EXHIBIT 99.1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ September 29, 2004
Securitized Products Group [▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
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Computational Materials
$693,855,000
Approximately
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Series 2004-HE8
Mortgage Pass-Through Certificates
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ September 29, 2004
Securitized Products Group [▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
-------------------------- --------------------------------- -------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and each recipient hereof are
deemed to agree that both ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ does not undertake or have any responsibility to
notify you of any changes to the attached information. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 2
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ September 29, 2004
Securitized Products Group [▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
-------------------------- --------------------------------- -------------------
Approximately $693,855,000
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc., Series 2004-HE8
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Depositor
Chase Manhattan Mortgage Corporation
Countrywide Home Loans Inc.
Servicer
Transaction Highlights
----------------------
-------- -------------- ---------------- ----------------------- -------------- ------------ ------------------------------
Modified
Avg Life to Duration
Offered Expected Ratings Call / To Call / Payment Window To Call /
Classes Description Balance(4) (S&P/Fitch/Moody's) Mty(1)(2) Mty(1)(2)(3) Mty(1)(2)
======== ============== ================ ======================= ============== ============ ==============================
A-1 Not Offered 556,789,000 AAA/AAA/Aaa 2.70 / 2.92 *****Not Offered*****
A-2 Not Offered 101,498,000 AAA/AAA/Aaa 2.68 / 2.90 *****Not Offered*****
A-3 Floater 25,375,000 AAA/AAA/Aaa 2.68 / 2.90 2.55 / 2.72 11/04 - 09/12 / 11/04 - 07/21
A-4 Floater 175,000,000 AAA/AAA/Aaa 2.73 / 2.98 2.60 / 2.80 11/04 - 09/12 / 11/04 - 04/22
A-5 Not Offered 148,500,000 AAA/AAA/Aaa 0.97 / 0.97 *****Not Offered*****
A-6 Floater 76,500,000 AAA/AAA/Aaa 3.00 / 3.00 2.91 / 2.91 10/06 - 05/09 / 10/06 - 05/09
A-7 Floater 60,350,000 AAA/AAA/Aaa 6.72 / 7.90 6.21 / 7.14 05/09 - 09/12 / 05/09 - 04/22
M-1 Floater 39,810,000 AA+/AA+/Aa1 5.29 / 5.85 4.94 / 5.38 02/08 - 09/12 / 02/08 - 02/19
M-2 Floater 41,207,000 AA/AA/Aa2 5.27 / 5.81 4.92 / 5.34 01/08 - 09/12 / 01/08 - 08/18
M-3 Floater 23,746,000 AA-/AA-/Aa3 5.27 / 5.78 4.90 / 5.31 12/07 - 09/12 / 12/07 - 11/17
M-4 Floater 20,953,000 A+/A+/A1 5.25 / 5.74 4.83 / 5.21 12/07 - 09/12 / 12/07 - 06/17
M-5 Floater 19,556,000 A/A/A2 5.25 / 5.72 4.82 / 5.17 12/07 - 09/12 / 12/07 - 12/16
M-6 Floater 18,857,000 A-/A-/A3 5.25 / 5.68 4.79 / 5.11 12/07 - 09/12 / 12/07 - 05/16
B-1 Floater 16,065,000 BBB+/BBB+/Baa1 5.24 / 5.62 4.71 / 4.98 11/07 - 09/12 / 11/07 - 10/15
B-2 Floater 13,968,000 BBB/BBB/Baa2 5.24 / 5.55 4.69 / 4.91 11/07 - 09/12 / 11/07 - 02/15
B-3 Floater 13,968,000 BBB-/BBB-/Baa3 5.24 / 5.45 4.48 / 4.62 11/07 - 09/12 / 11/07 - 06/14
-------- -------------- ---------------- ----------------------- -------------- ------------ ------------------------------
-------- ----------------- ---------------
Initial
Offered Subordination
Classes Level(5) Benchmark
======== ================= ===============
A-1 18.10% 1 Mo. LIBOR
A-2 18.10% 1 Mo. LIBOR
A-3 18.10% 1 Mo. LIBOR
A-4 18.10% 1 Mo. LIBOR
A-5 18.10% 1 Mo. LIBOR
A-6 18.10% 1 Mo. LIBOR
A-7 18.10% 1 Mo. LIBOR
M-1 15.25% 1 Mo. LIBOR
M-2 12.30% 1 Mo. LIBOR
M-3 10.60% 1 Mo. LIBOR
M-4 9.10% 1 Mo. LIBOR
M-5 7.70% 1 Mo. LIBOR
M-6 6.35% 1 Mo. LIBOR
B-1 5.20% 1 Mo. LIBOR
B-2 4.20% 1 Mo. LIBOR
B-3 3.20% 1 Mo. LIBOR
-------- ----------------- ---------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
(5) Subordination levels to be finalized.
Issuer: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc. Trust 2004-HE8.
Depositor: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Originators: Aames Capital Corporation and NC Capital Corporation.
Servicer: Chase Manhattan Mortgage Corporation and Countrywide Home Loans Inc.
Trustee: Deutsche Bank National Trust Company.
Managers: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (lead manager), Countrywide Securities Corp. and ▇▇▇▇▇▇▇▇ Capital
Partners, L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and ▇▇▇▇▇'▇ Investors Service.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 3
Offered Certificates: Class A-3, A-4, A-5, A-6, A-7, M-1, M-2, M-3, M-4, M-5, M-6, B-1, B-2 and B-3
Certificates.
Group I Class A Class A-1 Certificates.
Certificates:
Group II Class A Class A-2 and Class A-3 Certificates.
Certificates:
Group III Class A Class A-4, Class A-5, Class A-6 and Class A-7 Certificates.
Certificates:
Group III Class A Class A-5, Class A-6 and Class A-7 Certificates.
Sequential Certificates:
Expected Closing Date: October 28, 2004 through DTC and Euroclear or Clearstream. The Certificates will
be sold without accrued interest.
Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business
day, beginning November 25, 2004.
Final Scheduled
Distribution Date: The Distribution Date occurring in September 2034.
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 previous Distribution
Date (or, in the case of the first Distribution Date, the Closing Date) and
ending on the day prior to the current Distribution Date (on an actual/360 day
count basis).
Mortgage Loans: The Trust will consist of three groups of adjustable and fixed rate sub-prime
residential mortgage loans.
Group I Mortgage Loans: Approximately $679.8 million of Mortgage Loans with original principal balances
that conform to the original principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase by Freddie Mac.
Group II Mortgage Loans: Approximately $154.9 million of Mortgage Loans with original principal balances that
conform to the original principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase by Freddie Mac.
Group III Mortgage Loans: Approximately $562.1 million of Mortgage Loans that have original principal balances
that may or may not conform to the original principal balance limits for one- to
four-family residential mortgage loan guidelines for purchase by Freddie Mac.
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at approximately 1.5333% CPR in month 1
and increasing to 23% CPR in month 15 (23%/15 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) 3.20% overcollateralization (funded upfront). On and after the Step-down
Date, so long as a Trigger Event is not in effect, the required
overcollateralization will equal 6.40% of the aggregate principal balance of
the Mortgage Loans as of the last day of the applicable Due Period, subject to
a 0.50% floor, based on the aggregate principal balance of the Mortgage Loans
as of the cut-off date, and
3) Subordination of distributions on the more subordinate classes of certificates
(if applicable) to the required distributions on the more senior classes of
certificates.
Senior Enhancement For any Distribution Date, the percentage obtained by dividing (x) the aggregate
Percentage: Certificate Principal Balance of the subordinate certificates (together with any
overcollateralization and taking into account the distributions of the Principal
Distribution Amount for such Distribution Date) by (y) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due Period.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 4
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in November 2007; and
(b) The Distribution Date on which the aggregate balance of the Class A
Certificates is reduced to zero; and
(y) The first Distribution Date on which the Senior Enhancement Percentage
(calculated for this purpose only after taking into account payments of
principal on the Mortgage Loans on the last day of the related Due Period but
prior to principal distributions to the certificates on the applicable
Distribution Date) is greater than or equal to approximately 36.20%.
Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss Trigger Event.
Delinquency Trigger A Delinquency Trigger Event is in effect on any Distribution Date if on that
Event: Distribution Date the 60 Day+ Rolling Average equals or exceeds [40%] of the prior
period's Senior Enhancement Percentage. The 60 Day+ Rolling Average will equal
the rolling 3 month average percentage of Mortgage Loans that are 60 or more days
delinquent.
Cumulative Loss Trigger A Cumulative Loss Trigger Event is in effect on any Distribution Date if the
Event: aggregate amount of Realized Losses incurred since the cut-off date through the
last day of the related Prepayment Period divided by the aggregate Stated
Principal Balance of the mortgage loans as of the cut-off date exceeds the
applicable percentages described below with respect to such distribution date:
Months 37- 48 [3.00] for the first month, plus an additional
1/12th of [1.50] for each month thereafter (e.g., [3.750]
in Month 43)
Months 49- 60 [4.50] for the first month, plus an additional
1/12th of [1.25] for each month thereafter (e.g., [5.125]
in Month 55)
Months 61- 72 [5.75] for the first month, plus an additional
1/12th of [0.75] for each month thereafter (e.g., [6.125]
in Month 67)
Months 73- thereafter [6.50]
Group II Sequential A Group II Sequential Trigger Event is in effect on any Distribution Date if,
Trigger Event: before the 37th Distribution Date, the aggregate amount of Realized Losses incurred
since the cut-off date through the last day of the related Prepayment Period
divided by the aggregate Stated Principal Balance of the mortgage loans as of the
cut-off date exceeds [3.00]%, or if, on or after the 37th Distribution Date, a
Trigger Event is in effect.
Initial Subordination Class A: 18.10%
Percentage: Class M-1: 15.25%
Class M-2: 12.30%
Class M-3: 10.60%
Class M-4: 9.10%
Class M-5: 7.70%
Class M-6: 6.35%
Class B-1: 5.20%
Class B-2: 4.20%
Class B-3: 3.20%
Optional Clean-up Call: When the current aggregate principal balance of the Mortgage Loans is
less than or equal to 10% of the aggregate principal balance of the Mortgage
Loans as of the cut-off date.
Step-up Coupons: For all Offered Certificates the coupon will increase after the optional clean-up
call date, should the call not be exercised. The applicable fixed margin will
increase by 2x on the Class A Certificates and by 1.5x on all other Certificates
after the first distribution date on which the Optional Clean-up Call is
exercisable.
Class A-1 Pass-Through The Class A-1 Certificates will accrue interest at a variable rate equal to the least
Rate: of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable), (ii) the Loan Group I Cap
and (iii) the WAC Cap.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 5
Class A-2 and A-3 The Class A-2 and A-3 Certificates will accrue interest at a variable rate equal to
Pass-Through Rate: the least of (i) one-month LIBOR plus [] bps ([] bps after the first distribution
date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group II
Cap and (iii) the WAC Cap.
Class A-4, A-5, A-6 and The Class A-4, A-5, A-6 and A-7 Certificates will accrue interest at a variable
A-7 Pass-Through Rate: 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 III Cap and (iii) the WAC Cap.
