2 155,261 0.02 7.427 117 75.34
180 112 10,373,807 1.09 7.406 177 69.50
240 58 6,917,508 0.73 7.332 237 68.31
360 5,854 932,764,967 98.16 7.229 357 77.17
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 357
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 Comb
Mortgage Principal Principal Interest Term Original
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
109 - 120 2 155,261 0.02 7.427 117 75.34
169 - 180 112 10,373,807 1.09 7.406 177 69.50
229 - 240 58 6,917,508 0.73 7.332 237 68.31
349 - 360 5,854 932,764,967 98.16 7.229 357 77.17
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 117
Maximum: 359
Weighted Average: 354
7. Range of Original Combined LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Original Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 1 80,686 0.01 7.340 355 12.46
15.01 - 20.00 3 172,493 0.02 7.074 301 18.06
20.01 - 25.00 12 1,511,546 0.16 6.716 342 22.69
25.01 - 30.00 19 2,049,467 0.22 7.039 347 28.11
30.01 - 35.00 16 1,605,428 0.17 7.382 345 32.49
35.01 - 40.00 62 7,979,949 0.84 7.057 340 37.91
40.01 - 45.00 73 8,817,945 0.93 7.060 348 43.02
45.01 - 50.00 107 14,127,531 1.49 7.092 346 47.96
50.01 - 55.00 139 21,818,184 2.30 6.789 352 52.74
55.01 - 60.00 242 40,258,305 4.24 6.979 354 57.93
60.01 - 65.00 390 65,798,061 6.92 7.091 352 63.42
65.01 - 70.00 489 80,352,890 8.46 7.210 354 68.81
70.01 - 75.00 593 101,193,662 10.65 7.185 355 74.01
75.01 - 80.00 2,069 318,615,628 33.53 7.202 355 79.66
80.01 - 85.00 529 85,835,118 9.03 7.265 354 84.50
85.01 - 90.00 739 117,531,597 12.37 7.495 356 89.63
90.01 - 95.00 487 78,356,859 8.25 7.361 356 94.75
95.01 - 100.00 56 4,106,192 0.43 8.937 354 99.91
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 12.46
Maximum: 100.00
Weighted Average: 77.02
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 Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,502 213,806,291 22.50 7.366 345 74.47
<= 3.500 65 12,915,113 1.36 5.414 354 68.59
3.501 - 4.000 194 35,790,570 3.77 5.767 356 73.69
4.001 - 4.500 478 85,318,469 8.98 6.238 356 74.08
4.501 - 5.000 775 135,761,110 14.29 6.659 357 76.93
5.001 - 5.500 839 137,132,944 14.43 7.118 357 78.70
5.501 - 6.000 773 121,070,548 12.74 7.499 357 79.18
6.001 - 6.500 641 98,078,302 10.32 7.865 357 80.47
6.501 - 7.000 458 69,288,226 7.29 8.299 356 78.94
7.001 - 7.500 181 24,906,185 2.62 8.454 357 79.21
7.501 - 8.000 94 12,207,384 1.28 8.798 357 78.10
8.001 - 8.500 22 3,544,464 0.37 9.195 357 77.86
8.501 - 9.000 4 391,936 0.04 8.928 357 81.62
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 2.490
Maximum: 8.990
Non-Zero Weighted Average: 5.451
9. Range of Minimum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,502 213,806,291 22.50 7.366 345 74.47
<=5.000 40 8,436,243 0.89 4.884 355 72.15
5.001 - 5.500 126 24,283,184 2.56 5.365 355 71.69
5.501 - 6.000 349 66,365,929 6.98 5.845 357 75.77
6.001 - 6.500 565 103,752,653 10.92 6.314 356 75.64
6.501 - 7.000 868 151,079,102 15.90 6.802 357 78.11
7.001 - 7.500 669 106,087,617 11.16 7.305 357 78.77
7.501 - 8.000 821 129,134,095 13.59 7.793 357 79.43
8.001 - 8.500 510 71,280,937 7.50 8.290 357 79.69
8.501 - 9.000 390 52,805,784 5.56 8.767 357 79.34
9.001 - 9.500 129 15,438,538 1.62 9.254 357 76.66
9.501 - 10.000 45 6,034,487 0.64 9.793 356 73.27
