EXHIBIT 99.1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ November 5, 2001
SECURITIZED PRODUCTS GROUP
[GRAPHIC OMITTED]
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
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REVISED COMPUTATIONAL MATERIALS
$310,324,000
APPROXIMATELY
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I INC.
SERIES 2001-NC3
MORTGAGE PASS-THROUGH CERTIFICATES
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 1
Transaction Highlights (cont'd)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 21
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ November 5, 2001
SECURITIZED PRODUCTS GROUP
[GRAPHIC OMITTED]
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
APPROXIMATELY $310,324,000
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I INC., SERIES 2001-NC3
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I INC.
Depositor
OCWEN FEDERAL BANK FSB
Servicer
TRANSACTION HIGHLIGHTS
-------- ------------ ------------- ----------------- ------------- ------------- ------------------ ----------- --------------
Modified
Expected Ratings Avg Life to Duration To
Offered (S&P/Fitch/ Call / Call / Payment Window To
Classes Description Balance Moody's) Mty(1)(2) Mty(1)(2) Call / Mty(1)(2) Day Count Benchmark
-------- ------------ ------------- ----------------- ------------- ------------- ------------------ ----------- --------------
A-1 Not Offered $348,167,000 *****Not Offered*****
A-2 Floater $189,377,000 AAA/AAA/Aaa 2.81 / 3.15 2.64 / 2.90 12/01-10/09 / Actual/360 1 Month LIBOR
12/01-6/19
M-1 Floater $45,355,000 AA/AA/Aa2 5.29 / 5.86 4.81 / 5.22 2/05-10/09 / Actual/360 1 Month LIBOR
2/05-8/16
M-2 Floater $40,316,000 A/A/A2 5.26 / 5.76 4.68 / 5.03 1/05-10/09 / Actual/360 1 Month LIBOR
1/05-4/15
B-1 Floater $35,276,000 BBB-/BBB-/Baa3 5.23 / 5.50 4.53 / 4.70 12/04-10/09 / Actual/360 1 Month LIBOR
12/04-5/13
--------------------------------------------------------------------------------------------------------------------------------
Notes:
-----
(1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
Issuer: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ Capital I Inc. Trust 2001-NC3
Depositor: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ Capital I Inc.
Master Servicer: Ocwen Federal Bank FSB
Trustee: U.S. Bank National Association
Managers: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (lead manager); ▇▇▇▇▇▇▇▇ & Partners, L.P.
and ▇▇▇▇▇▇▇▇ Capital Partners, L.P. (co-managers)
Rating Agencies: Standard & Poor's, Fitch, Inc. and ▇▇▇▇▇'▇ Investors
Service
Offered Certificates: Classes A-2, M-1, M-2, and B-1 Certificates
Expected Pricing Date: November [ ], 2001
Expected Closing Date: November 28, 2001 through DTC and Euroclear or
Clearstream, Luxembourg. The Certificates will be sold
without accrued interest.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 2
TRANSACTION HIGHLIGHTS (cont'd)
Distribution Dates: The 25th of each month, or if such day is not a
business day, on the next business day, beginning
December 26, 2001.
Due Period: For any Distribution Date, the period commencing on
the second day of the month preceding the month in
which such Distribution Date occurs and ending on
the first day of the month in which such
Distribution Date occurs.
Interest Accrual
Period: The interest accrual period for the Offered
Certificates with respect to any Distribution Date
will be the period beginning with the 25th day of
the month preceding the month in which such
Distribution Date occurs (or, in the case of the
first Distribution Date, the Closing Date) and
ending on the 24th day of the month during which
such Distribution Date occurs (on an actual/360 day
count basis).
Mortgage Loans: The Trust will consist of two groups of fixed and
adjustable rate sub-prime residential mortgage
loans.
Group I Mortgage Loans: Approximately $435,208,870 of Mortgage Loans with
original principal balances that conform to the
original principal balance limits for one- to
four-family residential mortgage loan guidelines for
purchase by Freddie Mac.
Group II Mortgage Loans: Approximately $236,720,555 of Mortgage Loans that
predominantly have original principal balances that
do not conform to the original principal balance
limits for one- to four-family residential mortgage
loan guidelines for purchase by Freddie Mac.
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at
approximately 1.5333% CPR in month 1 and
increasing to 23% CPR in month 15 (23%/15 CPR
increase for each month), and remaining at 23% CPR
thereafter.
o ARM Mortgage Loans: CPR of 25%.
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage
Loans,
2) 2.00% overcollateralization (funded upfront).
After the Step-down Date, so long as a Trigger
Event is not in effect, the required over-
collateralization will equal 4.00% of the ending
pool balance of the Mortgage Loans, subject to a
0.50% floor, based on the initial balance of
the mortgage loans,
3) Subordination of distributions on the more
subordinate classes of certificates to the
required distributions on the more senior
classes of certificates.
Credit Enhancement
Percentage: For any Distribution Date, the percentage obtained
by dividing (x) the aggregate Certificate Principal
Balance of the subordinate certificates (including
any overcollateralization and taking into account
the distributions of the Principal Distribution
Amount for such Distribution Date) by (y) the
aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 3
TRANSACTION HIGHLIGHTS (cont'd)
Step-down Date: The later to occur of:
(x) the earlier of:
(a) the Distribution Date occurring in December
2004; and
(b) the Distribution Date on which the aggregate
balance of the Class A-1 and A-2
Certificates is reduced to zero; and
(y) the first Distribution Date on which the Credit
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 any
applications of Principal Distribution to
the certificates) is greater than or equal
to 40.00%.
Trigger Event: A Trigger Event is in effect on any Distribution
Date if (i) on that Distribution Date the 60 Day+
Rolling Average equals or exceeds the prior period's
Credit Enhancement Percentage to be specified in the
Prospectus and (ii) may include other trigger events
related to the performance of the Mortgage Loans to
be specified in the Prospectus. The 60 Day+ Rolling
Average will equal the rolling 3 month average
percentage of Mortgage Loans that are 60 or more
days delinquent.
Initial Subordination Class A: 20.00%
Percentage: Class M-1: 13.25%
Class M-2: 7.25%
Class B: 2.00%
Optional Clean-up Call: When the ending principal balance of the Mortgage
Loans is less than or equal to 10% of the original
principal balance of the Mortgage Loans.
Step-up Coupons: For all Offered Certificates the coupon will
increase after the optional clean-up call date,
should the call not be exercised.
Class A-1 Pass-Through
Rate: The Class A-1 Certificates will accrue interest at a
variable rate equal to the least of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up
Call is exercisable), (ii) the Loan Group I Cap,
(iii) the WAC Cap, and (iv) 16%.
Class A-2 Pass-Through
Rate: The Class A-2 Certificates will accrue interest at a
variable rate equal to the least of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up
Call is exercisable), (ii) the Loan Group II Cap,
(iii) the WAC Cap, and (iv) 16%.
Class M-1 Pass-Through
Rate: The Class M-1 Certificates will accrue interest at a
variable rate equal to the least of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up
Call is exercisable), (ii) the WAC Cap, and (iii)
16%.
Class M-2 Pass-Through
Rate: The Class M-2 Certificates will accrue interest at a
variable rate equal to the least of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up
Call is exercisable), (ii) the WAC Cap, and (iii)
16%.
Class B-1 Pass-Through
Rate: The Class B-1 Certificates will accrue interest at a
variable rate equal to the least of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up
Call is exercisable), (ii) the WAC Cap, and (iii)
16%.
WAC Cap: As to any Distribution Date a per annum rate equal
to the weighted average gross rate of the Mortgage
Loans in effect on the beginning of the related Due
Period less servicing and trustee fee rates.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 4
TRANSACTION HIGHLIGHTS (cont'd)
Loan Group I Cap: As to any Distribution Date, a per annum rate equal
to the weighted average gross rate of the Group I
Mortgage Loans in effect on the beginning of the
related Due Period less servicing and trustee fee
rates.
Loan Group II Cap: As to any Distribution Date, a per annum rate equal
to the weighted average gross rate of the Group II
Mortgage Loans in effect on the beginning of the
related Due Period less servicing and trustee fee
rates.
Class A-1 Basis Risk Carry
Forward Amount: As to any Distribution Date, the supplemental
interest amount for the Class A-1 Certificates will
equal the sum of:
(i) the excess, if any, of interest
that would otherwise be due on
such Certificates at the Class
A-1 Pass-Through Rate (without
regard to the Loan Group I Cap
or WAC Cap, but giving effect to
the hard cap of 16%) over
interest due such Certificates
at a rate equal to the lesser of
the Loan Group I Cap or WAC Cap;
(ii) any Class A-1 Basis Risk Carry
Forward Amount remaining unpaid
from prior Distribution
Dates; and
(iii) interest on the amount in
clause (ii) at the related Class
A-1 Pass-Through Rate (without
regard to the Loan Group I Cap
or WAC Cap, but giving effect to
the hard cap of 16%).