Class M-1 Pass-Through The Class M-1 Certificates will accrue interest at a variable rate equal to the
Rate: lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class M-2 Pass-Through The Class M-2 Certificates will accrue interest at a variable rate equal to the
Rate: lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class M-3 Pass-Through The Class M-3 Certificates will accrue interest at a variable rate equal to the
Rate: lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class M-4 Pass-Through The Class M-4 Certificates will accrue interest at a variable rate equal to the
Rate: lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class M-5 Pass-Through The Class M-5 Certificates will accrue interest at a variable rate equal to the
Rate: lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class M-6 Pass-Through The Class M-6 Certificates will accrue interest at a variable rate equal to the
Rate: lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class B-1 Pass-Through The Class B-1 Certificates will accrue interest at a variable rate equal to the
Rate: lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class B-2 Pass-Through The Class B-2 Certificates will accrue interest at a variable rate equal to the
Rate: lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class B-3 Pass-Through The Class B-3 Certificates will accrue interest at a variable rate equal to the
Rate: lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
WAC Cap: For any distribution date, the weighted average of the mortgage rates for each
mortgage loan (in each case, less the applicable Expense Fee Rate) then in effect
on the beginning of the related Due Period, adjusted, in each case, to accrue on
the basis of a 360-day year and the actual number of days in the related Interest
Accrual Period.
Loan Group I Cap: For any distribution date, the weighted average of the mortgage rates for each group
I mortgage loan (in each case, less the applicable Expense Fee Rate) then in
effect on the beginning of the related Due Period, adjusted, in each case, to
accrue on the basis of a 360-day year and the actual number of days in the
related Interest Accrual Period.
Loan Group II Cap: For any distribution date, the weighted average of the mortgage rates for
each group II mortgage loan (in each case, less the applicable Expense Fee Rate)
then in effect on the beginning of the related Due Period, adjusted, in each
case, to accrue on the basis of a 360-day year and the actual number of days in
the related Interest Accrual Period.
Loan Group III Cap: For any distribution date, the weighted average of the mortgage rates for each group
III mortgage loan (in each case, less the applicable Expense Fee Rate) then in
effect on the beginning of the related Due Period, adjusted, in each case, to
accrue on the basis of a 360-day year and the actual number of days in the
related Interest Accrual Period.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 6
Class A-1 Basis Risk As to any Distribution Date, the supplemental interest amount for the Class A-1
Carry Forward Amount: Certificates will equal the sum of:
(i) The excess, if any, of interest that would otherwise be due on such
Certificates at the Class A-1 Pass-Through Rate (without regard to the
Loan Group I Cap or WAC Cap) over interest due such Certificates at a
rate equal to the lesser of the Loan Group I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward Amount remaining unpaid from
prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the related Class A-1
Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap).
Class A-2 and A-3 Basis As to any Distribution Date, the supplemental interest amount for each of the Class
Risk Carry Forward A-2 and A-3 Certificates will equal the sum of:
Amount:
(i) The excess, if any, of interest that would otherwise be due on such
Certificates at the Class A-2 and A-3 Pass-Through Rates (without
regard to the Loan Group II Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the Loan Group II Cap or
WAC Cap;
(ii) Any Class A-2 and A-3 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 and A-3
Pass-Through Rate (without regard to the Loan Group II Cap or WAC Cap).
Class A-4, A-5, A-6 and As to any Distribution Date, the supplemental interest amount for each of the Class
A-7 Basis Risk Carry A-4, A-5, A-6 and A-7 Certificates will equal the sum of:
Forward Amount:
(i) The excess, if any, of interest that would otherwise be due on such
Certificates at the Class A-4, A-5, A-6 and A-7 Pass-Through Rates
(without regard to the Loan Group III Cap or WAC Cap) over interest due
such Certificates at a rate equal to the lesser of the Loan Group III
Cap or WAC Cap;
(ii) Any Class A-4, A-5, A-6 and A-7 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-4, A-5,
A-6 and A-7 Pass-Through Rate (without regard to the Loan Group III Cap
or WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the supplemental interest amount for each of the Class M-1, M-2,
M-4, M-5, M-6, B-1, B-2 M-3, M-4, M-5, M-6, B-1, B-2 and B-3 Certificates will equal the sum of:
and B-3 Basis Risk Carry
Forward Amounts:
(i) The excess, if any, of interest that would otherwise be due on such
Certificates at such Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap) over interest due such Certificates at
a rate equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for
such Certificate from prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the Certificates' applicable
Pass-Through Rate (without regard to the WAC Cap).
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 7
Interest Distributions On each Distribution Date and after payments of servicing and trustee fees and on
Offered Certificates: other expenses, interest distributions from the Interest Remittance Amount will be
allocated as follows:
(i) The portion of the Interest Remittance Amount attributable to the Group
I Mortgage Loans will be allocated according to the related Accrued
Certificate Interest and any unpaid interest shortfall amounts for such
class, as applicable, first, to the Class A-1 Certificates, second, pro
rata to the Group II Class A Certificates and the Group III Class A
Certificates;
(ii) The portion of the Interest Remittance Amount attributable to the Group
II Mortgage Loans will be allocated according to the related Accrued
Certificate Interest and any unpaid interest shortfall amounts for such
class, as applicable, first, on a pro rata basis, to the Group II Class
A Certificates and second, pro rata to the Class A-1 Certificates and
the Group III Class A Certificates;
(iii) The portion of the Interest Remittance Amount attributable to the Group
III Mortgage Loans will be allocated according to the related Accrued
Certificate Interest and any unpaid interest shortfall amounts for such
class, as applicable, first, on a pro rata basis to the Group III Class
A Certificates and second, pro rata to the Class A-1 Certificates and
Group II Class A Certificates;
(iv) To the Class M-1 Certificates, its Accrued Certificate Interest;
(v) To the Class M-2 Certificates, its Accrued Certificate Interest;
(vi) To the Class M-3 Certificates, its Accrued Certificate Interest;
(vii) To the Class M-4 Certificates, its Accrued Certificate Interest;
(viii) To the Class M-5 Certificates, its Accrued Certificate Interest;
(ix) To the Class M-6 Certificates, its Accrued Certificate Interest;
(x) To the Class B-1 Certificates, its Accrued Certificate Interest;
(xi) To the Class B-2 Certificates, its Accrued Certificate Interest, and
(xii) To the Class B-3 Certificates, its Accrued Certificate Interest.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 8
Principal Distributions On each Distribution Date (a) prior to theStepdown Date or (b) on which a Trigger Event is
on Offered Certificates: 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 has been reduced to zero;
(iii) to the Class M-2 Certificates, until the Certificate Principal Balance
thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, until the Certificate Principal Balance
thereof has been reduced to zero;
(v) to the Class M-4 Certificates, until the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class M-5 Certificates, until the Certificate Principal Balance
thereof has been reduced to zero;
(vii) to the Class M-6 Certificates, until the Certificate Principal Balance
thereof has been reduced to zero;
(viii) to the Class B-1 Certificates, until the Certificate Principal Balance
thereof has been reduced to zero;
(ix) to the Class B-2 Certificates, until the Certificate Principal Balance
thereof has been reduced to zero; and
(x) to the Class B-3 Certificates, until the Certificate Principal Balance
thereof has been reduced to zero.
On each Distribution Date (a) on or after the Stepdown Date and (b) on which a
Trigger Event is not in effect, the principal distributions from the Principal
Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, the lesser of the Principal Distribution
Amount and the Class A Principal Distribution Amount, allocated between
the Class A Certificates as described below, until the Certificate
Principal Balances thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, the lesser of the remaining Principal
Distribution Amount and the Class M-1 Principal Distribution Amount,
until the Certificate Principal Balance thereof has been reduced to
zero;
(iii) to the Class M-2 Certificates, the lesser of the remaining Principal
Distribution Amount and the Class M-2 Principal Distribution Amount,
until the Certificate Principal Balance thereof has been reduced to
zero;
(iv) to the Class M-3 Certificates, the lesser of the remaining Principal
Distribution Amount and the Class M-3 Principal Distribution Amount,
until the Certificate Principal Balance thereof has been reduced to
zero;
(v) to the Class M-4 Certificates, the lesser of the remaining Principal
Distribution Amount and the Class M-4 Principal Distribution Amount,
until the Certificate Principal Balance thereof has been reduced to
zero;
(vi) to the Class M-5 Certificates, the lesser of the remaining Principal
Distribution Amount and the Class M-5 Principal Distribution Amount,
until the Certificate Principal Balance thereof has been reduced to
zero;
(vii) to the Class M-6 Certificates, the lesser of the remaining Principal
Distribution Amount and the Class M-6 Principal Distribution Amount,
until the Certificate Principal Balance thereof has been reduced to
zero;
(viii) to the Class B-1 Certificates, the lesser of the remaining Principal
Distribution Amount and the Class B-1 Principal Distribution Amount,
until the Certificate Principal Balance thereof has been reduced to
zero;
(ix) to the Class B-2 Certificates, the lesser of the remaining Principal
Distribution Amount and the Class B-2 Principal Distribution Amount,
until the Certificate Principal Balance thereof has been reduced to
zero; and
(x) to the Class B-3 Certificates, the lesser of the remaining Principal
Distribution Amount and the Class B-3 Principal Distribution Amount,
until the Certificate Principal Balance thereof has been reduced to
zero.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 9
Class A Principal Except as described below, the Group III Class A Sequential Certificates will
Allocation: receive principal sequentially; the Class A-6 Certificates will not receive
principal distributions until the Certificate Principal Balance of the Class A-5
Certificates has been reduced to zero, and the Class A-7 Certificates will not
receive principal distributions until the Certificate Principal Balance of the
Class A-6 Certificates has been reduced to zero.
All principal distributions to the holders of the Class A Certificates on any
Distribution Date will be allocated concurrently among the Class A-1
Certificates, the Group II Class A Certificates and the Group III Class A
Certificates based on the Class A Principal Allocation Percentage for the Class
A-1 Certificates, Group II Class A Certificates and the Group III Class A
Certificates, as applicable.
However, if the Class Certificate Balances of the Class A Certificates in any
Class A Certificate Group are reduced to zero, then the remaining amount of
principal distributions distributable to the Class A Certificates on that
Distribution Date, and the amount of those principal distributions distributable
on all subsequent Distribution Dates, will be distributed pro rata to the holders
of the Class A certificates in the other Class A Certificate Groups remaining
outstanding, based on their remaining class certificate balances and in
accordance with the principal distribution allocations described herein, until
their Class Certificate Balances have been reduced to zero. Any payments of
principal to the Class A-1 Certificates will be made first from payments relating
to the Group I Mortgage Loans, any payments of principal to the Group II Class A
Certificates will be made first from payments relating to the Group II Mortgage
Loans and any payments of principal to the Group III Class A Certificates will be
made first from payments relating to the Group III Mortgage Loans.
Any principal distributions allocated to the Group II Class A Certificates are
required to be distributed pro rata among the Class A-2 and Class A-3
Certificates, with the exception that if a Group II Sequential Trigger Event is
in effect, principal distributions to the Group II Class A Certificates will be
allocated first to the Class A-2 Certificates, until their Class Certificate
Balance has been reduced to zero, and then to the Class A-3 Certificates, until
their Class Certificate Balance has been reduced to zero.