10.001 -10.500 10 1,156,181 0.12 10.255 357 74.08
10.501 - 11.000 2 550,501 0.06 10.698 356 72.84
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.150
Maximum: 10.750
Non-Zero Weighted Average: 7.193
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 Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,502 213,806,291 22.50 7.366 345 74.47
<= 12.500 1,057 198,317,718 20.87 5.991 356 75.22
12.501 - 13.000 851 147,642,150 15.54 6.791 357 78.23
13.001 - 13.500 674 107,182,910 11.28 7.265 357 78.25
13.501 - 14.000 816 128,933,038 13.57 7.759 357 79.40
14.001 - 14.500 512 72,073,677 7.59 8.257 357 79.50
14.501 - 15.000 409 56,149,332 5.91 8.683 357 79.45
15.001 - 15.500 139 16,860,354 1.77 9.156 357 77.41
15.501 - 16.000 52 7,012,051 0.74 9.619 356 73.68
16.001 - 16.500 11 1,424,068 0.15 10.066 357 72.37
16.501 - 17.000 3 809,953 0.09 10.378 356 70.33
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 10.150
Maximum: 16.750
Non-Zero Weighted Average: 13.221
11. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,502 213,806,291 22.50 7.366 345 74.47
1 5 1,130,058 0.12 7.659 357 71.78
2 20 4,631,893 0.49 6.397 355 78.84
3 4,498 730,537,139 76.88 7.197 357 77.76
5 1 106,162 0.01 8.950 356 95.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 5.000
Non-Zero Weighted Average: 2.991
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 Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,502 213,806,291 22.50 7.366 345 74.47
1 4,427 718,028,121 75.57 7.198 357 77.84
1.5 93 17,393,306 1.83 7.016 355 74.03
2 4 983,825 0.10 6.523 355 87.80
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 2.000
Non-Zero Weighted Average: 1.013
13. Next Rate Adjustment Dates
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,502 213,806,291 22.50 7.366 345 74.47
Feb-05 4 1,022,888 0.11 7.571 357 70.40
Apr-06 7 978,981 0.10 7.495 353 81.00
May-06 22 3,966,605 0.42 7.462 354 78.21
Jun-06 210 39,996,258 4.21 6.547 355 78.02
Jul-06 403 68,152,393 7.17 7.187 356 74.96
Aug-06 2,569 409,706,331 43.12 7.242 357 78.18
Sep-06 950 152,747,418 16.08 7.364 358 77.98
Oct-06 1 50,116 0.01 7.900 359 85.00
Apr-07 1 122,785 0.01 7.900 354 90.00
May-07 5 449,629 0.05 7.105 354 81.50
Jun-07 24 4,405,611 0.46 6.231 355 75.36
Jul-07 52 8,698,093 0.92 6.484 356 75.39
Aug-07 199 33,649,343 3.54 6.919 356 78.25
Sep-07 77 12,458,801 1.31 7.015 356 76.77
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
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 Comb
Mortgage Principal Principal Interest Term Original
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
California 944 194,476,463 20.47 6.989 356 73.40
New York 497 105,455,196 11.10 7.045 353 73.05
Massachusetts 406 81,583,850 8.59 6.820 356 73.64
Florida 571 74,253,957 7.81 7.497 354 79.61
New Jersey 321 58,672,531 6.17 7.329 353 75.42
Texas 314 35,737,422 3.76 7.604 345 79.88
Illinois 225 32,236,508 3.39 7.622 356 79.78
Virginia 182 27,602,616 2.90 7.535 352 77.43
Pennsylvania 233 26,978,153 2.84 7.314 351 79.94
Nevada 141 25,675,325 2.70 7.185 355 78.29
Rhode Island 149 25,661,058 2.70 6.957 354 76.39
Connecticut 150 23,426,145 2.47 7.090 356 79.23
Maryland 124 22,168,175 2.33 7.688 356 77.04
Arizona 151 21,778,099 2.29 7.148 356 82.32
Michigan 192 20,841,534 2.19 7.727 356 81.87