Class A-2 Basis Risk Carry
Forward Amount: As to any Distribution Date, the supplemental
interest amount for the Class A-2 Certificates will
equal the sum of:
(i) the excess, if any, of interest
that would otherwise be due on
such Certificates at the Class
A-2 Pass-Through Rate (without
regard to the Loan Group II Cap
or WAC Cap, but giving effect to
the hard cap of 16%) over
interest due such Certificates
at a rate equal to the lesser of
the Loan Group II Cap or WAC
Cap;
(ii) any Class A-2 Basis Risk Carry
Forward Amount remaining unpaid
from prior Distribution Dates;
and
(iii) interest on the amount in
clause (ii) at the related Class
A-2 Pass-Through Rate (without
regard to the Loan Group II Cap
or WAC Cap, but giving effect to
the hard cap of 16%).
Class M-1, M-2 and B-1
Basis Risk Carry Forward
Amounts: As to any Distribution Date, the supplemental
interest amount for each of the Class M-1, M-2 and
B-1 Certificates will equal the sum of:
(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, but giving
effect to the hard cap of 16%) 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, but giving effect to the
hard cap of 16%).
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 5
TRANSACTION HIGHLIGHTS (cont'd)
Interest Distributions on
Offered Certificates: On each Distribution Date, interest distributions
from the Interest Remittance Amount will be
allocated as follows:
(i) the portion of the Interest
Remittance Amount attributable
to the Loan Group I Mortgage
Loans will be allocated first,
to the Class A-1 Certificates
and second, to the Class A-2
Certificates, its respective
Accrued Certificate Interest and
any unpaid interest shortfall
amounts;
(ii) the portion of the Interest
Remittance Amount attributable
to the Loan Group II Mortgage
Loans will be allocated first,
to the Class A-2 Certificates
and second, to the Class A-1
Certificates, its respective
Accrued Certificate Interest and
any unpaid interest shortfall
amounts;
(iii) to the Class M-1 Certificates,
its Accrued Certificate Interest;
(iv) to the Class M-2 Certificates,
its Accrued Certificate Interest;
and
(v) to the Class B-1 Certificates,
its Accrued Certificate Interest.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 6
TRANSACTION HIGHLIGHTS (cont'd)
Principal Distributions on
Offered Certificates: On each Distribution Date (a) prior to the Stepdown
Date or (b) on which a Trigger Event is in effect,
principal distributions from the Principal
Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, allocated
between the Class A Certificates as
described below, until the Certificate
Principal Balances thereof have been reduced
to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof have
been reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof have
been reduced to zero; and
(iv) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof have
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 have 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 have been reduced to zero;
and
(iv) 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 have been reduced to zero.
All principal distributions to the Class A
Certificates on any Distribution Date will be
allocated between the Class A-1 Certificates and the
Class A-2 Certificates on a pro rata basis based on
the Class A Principal Allocation Percentage for each
such class on such Distribution Date; provided,
however, that if the Certificate Principal Balance
of either class of Class A Certificates is reduced
to zero, then the remaining amount of principal
distributions distributable to the class of Class A
Certificates on such Distribution Date and all
subsequent Distribution Dates, will be distributed
to the Class A Certificates remaining until the
Certificate Principal Balance thereof has been
reduced to zero.
Allocation of Net Monthly
Excess Cashflow: For any Distribution Date, any Net Monthly Excess
Cashflow shall be paid as follows:
(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 B-1 Certificates, the
unpaid interest shortfall amount;
(vi) to the Class B-1 Certificates,
the allocated unreimbursed realized
loss amount; (vii) concurrently, any
Class A-1 Basis Risk Carry Forward
Amount to the Class A-1 Certificates
and any Class A-2 Basis Risk Carry
Forward Amount to the Class A-2
Certificates; and
(viii) sequentially, to Classes M-1, M-2
and B-1 Certificates, in such order,
any Basis Risk Carry Forward Amount
for such classes.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 7
TRANSACTION HIGHLIGHTS (cont'd)
Interest Remittance
Amount: For any Distribution Date, the portion of available
funds for such Distribution Date attributable to
interest received or advanced on the Mortgage Loans.
Accrued Certificate
Interest: For any Distribution Date and each class of Offered
Certificates, equals the amount of interest accrued
during the related interest accrual period at the
related Pass-through Rate, reduced by any prepayment
interest shortfalls and shortfalls resulting from
the application of the relief act allocated to such
class.
Principal Distribution
Amount: On any Distribution Date, the sum of (i) the Basic
Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
Basic Principal
Distribution
Amount: On any Distribution Date, the excess of (i) the
aggregate Principal Remittance Amount over (ii) the
Excess Subordinated Amount, if any.
Principal Remittance
Amount: On any Distribution Date, the sum of (i) all
scheduled payments of principal collected or
advanced on the Mortgage Loans during the Due
Period, (ii) the principal portion of all partial
and full prepayments received during the month prior
to the month during which such Distribution Date
occurs, (iii) the principal portion of all net
liquidation proceeds and net insurance proceeds
received during the month prior to the month during
which such Distribution Date occurs, (iv) the
principal portion of repurchased Mortgage Loans, the
repurchase obligation for which arose during the
month prior to the month during which such
Distribution Date occurs and that were repurchased
during the period from the prior Distribution Date
through the business day prior to such Distribution
Date, (v) the principal portion of substitution
adjustments received in connection with the
substitution of a Mortgage Loan as of such
Distribution Date, and (vi) the principal portion of
the termination price if the Optional Clean Up Call
is exercised.
Net Monthly Excess
Cashflow: For any Distribution Date is the amount of funds
available for distribution on such Distribution Date
remaining after making all payments of interest and
principal to the certificates.
Extra Principal
Distribution
Amount: For any Distribution Date, the lesser of (i) the
excess of (x) interest collected or advanced on the
Mortgage Loans during the related Due Period (less
servicing and trustee fees), over (y) the sum of
interest payable on the Certificates on such
Distribution Date and (ii) the overcollateralization
deficiency amount for such Distribution Date.
Excess Subordinated
Amount: For any Distribution Date, means the excess, if any
of (i) the overcollateralization and (ii) the
required overcollateralization for such Distribution
Date.
Class A Principal
Allocation
Percentage: For any Distribution Date, the percentage equivalent
of a fraction, determined as follows: (i) in the
case of the Class A-1 Certificates the numerator of
which is (x) the portion of the Principal Remittance
Amount for such Distribution Date that is
attributable to principal received or advanced on
the Loan Group I Mortgage Loans and the denominator
of which is (y) the Principal Remittance Amount for
such Distribution Date, and (ii) in the case of the
Class A-2 Certificates the numerator of which is the
(x) the portion of the Principal Remittance Amount
for such Distribution Date that is attributable to
principal received or advanced on the Loan Group II
Mortgage Loans and the denominator of which is (y)
the Principal Remittance Amount for such
Distribution Date.
Class A Principal
Distribution
Amount: An amount equal to the excess of (x) the aggregate
Certificate Principal Balance of the Class A
Certificates immediately prior to such Distribution
Date over (y) the lesser of (A) the product of (i)
approximately 60.00% and (ii) the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period and (B) the
aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period minus
$3,359,647.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 8
TRANSACTION HIGHLIGHTS (cont'd)
Class M-1 Principal
Distribution Amount: An amount equal to the excess of (x) the sum of (i)
the aggregate Certificate Principal Balance of the
Class A Certificates (after taking into account the
payment of the Class A Principal Distribution Amount
on such Distribution Date) and (ii) the Certificate
Principal Balance of the Class M-1 Certificates
immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately
73.50% and (ii) the aggregate principal balance of
the Mortgage Loans as of the last day of the related
Due Period and (B) the aggregate principal balance
of the Mortgage Loans as of the last day of the
related Due Period minus $3,359,647.
Class M-2 Principal
Distribution Amount: An amount equal to the excess of (x) the sum of (i)
the aggregate Certificate Principal Balance of the
Class A Certificates (after taking into account the
payment of the Class A Principal Distribution Amount
on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-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
85.50% and (ii) the aggregate principal balance of
the Mortgage Loans as of the last day of the related
Due Period and (B) the aggregate principal balance
of the Mortgage Loans as of the last day of the
related Due Period minus $3,359,647.