Any principal distributions allocated to the Group III Class A Certificates are
required to be distributed pro rata among the Class A-4 Certificates and the
Group III Class A Sequential Certificates. Principal distributions to the Group
III Class A Sequential Certificates will be allocated first to the Class A-5
Certificates, until their Class Certificate Balance has been reduced to zero,
then to the Class A-6 Certificates, until their Class Certificate Balance has
been reduced to zero, and then to the Class A-7 Certificates, until their Class
Certificate Balance has been reduced to zero..
Notwithstanding the above, in the event that all subordinate classes, including
the Class X certificates, have been reduced to zero, principal distributions to
the Group III Class A Certificates will be distributed pro rata between the Class
A-4, Class A-5, Class A-6 and Class A-7 Certificates.
Class A-3 Interest Rate Beginning on the first Distribution Date, and for a period of 31 months thereafter,
Cap: an Interest Rate Cap will be entered into by the Trust for the benefit of the Class
A-3 Certificates.
For its duration, the Class A-3 Interest Rate Cap pays the Trust the product of
(i) the excess, if any, of the then current 1-month LIBOR rate (not to exceed the
cap ceiling) over the cap strike (on an Actual/360 day count basis) and (ii) the
Class A-3 Interest Rate Cap Notional Balance ("the Class A-3 Interest Rate Cap
Payment") as described on the schedule herein.
Class A-3 Interest Rate The Class A-3 Interest Rate Cap Payment shall be available to pay any Basis Risk
Cap Payment Allocation: Carry Forward Amount due to the Class A-3 Certificates.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 10
Group III Class A Beginning on the first Distribution Date, and for a period of 31 months thereafter,
Interest Rate Cap: an Interest Rate Cap will be entered into by the Trust for the benefit of the Group
III Class A Certificates.
For its duration, the Group III Class A Interest Rate Cap pays the Trust the
product of (i) the excess, if any, of the then current 1-month LIBOR rate (not to
exceed the cap ceiling) over the cap strike (on an Actual/360 day count basis)
and (ii) the Group III Class A Interest Rate Cap Notional Balance ("the Group III
Class A Interest Rate Cap Payment") as described on the schedule herein.
Group III Class A The Group III Class A Interest Rate Cap Payment shall be available to pay any Basis
Interest Rate Cap Risk Carry Forward Amount due to the Group III Class A Certificates on a pro rata
Payment Allocation: basis.
Class M Interest Rate Beginning on the first Distribution Date, and for a period of 38 months thereafter,
Cap: an Interest Rate Cap will be pledged to the Trust for the benefit of the Class M
Certificates.
For its duration, the Class M Interest Rate Cap pays the Trust the product of (i)
the difference between the then current 1-month LIBOR rate (not to exceed the cap
ceiling) and the cap strike (on an Actual/360 day count basis) and (ii) the Class
M Interest Rate Cap Notional Balance ("the Class M Interest Rate Cap Payment") as
described on the schedule herein.
Class M Interest Rate The Class M Interest Rate Cap Payment shall be available to pay any Basis Risk
Cap Payment Allocation: Carry Forward Amount due to the Class M-1, Class M-2, Class M-3, Class M-4, Class
M-5 and Class M-6 Certificates on a pro rata basis.
Class B Interest Rate Beginning on the first Distribution Date, and for a period of 38 months thereafter,
Cap: an Interest Rate Cap will be pledged to the Trust for the benefit of the Class B
Certificates.
For its duration, the Class B Interest Rate Cap pays the Trust the product of (i)
the difference between the then current 1-month LIBOR rate (not to exceed the cap
ceiling) and the cap strike (on an Actual/360 day count basis) and (ii) the Class
B Interest Rate Cap Notional Balance ("the Class B Interest Rate Cap Payment") as
described on the schedule herein.
Class B Interest Rate The Class B Interest Rate Cap Payment shall be available to pay any Basis Risk
Cap Payment Allocation: Carry Forward Amount due to the Class B-1, Class B-2 and Class B-3 Certificates on
a pro rata basis.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 11
Allocation of Net For any Distribution Date, any Net Monthly Excess Cashflow shall be paid as follows:
Monthly Excess Cashflow:
(i) to the Class M-1 Certificates, the unpaid interest shortfall amount;
(ii) to the Class M-1 Certificates, the allocated unreimbursed realized loss
amount;
(iii) to the Class M-2 Certificates, the unpaid interest shortfall amount;
(iv) to the Class M-2 Certificates, the allocated unreimbursed realized loss
amount;
(v) to the Class M-3 Certificates, the unpaid interest shortfall amount;
(vi) to the Class M-3 Certificates, the allocated unreimbursed realized loss
amount;
(vii) to the Class M-4 Certificates, the unpaid interest shortfall amount;
(viii) to the Class M-4 Certificates, the allocated unreimbursed realized loss
amount;
(ix) to the Class M-5 Certificates, the unpaid interest shortfall amount;
(x) to the Class M-5 Certificates, the allocated unreimbursed realized loss
amount;
(xi) to the Class M-6 Certificates, the unpaid interest shortfall amount;
(xii) to the Class M-6 Certificates, the allocated unreimbursed realized loss
amount;
(xiii) to the Class B-1 Certificates, the unpaid interest shortfall amount;
(xiv) to the Class B-1 Certificates, the allocated unreimbursed realized loss
amount;
(xv) to the Class B-2 Certificates, the unpaid interest shortfall amount;
(xvi) to the Class B-2 Certificates, the allocated unreimbursed realized loss
amount;
(xvii) to the Class B-3 Certificates, the unpaid interest shortfall amount;
(xviii) to the Class B-3 Certificates, the allocated unreimbursed realized loss
amount;
(xix) concurrently, any unpaid Class A-1 Basis Risk Carry Forward Amount to
the Class A-1 Certificates, any unpaid Group II Class A Basis Risk
Carry Forward Amount to the Group II Class A Certificates and any
unpaid Group III Class A Basis Risk Carry Forward Amount to the Group
III Class A Certificates; and
(xx) sequentially, to Classes M-1, M-2, M-3, M-4, M-5, M-6, B-1, B-2 and B-3
Certificates, in such order, any unpaid Basis Risk Carry Forward Amount
for such classes.
Interest Remittance For any Distribution Date, the portion of available funds for such Distribution
Amount: Date attributable to interest received or advanced on the Mortgage Loans.
Accrued Certificate For any Distribution Date and each class of Offered Certificates, equals the amount
Interest: of interest accrued during the related interest accrual period at the related
Pass-through Rate, reduced by any prepayment interest shortfalls and shortfalls
resulting from the application of the Servicemembers Civil Relief Act or similar
state law allocated to such class.
Principal Distribution On any Distribution Date, the sum of (i) the Basic Principal Distribution Amount
Amount: and (ii) the Extra Principal Distribution Amount.
Basic Principal On any Distribution Date, the excess of (i) the aggregate principal remittance
Distribution Amount: amount over (ii) the Excess Subordinated Amount, if any.
Net Monthly Excess For any Distribution Date is the amount of funds available for distribution on such
Cashflow: Distribution Date remaining after making all distributions of interest and
principal on the certificates.
Extra Principal For any Distribution Date, the lesser of (i) the excess of (x) interest collected
Distribution Amount: or advanced with respect to the Mortgage Loans with due dates in the related Due
Period (less servicing and trustee fees and expenses), over (y) the sum of
interest payable on the Certificates on such Distribution Date and (ii) the
overcollateralization deficiency amount for such Distribution Date.
Excess Subordinated For any Distribution Date, means the excess, if any, of the overcollateralization
Amount: over the required overcollateralization for such Distribution Date.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
Class A Principal For any Distribution Date, the percentage equivalent of a fraction, determined as
Allocation Percentage: 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 Group I Mortgage
Loans and the denominator of which is (y) the principal remittance amount for
such Distribution Date, (ii) in the case of the Group II Class A Certificates,
the numerator of which is (x) the portion of the principal remittance amount for
such Distribution Date that is attributable to principal received or advanced on
the Group II Mortgage Loans and the denominator of which is (y) the principal
remittance amount for such Distribution Date and (iii) in the case of the Group
III Class A Certificates, the numerator of which is (x) the portion of the
principal remittance amount for such Distribution Date that is attributable to
principal received or advanced on the Group III Mortgage Loans and the
denominator of which is (y) the principal remittance amount for such Distribution
Date.
Class A Principal For any Distribution Date, an amount equal to the excess of (x) the aggregate
Distribution Amount: 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
63.80% and (ii) the aggregate principal balance of the Mortgage Loans as of the
last day of the related Due Period and (B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the last day of the related Due
Period over $6,984,207.
Class M-1 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the
Distribution Amount: 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 69.50% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period over $6,984,207.
Class M-2 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the
Distribution Amount: 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
75.40% and (ii) the aggregate principal balance of the Mortgage Loans as of the
last day of the related Due Period and (B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the last day of the related Due
Period over $6,984,207.
Class M-3 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the
Distribution Amount: aggregate Certificate Principal Balance of the Class A Certificates (after taking
into account the payment of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of
the Class M-2 Principal Distribution Amount on such Distribution Date) and (iv)
the Certificate Principal Balance of the Class M-3 Certificates immediately prior
to such Distribution Date over (y) the lesser of (A) the product of (i)
approximately 78.80% and (ii) the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as of the last day of the
related Due Period over $6,984,207.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Class M-4 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the
Distribution Amount: aggregate Certificate Principal Balance of the Class A Certificates (after taking
into account the payment of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of
the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3 Certificates (after taking into
account the payment of the Class M-3 Principal Distribution Amount on such
Distribution Date) and (v) the Certificate Principal Balance of the Class M-4
Certificates immediately prior to such Distribution Date over (y) the lesser of
(A) the product of (i) approximately 81.80% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period over $6,984,207.
Class M-5 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the
Distribution Amount: aggregate Certificate Principal Balance of the Class A Certificates (after taking
into account the payment of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of
the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3 Certificates (after taking into
account the payment of the Class M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal Balance of the Class M-4
Certificates (after taking into account the payment of the Class M-4 Principal
Distribution Amount on such Distribution Date) and (vi) the Certificate Principal
Balance of the Class M-5 Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i) approximately 84.60% and (ii) the
aggregate principal balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the aggregate principal balance
of the Mortgage Loans as of the last day of the related Due Period over
$6,984,207.
Class M-6 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the
Distribution Amount: aggregate Certificate Principal Balance of the Class A Certificates (after taking
into account the payment of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of
the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3 Certificates (after taking into
account the payment of the Class M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal Balance of the Class M-4
Certificates (after taking into account the payment of the Class M-4 Principal
Distribution Amount on such Distribution Date), (vi) the Certificate Principal
Balance of the Class M-5 Certificates (after taking into account the payment of
the Class M-5 Principal Distribution Amount on such Distribution Date) and (vii)
the Certificate Principal Balance of the Class M-6 Certificates immediately prior
to such Distribution Date over (y) the lesser of (A) the product of (i)
approximately 87.30% and (ii) the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as of the last day of the
related Due Period over $6,984,207.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
Class B-1 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the
Distribution Amount: aggregate Certificate Principal Balance of the Class A Certificates (after taking
into account the payment of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of
the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3 Certificates (after taking into
account the payment of the Class M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal Balance of the Class M-4
Certificates (after taking into account the payment of the Class M-4 Principal
Distribution Amount on such Distribution Date), (vi) the Certificate Principal
Balance of the Class M-5 Certificates (after taking into account the payment of
the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the
Certificate Principal Balance of the Class M-6 Certificates (after taking into
account the payment of the Class M-6 Principal Distribution Amount on such
Distribution Date) and (viii) the Certificate Principal Balance of the Class B-1
Certificates immediately prior to such Distribution Date over (y) the lesser of
(A) the product of (i) approximately 89.60% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period over $6,984,207.