Other 1,426 173,664,509 18.28 7.414 354 81.25
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 48
15. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Primary 5,662 899,833,264 94.70 7.207 354 77.04
Non-Owner Occupied 285 40,085,756 4.22 7.797 355 76.82
Second Home 79 10,292,523 1.08 7.194 354 76.36
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
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 Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 4,707 711,777,630 74.91 7.251 354 76.84
2-4 Family 549 116,072,324 12.22 7.067 355 75.63
Planned Unit Development 414 70,163,055 7.38 7.246 356 79.54
Condo 313 47,162,168 4.96 7.335 356 79.10
Manufactured Housing 43 5,036,366 0.53 7.142 344 79.71
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
17. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 3,597 587,080,827 61.78 7.202 353 74.47
Purchase 1,853 274,710,285 28.91 7.281 356 82.33
Refinance - Rate Term 576 88,420,430 9.31 7.278 352 77.44
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
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 Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Full 4,116 619,278,892 65.17 7.181 354 78.32
Stated Documentation 1,884 326,696,099 34.38 7.321 354 74.60
Limited 26 4,236,551 0.45 7.799 346 73.83
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
19. Credit Score
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
NA 94 11,598,718 1.22 7.920 354 73.28
500 - 524 593 92,299,167 9.71 8.105 355 72.54
525 - 549 700 105,542,551 11.11 7.862 355 72.48
550 - 574 654 105,576,514 11.11 7.506 355 73.45
575 - 599 738 117,759,930 12.39 7.210 353 76.33
600 - 624 1,058 157,822,921 16.61 7.078 354 79.16
625 - 649 898 142,066,717 14.95 6.870 353 78.92
650 - 674 610 102,060,569 10.74 6.758 353 79.46
675 - 699 310 53,643,690 5.65 6.773 352 81.31
700 - 724 188 31,308,487 3.29 6.830 354 82.75
725 - 749 110 17,935,473 1.89 6.733 356 82.03
750 - 774 51 9,111,960 0.96 6.442 355 81.08
775 - 799 20 3,075,292 0.32 6.185 355 76.65
800 + 2 409,555 0.04 5.550 330 83.93
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 806
Non-Zero Weighted Average: 606
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 Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 1,593 249,447,410 26.25 7.381 353 77.02
12 326 62,758,951 6.60 7.036 351 72.88
24 2,953 470,397,647 49.50 7.181 357 78.03
30 1 232,333 0.02 8.600 357 95.00
36 1,153 167,375,202 17.61 7.226 350 75.71
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 26
21. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Lien Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 5,930 944,420,179 99.39 7.214 354 76.98
2nd Lien 96 5,791,364 0.61 10.178 327 83.60
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
22. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 5,829 908,950,885 95.66 7.267 354 76.73
60 197 41,260,657 4.34 6.455 357 83.49
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,026 950,211,543 100.00 7.232 354 77.02
------------------------------------------------------------------------------------------------------------------------------------
XXXXXX XXXXXXX
MSAC 2004-OP1
Group 2
Table of Contents
1. Summary Statistics 2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Original Combined 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