Class B-1 Principal
Distribution Amount: An amount equal to the excess of (x) the sum of (i)
the aggregate Certificate Principal Balance of the
Class A Certificates (after taking into account the
payment of the Class A Principal Distribution Amount
on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-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
B-1 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 96.00% and (ii) the
aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period and (B)
the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period
minus $3,359,647 provided, however, that with
respect to any Distribution Date on which the Class
Certificate Balance of the Class A, Class M-1 and
Class M-2 Certificates have been reduced to zero,
the Class B-1 Principal Distribution Amount is the
lesser of (x) the Class Certificate Balance of the
Class B-1 Certificates and (y) the Principal
Distribution Amount.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
SMMEA Eligibility: It is anticipated that the Class A-2 and Class M-1
Certificates will be SMMEA eligible.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 9
TRANSACTION HIGHLIGHTS (cont'd)
Prospectus: The Class A-2, Class M-1, Class M-2 and Class B-1
Certificates are being offered pursuant to a
prospectus supplemented by a prospectus supplement
(together, the "Prospectus"). Complete information
with respect to the Offered Certificates and the
collateral securing them is contained in the
Prospectus. The information herein is qualified in
its entirety by the information appearing in the
Prospectus. To the extent that the information
herein is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of
the Offered Certificates may not be consummated
unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED
IN CONNECTION WITH AN INVESTMENT IN THE OFFERED
CERTIFICATES.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 10
TO MATURITY
-----------
PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------- ----------- ---------- ---------- ------------ -----------
Closing 100% 100% 100% 100% 100%
11/25/02 99 80 73 67 60
11/25/03 98 60 49 38 29
11/25/04 97 44 30 19 9
11/25/05 96 34 26 19 9
11/25/06 95 28 20 14 9
11/25/07 93 23 15 10 7
11/25/08 92 18 12 7 5
11/25/09 90 15 9 6 4
11/25/10 88 12 7 4 3
11/25/11 86 10 5 3 1
11/25/12 84 8 4 3 0
11/25/13 81 7 3 2 0
11/25/14 79 6 3 1 0
11/25/15 76 5 2 0 0
11/25/16 73 4 2 0 0
11/25/17 69 3 1 0 0
11/25/18 65 3 0 0 0
11/25/19 61 2 0 0 0
11/25/20 56 2 0 0 0
11/25/21 51 2 0 0 0
11/25/22 46 1 0 0 0
11/25/23 39 0 0 0 0
11/25/24 33 0 0 0 0
11/25/25 29 0 0 0 0
11/25/26 24 0 0 0 0
11/25/27 19 0 0 0 0
11/25/28 13 0 0 0 0
11/25/29 8 0 0 0 0
11/25/30 3 0 0 0 0
11/25/31 0 0 0 0 0
AVERAGE LIFE TO 18.96 4.17 3.15 2.44 1.88
MATURITY (IN YEARS)
AVERAGE LIFE TO 18.93 3.77 2.81 2.14 1.62
CALL (IN YEARS)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 11
TO MATURITY
-----------
PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------- ----------- ---------- ---------- ------------ -----------
Closing 100% 100% 100% 100% 100%
11/25/02 100 100 100 100 100
11/25/03 100 100 100 100 100
11/25/04 100 100 100 100 100
11/25/05 100 86 63 54 96
11/25/06 100 70 47 31 31
11/25/07 100 56 35 21 12
11/25/08 100 45 26 14 8
11/25/09 100 36 19 10 5
11/25/10 100 29 14 7 1
11/25/11 100 23 11 5 0
11/25/12 100 19 8 2 0
11/25/13 100 15 6 0 0
11/25/14 100 12 4 0 0
11/25/15 100 9 2 0 0
11/25/16 100 7 0 0 0
11/25/17 100 6 0 0 0
11/25/18 100 5 0 0 0
11/25/19 100 3 0 0 0
11/25/20 100 1 0 0 0
11/25/21 100 0 0 0 0
11/25/22 100 0 0 0 0
11/25/23 100 0 0 0 0
11/25/24 98 0 0 0 0
11/25/25 87 0 0 0 0
11/25/26 74 0 0 0 0
11/25/27 61 0 0 0 0
11/25/28 46 0 0 0 0
11/25/29 30 0 0 0 0
11/25/30 14 0 0 0 0
11/25/31 0 0 0 0 0
Average Life to 26.63 7.75 5.86 5.04 5.01
Maturity (in years)
Average Life to 26.51 7.03 5.29 4.59 4.63
Call (in years)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 12
TO MATURITY
-----------
PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------- ----------- ---------- ---------- ------------ -----------
Closing 100% 100% 100% 100% 100%
11/25/02 100 100 100 100 100
11/25/03 100 100 100 100 100
11/25/04 100 100 100 100 100
11/25/05 100 86 63 45 31
11/25/06 100 70 47 31 19
11/25/07 100 56 35 21 12
11/25/08 100 45 26 14 8
11/25/09 100 36 19 10 2
11/25/10 100 29 14 6 0
11/25/11 100 23 11 2 0
11/25/12 100 19 8 0 0
11/25/13 100 15 4 0 0
11/25/14 100 12 1 0 0
11/25/15 100 9 0 0 0
11/25/16 100 7 0 0 0
11/25/17 100 5 0 0 0
11/25/18 100 2 0 0 0
11/25/19 100 0 0 0 0
11/25/20 100 0 0 0 0
11/25/21 100 0 0 0 0
11/25/22 100 0 0 0 0
11/25/23 100 0 0 0 0
11/25/24 98 0 0 0 0
11/25/25 87 0 0 0 0
11/25/26 74 0 0 0 0
11/25/27 61 0 0 0 0
11/25/28 46 0 0 0 0
11/25/29 30 0 0 0 0
11/25/30 14 0 0 0 0
11/25/31 0 0 0 0 0
Average Life to 26.62 7.67 5.76 4.79 4.35
Maturity (in years)
Average Life to 26.51 7.03 5.26 4.39 4.04
Call (in years)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 13
TO MATURITY
-----------
PERCENTAGE OF CLASS B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------- ----------- ---------- ---------- ------------ -----------
Closing 100% 100% 100% 100% 100%
11/25/02 100 100 100 100 100
11/25/03 100 100 100 100 100
11/25/04 100 100 100 100 100
11/25/05 100 86 63 45 31
11/25/06 100 70 47 31 17
11/25/07 100 56 35 20 7
11/25/08 100 45 26 10 1
11/25/09 100 36 17 4 0
11/25/10 100 29 10 0 0
11/25/11 100 23 5 0 0
11/25/12 100 16 1 0 0
11/25/13 100 11 0 0 0
11/25/14 100 7 0 0 0
11/25/15 100 3 0 0 0
11/25/16 100 1 0 0 0
11/25/17 100 0 0 0 0
11/25/18 100 0 0 0 0
11/25/19 100 0 0 0 0
11/25/20 100 0 0 0 0
11/25/21 100 0 0 0 0
11/25/22 100 0 0 0 0
11/25/23 100 0 0 0 0
11/25/24 98 0 0 0 0
11/25/25 87 0 0 0 0
11/25/26 74 0 0 0 0
11/25/27 61 0 0 0 0
11/25/28 46 0 0 0 0
11/25/29 30 0 0 0 0
11/25/30 10 0 0 0 0
11/25/31 0 0 0 0 0
Average Life to 26.58 7.36 5.50 4.50 3.96
Maturity (in years)
Average Life to 26.50 7.02 5.23 4.29 3.79
Call (in years)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 14
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
--------------------------------------------
INTEREST CAP RATES (CASH CAP)(1)(2)
-----------------------------------
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
---------- ------------- ------------- ------------- ------------- -------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
11/25/2001 - - - - -
12/25/2001 10.09 9.92 9.78 9.78 9.78
1/25/2002 8.80 8.65 8.52 8.52 8.52
2/25/2002 8.81 8.67 8.52 8.52 8.52
3/25/2002 9.77 9.62 9.44 9.44 9.44
4/25/2002 8.84 8.71 8.53 8.53 8.53
5/25/2002 9.16 9.03 8.81 8.81 8.81
6/25/2002 8.88 8.76 8.53 8.53 8.53
7/25/2002 9.20 9.07 8.82 8.82 8.82
8/25/2002 8.92 8.81 8.53 8.53 8.53
9/25/2002 8.94 8.84 8.53 8.53 8.53
10/25/2002 9.27 9.16 8.82 8.82 8.82
11/25/2002 9.00 8.90 8.54 8.54 8.54
12/25/2002 9.33 9.23 8.82 8.82 8.82
1/25/2003 9.06 8.97 8.54 8.54 8.54
2/25/2003 9.09 9.01 8.54 8.54 8.54
3/25/2003 10.11 10.02 9.46 9.46 9.46
4/25/2003 9.18 9.10 8.55 8.55 8.55
5/25/2003 9.53 9.45 8.83 8.83 8.83
6/25/2003 9.27 9.20 8.55 8.55 8.55
7/25/2003 9.64 9.58 8.84 8.84 8.84
8/25/2003 9.40 9.34 8.56 8.56 8.56
9/25/2003 9.47 9.41 8.56 8.56 8.56
10/25/2003 10.58 10.40 9.42 9.42 9.42
11/25/2003 10.96 10.54 9.55 9.55 9.55
12/25/2003 11.47 11.02 9.87 9.87 9.87
1/25/2004 11.24 10.81 9.55 9.55 9.55
2/25/2004 11.55 11.04 9.63 9.63 9.63
3/25/2004 12.57 12.05 10.31 10.31 10.31
4/25/2004 12.74 12.12 10.16 10.16 10.16
5/25/2004 14.21 13.31 10.91 10.91 10.91
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming 15% CPR for fixed collateral and 45% CPR for floating rate
collateral, no losses and a 1 month and 6 month Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 15
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
INTEREST CAP RATES (CASH CAP)(1)(2)
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
---------- ------------- ------------- ------------- ------------- -------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
6/25/2004 14.20 13.31 10.55 10.55 10.55
7/25/2004 15.24 14.33 10.89 10.89 10.89
8/25/2004 - 14.72 10.59 10.59 10.59
9/25/2004 - 15.68 10.59 10.59 10.59
10/25/2004 - 18.49 11.44 11.44 11.44
11/25/2004 - 21.12 11.43 11.43 11.43
12/25/2004 - 664.27 11.79 11.79 11.79
1/25/2005 - 324.60 11.38 11.38 11.38
2/25/2005 - 39.94 11.42 11.42 11.42
3/25/2005 - 42.85 12.62 12.62 12.62
4/25/2005 - 38.17 11.83 11.83 11.83
5/25/2005 - 38.77 12.56 12.56 12.56
6/25/2005 - 36.40 12.11 12.11 12.11
7/25/2005 - 36.50 12.47 12.47 12.47
8/25/2005 - 34.39 12.09 12.09 12.09