Class B-2 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the
Distribution Amount: aggregate Certificate Principal Balance of the Class A Certificates (after taking
into account the payment of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of
the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3 Certificates (after taking into
account the payment of the Class M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal Balance of the Class M-4
Certificates (after taking into account the payment of the Class M-4 Principal
Distribution Amount on such Distribution Date), (vi) the Certificate Principal
Balance of the Class M-5 Certificates (after taking into account the payment of
the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the
Certificate Principal Balance of the Class M-6 Certificates (after taking into
account the payment of the Class M-6 Principal Distribution Amount on such
Distribution Date), (viii) the Certificate Principal Balance of the Class B-1
Certificates (after taking into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date) and (ix) the Certificate Principal
Balance of the Class B-2 Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i) approximately 91.60% and (ii) the
aggregate principal balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the aggregate principal balance
of the Mortgage Loans as of the last day of the related Due Period over
$6,984,207.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
Class B-3 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the
Distribution Amount: aggregate Certificate Principal Balance of the Class A Certificates (after taking
into account the payment of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into account the payment of
the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3 Certificates (after taking into
account the payment of the Class M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal Balance of the Class M-4
Certificates (after taking into account the payment of the Class M-4 Principal
Distribution Amount on such Distribution Date), (vi) the Certificate Principal
Balance of the Class M-5 Certificates (after taking into account the payment of
the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the
Certificate Principal Balance of the Class M-6 Certificates (after taking into
account the payment of the Class M-6 Principal Distribution Amount on such
Distribution Date), (viii) the Certificate Principal Balance of the Class B-1
Certificates (after taking into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date), (ix) the Certificate Principal
Balance of the Class B-2 Certificates (after taking into account the payment of
the Class B-2 Principal Distribution Amount on such Distribution Date) and (x)
the Certificate Principal Balance of the Class B-3 Certificates immediately prior
to such Distribution Date over (y) the lesser of (A) the product of (i)
approximately 93.60% and (ii) the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as of the last day of the
related Due Period over $6,984,207.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA
eligible.
SMMEA Eligibility: It is anticipated that the Class A-2, Class A-3, Class A-4, Class A-5, Class
A-6 and Class A-7 Certificates will be SMMEA eligible.
Prospectus: The Class A-3, Class A-4, Class A-5, Class A-6, Class A-7, Class M-1, Class M-2,
Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3
Certificates are being offered pursuant to a prospectus supplemented by a
prospectus supplement (together, the "Prospectus"). Complete information with
respect to the Offered Certificates and the collateral securing them is contained
in the Prospectus. The information herein is qualified in its entirety by the
information appearing in the Prospectus. To the extent that the information herein
is inconsistent with the Prospectus, the Prospectus shall govern in all respects.
Sales of the Offered Certificates may not be consummated unless the purchaser has
received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT
SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED
CERTIFICATES.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 16
Weighted Average Life Sensitivity
To CALL
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 5.31 4.50 3.62 2.68 2.04 1.55 1.18
First Payment Date 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 1 - 183 1 - 157 1 - 127 1 - 95 1 - 75 1 - 60 1 - 50
----------------------------------------------------------------------------------------------------------------------------------
A-4 WAL 5.37 4.56 3.68 2.73 2.09 1.60 1.23
First Payment Date 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 1 - 183 1 - 157 1 - 127 1 - 95 1 - 75 1 - 60 1 - 50
----------------------------------------------------------------------------------------------------------------------------------
A-5 WAL 1.89 1.60 1.29 0.97 0.78 0.64 0.54
First Payment Date 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 10/25/2008 3/25/2008 7/25/2007 10/25/2006 5/25/2006 2/25/2006 11/25/2005
Window 1 - 48 1 - 41 1 - 33 1 - 24 1 - 19 1 - 16 1 - 13
----------------------------------------------------------------------------------------------------------------------------------
A-6 WAL 6.06 5.11 4.10 3.00 2.20 1.79 1.50
First Payment Date 10/25/2008 3/25/2008 7/25/2007 10/25/2006 5/25/2006 2/25/2006 11/25/2005
Expected Final Maturity 11/25/2013 6/25/2012 12/25/2010 5/25/2009 9/25/2007 2/25/2007 10/25/2006
Window 48 - 109 41 - 92 33 - 74 24 - 55 19 - 35 16 - 28 13 - 24
----------------------------------------------------------------------------------------------------------------------------------
A-7 WAL 13.05 11.14 9.00 6.72 5.20 3.69 2.56
First Payment Date 11/25/2013 6/25/2012 12/25/2010 5/25/2009 9/25/2007 2/25/2007 10/25/2006
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 109 - 183 92 - 157 74 - 127 55 - 95 35 - 75 28 - 60 24 - 50
----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.17 8.64 6.97 5.29 4.60 4.57 4.16
First Payment Date 10/25/2009 12/25/2008 2/25/2008 2/25/2008 6/25/2008 12/25/2008 12/25/2008
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 60 - 183 50 - 157 40 - 127 40 - 95 44 - 75 50 - 60 50 - 50
----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.17 8.64 6.97 5.27 4.49 4.26 4.16
First Payment Date 10/25/2009 12/25/2008 2/25/2008 1/25/2008 4/25/2008 8/25/2008 12/25/2008
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 60 - 183 50 - 157 40 - 127 39 - 95 42 - 75 46 - 60 50 - 50
----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.17 8.64 6.97 5.27 4.43 4.09 4.14
First Payment Date 10/25/2009 12/25/2008 2/25/2008 12/25/2007 3/25/2008 6/25/2008 11/25/2008
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 60 - 183 50 - 157 40 - 127 38 - 95 41 - 75 44 - 60 49 - 50
----------------------------------------------------------------------------------------------------------------------------------
M-4 WAL 10.17 8.64 6.97 5.25 4.40 4.01 3.98
First Payment Date 10/25/2009 12/25/2008 2/25/2008 12/25/2007 2/25/2008 5/25/2008 8/25/2008
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 60 - 183 50 - 157 40 - 127 38 - 95 40 - 75 43 - 60 46 - 50
----------------------------------------------------------------------------------------------------------------------------------
M-5 WAL 10.17 8.64 6.97 5.25 4.38 3.94 3.83
First Payment Date 10/25/2009 12/25/2008 2/25/2008 12/25/2007 2/25/2008 3/25/2008 6/25/2008
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 60 - 183 50 - 157 40 - 127 38 - 95 40 - 75 41 - 60 44 - 50
----------------------------------------------------------------------------------------------------------------------------------
M-6 WAL 10.17 8.64 6.97 5.25 4.35 3.88 3.72
First Payment Date 10/25/2009 12/25/2008 2/25/2008 12/25/2007 1/25/2008 2/25/2008 4/25/2008
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 60 - 183 50 - 157 40 - 127 38 - 95 39 - 75 40 - 60 42 - 50
----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.17 8.64 6.97 5.24 4.34 3.84 3.63
First Payment Date 10/25/2009 12/25/2008 2/25/2008 11/25/2007 12/25/2007 2/25/2008 3/25/2008
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 60 - 183 50 - 157 40 - 127 37 - 95 38 - 75 40 - 60 41 - 50
----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.17 8.64 6.97 5.24 4.31 3.79 3.56
First Payment Date 10/25/2009 12/25/2008 2/25/2008 11/25/2007 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 60 - 183 50 - 157 40 - 127 37 - 95 38 - 75 39 - 60 40 - 50
----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.17 8.64 6.97 5.24 4.31 3.77 3.51
First Payment Date 10/25/2009 12/25/2008 2/25/2008 11/25/2007 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 1/25/2020 11/25/2017 5/25/2015 9/25/2012 1/25/2011 10/25/2009 12/25/2008
Window 60 - 183 50 - 157 40 - 127 37 - 95 38 - 75 38 - 60 39 - 50
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 17
Weighted Average Life Sensitivity
To MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 5.66 4.82 3.91 2.90 2.21 1.69 1.21
First Payment Date 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 11/25/2031 12/25/2029 7/25/2026 7/25/2021 11/25/2017 4/25/2015 5/25/2013
Window 1 - 325 1 - 302 1 - 261 1 - 201 1 - 157 1 - 126 1 - 103
-----------------------------------------------------------------------------------------------------------------------------------
A-4 WAL 5.74 4.91 3.99 2.98 2.29 1.76 1.29
First Payment Date 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 2/25/2032 5/25/2030 2/25/2027 4/25/2022 9/25/2018 2/25/2016 3/25/2014
Window 1 - 328 1 - 307 1 - 268 1 - 210 1 - 167 1 - 136 1 - 113
-----------------------------------------------------------------------------------------------------------------------------------
A-5 WAL 1.89 1.60 1.29 0.97 0.78 0.64 0.54
First Payment Date 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 10/25/2008 3/25/2008 7/25/2007 10/25/2006 5/25/2006 2/25/2006 11/25/2005
Window 1 - 48 1 - 41 1 - 33 1 - 24 1 - 19 1 - 16 1 - 13
-----------------------------------------------------------------------------------------------------------------------------------
A-6 WAL 6.06 5.11 4.10 3.00 2.20 1.79 1.50
First Payment Date 10/25/2008 3/25/2008 7/25/2007 10/25/2006 5/25/2006 2/25/2006 11/25/2005