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 2,853
Aggregate Principal Balance ($): 598,083,387
Weighted Average Current Mortgage Rate (%): 7.231
Non-Zero Weighted Average Margin (%): 5.505
Non-Zero Weighted Average Maximum Rate (%): 13.273
Weighted Average Stated Original Term (months): 357
Weighted Average Stated Remaining Term (months): 354
Weighted Average Combined Original LTV (%): 77.49
% First Liens: 99.23
% Owner Occupied: 95.19
% Purchase: 25.53
% Full Doc: 61.24
Non-Zero Weighted Average Credit Score: 609
2. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 3 187,355 0.03 8.582 117 70.04
Fixed - 15 Year 59 6,864,478 1.15 7.584 177 69.64
Fixed - 20 Year 34 4,179,233 0.70 7.678 237 75.21
Fixed - 30 Year 804 151,960,506 25.41 7.218 357 75.38
ARM - 6 Month 1 499,306 0.08 7.850 358 65.10
ARM - 2 Year/6 Month 1,725 360,367,245 60.25 7.376 357 78.38
ARM - 3 Year/6 Month 123 28,915,488 4.83 6.863 357 75.18
ARM - 15 Year Fix/ Adj 30 YR 6 728,189 0.12 7.847 357 79.37
Interest Only Arm - 5 Year/2 year fixed 63 30,202,938 5.05 6.254 357 81.75
Interest Only Arm - 5 Year/3 year fixed 15 7,256,569 1.21 6.007 356 81.75
Interest Only Fixed - 30 Year 20 6,922,080 1.16 6.296 356 74.17
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
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 Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 16 6,539,155 1.09 4.908 355 73.91
5.000 - 5.999 204 66,970,758 11.20 5.708 356 75.21
6.000 - 6.999 883 229,194,101 38.32 6.590 353 76.71
7.000 - 7.999 861 170,412,954 28.49 7.517 354 78.30
8.000 - 8.999 497 79,554,032 13.30 8.473 353 79.13
9.000 - 9.999 271 33,873,047 5.66 9.493 351 79.71
10.000 - 10.999 86 8,257,277 1.38 10.387 352 79.57
11.000 - 11.999 31 2,985,787 0.50 11.374 350 74.34
12.000 - 12.999 4 296,275 0.05 12.337 358 84.36
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.500
Maximum: 12.690
Weighted Average: 7.231
4. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 40 1,984,165 0.33 8.907 326 61.72
50,001 - 75,000 361 22,693,253 3.79 8.565 343 78.26
75,001 - 100,000 367 32,431,790 5.42 8.118 346 77.63
100,001 - 125,000 298 33,456,387 5.59 7.882 350 77.82
125,001 - 150,000 294 40,322,080 6.74 7.475 354 76.47
150,001 - 175,000 220 35,686,492 5.97 7.416 351 77.68
175,001 - 200,000 185 34,693,323 5.80 7.480 355 75.05
200,001 - 225,000 151 32,083,126 5.36 7.480 356 75.44
225,001 - 250,000 104 24,842,158 4.15 7.183 351 77.25
250,001 - 275,000 84 22,090,899 3.69 7.200 352 76.24
275,001 - 300,000 59 17,007,427 2.84 7.142 357 76.25
300,001 - 325,000 42 13,150,199 2.20 7.133 357 76.81
325,001 - 350,000 95 32,363,328 5.41 7.010 354 77.66
350,001 - 375,000 117 42,439,054 7.10 7.028 357 79.97
375,001 - 400,000 101 39,340,016 6.58 7.000 357 79.62
400,001 - 425,000 57 23,530,304 3.93 6.773 357 80.97
425,001 - 450,000 70 30,643,449 5.12 6.748 354 79.75
450,001 - 475,000 37 17,044,269 2.85 6.604 352 80.31
475,001 - 500,000 50 24,507,562 4.10 7.010 357 76.86
500,001 - 750,000 103 60,824,586 10.17 6.708 357 77.81
750,001 - 1,000,000 13 11,578,781 1.94 6.388 356 71.44
1,000,001 >= 5 5,370,739 0.90 6.386 357 62.44
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 40,765
Maximum: 1,125,000
Average: 209,633