9/25/2005 - 33.42 12.06 12.06 12.06
10/25/2005 - 33.97 12.71 12.71 12.71
11/25/2005 - 32.26 12.47 12.47 12.47
12/25/2005 - 32.44 12.83 12.83 12.83
1/25/2006 - 30.55 12.36 12.36 12.36
2/25/2006 - 29.80 12.35 12.35 12.35
3/25/2006 - 19.24 13.62 13.62 13.62
4/25/2006 - 16.29 12.25 12.25 12.25
5/25/2006 - 16.75 12.60 12.60 12.60
6/25/2006 - 16.14 12.14 12.14 12.14
7/25/2006 - 16.60 12.48 12.48 12.48
8/25/2006 - 15.99 12.02 12.02 12.02
9/25/2006 - 15.91 11.97 11.97 11.97
10/25/2006 - 16.36 12.31 12.31 12.31
11/25/2006 - 15.76 11.85 11.85 11.85
12/25/2006 - 16.21 12.19 12.19 12.19
1/25/2007 - 15.61 11.74 11.74 11.74
2/25/2007 - 15.54 11.68 11.68 11.68
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming 15% CPR for fixed collateral and 45% CPR for floating rate
collateral, no losses and a 1 month and 6 month Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 16
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
INTEREST CAP RATES (CASH CAP)(1)(2)
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
---------- ------------- ------------- ------------- ------------- -------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
3/25/2007 - 17.12 12.87 12.87 12.87
4/25/2007 - 15.39 11.57 11.57 11.57
5/25/2007 - 15.82 11.90 11.90 11.90
6/25/2007 - 15.24 11.46 11.46 11.46
7/25/2007 - 15.67 11.79 11.79 11.79
8/25/2007 - 15.09 11.35 11.35 11.35
9/25/2007 - 15.02 11.30 11.30 11.30
10/25/2007 - 15.45 11.62 11.62 11.62
11/25/2007 - 14.88 11.19 11.19 11.19
12/25/2007 - 15.30 11.51 11.51 11.51
1/25/2008 - 14.74 11.09 11.09 11.09
2/25/2008 - 14.67 11.04 11.04 11.04
3/25/2008 - 15.61 11.74 11.74 11.74
4/25/2008 - 14.54 10.93 10.93 10.93
5/25/2008 - 14.96 11.25 11.25 11.25
6/25/2008 - 14.41 10.84 10.84 10.84
7/25/2008 - 14.82 11.15 11.15 11.15
8/25/2008 - 14.28 10.74 10.74 10.74
9/25/2008 - 14.22 10.69 10.69 10.69
10/25/2008 - 14.63 11.00 11.00 11.00
11/25/2008 - 14.09 10.60 10.60 10.60
12/25/2008 - 14.50 10.91 10.91 10.91
1/25/2009 - 13.98 10.51 10.51 10.51
2/25/2009 - 13.92 10.47 10.47 10.47
3/25/2009 - 15.35 11.54 11.54 11.54
4/25/2009 - 13.81 10.38 10.38 10.38
5/25/2009 - 14.21 10.69 10.69 10.69
6/25/2009 - 13.70 10.30 10.30 10.30
7/25/2009 - 14.10 10.60 10.60 10.60
8/25/2009 - 13.59 10.22 10.22 10.22
9/25/2009 - 13.54 10.19 10.19 10.19
10/25/2009 - 13.94 10.49 10.49 10.49
11/25/2009 - 13.44 10.11 10.11 10.11
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming 15% CPR for fixed collateral and 45% CPR for floating rate
collateral, no losses and a 1 month and 6 month Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 17
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
INTEREST CAP RATES (CASH CAP)(1)(2)
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
---------- ------------- ------------- ------------- ------------- -------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
12/25/2009 - 13.84 10.41 10.41 10.41
1/25/2010 - 13.35 10.04 10.04 10.04
2/25/2010 - 13.31 10.01 10.01 10.01
3/25/2010 - 14.68 11.04 11.04 11.04
4/25/2010 - 13.22 9.94 9.94 -
5/25/2010 - 13.61 10.24 10.24 -
6/25/2010 - 13.13 9.88 9.88 -
7/25/2010 - 13.53 10.18 10.18 -
8/25/2010 - 13.05 9.82 9.82 -
9/25/2010 - 13.02 9.79 9.79 -
10/25/2010 - 13.41 10.09 10.09 -
11/25/2010 - 12.94 9.73 9.73 -
12/25/2010 - 13.34 10.03 10.03 -
1/25/2011 - 12.87 9.68 9.68 -
2/25/2011 - 12.84 9.65 9.65 -
3/25/2011 - 14.18 10.66 10.66 -
4/25/2011 - 12.77 9.61 9.61 -
5/25/2011 - 13.17 9.90 9.90 -
6/25/2011 - 12.71 9.56 9.56 -
7/25/2011 - 13.14 9.85 9.85 -
8/25/2011 - 12.74 9.51 9.51 -
9/25/2011 - 12.78 9.49 9.49 -
10/25/2011 - 13.24 9.79 9.79 -
11/25/2011 - 12.85 9.45 9.45 -
12/25/2011 - 13.32 9.75 9.75 -
1/25/2012 - 12.92 9.42 9.42 -
2/25/2012 - 12.96 9.40 9.40 -
3/25/2012 - 13.90 10.03 10.03 -
4/25/2012 - 13.05 9.36 9.36 -
5/25/2012 - 13.53 9.66 9.66 -
6/25/2012 - 13.14 9.33 9.33 -
7/25/2012 - 13.63 9.62 9.62 -
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming 15% CPR for fixed collateral and 45% CPR for floating rate
collateral, no losses and a 1 month and 6 month Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 18
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
INTEREST CAP RATES (CASH CAP)(1)(2)
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
---------- ------------- ------------- ------------- ------------- -------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
8/25/2012 - 13.24 9.30 9.30 -
9/25/2012 - 13.29 9.28 9.28 -
10/25/2012 - 13.78 9.58 9.58 -
11/25/2012 - 13.39 9.25 - -
12/25/2012 - 13.89 9.55 - -
1/25/2013 - 13.50 9.23 - -
2/25/2013 - 13.56 9.21 - -
3/25/2013 - 15.08 10.19 - -
4/25/2013 - 13.68 9.19 - -
5/25/2013 - 14.20 9.48 - -
6/25/2013 - 13.80 9.17 - -
7/25/2013 - 14.33 9.46 - -
8/25/2013 - 13.93 9.15 - -
9/25/2013 - 14.00 9.14 - -
10/25/2013 - 14.54 9.43 - -
11/25/2013 - 14.14 9.12 - -
12/25/2013 - 14.69 9.41 - -
1/25/2014 - 14.29 9.10 - -
2/25/2014 - 14.37 9.09 - -
3/25/2014 - 15.99 10.05 - -
4/25/2014 - 14.53 9.07 - -
5/25/2014 - 15.09 9.37 - -
6/25/2014 - 14.69 9.06 - -
7/25/2014 - 15.27 9.35 - -
8/25/2014 - 14.86 9.04 - -
9/25/2014 - 14.95 9.04 - -
10/25/2014 - 15.54 9.33 - -
11/25/2014 - 15.20 - - -
12/25/2014 - 15.88 - - -
1/25/2015 - 15.55 - - -
2/25/2015 - 15.74 - - -
3/25/2015 - 17.64 - - -
4/25/2015 - 16.14 - - -
5/25/2015 - 16.89 - - -
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming 15% CPR for fixed collateral and 45% CPR for floating rate
collateral, no losses and a 1 month and 6 month Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 19
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
INTEREST CAP RATES (CASH CAP)(1)(2)
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
---------- ------------- ------------- ------------- ------------- -------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
6/25/2015 - 16.57 - - -
7/25/2015 - 17.37 - - -
8/25/2015 - 17.05 - - -
9/25/2015 - 17.31 - - -
10/25/2015 - 18.17 - - -
11/25/2015 - 17.87 - - -
12/25/2015 - 18.78 - - -
1/25/2016 - 18.50 - - -
2/25/2016 - 18.84 - - -
3/25/2016 - 20.52 - - -
4/25/2016 - 19.57 - - -
5/25/2016 - 20.64 - - -
6/25/2016 - 20.40 - - -
7/25/2016 - 21.56 - - -
8/25/2016 - 21.35 - - -
9/25/2016 - 21.87 - - -
10/25/2016 - 23.17 - - -
11/25/2016 - 23.03 - - -
12/25/2016 - 24.46 - - -
1/25/2017 - 24.37 - - -
2/25/2017 - 25.12 - - -
3/25/2017 - 28.72 - - -
4/25/2017 - 26.83 - - -
5/25/2017 - 28.73 - - -
6/25/2017 - 28.87 - - -
7/25/2017 - 31.05 - - -
8/25/2017 - 31.36 - - -
9/25/2017 - 32.82 - - -
10/25/2017 - 35.60 - - -
11/25/2017 - 36.29 - - -
12/25/2017 - 39.66 - - -
1/25/2018 - 40.78 - - -
2/25/2018 - 43.56 - - -
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming 15% CPR for fixed collateral and 45% CPR for floating rate
collateral, no losses and a 1 month and 6 month Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 20
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
INTEREST CAP RATES (CASH CAP)(1)(2)
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
---------- ------------- ------------- ------------- ------------- -------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
3/25/2018 - 51.84 - - -
4/25/2018 - 50.69 - - -
5/25/2018 - 57.20 - - -
6/25/2018 - 61.10 - - -
7/25/2018 - 70.62 - - -
8/25/2018 - 77.75 - - -
9/25/2018 - 90.46 - - -
10/25/2018 - 112.20 - - -
11/25/2018 - 136.51 - - -
12/25/2018 - 191.31 - - -
1/25/2019 - 291.00 - - -
2/25/2019 - 1,195.01 - - -
3/25/2019 - - - - -
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming 15% CPR for fixed collateral and 45% CPR for floating rate
collateral, no losses and a 1 month and 6 month Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 21
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I - 2001-NC3 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
4,596 records
All records Balance: 671,929,425
====================================================================================================================================
SUMMARY STATISTICS
------------------------------------------------------------
Number of Mortgage Loans: 4,596
Aggregate Principal Balance: 671,929,425
Weighted Average Current Mortgage Rate: 9.324
Weighted Average Margin: 6.655
Weighted Average Maximum Rate: 16.275
Weighted Average Original Term: 357
Weighted Average Stated Remaining Term: 356
Weighted Average Original LTV: 78.23
% Owner Occupied: 93.62
% Purchase: 18.47
% Full Doc: 56.55
Weighted Average Credit Score: 583
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Product Types Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