Expected Final Maturity 11/25/2013 6/25/2012 12/25/2010 5/25/2009 9/25/2007 2/25/2007 10/25/2006
Window 48 - 109 41 - 92 33 - 74 24 - 55 19 - 35 16 - 28 13 - 24
-----------------------------------------------------------------------------------------------------------------------------------
A-7 WAL 14.80 12.80 10.50 7.90 6.13 4.49 2.85
First Payment Date 11/25/2013 6/25/2012 12/25/2010 5/25/2009 9/25/2007 2/25/2007 10/25/2006
Expected Final Maturity 2/25/2032 5/25/2030 2/25/2027 4/25/2022 9/25/2018 2/25/2016 3/25/2014
Window 109 - 328 92 - 307 74 - 268 55 - 210 35 - 167 28 - 136 24 - 113
-----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.04 9.46 7.69 5.85 5.03 4.93 6.18
First Payment Date 10/25/2009 12/25/2008 2/25/2008 2/25/2008 6/25/2008 12/25/2008 1/25/2010
Expected Final Maturity 6/25/2029 1/25/2027 7/25/2023 2/25/2019 2/25/2016 12/25/2013 6/25/2012
Window 60 - 296 50 - 267 40 - 225 40 - 172 44 - 136 50 - 110 63 - 92
-----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.01 9.43 7.66 5.81 4.91 4.61 4.94
First Payment Date 10/25/2009 12/25/2008 2/25/2008 1/25/2008 4/25/2008 8/25/2008 2/25/2009
Expected Final Maturity 10/25/2028 4/25/2026 11/25/2022 8/25/2018 9/25/2015 8/25/2013 2/25/2012
Window 60 - 288 50 - 258 40 - 217 39 - 166 42 - 131 46 - 106 52 - 88
-----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.99 9.40 7.64 5.78 4.83 4.43 4.46
First Payment Date 10/25/2009 12/25/2008 2/25/2008 12/25/2007 3/25/2008 6/25/2008 11/25/2008
Expected Final Maturity 12/25/2027 6/25/2025 1/25/2022 11/25/2017 2/25/2015 3/25/2013 9/25/2011
Window 60 - 278 50 - 248 40 - 207 38 - 157 41 - 124 44 - 101 49 - 83
-----------------------------------------------------------------------------------------------------------------------------------
M-4 WAL 10.96 9.37 7.61 5.74 4.78 4.33 4.24
First Payment Date 10/25/2009 12/25/2008 2/25/2008 12/25/2007 2/25/2008 5/25/2008 8/25/2008
Expected Final Maturity 5/25/2027 10/25/2024 6/25/2021 6/25/2017 10/25/2014 11/25/2012 6/25/2011
Window 60 - 271 50 - 240 40 - 200 38 - 152 40 - 120 43 - 97 46 - 80
-----------------------------------------------------------------------------------------------------------------------------------
M-5 WAL 10.92 9.33 7.57 5.72 4.74 4.24 4.08
First Payment Date 10/25/2009 12/25/2008 2/25/2008 12/25/2007 2/25/2008 3/25/2008 6/25/2008
Expected Final Maturity 9/25/2026 2/25/2024 11/25/2020 12/25/2016 5/25/2014 7/25/2012 3/25/2011
Window 60 - 263 50 - 232 40 - 193 38 - 146 40 - 115 41 - 93 44 - 77
-----------------------------------------------------------------------------------------------------------------------------------
M-6 WAL 10.86 9.28 7.52 5.68 4.67 4.16 3.94
First Payment Date 10/25/2009 12/25/2008 2/25/2008 12/25/2007 1/25/2008 2/25/2008 4/25/2008
Expected Final Maturity 12/25/2025 5/25/2023 2/25/2020 5/25/2016 12/25/2013 3/25/2012 12/25/2010
Window 60 - 254 50 - 223 40 - 184 38 - 139 39 - 110 40 - 89 42 - 74
-----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.79 9.20 7.46 5.62 4.63 4.08 3.83
First Payment Date 10/25/2009 12/25/2008 2/25/2008 11/25/2007 12/25/2007 2/25/2008 3/25/2008
Expected Final Maturity 1/25/2025 6/25/2022 5/25/2019 10/25/2015 6/25/2013 10/25/2011 8/25/2010
Window 60 - 243 50 - 212 40 - 175 37 - 132 38 - 104 40 - 84 41 - 70
-----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.68 9.11 7.38 5.55 4.55 4.00 3.72
First Payment Date 10/25/2009 12/25/2008 2/25/2008 11/25/2007 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 1/25/2024 7/25/2021 7/25/2018 2/25/2015 11/25/2012 5/25/2011 3/25/2010
Window 60 - 231 50 - 201 40 - 165 37 - 124 38 - 97 39 - 79 40 - 65
-----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.53 8.96 7.25 5.45 4.47 3.92 3.62
First Payment Date 10/25/2009 12/25/2008 2/25/2008 11/25/2007 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 12/25/2022 6/25/2020 8/25/2017 6/25/2014 5/25/2012 12/25/2010 11/25/2009
Window 60 - 218 50 - 188 40 - 154 37 - 116 38 - 91 38 - 74 39 - 61
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 18
CPR Sensitivity
To CALL
------------------------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------------------------------------------------------------
A-3 WAL 3.29 2.57 2.04
First Payment Date 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 1 - 116 1 - 92 1 - 75
------------------------------------------------------------------------------------------------------------------------
A-4 WAL 3.29 2.58 2.04
First Payment Date 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 1 - 116 1 - 92 1 - 75
------------------------------------------------------------------------------------------------------------------------
A-5 WAL 1.12 0.88 0.72
First Payment Date 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 3/25/2007 9/25/2006 5/25/2006
Window 1 - 29 1 - 23 1 - 19
------------------------------------------------------------------------------------------------------------------------
A-6 WAL 3.66 2.80 2.15
First Payment Date 3/25/2007 9/25/2006 5/25/2006
Expected Final Maturity 5/25/2010 3/25/2009 8/25/2007
Window 29 - 67 23 - 53 19 - 34
------------------------------------------------------------------------------------------------------------------------
A-7 WAL 8.17 6.46 5.17
First Payment Date 5/25/2010 3/25/2009 8/25/2007
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 67 - 116 53 - 92 34 - 75
------------------------------------------------------------------------------------------------------------------------
M-1 WAL 6.33 5.16 4.62
First Payment Date 11/25/2007 3/25/2008 7/25/2008
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 37 - 116 41 - 92 45 - 75
------------------------------------------------------------------------------------------------------------------------
M-2 WAL 6.33 5.13 4.51
First Payment Date 11/25/2007 2/25/2008 4/25/2008
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 37 - 116 40 - 92 42 - 75
------------------------------------------------------------------------------------------------------------------------
M-3 WAL 6.33 5.11 4.45
First Payment Date 11/25/2007 1/25/2008 3/25/2008
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 37 - 116 39 - 92 41 - 75
------------------------------------------------------------------------------------------------------------------------
M-4 WAL 6.33 5.11 4.42
First Payment Date 11/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 37 - 116 39 - 92 40 - 75
------------------------------------------------------------------------------------------------------------------------
M-5 WAL 6.33 5.09 4.39
First Payment Date 11/25/2007 12/25/2007 2/25/2008
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 37 - 116 38 - 92 40 - 75
------------------------------------------------------------------------------------------------------------------------
M-6 WAL 6.33 5.09 4.36
First Payment Date 11/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 37 - 116 38 - 92 39 - 75
------------------------------------------------------------------------------------------------------------------------
B-1 WAL 6.33 5.09 4.35
First Payment Date 11/25/2007 12/25/2007 12/25/2007
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 37 - 116 38 - 92 38 - 75
------------------------------------------------------------------------------------------------------------------------
B-2 WAL 6.33 5.08 4.32
First Payment Date 11/25/2007 11/25/2007 12/25/2007
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 37 - 116 37 - 92 38 - 75
------------------------------------------------------------------------------------------------------------------------
B-3 WAL 6.33 5.08 4.32
First Payment Date 11/25/2007 11/25/2007 12/25/2007
Expected Final Maturity 6/25/2014 6/25/2012 1/25/2011
Window 37 - 116 37 - 92 38 - 75
------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 19
CPR Sensitivity
To MATURITY
------------------------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------------------------------------------------------------
A-3 WAL 3.57 2.80 2.23
First Payment Date 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 8/25/2025 9/25/2021 10/25/2018
Window 1 - 250 1 - 203 1 - 168
------------------------------------------------------------------------------------------------------------------------
A-4 WAL 3.57 2.81 2.24
First Payment Date 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 9/25/2025 11/25/2021 11/25/2018
Window 1 - 251 1 - 205 1 - 169
------------------------------------------------------------------------------------------------------------------------
A-5 WAL 1.12 0.88 0.72
First Payment Date 11/25/2004 11/25/2004 11/25/2004
Expected Final Maturity 3/25/2007 9/25/2006 5/25/2006
Window 1 - 29 1 - 23 1 - 19
------------------------------------------------------------------------------------------------------------------------
A-6 WAL 3.66 2.80 2.15
First Payment Date 3/25/2007 9/25/2006 5/25/2006
Expected Final Maturity 5/25/2010 3/25/2009 8/25/2007
Window 29 - 67 23 - 53 19 - 34
------------------------------------------------------------------------------------------------------------------------
A-7 WAL 9.51 7.55 6.07
First Payment Date 5/25/2010 3/25/2009 8/25/2007
Expected Final Maturity 9/25/2025 11/25/2021 11/25/2018
Window 67 - 251 53 - 205 34 - 169
------------------------------------------------------------------------------------------------------------------------
M-1 WAL 7.01 5.71 5.07
First Payment Date 11/25/2007 3/25/2008 7/25/2008
Expected Final Maturity 2/25/2022 10/25/2018 4/25/2016
Window 37 - 208 41 - 168 45 - 138
------------------------------------------------------------------------------------------------------------------------
M-2 WAL 6.98 5.66 4.95
First Payment Date 11/25/2007 2/25/2008 4/25/2008
Expected Final Maturity 7/25/2021 3/25/2018 11/25/2015
Window 37 - 201 40 - 161 42 - 133
------------------------------------------------------------------------------------------------------------------------
M-3 WAL 6.96 5.62 4.87
First Payment Date 11/25/2007 1/25/2008 3/25/2008
Expected Final Maturity 9/25/2020 7/25/2017 4/25/2015
Window 37 - 191 39 - 153 41 - 126
------------------------------------------------------------------------------------------------------------------------
M-4 WAL 6.93 5.59 4.82