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 Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
120 3 187,355 0.03 8.582 117 70.04
180 68 7,622,817 1.27 7.608 177 70.91
240 35 4,231,779 0.71 7.688 237 75.27
360 2,747 586,041,436 97.99 7.222 357 77.59
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 357
6. Range of Stated Remaining Terms (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
109 - 120 3 187,355 0.03 8.582 117 70.04
169 - 180 68 7,622,817 1.27 7.608 177 70.91
229 - 240 35 4,231,779 0.71 7.688 237 75.27
349 - 360 2,747 586,041,436 97.99 7.222 357 77.59
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 117
Maximum: 358
Weighted Average: 354
7. Range of Original Combined LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Original Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
15.01 - 20.00 1 98,957 0.02 5.990 354 18.18
20.01 - 25.00 3 240,461 0.04 7.256 357 23.81
25.01 - 30.00 9 871,499 0.15 6.808 357 27.07
30.01 - 35.00 13 1,419,945 0.24 6.890 351 32.67
35.01 - 40.00 23 2,781,961 0.47 7.456 347 38.43
40.01 - 45.00 29 4,456,430 0.75 6.819 350 42.55
45.01 - 50.00 58 9,277,048 1.55 7.241 349 47.99
50.01 - 55.00 51 10,886,046 1.82 6.898 350 53.17
55.01 - 60.00 93 21,005,152 3.51 6.858 353 58.04
60.01 - 65.00 163 37,136,933 6.21 7.291 352 63.41
65.01 - 70.00 245 59,984,612 10.03 7.124 350 68.64
70.01 - 75.00 304 69,420,846 11.61 7.270 355 74.00
75.01 - 80.00 944 185,704,263 31.05 7.199 354 79.60
80.01 - 85.00 286 62,750,964 10.49 7.113 355 84.36
85.01 - 90.00 410 92,654,800 15.49 7.408 356 89.61
90.01 - 95.00 192 36,686,831 6.13 7.395 356 94.62
95.01 - 100.00 29 2,706,641 0.45 9.378 341 99.73
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 18.18
Maximum: 100.00
Weighted Average: 77.49
8. Range of Gross Margins (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 920 170,113,652 28.44 7.208 347 75.09
<= 3.500 16 5,820,907 0.97 5.253 356 69.95
3.501 - 4.000 75 25,499,481 4.26 5.721 357 73.86
4.001 - 4.500 168 50,927,796 8.52 6.197 357 75.96
4.501 - 5.000 298 76,888,063 12.86 6.628 357 77.68
5.001 - 5.500 332 75,196,604 12.57 7.114 357 79.50
5.501 - 6.000 291 63,796,496 10.67 7.430 356 80.55
6.001 - 6.500 253 48,818,622 8.16 7.788 356 79.60
6.501 - 7.000 265 49,067,923 8.20 8.357 356 79.62
7.001 - 7.500 118 15,863,680 2.65 9.027 355 80.93
7.501 - 8.000 79 10,923,809 1.83 9.459 357 77.32
8.001 - 8.500 22 3,258,001 0.54 9.673 354 79.12
8.501 - 9.000 10 1,307,422 0.22 10.208 357 73.46
9.001 - 9.500 2 214,289 0.04 10.632 355 75.33
9.501 - 10.000 3 336,677 0.06 10.415 356 85.77
>10.000 1 49,966 0.01 11.300 358 58.82
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 2.800
Maximum: 10.300
Non-Zero Weighted Average: 5.505
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 Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 920 170,113,652 28.44 7.208 347 75.09
<=5.000 17 6,591,337 1.10 4.908 355 73.92
5.001 - 5.500 53 17,816,102 2.98 5.386 357 75.22
5.501 - 6.000 132 41,502,932 6.94 5.840 357 77.06
6.001 - 6.500 214 58,585,114 9.80 6.339 357 79.19
6.501 - 7.000 338 87,973,916 14.71 6.821 356 78.53
7.001 - 7.500 290 66,747,648 11.16 7.320 357 78.85
7.501 - 8.000 285 56,534,276 9.45 7.803 357 79.10
8.001 - 8.500 159 30,821,891 5.15 8.278 357 78.59