-------------------- -------- --------- --------- -------- -------- --------- -------- --------- --------- --------
Fixed - 10 year 15 765,717 0.11 10.312 120 119 68.88 94.10 0.00 87.95
Fixed - 15 year 105 7,046,674 1.05 9.889 182 181 69.33 93.11 3.79 69.12
Fixed - 20 year 54 3,774,281 0.56 10.147 240 239 75.10 97.11 0.00 79.82
Fixed - 25 year 3 161,712 0.02 10.721 300 299 79.22 100.00 0.00 100.00
Fixed- 30 year 610 68,272,444 10.16 9.588 360 359 75.52 92.57 7.64 62.92
ARM - 6 month 1 78,690 0.01 10.750 360 358 75.00 100.00 0.00 100.00
ARM - 2 Year/6 month 3,645 567,256,429 84.42 9.299 360 358 78.81 93.94 20.33 55.45
ARM - 3 Year/6 Month 163 24,573,477 3.66 8.827 360 358 75.66 88.78 13.51 55.49
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇")
considers reliable. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a member of
The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. We recommend that such investors obtain the advice of their
▇▇▇▇▇▇ ▇▇▇▇▇▇▇, ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 1 of 12
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I - 2001-NC3 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
4,596 records
All records Balance: 671,929,425
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Weighted Date Date Principal
Number Aggregate Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Cut-off Date Date Gross Average Average Average Balance Balance are Full
Range of Cut-off Date Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Principal Balances ($) Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
<= 7.999 454 91,878,368 13.67 7.662 359 357 74.57 93.64 9.81 61.94
8.000 - 8.999 1,255 224,092,765 33.35 8.666 359 357 78.09 94.38 17.54 54.27
9.000 - 9.999 1,420 201,335,944 29.96 9.582 357 356 80.26 93.34 20.88 54.19
10.000 - 10.999 945 104,990,766 15.63 10.515 355 354 79.47 93.16 23.72 58.87
11.000 - 11.999 366 35,804,936 5.33 11.477 353 351 76.08 91.41 19.19 59.78
12.000 - 12.999 126 11,659,833 1.74 12.491 354 353 71.28 95.72 15.26 63.67
13.000 - 13.999 28 1,993,808 0.30 13.518 347 345 73.28 87.27 9.29 77.26
14.000 - 14.999 2 173,003 0.03 14.024 360 359 62.57 100.00 0.00 100.00
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
Minimum: 6.550
Maximum: 14.050
Weighted Average: 9.324
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇")
considers reliable. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a member of
The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. We recommend that such investors obtain the advice of their
▇▇▇▇▇▇ ▇▇▇▇▇▇▇, ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 12
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I - 2001-NC3 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
4,596 records
All records Balance: 671,929,425
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Weighted Date Date Principal
Number Aggregate Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Cut-off Date Date Gross Average Average Average Balance Balance are Full
Range of Cut-off Date Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Principal Balances ($) Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
1 - 25,000 3 60,992 0.01 11.022 300 299 42.38 66.87 0.00 100.00
25,001 - 50,000 382 15,973,281 2.38 10.449 331 330 68.53 82.51 13.42 74.80
50,001 - 75,000 763 47,912,807 7.13 10.188 348 347 76.06 89.10 18.32 74.69
75,001 - 100,000 713 62,576,057 9.31 9.734 354 352 76.00 92.50 15.32 71.20
100,001 - 125,000 574 64,060,655 9.53 9.653 357 355 77.95 94.25 17.78 69.18
125,001 - 150,000 470 64,731,814 9.63 9.406 358 357 79.07 94.69 20.72 65.71
150,001 - 175,000 362 58,774,937 8.75 9.246 359 357 78.26 95.08 15.05 60.80
175,001 - 200,000 348 65,323,038 9.72 9.091 358 357 78.45 92.32 15.56 55.41
200,001 - 225,000 213 45,352,746 6.75 9.321 360 358 79.57 92.93 23.54 48.25
225,001 - 250,000 154 36,658,784 5.46 9.083 360 358 79.53 94.82 20.70 49.86
250,001 - 275,000 130 34,069,392 5.07 8.889 360 358 78.26 96.08 12.37 47.89
275,001 - 300,000 106 30,582,545 4.55 9.253 360 358 79.50 93.28 25.41 37.67
300,001 - 325,000 90 28,076,874 4.18 8.778 360 358 78.61 96.61 20.05 48.94
325,001 - 350,000 63 21,303,829 3.17 9.158 360 358 79.60 93.58 17.58 36.51
350,001 - 375,000 40 14,559,794 2.17 8.800 360 358 80.88 94.94 24.89 47.73
375,001 - 400,000 52 20,163,939 3.00 9.072 360 358 80.05 94.19 21.05 30.81
400,001>= 133 61,747,940 9.19 8.769 360 359 79.61 96.15 19.92 42.34
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
Minimum: 15,795
Maximum: 649,644
Average: 146,199
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇")
considers reliable. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a member of
The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. We recommend that such investors obtain the advice of their
▇▇▇▇▇▇ ▇▇▇▇▇▇▇, ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 12
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I - 2001-NC3 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
4,596 records
All records Balance: 671,929,425
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Weighted Date Date Principal
Number Aggregate Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Cut-off Date Date Gross Average Average Average Balance Balance are Full
Range of Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Original Terms Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
120 15 765,717 0.11 10.312 120 119 68.88 94.10 0.00 87.95
180 104 6,968,298 1.04 9.868 180 179 69.32 93.03 3.84 69.90
240 54 3,774,281 0.56 10.147 240 239 75.10 97.11 0.00 79.82
300 3 161,712 0.02 10.721 300 299 79.22 100.00 0.00 100.00
360 4,420 660,259,416 98.26 9.312 360 358 78.35 93.61 18.76 56.23
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
Minimum: 120
Maximum: 360
Weighted Average: 357
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Weighted Date Date Principal
Number Aggregate Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Cut-off Date Date Gross Average Average Average Balance Balance are Full
Range of Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Remaining Terms Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
109 - 120 15 765,717 0.11 10.312 120 119 68.88 94.10 0.00 87.95
169 - 180 104 6,968,298 1.04 9.868 180 179 69.32 93.03 3.84 69.90
229 - 240 54 3,774,281 0.56 10.147 240 239 75.10 97.11 0.00 79.82
289 - 300 3 161,712 0.02 10.721 300 299 79.22 100.00 0.00 100.00
349 - 360 4,420 660,259,416 98.26 9.312 360 358 78.35 93.61 18.76 56.23
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
Minimum: 118
Maximum: 359
Weighted Average: 356
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇")
considers reliable. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a member of
The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. We recommend that such investors obtain the advice of their
▇▇▇▇▇▇ ▇▇▇▇▇▇▇, ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 12
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I - 2001-NC3 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
4,596 records
All records Balance: 671,929,425
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Range of LTV Ratios Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
-------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
<=40.00 76 6,348,767 0.94 8.916 343 341 32.05 93.50 1.24 42.90
40.01 - 50.00 89 8,529,103 1.27 9.154 344 343 45.29 94.31 9.49 60.81
50.01 - 60.00 239 27,432,666 4.08 9.080 353 351 56.47 91.87 5.21 49.72
60.01 - 70.00 666 90,753,197 13.51 9.422 357 355 66.89 90.82 7.74 51.67
70.01 - 80.00 1,833 266,802,445 39.71 9.258 357 355 77.79 92.78 16.62 53.69
80.01 - 90.00 1,667 268,064,108 39.89 9.396 359 357 86.64 95.47 25.63 61.28
90.01 - 100.00 26 3,999,139 0.60 9.368 357 356 94.50 100.00 42.88 100.00
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
Minimum: 14.11
Maximum: 99.00
Weighted Average: 78.23
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇")
considers reliable. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a member of
The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. We recommend that such investors obtain the advice of their
▇▇▇▇▇▇ ▇▇▇▇▇▇▇, ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 12
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I - 2001-NC3 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
4,596 records
All records Balance: 671,929,425
===================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Range of Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Gross Margins (%) Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