First Payment Date 11/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 2/25/2020 2/25/2017 11/25/2014
Window 37 - 184 39 - 148 40 - 121
------------------------------------------------------------------------------------------------------------------------
M-5 WAL 6.90 5.55 4.76
First Payment Date 11/25/2007 12/25/2007 2/25/2008
Expected Final Maturity 7/25/2019 8/25/2016 6/25/2014
Window 37 - 177 38 - 142 40 - 116
------------------------------------------------------------------------------------------------------------------------
M-6 WAL 6.85 5.51 4.71
First Payment Date 11/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 12/25/2018 2/25/2016 1/25/2014
Window 37 - 170 38 - 136 39 - 111
------------------------------------------------------------------------------------------------------------------------
B-1 WAL 6.79 5.46 4.66
First Payment Date 11/25/2007 12/25/2007 12/25/2007
Expected Final Maturity 3/25/2018 6/25/2015 7/25/2013
Window 37 - 161 38 - 128 38 - 105
------------------------------------------------------------------------------------------------------------------------
B-2 WAL 6.71 5.38 4.58
First Payment Date 11/25/2007 11/25/2007 12/25/2007
Expected Final Maturity 5/25/2017 11/25/2014 1/25/2013
Window 37 - 151 37 - 121 38 - 99
------------------------------------------------------------------------------------------------------------------------
B-3 WAL 6.60 5.28 4.50
First Payment Date 11/25/2007 11/25/2007 12/25/2007
Expected Final Maturity 7/25/2016 2/25/2014 6/25/2012
Window 37 - 141 37 - 112 38 - 92
------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 20
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) A-6 Cap (%) A-7 Cap (%)
------ ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- -- --
1 10.68 10.69 10.69 10.69 10.69
2 10.20 10.22 10.22 10.22 10.22
3 9.99 10.01 10.01 10.01 10.01
4 9.99 10.01 10.01 10.01 10.01
5 10.70 10.72 10.72 10.72 10.72
6 10.01 10.02 10.02 10.02 10.02
7 10.23 10.25 10.25 10.25 10.25
8 10.02 10.04 10.04 10.04 10.04
9 10.25 10.27 10.27 10.27 10.27
10 10.04 10.05 10.05 10.05 10.05
11 10.05 10.06 10.06 10.06 10.06
12 10.28 10.30 10.30 10.30 10.30
13 10.07 10.08 10.08 10.08 10.08
14 10.20 10.22 10.22 10.22 10.22
15 9.99 10.01 10.01 10.01 10.01
16 10.01 10.02 10.02 10.02 10.02
17 10.73 10.75 10.75 10.75 10.75
18 10.03 10.04 10.04 10.04 10.04
19 10.27 10.28 10.28 10.28 10.28
20 10.06 10.07 10.07 10.07 10.07
21 11.34 11.34 11.34 11.34 11.34
22 10.00 10.00 10.00 10.00 10.00
23 10.02 10.02 10.02 10.02 10.02
24 10.31 10.31 10.31 10.31 10.31
25 10.06 10.06 -- 10.06 10.06
26 10.36 10.36 -- 10.36 10.36
27 10.60 10.60 -- 10.60 10.60
28 9.99 9.99 -- 9.99 9.99
29 11.01 11.01 -- 11.01 11.01
30 10.04 10.05 -- 10.05 10.05
31 10.39 10.39 -- 10.39 10.39
32 10.11 10.11 -- 10.11 10.11
33 10.30 10.30 -- 10.30 10.30
34 10.53 10.37 -- 10.37 10.37
35 10.57 10.41 -- 10.41 10.41
36 10.97 10.80 -- 10.80 10.80
37 35.75 35.59 -- 35.59 35.59
38 13.91 13.75 -- 13.75 13.75
39 13.82 13.82 -- 13.82 13.82
40 14.35 14.06 -- 14.06 14.06
41 15.24 14.93 -- 14.93 14.93
42 14.23 13.94 -- 13.94 13.94
43 14.71 14.41 -- 14.41 14.41
44 14.23 13.94 -- 13.94 13.94
45 14.84 14.63 -- 14.63 14.63
46 14.79 14.42 -- 14.42 14.42
47 14.79 14.42 -- 14.42 14.42
--------------------------------------------------------------------------------
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 21
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) A-6 Cap (%) A-7 Cap (%)
------ ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
48 15.28 14.90 -- 14.90 14.90
49 14.79 14.42 -- 14.42 14.42
50 15.28 14.90 -- 14.90 14.90
51 14.81 14.44 -- 14.44 14.44
52 14.83 14.48 -- 14.48 14.48
53 16.42 16.03 -- 16.03 16.03
54 14.83 14.48 -- 14.48 14.48
55 15.32 14.96 -- 14.96 14.96
56 14.83 14.48 -- 14.48 14.48
57 15.30 15.10 -- -- 15.10
58 14.81 14.64 -- -- 14.64
59 14.81 14.64 -- -- 14.64
60 15.31 15.13 -- -- 15.13
61 14.81 14.64 -- -- 14.64
62 15.31 15.13 -- -- 15.13
63 14.81 14.64 -- -- 14.64
64 14.81 14.64 -- -- 14.64
65 16.40 16.21 -- -- 16.21
66 14.81 14.64 -- -- 14.64
67 15.31 15.12 -- -- 15.12
68 14.81 14.64 -- -- 14.64
69 15.31 15.12 -- -- 15.12
70 14.81 14.64 -- -- 14.64
71 14.81 14.64 -- -- 14.64
72 15.31 15.12 -- -- 15.12
73 14.81 14.63 -- -- 14.63
74 15.31 15.12 -- -- 15.12
75 14.81 14.63 -- -- 14.63
76 14.81 14.63 -- -- 14.63
77 16.40 16.20 -- -- 16.20
78 14.81 14.63 -- -- 14.63
79 15.31 15.12 -- -- 15.12
80 14.81 14.63 -- -- 14.63
81 15.31 15.12 -- -- 15.12
82 14.81 14.63 -- -- 14.63
83 14.81 14.63 -- -- 14.63
84 15.31 15.12 -- -- 15.12
85 14.81 14.63 -- -- 14.63
86 15.31 15.12 -- -- 15.12
87 14.81 14.63 -- -- 14.63
88 14.81 14.63 -- -- 14.63
89 15.84 15.64 -- -- 15.64
90 14.82 14.63 -- -- 14.63
91 15.31 15.12 -- -- 15.12
92 14.82 14.64 -- -- 14.64
93 15.31 15.12 -- -- 15.12
94 14.82 14.64 -- -- 14.64
95 14.82 14.64 -- -- 14.64
--------------------------------------------------------------------------------
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 22
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) A-6 Cap (%) A-7 Cap (%)
------ ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
96 15.31 15.12 -- -- 15.12
97 14.82 14.64 -- -- 14.64
98 15.31 15.13 -- -- 15.13
99 14.82 14.64 -- -- 14.64
100 14.82 14.64 -- -- 14.64
101 16.41 16.21 -- -- 16.21
102 14.82 14.64 -- -- 14.64
103 15.32 15.13 -- -- 15.13
104 14.82 14.64 -- -- 14.64
105 15.32 15.13 -- -- 15.13
106 14.83 14.64 -- -- 14.64
107 12.04 11.85 -- -- 11.85
108 12.43 12.24 -- -- 12.24
109 12.05 11.87 -- -- 11.87
110 12.48 12.29 -- -- 12.29
111 12.11 11.93 -- -- 11.93
112 12.14 11.96 -- -- 11.96
113 13.47 13.27 -- -- 13.27
114 12.20 12.02 -- -- 12.02
115 12.64 12.45 -- -- 12.45
116 12.27 12.08 -- -- 12.08
117 12.71 12.52 -- -- 12.52
118 12.34 12.15 -- -- 12.15
119 12.37 12.19 -- -- 12.19
120 12.82 12.63 -- -- 12.63
121 12.44 12.26 -- -- 12.26
122 12.90 12.71 -- -- 12.71
123 12.52 12.34 -- -- 12.34
124 12.56 12.38 -- -- 12.38
125 13.95 13.75 -- -- 13.75
126 12.65 12.46 -- -- 12.46
127 13.11 12.92 -- -- 12.92
128 12.74 12.55 -- -- 12.55
129 13.21 13.02 -- -- 13.02
130 12.83 12.64 -- -- 12.64
131 12.88 12.69 -- -- 12.69
132 13.36 13.17 -- -- 13.17
133 12.98 12.79 -- -- 12.79
134 13.46 13.28 -- -- 13.28
135 13.08 12.90 -- -- 12.90
136 13.14 12.96 -- -- 12.96
137 14.11 13.91 -- -- 13.91
138 13.25 13.07 -- -- 13.07
139 13.76 13.57 -- -- 13.57
140 13.37 13.19 -- -- 13.19
141 13.89 13.70 -- -- 13.70
142 13.50 13.32 -- -- 13.32
143 13.57 13.39 -- -- 13.39
--------------------------------------------------------------------------------
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 23
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) A-6 Cap (%) A-7 Cap (%)
------ ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
144 14.09 13.90 -- -- 13.90
145 13.71 13.52 -- -- 13.52
146 14.24 14.05 -- -- 14.05
147 13.85 13.67 -- -- 13.67
148 13.93 13.75 -- -- 13.75
149 15.51 15.31 -- -- 15.31
150 14.08 13.90 -- -- 13.90
151 14.64 14.45 -- -- 14.45
152 14.25 14.07 -- -- 14.07
153 14.81 14.63 -- -- 14.63
154 14.42 14.25 -- -- 14.25
155 14.52 14.34 -- -- 14.34
156 15.10 14.91 -- -- 14.91
157 14.70 14.53 -- -- 14.53
158 15.30 15.11 -- -- 15.11
159 14.90 14.73 -- -- 14.73
160 15.01 14.83 -- -- 14.83
161 16.73 16.54 -- -- 16.54
162 15.22 15.05 -- -- 15.05
163 15.85 15.66 -- -- 15.66
164 15.45 15.27 -- -- 15.27
165 16.09 15.91 -- -- 15.91
166 15.69 15.52 -- -- 15.52
167 15.82 15.64 -- -- 15.64
168 16.48 16.30 -- -- 16.30
169 16.08 15.90 -- -- 15.90
170 16.75 16.57 -- -- 16.57
171 16.35 16.18 -- -- 16.18
172 16.49 16.32 -- -- 16.32
173 18.42 18.23 -- -- 18.23
174 16.79 16.62 -- -- 16.62
175 17.51 17.33 -- -- 17.33
176 17.11 16.94 -- -- 16.94
177 17.94 17.76 -- -- 17.76
178 17.63 17.46 -- -- 17.46
179 17.92 17.75 -- -- 17.75
180 18.83 18.65 -- -- 18.65
181 18.55 18.38 -- -- 18.38
182 19.52 19.34 -- -- 19.34
183 19.26 19.09 -- -- 19.09
184 19.65 19.48 -- -- 19.48
185 21.45 21.27 -- -- 21.27
186 20.52 20.35 -- -- 20.35
187 21.71 21.53 -- -- 21.53
188 21.53 21.36 -- -- 21.36
189 22.83 22.65 -- -- 22.65
190 22.70 22.53 -- -- 22.53
191 23.37 23.20 -- -- 23.20
--------------------------------------------------------------------------------
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 24
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) A-6 Cap (%) A-7 Cap (%)
------ ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
192 24.90 24.72 -- -- 24.72
193 24.88 24.72 -- -- 24.72
194 26.61 26.44 -- -- 26.44
195 26.72 26.55 -- -- 26.55
196 27.78 27.61 -- -- 27.61
197 32.07 31.88 -- -- 31.88
198 30.30 30.13 -- -- 30.13
199 32.86 32.68 -- -- 32.68
200 33.50 33.33 -- -- 33.33
201 36.63 36.46 -- -- 36.46
202 37.71 37.54 -- -- 37.54
203 40.36 40.19 -- -- 40.19
204 44.94 44.76 -- -- 44.76
205 47.26 47.09 -- -- 47.09
206 53.62 53.45 -- -- 53.45
207 -- 57.53 -- -- 57.53
208 -- 65.03 -- -- 65.03
209 -- 83.13 -- -- 83.13
210 -- 89.28 -- -- 89.28
211 -- 114.47 -- -- 114.47
212 -- 147.16 -- -- 147.16
213 -- 229.63 -- -- 229.63
214 -- 621.69 -- -- 621.69
215 -- -- -- -- --
-- -- -- -- --
--------------------------------------------------------------------------------
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 25
Mezzanine and Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) M-4 Cap (%) M-5 Cap (%) M-6 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- -- -- -- -- -- --
1 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92
2 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46
3 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
4 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
5 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92
6 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24
7 9.45 9.45 9.45 9.45 9.45 9.45 9.45 9.45 9.45
8 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24
9 9.45 9.45 9.45 9.45 9.45 9.45 9.45 9.45 9.45
10 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24
11 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24
12 9.45 9.45 9.45 9.45 9.45 9.45 9.45 9.45 9.45
13 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24
14 9.45 9.45 9.45 9.45 9.45 9.45 9.45 9.45 9.45
15 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24
16 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24
17 9.91 9.91 9.91 9.91 9.91 9.91 9.91 9.91 9.91
18 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24
19 9.45 9.45 9.45 9.45 9.45 9.45 9.45 9.45 9.45