8.501 - 9.000 167 26,320,825 4.40 8.741 357 79.56
9.001 - 9.500 115 15,684,052 2.62 9.305 356 81.22
9.501 - 10.000 94 12,081,371 2.02 9.755 355 76.12
10.001 -10.500 38 3,867,540 0.65 10.255 357 81.21
10.501 - 11.000 17 2,301,889 0.38 10.827 357 69.70
11.001 - 11.500 8 715,477 0.12 11.356 358 73.02
11.501 - 12.000 6 425,365 0.07 11.809 357 64.48
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.500
Maximum: 12.000
Non-Zero Weighted Average: 7.240
10. Range of Maximum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 920 170,113,652 28.44 7.208 347 75.09
<= 12.500 407 120,650,240 20.17 5.963 357 77.69
12.501 - 13.000 337 88,196,703 14.75 6.803 356 78.30
13.001 - 13.500 283 64,863,462 10.85 7.278 357 79.06
13.501 - 14.000 282 56,515,882 9.45 7.773 357 79.10
14.001 - 14.500 169 34,271,572 5.73 8.169 357 78.46
14.501 - 15.000 169 27,085,053 4.53 8.679 356 79.41
15.001 - 15.500 117 16,149,491 2.70 9.272 356 81.37
15.501 - 16.000 97 12,462,977 2.08 9.689 355 76.79
16.001 - 16.500 36 3,633,652 0.61 10.213 357 79.66
16.501 - 17.000 19 2,645,167 0.44 10.711 357 70.34
17.001 - 17.500 11 1,070,171 0.18 11.011 357 76.09
17.501 - 18.000 6 425,365 0.07 11.809 357 64.48
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 10.500
Maximum: 18.000
Non-Zero Weighted Average: 13.273
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 Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 920 170,113,652 28.44 7.208 347 75.09
1 1 499,306 0.08 7.850 358 65.10
2 3 1,699,076 0.28 6.463 355 73.81
3 1,929 425,771,353 71.19 7.243 357 78.48
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 2.994
12. Subsequent Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 920 170,113,652 28.44 7.208 347 75.09
1 1,889 414,933,605 69.38 7.248 357 78.45
1.5 43 12,692,441 2.12 6.963 355 77.78
2 1 343,689 0.06 8.050 355 95.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 2.000
Non-Zero Weighted Average: 1.016
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 Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 920 170,113,652 28.44 7.208 347 75.09
Mar-05 1 499,306 0.08 7.850 358 65.10
Mar-06 1 52,911 0.01 7.400 353 73.89
Apr-06 7 1,185,527 0.20 7.476 353 78.91
May-06 15 4,793,008 0.80 7.208 354 80.85
Jun-06 86 27,538,051 4.60 6.906 355 78.85
Jul-06 151 41,465,961 6.93 7.373 355 76.93
Aug-06 1,041 218,542,112 36.54 7.274 357 78.61
Sep-06 487 96,992,615 16.22 7.397 358 79.27
Apr-07 1 143,409 0.02 7.990 354 80.00
Jun-07 14 4,157,425 0.70 5.647 355 76.21
Jul-07 18 5,317,836 0.89 6.359 356 81.19
Aug-07 69 18,654,899 3.12 6.879 357 74.28
Sep-07 36 7,898,488 1.32 6.995 358 78.68
Aug-19 5 675,547 0.11 7.757 357 78.93
Sep-19 1 52,642 0.01 9.000 358 85.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
14. Geographic Distribution of Mortgaged Properties
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
California 501 169,967,747 28.42 6.915 354 77.23
New York 344 97,156,601 16.24 7.015 354 76.35
Massachusetts 228 58,975,487 9.86 6.870 355 74.58
New Jersey 159 35,332,242 5.91 7.589 354 74.85
Florida 194 30,871,505 5.16 7.566 351 77.00
Texas 157 17,966,374 3.00 7.861 339 78.81
Connecticut 74 16,256,843 2.72 7.121 355 74.74
Maryland 65 15,050,173 2.52 7.536 357 77.16
Virginia 73 13,824,543 2.31 7.804 357 78.98
Pennsylvania 101 11,580,413 1.94 7.635 352 79.72