-------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Fixed Rate Loans 787 80,020,829 11.91 9.650 336 335 74.90 92.86 6.86 64.57
<=5.000 3 631,282 0.09 7.662 360 358 59.91 100.00 0.00 74.38
5.001 - 5.500 2 149,501 0.02 10.223 360 358 78.75 53.46 0.00 100.00
5.501 - 6.000 21 3,778,284 0.56 8.235 360 358 77.88 100.00 0.00 78.19
6.001 - 6.500 1,638 278,819,191 41.50 8.880 360 358 80.54 90.98 25.45 47.83
6.501 - 7.000 1,240 187,483,684 27.90 9.371 360 358 78.51 95.94 16.03 58.92
7.001 - 7.500 903 120,572,110 17.94 10.103 360 359 74.77 96.43 14.42 66.91
8.001 - 8.500 1 249,849 0.04 8.500 360 359 79.37 100.00 0.00 0.00
>9.000 1 224,695 0.03 9.750 360 359 79.76 100.00 100.00 100.00
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
Non-Zero Minimum: 4.950
Maximum: 9.750
Non-Zero Weighted Average: 6.655
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇")
considers reliable. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a member of
The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. We recommend that such investors obtain the advice of their
▇▇▇▇▇▇ ▇▇▇▇▇▇▇, ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 12
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I - 2001-NC3 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
4,596 records
All records Balance: 671,929,425
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Range of Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Maximum Loan Rates (%) Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Fixed Rate Loans 787 80,020,829 11.91 9.650 336 335 74.90 92.86 6.86 64.57
<=15.000 433 88,896,666 13.23 7.686 360 358 75.53 94.09 10.85 59.97
15.001 - 15.500 415 80,207,346 11.94 8.407 360 358 77.72 93.49 19.07 55.90
15.501 - 16.000 728 128,398,296 19.11 8.895 360 358 79.34 94.71 19.90 52.59
16.001 - 16.500 518 78,953,583 11.75 9.359 360 359 80.28 91.32 22.04 53.96
16.501 - 17.000 665 96,926,087 14.43 9.855 360 359 81.42 94.01 24.07 51.02
17.001 - 17.500 390 46,516,025 6.92 10.353 360 359 79.80 93.64 25.73 56.93
17.501 - 18.000 314 36,549,652 5.44 10.854 360 359 78.52 94.29 23.72 60.42
18.001 - 18.500 142 15,688,055 2.33 11.347 360 359 77.38 96.10 22.63 57.57
18.501 - 19.000 107 10,800,661 1.61 11.867 360 359 72.74 90.91 19.76 60.43
19.001 - 19.500 41 4,038,873 0.60 12.354 360 359 68.76 90.45 5.06 67.43
19.501 - 20.000 37 3,373,911 0.50 12.870 360 358 69.62 98.61 21.39 73.32
>20.000 19 1,559,440 0.23 13.608 360 358 72.67 90.10 9.63 79.54
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
Non-Zero Minimum: 13.490
Maximum: 21.050
Non-Zero Weighted Average: 16.275
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇")
considers reliable. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a member of
The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. We recommend that such investors obtain the advice of their
▇▇▇▇▇▇ ▇▇▇▇▇▇▇, ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 12
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇▇▇▇ CAPITAL I - 2001-NC3 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
4,596 records
All records Balance: 671,929,425
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Next Rate Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Adjustment Dates Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
March 2002 1 78,690 0.01 10.750 360 358 75.00 100.00 0.00 100.00
July 2003 37 7,434,518 1.11 8.231 360 356 76.92 97.36 21.55 50.26
August 2003 194 35,916,489 5.35 8.581 360 357 78.63 95.06 16.28 51.18
September 2003 1,250 196,619,820 29.26 9.377 360 358 79.05 94.02 19.02 56.71
October 2003 2,164 327,285,602 48.71 9.355 360 359 78.74 93.69 21.53 55.29
July 2004 5 1,128,096 0.17 8.040 360 356 70.95 100.00 22.18 8.13
August 2004 11 1,971,857 0.29 7.798 360 357 68.04 87.00 3.06 30.79
September 2004 53 7,292,205 1.09 9.011 360 358 74.70 99.32 10.64 70.75
October 2004 94 14,181,318 2.11 8.938 360 359 77.59 82.71 15.74 54.85
Fixed Rate 787 80,020,829 11.91 9.650 336 335 74.90 92.86 6.86 64.57
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
Non-Zero Minimum: 2002-03-01
Maximum: 2004-10-01
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
4,596 records
All records Balance: 671,929,425
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
Geographic of Date Date Gross Average Average Average Balance Balance are Full
Distribution of Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Mortgaged Properties Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
California 1,398 297,948,554 44.34 8.912 359 357 78.41 93.68 17.77 49.75
Illinois 288 42,036,721 6.26 9.461 359 357 77.15 94.86 16.80 54.30
Michigan 359 37,269,238 5.55 9.811 359 358 76.89 94.66 11.33 63.67
Florida 314 33,259,057 4.95 9.711 356 355 78.81 89.97 32.74 60.05
Colorado 186 30,552,311 4.55 9.234 360 359 78.56 91.63 11.36 53.98
Texas 359 30,212,178 4.50 10.230 335 334 76.26 96.46 11.18 71.43
Massachusetts 114 22,160,337 3.30 9.185 360 359 73.75 90.52 11.36 62.22
Washington 89 13,538,099 2.01 9.459 360 358 79.07 91.64 22.51 52.29
Georgia 116 13,270,685 1.98 9.827 353 352 78.78 95.89 21.99 64.77
Ohio 151 13,170,902 1.96 9.549 358 357 79.87 92.76 20.75 68.18
Nevada 72 10,926,204 1.63 9.550 360 358 82.73 87.92 39.93 59.03
Minnesota 79 10,128,612 1.51 9.664 360 359 77.56 96.00 28.72 62.68
Arizona 97 9,969,140 1.48 9.533 357 356 79.10 90.80 9.49 59.15
New Jersey 47 8,058,171 1.20 9.874 357 356 78.18 90.84 19.83 74.20
Indiana 85 6,983,254 1.04 9.657 353 351 80.30 88.02 22.84 76.95
Other 842 92,445,963 13.76 9.737 355 354 78.94 95.71 21.11 63.43
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
Number of States/District of Columbia Represented: 47
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
4,596 records
All records Balance: 671,929,425
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Occupancy Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Primary 4,235 629,067,266 93.62 9.317 357 356 78.37 100.00 17.72 57.44
Investment 350 40,851,898 6.08 9.444 357 356 76.25 0.00 27.77 43.40
Second Home 11 2,010,260 0.30 8.905 360 359 74.29 0.00 64.67 44.44
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
------------------------------------------------------------------------------------------------------------------------------------
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Property Type Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Single Family Residence 3,739 528,843,770 78.71 9.346 357 355 78.11 95.62 15.94 57.80
PUD 337 65,782,827 9.79 9.277 358 357 80.28 95.20 30.65 54.25
2-4 Family 263 45,135,451 6.72 9.255 359 357 76.98 68.83 26.48 41.35
Condo 209 28,561,157 4.25 9.078 358 357 77.93 91.51 25.44 61.24
Manufactured Housing 48 3,606,220 0.54 9.800 345 344 75.88 99.02 11.51 68.08
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 10 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
4,596 records
All records Balance: 671,929,425
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Loan Purpose Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Refinance - Cashout 3,047 444,169,193 66.10 9.280 356 355 77.00 94.27 0.00 58.84
Purchase 810 124,103,323 18.47 9.496 360 358 82.68 89.81 100.00 42.78
Refinance - Rate Term 739 103,656,909 15.43 9.305 358 357 78.17 95.40 0.00 63.19
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
------------------------------------------------------------------------------------------------------------------------------------
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Documentation Level Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Full 2,224 298,622,413 44.44 9.269 356 354 79.02 95.42 13.10 100.00
Stated Documentation 1,338 226,478,931 33.71 9.377 358 357 76.56 93.06 24.39 0.00
Full doc 2 yr W2/tax
returns 705 81,336,870 12.10 9.543 359 358 78.18 93.90 17.18 100.00
Limited 329 65,491,211 9.75 9.119 358 356 80.45 87.00 24.07 0.00
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events,and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 11 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
4,596 records
All records Balance: 671,929,425
===================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Credit Score Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
NA 2 282,446 0.04 9.460 360 358 84.64 100.00 54.71 100.00
Below 500 4 569,982 0.08 10.310 360 358 75.31 100.00 0.00 31.67
500 - 525 796 102,019,451 15.18 10.015 358 357 76.73 98.28 9.76 72.15