20 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24
21 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15
22 9.56 9.56 9.56 9.56 9.56 9.56 9.56 9.56 9.56
23 9.56 9.56 9.56 9.56 9.56 9.56 9.56 9.56 9.56
24 9.82 9.82 9.82 9.82 9.82 9.82 9.82 9.82 9.82
25 9.56 9.56 9.56 9.56 9.56 9.56 9.56 9.56 9.56
26 9.81 9.81 9.81 9.81 9.81 9.81 9.81 9.81 9.81
27 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92 9.92
28 9.79 9.79 9.79 9.79 9.79 9.79 9.79 9.79 9.79
29 10.69 10.69 10.69 10.69 10.69 10.69 10.69 10.69 10.69
30 9.78 9.78 9.78 9.78 9.78 9.78 9.78 9.78 9.78
31 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06
32 9.78 9.78 9.78 9.78 9.78 9.78 9.78 9.78 9.78
33 10.46 10.46 10.46 10.46 10.46 10.46 10.46 10.46 10.46
34 10.03 10.03 10.03 10.03 10.03 10.03 10.03 10.03 10.03
35 10.03 10.03 10.03 10.03 10.03 10.03 10.03 10.03 10.03
36 10.34 10.34 10.34 10.34 10.34 10.34 10.34 10.34 10.34
37 10.03 10.03 10.03 10.03 10.03 10.03 10.03 10.03 10.03
38 10.34 10.34 10.34 10.34 10.34 10.34 10.34 10.34 10.34
39 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40
40 10.31 10.31 10.31 10.31 10.31 10.31 10.31 10.31 10.31
41 11.02 11.02 11.02 11.02 11.02 11.02 11.02 11.02 11.02
42 10.31 10.31 10.31 10.31 10.31 10.31 10.31 10.31 10.31
43 10.65 10.65 10.65 10.65 10.65 10.65 10.65 10.65 10.65
44 10.31 10.31 10.31 10.31 10.31 10.31 10.31 10.31 10.31
45 10.80 10.80 10.80 10.80 10.80 10.80 10.80 10.80 10.80
46 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82
47 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82
48 11.18 11.18 11.18 11.18 11.18 11.18 11.18 11.18 11.18
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 26
Mezzanine and Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) M-4 Cap (%) M-5 Cap (%) M-6 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
49 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82
50 11.17 11.17 11.17 11.17 11.17 11.17 11.17 11.17 11.17
51 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83
52 10.87 10.87 10.87 10.87 10.87 10.87 10.87 10.87 10.87
53 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04
54 10.87 10.87 10.87 10.87 10.87 10.87 10.87 10.87 10.87
55 11.23 11.23 11.23 11.23 11.23 11.23 11.23 11.23 11.23
56 10.87 10.87 10.87 10.87 10.87 10.87 10.87 10.87 10.87
57 11.30 11.30 11.30 11.30 11.30 11.30 11.30 11.30 11.3
58 10.97 10.97 10.97 10.97 10.97 10.97 10.97 10.97 10.97
59 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96
60 11.33 11.33 11.33 11.33 11.33 11.33 11.33 11.33 11.33
61 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96
62 11.33 11.33 11.33 11.33 11.33 11.33 11.33 11.33 11.33
63 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96
64 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96
65 12.13 12.13 12.13 12.13 12.13 12.13 12.13 12.13 12.13
66 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96 10.96
67 11.32 11.32 11.32 11.32 11.32 11.32 11.32 11.32 11.32
68 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95
69 11.32 11.32 11.32 11.32 11.32 11.32 11.32 11.32 11.32
70 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95
71 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95
72 11.32 11.32 11.32 11.32 11.32 11.32 11.32 11.32 11.32
73 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95
74 11.31 11.31 11.31 11.31 11.31 11.31 11.31 11.31 11.31
75 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95
76 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95
77 12.12 12.12 12.12 12.12 12.12 12.12 12.12 12.12 12.12
78 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95 10.95
79 11.31 11.31 11.31 11.31 11.31 11.31 11.31 11.31 11.31
80 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94
81 11.31 11.31 11.31 11.31 11.31 11.31 11.31 11.31 11.31
82 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94
83 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94
84 11.31 11.31 11.31 11.31 11.31 11.31 11.31 11.31 11.31
85 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94
86 11.30 11.30 11.30 11.30 11.30 11.30 11.30 11.30 11.3
87 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94
88 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94
89 11.69 11.69 11.69 11.69 11.69 11.69 11.69 11.69 11.69
90 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94 10.94
91 11.30 11.30 11.30 11.30 11.30 11.30 11.30 11.30 11.3
92 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
93 11.30 11.30 11.30 11.30 11.30 11.30 11.30 11.30 11.3
94 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
95 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
96 11.30 11.30 11.30 11.30 11.30 11.30 11.30 11.30 11.3
97 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
98 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 27
Mezzanine and Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) M-4 Cap (%) M-5 Cap (%) M-6 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
99 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
100 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
101 12.10 12.10 12.10 12.10 12.10 12.10 12.10 12.10 12.1
102 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
103 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29
104 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
105 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29
106 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
107 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
108 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29
109 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92
110 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29
111 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92
112 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92
113 12.09 12.09 12.09 12.09 12.09 12.09 12.09 12.09 12.09
114 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92
115 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29
116 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92
117 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29
118 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92
119 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 --
120 11.29 11.29 11.29 11.29 11.29 11.29 11.29 11.29 --
121 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 --
122 11.28 11.28 11.28 11.28 11.28 11.28 11.28 11.28 --
123 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 --
124 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 --
125 12.09 12.09 12.09 12.09 12.09 12.09 12.09 12.09 --
126 10.92 10.92 10.92 10.92 10.92 10.92 10.92 10.92 --
127 11.28 11.28 11.28 11.28 11.28 11.28 11.28 -- --
128 10.92 10.92 10.92 10.92 10.92 10.92 10.92 -- --
129 11.28 11.28 11.28 11.28 11.28 11.28 11.28 -- --
130 10.92 10.92 10.92 10.92 10.92 10.92 10.92 -- --
131 10.92 10.92 10.92 10.92 10.92 10.92 10.92 -- --
132 11.28 11.28 11.28 11.28 11.28 11.28 11.28 -- --
133 10.92 10.92 10.92 10.92 10.92 10.92 10.92 -- --
134 11.28 11.28 11.28 11.28 11.28 11.28 11.28 -- --
135 10.92 10.92 10.92 10.92 10.92 10.92 -- -- --
136 10.92 10.92 10.92 10.92 10.92 10.92 -- -- --
137 11.67 11.67 11.67 11.67 11.67 11.67 -- -- --
138 10.92 10.92 10.92 10.92 10.92 10.92 -- -- --
139 11.28 11.28 11.28 11.28 11.28 11.28 -- -- --
140 10.92 10.92 10.92 10.92 10.92 10.92 -- -- --
141 11.28 11.28 11.28 11.28 11.28 11.28 -- -- --
142 10.92 10.92 10.92 10.92 10.92 10.92 -- -- --
143 10.92 10.92 10.92 10.92 10.92 -- -- -- --
144 11.28 11.28 11.28 11.28 11.28 -- -- -- --
145 10.92 10.92 10.92 10.92 10.92 -- -- -- --
146 11.28 11.28 11.28 11.28 11.28 -- -- -- --
147 10.92 10.92 10.92 10.92 10.92 -- -- -- --
148 10.92 10.92 10.92 10.92 10.92 -- -- -- --
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 28
Mezzanine and Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) M-4 Cap (%) M-5 Cap (%) M-6 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
149 12.09 12.09 12.09 12.09 12.09 -- -- -- --
150 10.92 10.92 10.92 10.92 -- -- -- -- --
151 11.29 11.29 11.29 11.29 -- -- -- -- --
152 10.92 10.92 10.92 10.92 -- -- -- -- --
153 11.29 11.29 11.29 11.29 -- -- -- -- --
154 10.92 10.92 10.92 10.92 -- -- -- -- --
155 10.92 10.92 10.92 10.92 -- -- -- -- --
156 11.29 11.29 11.29 -- -- -- -- -- --
157 10.92 10.92 10.92 -- -- -- -- -- --
158 11.29 11.29 11.29 -- -- -- -- -- --
159 10.92 10.92 10.92 -- -- -- -- -- --
160 10.93 10.93 10.93 -- -- -- -- -- --
161 12.10 12.10 -- -- -- -- -- -- --
162 10.93 10.93 -- -- -- -- -- -- --
163 11.29 11.29 -- -- -- -- -- -- --
164 10.93 10.93 -- -- -- -- -- -- --
165 11.29 11.29 -- -- -- -- -- -- --
166 10.93 10.93 -- -- -- -- -- -- --
167 10.93 10.93 -- -- -- -- -- -- --
168 11.30 11.30 -- -- -- -- -- -- --
169 10.93 10.93 -- -- -- -- -- -- --
170 11.30 -- -- -- -- -- -- -- --
171 10.93 -- -- -- -- -- -- -- --
172 10.93 -- -- -- -- -- -- -- --
173 12.11 -- -- -- -- -- -- -- --
174 10.94 -- -- -- -- -- -- -- --
175 11.30 -- -- -- -- -- -- -- --
176 10.94 -- -- -- -- -- -- -- --
177 -- -- -- -- -- -- -- -- --
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 29
Senior Interest Rate Cap Schedules
Class A-3 Cap Group III Class A Cap
----------------------------------------------------- ------------------------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 25,375,000.00 6.20 9.65 460,350,000.00 6.20 9.65
2 24,720,510.49 6.20 9.65 449,251,984.13 6.20 9.65
3 24,072,555.61 6.20 9.65 438,188,253.69 6.20 9.65
4 23,430,879.52 6.20 9.65 427,155,437.93 6.20 9.65
5 22,795,256.10 6.20 9.65 416,150,929.24 6.20 9.65
6 22,165,500.57 6.20 9.65 405,173,081.05 6.20 9.65
7 21,541,469.14 6.20 9.65 394,221,201.90 6.20 9.65
8 20,923,058.54 6.20 9.65 383,295,544.23 6.20 9.65
9 20,310,205.26 6.20 9.65 372,397,287.76 6.20 9.65
10 19,702,884.58 6.20 9.65 361,528,517.25 6.20 9.65
11 19,101,109.45 6.20 9.65 350,692,194.92 6.20 9.65
12 18,504,929.03 6.20 9.65 339,892,127.12 6.20 9.65
13 17,922,886.83 6.20 9.65 329,341,010.98 6.20 9.65
14 17,354,760.67 6.30 9.65 319,039,767.22 6.30 9.65
15 16,800,219.91 6.30 9.65 308,982,511.68 6.30 9.65
16 16,258,941.77 6.30 9.65 299,163,498.26 6.30 9.65
17 15,730,611.07 6.30 9.65 289,577,115.68 6.30 9.65
18 15,214,920.10 6.30 9.65 280,217,884.37 6.30 9.65
19 14,711,568.46 6.30 9.65 271,080,453.35 6.30 9.65
20 14,220,262.81 6.30 9.65 262,159,597.22 6.30 9.65
21 13,740,716.79 6.30 9.65 253,450,213.23 6.30 9.65
22 13,274,286.79 7.90 9.65 244,937,284.81 7.90 9.65