Rhode Island 58 10,985,357 1.84 7.073 353 77.24
Illinois 68 10,224,703 1.71 7.906 357 80.18
Michigan 93 9,750,007 1.63 8.187 356 81.70
Nevada 39 9,633,154 1.61 7.022 357 81.71
Colorado 38 7,686,465 1.29 7.203 357 79.90
Other 661 82,821,774 13.85 7.640 352 80.99
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 46
15. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Primary 2,670 569,317,627 95.19 7.195 354 77.47
Non-Owner Occupied 144 20,150,018 3.37 8.181 353 78.03
Second Home 39 8,615,742 1.44 7.411 356 77.60
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
16. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,269 466,923,942 78.07 7.225 353 77.16
2-4 Family 250 57,762,782 9.66 7.230 353 77.68
Planned Unit Development 186 47,470,019 7.94 7.220 356 79.31
Condo 128 23,987,545 4.01 7.363 357 79.52
Manufactured Housing 20 1,939,100 0.32 7.393 353 81.90
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
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 Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,780 385,399,381 64.44 7.205 353 75.57
Purchase 787 152,671,859 25.53 7.267 356 82.25
Refinance - Rate Term 286 60,012,147 10.03 7.308 350 77.69
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
18. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Full 1,927 366,290,241 61.24 7.175 354 78.36
Stated Documentation 916 230,023,743 38.46 7.318 354 76.10
Limited 10 1,769,403 0.30 7.365 350 76.64
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
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 Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
NA 1 371,640 0.06 9.600 358 80.00
500 - 524 292 54,152,492 9.05 8.317 354 74.08
525 - 549 340 61,886,299 10.35 8.047 354 73.17
550 - 574 319 59,538,520 9.95 7.720 354 75.56
575 - 599 373 78,139,960 13.07 7.220 354 76.49
600 - 624 520 106,421,803 17.79 6.992 354 78.47
625 - 649 412 94,308,046 15.77 6.852 352 78.54
650 - 674 273 63,737,432 10.66 6.669 354 81.07
675 - 699 132 30,314,522 5.07 6.692 354 81.36
700 - 724 92 23,918,488 4.00 6.778 354 79.81
725 - 749 60 14,247,490 2.38 6.755 357 79.50
750 - 774 30 8,314,907 1.39 6.590 356 79.14
775 - 799 8 2,360,978 0.39 6.570 356 79.97
800 + 1 370,810 0.06 5.500 355 56.09
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 805
Non-Zero Weighted Average: 609
20. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 808 155,542,782 26.01 7.472 353 77.81
12 219 57,074,459 9.54 7.008 352 74.25
24 1,223 268,970,988 44.97 7.209 357 78.72
30 1 237,155 0.04 9.200 358 95.00
36 601 116,199,193 19.43 7.064 348 75.78
60 1 58,810 0.01 6.620 174 50.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 60
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 Comb
Lien Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 2,799 593,491,359 99.23 7.208 354 77.42
2nd Lien 54 4,592,029 0.77 10.187 333 86.71
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
22. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 2,755 553,701,801 92.58 7.312 354 77.24
60 98 44,381,587 7.42 6.220 357 80.57
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,853 598,083,387 100.00 7.231 354 77.49
------------------------------------------------------------------------------------------------------------------------------------