526 - 550 955 126,811,744 18.87 9.693 357 356 76.99 95.10 12.69 67.58
551 - 575 717 103,812,801 15.45 9.446 357 355 77.41 95.93 15.05 61.83
576 - 600 652 98,573,691 14.67 9.173 358 356 78.70 93.90 20.61 56.51
601 - 625 576 92,334,352 13.74 8.901 357 355 79.25 93.28 21.53 51.66
626 - 650 443 70,121,025 10.44 8.816 358 356 79.49 92.03 22.13 41.67
651 - 675 233 38,889,270 5.79 8.863 355 354 80.42 88.36 30.26 32.28
676 - 700 107 19,449,617 2.89 8.739 357 356 80.80 80.57 28.83 31.08
701 - 725 53 9,495,162 1.41 8.592 360 358 80.15 84.49 48.02 23.47
726 - 750 29 5,676,264 0.84 8.846 358 356 81.52 64.32 47.55 27.16
751 - 775 18 2,687,708 0.40 8.699 360 358 80.20 68.48 59.35 22.87
776 - 800 8 881,497 0.13 9.195 360 358 76.40 84.29 36.79 6.92
Above 800 3 324,414 0.05 8.385 268 265 49.80 77.22 0.00 100.00
Total: 4,596 671,929,425 100.00 9.324 357 356 78.23 93.62 18.47 56.55
Minimum: 448
Maximum: 856
Weighted Average: 583
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 12 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
===================================================================================================================================
SUMMARY STATISTICS
------------------------------------------------------------
Number of Mortgage Loans: 1,216
Aggregate Principal Balance: 236,720,555
Weighted Average Current Mortgage Rate: 9.171
Weighted Average Margin: 6.588
Weighted Average Maximum Rate: 15.920
Weighted Average Original Term: 352
Weighted Average Stated Remaining Term: 350
Weighted Average Original LTV: 78.25
% Owner Occupied: 94.99
% Purchase: 17.16
% Full Doc: 49.19
Weighted Average Credit Score: 591
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Property Type Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Fixed - 10 year 15 765,717 0.32 10.312 120 119 68.88 94.10 0.00 87.95
Fixed - 15 year 105 7,046,674 2.98 9.889 182 181 69.33 93.11 3.79 69.12
Fixed - 20 year 54 3,774,281 1.59 10.147 240 239 75.10 97.11 0.00 79.82
Fixed - 25 year 3 161,712 0.07 10.721 300 299 79.22 100.00 0.00 100.00
Fixed- 30 year 610 68,272,444 28.84 9.588 360 359 75.52 92.57 7.64 62.92
ARM - 2Year/6Month 414 151,610,282 64.05 8.957 360 358 80.15 96.18 22.77 41.82
ARM - 3Year/6 month 15 5,089,444 2.15 7.992 360 358 74.11 93.24 12.23 26.90
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 1 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
===================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Range of Gross Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Interest Rates (%) Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
<=7.999 146 41,144,868 17.38 7.668 357 355 75.22 96.70 7.56 59.59
8.000 - 8.999 317 85,361,536 36.06 8.650 356 355 77.93 95.57 20.26 45.21
9.000 - 9.999 352 65,957,836 27.86 9.584 351 349 80.16 96.36 19.68 46.76
10.000 - 10.999 241 29,785,850 12.58 10.538 344 342 79.68 91.05 16.90 48.91
11.000 - 11.999 109 10,001,024 4.22 11.462 333 332 77.19 85.16 15.26 51.52
12.000 - 12.999 40 3,632,810 1.53 12.407 342 340 76.87 96.88 17.76 55.79
13.000 - 13.999 10 747,597 0.32 13.446 325 324 77.59 92.98 4.68 88.30
14.000 - 14.999 1 89,034 0.04 14.000 360 359 65.00 100.00 0.00 100.00
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
Minimum: 6.550
Maximum: 14.000
Weighted Average: 9.171
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
===================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Range of Cut-off Date Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Principal Balances (%) Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
1-25,000 2 36,003 0.02 11.703 259 258 31.45 43.87 0.00 100.00
25,001 - 50,000 158 6,492,380 2.74 10.558 289 288 67.58 88.26 7.92 80.64
50,001 - 75,000 211 12,890,832 5.45 10.340 317 316 74.42 90.56 5.96 78.00
75,001 - 100,000 134 11,711,640 4.95 9.952 327 325 75.21 94.23 7.41 72.08
100,001 - 125,000 94 10,422,844 4.40 9.829 339 338 76.90 95.63 4.36 64.59
125,001 - 150,000 57 7,865,344 3.32 9.322 346 344 78.15 96.32 15.71 71.58
150,001 - 175,000 32 5,178,578 2.19 9.158 348 347 75.03 90.35 14.96 46.98
175,001 - 200,000 39 7,318,873 3.09 8.832 346 344 71.61 87.03 5.31 53.81
200,001 - 225,000 19 4,009,617 1.69 9.519 360 358 77.74 94.39 10.17 52.49
225,001 - 250,000 7 1,681,330 0.71 9.328 360 358 75.72 100.00 13.64 43.10
250,001 - 275,000 7 1,859,062 0.79 8.608 360 358 80.94 100.00 0.00 71.95
275,001 - 300,000 96 27,631,801 11.67 9.325 360 358 79.52 96.91 25.98 37.42
300,001 - 325,000 82 25,573,784 10.80 8.761 360 358 79.14 97.52 19.57 52.54
325,001 - 350,000 58 19,589,671 8.28 9.106 360 358 79.57 93.01 17.39 36.17
350,001 - 375,000 40 14,559,794 6.15 8.800 360 358 80.88 94.94 24.89 47.73
375,001 - 400,000 49 18,994,332 8.02 9.082 360 358 79.95 95.84 18.29 30.67
400,001 >= 131 60,904,667 25.73 8.762 360 359 79.60 96.10 20.19 42.93
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
Non-Zero Minimum: 15,795
Maximum: 649,644
Non-Zero Weighted Average: 194,672
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
===================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Range of Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Original Terms Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
120 15 765,717 0.32 10.312 120 119 68.88 94.10 0.00 87.95
180 104 6,968,298 2.94 9.868 180 179 69.32 93.03 3.84 69.90
240 54 3,774,281 1.59 10.147 240 239 75.10 97.11 0.00 79.82
300 3 161,712 0.07 10.721 300 299 79.22 100.00 0.00 100.00
360 1,040 225,050,546 95.07 9.128 360 358 78.61 95.02 17.93 47.87
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
Minimum: 120
Maximum: 360
Weighted Average: 352
------------------------------------------------------------------------------------------------------------------------------------
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Range of Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Original Terms Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
109 - 120 15 765,717 0.32 10.312 120 119 68.88 94.10 0.00 87.95
169 - 180 104 6,968,298 2.94 9.868 180 179 69.32 93.03 3.84 69.90
229 - 240 54 3,774,281 1.59 10.147 240 239 75.10 97.11 0.00 79.82
289 - 300 3 161,712 0.07 10.721 300 299 79.22 100.00 0.00 100.00
349 - 360 1,040 225,050,546 95.07 9.128 360 358 78.61 95.02 17.93 47.87
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
Minimum: 118
Maximum: 359
Weighted Average: 350
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Range of LTV Ratios Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
-------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
<= 40.00 30 2,410,286 1.02 9.094 314 312 33.25 98.84 0.00 48.94
40.01 - 50.00 29 2,653,810 1.12 9.121 310 308 46.06 99.24 2.20 77.59
50.01 - 60.00 77 9,613,351 4.06 8.788 339 337 56.40 93.32 0.73 48.54
60.01 - 70.00 187 32,082,981 13.55 8.996 351 350 66.50 90.33 7.91 46.55
70.01 - 80.00 486 93,273,620 39.40 9.199 351 349 77.69 95.00 13.26 46.89
80.01 - 90.00 401 95,636,355 40.40 9.242 357 355 86.78 96.45 26.47 51.05
90.01 - 100.00 6 1,050,151 0.44 9.301 349 347 94.42 100.00 27.11 100.00
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
Minimum: 14.11
Maximum: 99.00
Weighted Average: 78.25
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Range of Gross Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Margins (%) Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
-------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Fixed Rate Loans 787 80,020,829 33.80 9.650 336 335 74.90 92.86 6.86 64.57
<= 5.000 1 314,773 0.13 7.650 360 359 68.48 100.00 0.00 100.00
5.501 - 6.000 4 1,421,951 0.60 8.137 360 359 82.11 100.00 0.00 77.69
6.001 - 6.500 230 85,722,769 36.21 8.697 360 358 81.36 95.13 27.86 38.82
6.501 - 7.000 131 46,772,885 19.76 9.134 360 358 78.93 97.32 17.72 41.71
7.001 - 7.500 63 22,467,347 9.49 9.431 360 359 76.78 96.82 13.23 47.05
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
Non-Zero Minimum: 4.950
Maximum: 7.350
Non-Zero Weighted
Average: 6.588
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Range of Maximum Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Loan Rates (%) Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
-------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Fixed Rate Loans 787 80,020,829 33.80 9.650 336 335 74.90 92.86 6.86 64.57
<= 15.000 88 32,910,455 13.90 7.667 360 358 77.67 97.89 9.45 53.82
15.001 -15.500 76 29,014,107 12.26 8.404 360 358 80.42 95.34 23.40 47.52
15.501 - 16.000 96 36,835,659 15.56 8.892 360 358 78.87 94.92 29.57 35.30
16.001 - 16.500 61 20,560,519 8.69 9.357 360 358 82.07 98.66 28.14 44.08
16.501 - 17.000 66 23,134,542 9.77 9.840 360 359 82.51 96.44 23.34 28.68
17.001 - 17.500 18 6,253,091 2.64 10.394 360 359 81.24 87.05 22.40 36.99
17.501 - 18.000 14 5,006,435 2.11 10.886 360 359 79.74 93.72 21.80 26.63
18.001 - 18.500 5 1,681,480 0.71 11.522 360 358 75.27 100.00 0.00 17.37
18.501 - 19.000 3 683,488 0.29 11.889 360 358 78.48 100.00 97.69 2.31
19.001 - 19.500 1 343,810 0.15 12.190 360 358 80.00 100.00 0.00 100.00
>20.000 1 276,138 0.12 13.580 360 358 85.00 100.00 0.00 100.00
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
Non-Zero Minimum: 13.550
Maximum: 20.580
Non-Zero Weighted Average: 15.920
-----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-----------------------------------------------------------------------------------------------------------------------------------
Page 7 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
===================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Next Rate Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Adjustment Dates Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
-------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
July 2003 10 3,199,544 1.35 8.119 360 356 77.87 100.00 21.81 28.95
August 2003 29 10,778,702 4.55 8.484 360 357 80.06 95.38 20.49 38.02
September 2003 150 54,674,739 23.10 9.094 360 358 79.74 96.01 19.57 42.35
October 2003 225 82,957,297 35.04 8.960 360 359 80.53 96.24 25.21 42.47
July 2004 2 624,359 0.26 8.108 360 356 68.23 100.00 0.00 0.00
August 2004 2 585,488 0.25 7.403 360 357 54.65 100.00 0.00 0.00
September 2004 2 885,994 0.37 8.059 360 358 71.29 100.00 0.00 53.52
October 2004 9 2,993,603 1.26 8.063 360 359 79.98 88.52 20.80 29.90
Fixed Rate 787 80,020,929 33.80 9.650 336 335 74.90 92.86 6.86 64.57
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
Non-Zero Minimum: 2003-07-01
Maximum: 2004-10-01
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
===================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
Geographic of Date Date Gross Average Average Average Balance Balance are Full
Distribution of Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Mortgaged Properties Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
California 445 133,731,694 56.49 8.807 358 356 78.95 95.68 19.85 41.29
Texas 173 13,435,992 5.68 10.230 304 303 75.09 97.13 7.36 70.92
Illinois 60 11,070,390 4.68 9.624 354 353 76.25 92.34 14.29 47.50
Florida 91 10,214,315 4.31 9.564 347 346 77.16 88.66 25.29 64.80
Michigan 57 9,122,464 3.85 9.627 358 356 74.83 98.26 10.13 43.29
Colorado 25 7,213,074 3.05 8.972 360 359 80.36 84.61 16.65 59.93
Massachusetts 18 4,294,255 2.08 8.648 360 358 76.20 89.85 1.47 82.32
Georgia 29 3,892,502 1.64 9.691 337 335 76.32 100.00 13.80 60.50
Washington 16 3,801,213 1.61 9.612 360 359 78.68 92.75 7.47 40.60
New Jersey 15 3,526,508 1.49 9.813 354 352 77.25 100.00 10.88 62.96
Ohio 27 2,792,042 1.18 9.413 351 350 77.66 97.35 11.42 39.99
Virginia 11 2,567,305 1.08 9.009 360 359 77.38 100.00 39.48 60.01
Arizona 17 2,484,851 1.05 10.136 349 347 78.48 100.00 4.32 63.73
New Mexico 10 2,220,924 0.94 9.760 357 355 77.34 80.63 2.81 63.10
Nevada 9 2,133,795 0.90 9.318 360 358 83.44 95.62 58.88 56.95
Other 213 23,589,231 9.97 9.804 340 339 78.71 95.60 11.72 61.55
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
Number of States/District of Columbia Represented: 42
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Occupancy Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Primary 1,135 224,867,600 94.99 9.146 352 350 78.37 100.00 16.68 50.08
Investment 79 11,159,300 4.71 9.648 350 349 76.04 0.00 21.68 34.43
Second Home 2 693,655 0.29 9.475 360 359 74.96 0.00 100.00 0.00
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
------------------------------------------------------------------------------------------------------------------------------------
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Property Type Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Single Family Residence 1,006 189,294,485 79.97 9.168 351 350 77.99 96.24 15.02 49.45
PUD 110 30,762,464 13.00 9.124 356 354 80.32 94.81 28.15 51.24
2-4 Family 52 9,263,654 3.91 9.385 355 353 76.52 73.89 23.70 33.40
Condo 33 6,434,495 2.72 9.026 352 350 78.69 89.45 17.65 54.49
Manufactured Housing 15 965,457 0.41 10.120 305 303 75.50 96.35 21.06 50.39
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 10 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
====================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Loan Purpose Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Refinance - Cashout 890 164,366,982 69.44 9.149 350 348 76.84 95.55 0.00 51.19
Purchase 155 40,626,351 17.16 9.285 359 357 83.79 92.34 100.00 34.33
Refinance - Rate Term 171 31,727,222 13.40 9.134 355 353 78.45 95.49 0.00 57.88
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
------------------------------------------------------------------------------------------------------------------------------------
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Documentation Level Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
Full 625 98,122,196 41.45 9.107 346 345 78.41 96.43 12.02 100.00
Stated Documentation 366 87,430,076 36.93 9.270 356 354 77.12 93.75 21.05 0.00
Limited 114 32,840,301 13.87 9.033 356 354 81.03 92.23 25.18 0.00
Full doc 2 yr W2/tax
returns 111 18,327,983 7.74 9.287 356 354 77.79 98.14 11.75 100.00
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 11 of 12
MORGAN STANLEY DEAN WITTER CAPITAL I - 2001-NC3 MORGAN STANLEY
1,216 records
Group II Balance: 236,720,555
===================================================================================================================================
% of
% of % of Mortgage
Mortgage Mortgage Pool by
% of Pool by Pool by Aggregate
Mortgage Aggregate Aggregate Cut-off
Pool by Cut-off Cut-off Date
Aggregate Aggregate Weighted Date Date Principal
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Balance
of Date Date Gross Average Average Average Balance Balance are Full
Mortgage Principal Principal Interest Original Remaining Original are Owner are Documen-
Credit Score Loans Balance Balance Rate Term Term LTV Occupied Purchases tation
---------------------- -------- ------------ --------- -------- -------- --------- -------- --------- --------- --------
NA 2 282,446 0.12 9.460 360 358 84.64 100.00 54.71 100.00
Below 500 4 569,982 0.24 10.310 360 358 75.31 100.00 0.00 31.67
500 - 525 171 28,996,161 12.25 9.899 353 351 76.95 99.19 9.43 67.59
526 - 550 212 36,755,808 15.53 9.451 350 348 77.33 94.28 11.01 62.58
551 - 575 183 36,354,227 15.36 9.316 350 349 77.18 96.92 13.06 53.44
576 - 600 173 35,280,084 14.90 9.052 353 351 78.08 96.06 18.24 50.58
601 - 625 160 35,430,253 14.97 8.884 352 350 79.13 97.27 20.07 46.02
626 - 650 144 28,890,411 12.20 8.764 354 353 78.75 93.06 19.59 32.91
651 - 675 84 17,040,467 7.20 8.879 350 348 79.85 90.46 31.43 30.60
676 - 700 51 10,044,844 4.24 8.796 354 353 80.96 90.61 24.60 25.49
701 - 725 14 3,452,893 1.46 8.771 360 358 81.26 82.84 28.77 38.38
726 - 750 7 1,883,396 0.80 9.063 353 351 85.05 76.28 23.87 42.58
751 - 775 5 1,076,094 0.45 8.665 360 358 77.95 67.65 32.35 9.29
776 - 800 4 422,918 0.18 8.891 360 359 76.78 100.00 29.76 14.41
Above 800 2 240,569 0.10 7.477 235 232 47.99 69.28 0.00 100.00
Total: 1,216 236,720,555 100.00 9.171 352 350 78.25 94.99 17.16 49.19
Minimum: 448
Maximum: 801
Weighted Average: 591
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley")
considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained herein may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here. Additional information is available upon request. Morgan Stanley and others associated with it may
have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or
seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily
indicative of future results. Price and availability are subject to change without notice. Information contained in this material is
current as of the date appearing on this material only. Information in this material regarding any assets backing any securities
discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not
acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition,
please not that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their
Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTIONS TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Pag 12 of 12