23 12,819,041.81 7.90 9.65 236,623,552.92 7.90 9.65
24 12,374,662.50 7.90 9.65 228,507,146.71 7.90 9.65
25 11,940,891.20 7.90 9.65 220,583,413.51 7.90 9.65
26 11,517,476.34 7.90 9.65 212,847,809.93 7.90 9.65
27 11,104,172.31 7.90 9.65 205,295,899.24 7.90 9.65
28 10,700,739.27 8.95 9.65 197,923,348.92 8.90 9.65
29 10,306,943.05 8.95 9.65 190,725,931.78 8.90 9.65
30 9,922,555.04 8.95 9.65 183,699,512.65 8.90 9.65
31 9,547,352.00 8.95 9.65 176,840,057.15 8.90 9.65
32 9,181,115.96 8.95 9.65 170,143,625.67 8.90 9.65
33 - - - - - -
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 30
Mezzanine and Subordinate Interest Rate Cap Schedules
Class M Cap Class B Cap
----------------------------------------------------- ------------------------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
2 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
3 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
4 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
5 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
6 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
7 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
8 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
9 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
10 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
11 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
12 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
13 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
14 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
15 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
16 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
17 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
18 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
19 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
20 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
21 164,129,000.00 5.45 8.40 44,001,000.00 4.00 6.95
22 164,129,000.00 6.70 8.70 44,001,000.00 5.25 7.25
23 164,129,000.00 6.70 8.70 44,001,000.00 5.25 7.25
24 164,129,000.00 6.70 8.70 44,001,000.00 5.25 7.25
25 164,129,000.00 6.70 8.70 44,001,000.00 5.25 7.25
26 164,129,000.00 6.70 8.70 44,001,000.00 5.25 7.25
27 164,129,000.00 6.70 8.70 44,001,000.00 5.25 7.25
28 164,129,000.00 7.60 8.95 44,001,000.00 6.15 7.50
29 164,129,000.00 7.60 8.95 44,001,000.00 6.15 7.50
30 164,129,000.00 7.60 8.95 44,001,000.00 6.15 7.50
31 164,129,000.00 7.60 8.95 44,001,000.00 6.15 7.50
32 164,129,000.00 7.60 8.95 44,001,000.00 6.15 7.50
33 164,129,000.00 7.60 8.95 44,001,000.00 6.15 7.50
34 164,129,000.00 8.55 9.20 44,001,000.00 7.10 7.75
35 164,129,000.00 8.55 9.20 44,001,000.00 7.10 7.75
36 164,129,000.00 8.55 9.20 44,001,000.00 7.10 7.75
37 164,129,000.00 8.55 9.20 44,001,000.00 7.10 7.75
38 164,129,000.00 8.55 9.20 37,190,931.59 7.10 7.75
39 152,515,471.01 8.55 9.20 35,674,565.15 7.10 7.75
40 - - - - - -
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 31
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
All records
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original Combined LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 7,996
Aggregate Principal Balance ($): 1,396,841,434
Weighted Average Current Mortgage Rate (%): 7.028
Non-Zero Weighted Average Margin (%): 5.598
Non-Zero Weighted Average Maximum Rate (%): 13.849
Weighted Average Stated Original Term (months): 355
Weighted Average Stated Remaining Term (months): 351
Weighted Average Combined Original LTV (%): 79.76
% First Liens: 99.29
% Owner Occupied: 92.82
% Purchase: 29.32
% Full Doc: 57.16
Weighted Average Credit Score: 615
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Originator Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Aames 2,387 399,660,557 28.61 7.133 353 78.60
New Century 5,609 997,180,876 71.39 6.985 351 80.23
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 20 1,415,664 0.10 7.131 116 66.28
Fixed - 15 Year 233 23,783,070 1.70 6.453 176 69.65
Fixed - 20 Year 284 20,785,100 1.49 7.647 236 81.71
Fixed - 25 Year 19 2,012,845 0.14 7.058 296 72.71
Fixed - 30 Year 1,581 291,369,514 20.86 6.463 356 75.11
ARM - 2 Year/6 Month 4,813 823,544,779 58.96 7.344 357 81.19
ARM - 3 Year/6 Month 297 52,890,936 3.79 6.838 357 80.31
ARM - 5 Year/6 Month 94 16,226,493 1.16 6.872 356 78.21
ARM - 2 Year IO/6 Month 582 147,223,439 10.54 6.553 356 82.55
ARM - 3 Year IO/6 Month 57 13,790,046 0.99 6.328 356 79.92
ARM - 5 Year IO/6 Month 13 2,868,149 0.21 6.452 356 80.83
ARM - 10 Year IO/1 Month 3 931,400 0.07 4.674 296 73.49
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 50 14,109,731 1.01 4.828 352 76.77
5.000 - 5.999 1,310 293,568,800 21.02 5.685 345 74.93
6.000 - 6.999 2,175 425,598,839 30.47 6.541 353 79.06
7.000 - 7.999 2,485 422,707,506 30.26 7.517 354 82.33
8.000 - 8.999 1,236 178,090,617 12.75 8.436 355 82.71
9.000 - 9.999 439 44,992,286 3.22 9.442 349 81.13
10.000 - 10.999 209 12,736,618 0.91 10.460 321 83.45
11.000 - 11.999 81 4,305,507 0.31 11.364 304 88.96
12.000 - 12.999 10 685,673 0.05 12.249 330 81.00
13.000 - 13.999 1 45,857 0.00 13.005 356 85.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.500
Maximum: 13.005
Weighted Average: 7.028
------------------------------------------------------------------------------------------------------------------------------------
5. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Range of Cut-off Date Mortgage Principal Principal Interest Term Original
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 21 473,125 0.03 10.712 237 99.93
25,001 - 50,000 316 12,917,241 0.92 9.449 280 83.06
50,001 - 75,000 820 51,539,579 3.69 8.193 337 79.02
75,001 - 100,000 1,027 90,361,367 6.47 7.475 342 78.71
100,001 - 125,000 982 110,539,276 7.91 7.348 350 79.35
125,001 - 150,000 929 127,657,119 9.14 7.182 352 79.34
150,001 - 175,000 680 110,382,767 7.90 7.098 352 78.92
175,001 - 200,000 637 119,499,983 8.56 7.019 354 78.53
200,001 - 225,000 493 105,056,364 7.52 6.994 354 80.12
225,001 - 250,000 417 99,336,118 7.11 6.914 354 79.25
250,001 - 275,000 370 97,032,606 6.95 6.893 353 80.06
275,001 - 300,000 285 82,017,226 5.87 6.702 355 79.26
300,001 - 325,000 226 70,705,334 5.06 6.763 354 81.31
325,001 - 350,000 193 65,284,329 4.67 6.848 355 81.13
350,001 - 375,000 162 58,523,462 4.19 6.693 355 82.11
375,001 - 400,000 128 49,693,178 3.56 6.864 354 82.57
400,001 - 425,000 96 39,534,831 2.83 6.600 355 81.40
425,001 - 450,000 58 25,508,488 1.83 6.704 356 77.56
450,001 - 475,000 38 17,662,184 1.26 6.343 348 82.23
475,001 - 500,000 63 30,910,995 2.21 6.568 356 79.49
500,001 - 750,000 55 32,205,862 2.31 6.064 353 77.57
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 18,929
Maximum: 746,693
Average: 174,693
------------------------------------------------------------------------------------------------------------------------------------
6. Stated Original Term (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
120 20 1,415,664 0.10 7.131 116 66.28
180 233 23,783,070 1.70 6.453 176 69.65
240 284 20,785,100 1.49 7.647 236 81.71
300 22 2,944,245 0.21 6.304 296 72.96
360 7,437 1,347,913,355 96.50 7.030 357 79.94
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 355
------------------------------------------------------------------------------------------------------------------------------------
7. Range of Stated Remaining Terms (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Range of Stated Mortgage Principal Principal Interest Term Original
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
109 - 120 20 1,415,664 0.10 7.131 116 66.28
169 - 180 233 23,783,070 1.70 6.453 176 69.65
229 - 240 284 20,785,100 1.49 7.647 236 81.71
289 - 300 22 2,944,245 0.21 6.304 296 72.96
349 - 360 7,437 1,347,913,355 96.50 7.030 357 79.94
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 116
Maximum: 358
Weighted Average: 351
------------------------------------------------------------------------------------------------------------------------------------
8. Range of Original Combined LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Range of Original Mortgage Principal Principal Interest Term Original
Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
<= 10.00 1 59,120 0.00 7.980 175 7.50
10.01 - 15.00 2 203,255 0.01 6.358 356 12.17
15.01 - 20.00 3 222,268 0.02 6.102 293 17.11
20.01 - 25.00 13 1,536,172 0.11 6.965 352 22.63
25.01 - 30.00 17 1,768,326 0.13 6.952 296 28.17
30.01 - 35.00 23 2,304,491 0.16 6.477 316 32.99
35.01 - 40.00 31 4,428,765 0.32 6.441 337 37.62
40.01 - 45.00 58 8,353,780 0.60 6.677 343 42.88
45.01 - 50.00 90 14,219,528 1.02 6.747 336 48.09
50.01 - 55.00 109 16,341,945 1.17 6.639 342 52.74
55.01 - 60.00 198 33,627,725 2.41 6.624 343 57.99
60.01 - 65.00 314 53,823,189 3.85 6.656 344 63.52
65.01 - 70.00 589 103,140,638 7.38 6.949 350 68.59
70.01 - 75.00 739 134,591,375 9.64 7.032 350 73.97
75.01 - 80.00 2,569 452,097,742 32.37 6.774 353 79.58
80.01 - 85.00 1,117 206,968,419 14.82 7.129 353 84.37
85.01 - 90.00 1,261 242,176,920 17.34 7.214 354 89.66
90.01 - 95.00 486 89,167,926 6.38 7.567 356 94.72
95.01 - 100.00 376 31,809,851 2.28 8.882 330 99.94
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 7.50
Maximum: 100.00
Weighted Average: 79.76
------------------------------------------------------------------------------------------------------------------------------------
9. Range of Gross Margins (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,137 339,366,193 24.30 6.541 335 75.08
<= 3.500 8 1,590,141 0.11 5.857 332 81.98
3.501 - 4.000 1 276,200 0.02 4.850 296 58.52
4.501 - 5.000 4 879,135 0.06 5.446 356 71.42
5.001 - 5.500 3,230 582,349,195 41.69 6.868 357 82.07
5.501 - 6.000 1,857 352,231,679 25.22 7.410 357 82.36
6.001 - 6.500 464 75,809,343 5.43 7.903 356 76.54
6.501 - 7.000 293 44,055,103 3.15 8.407 357 70.29
7.001 - 7.500 1 99,524 0.01 7.450 357 95.00
8.501 - 9.000 1 184,921 0.01 8.650 357 95.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 8.550
Non-Zero Weighted Average: 5.598
------------------------------------------------------------------------------------------------------------------------------------
10. Range of Minimum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,137 339,366,193 24.30 6.541 335 75.08
<=5.000 53 15,109,972 1.08 4.840 353 76.88
5.001 - 5.500 146 31,495,723 2.25 5.361 357 77.90
5.501 - 6.000 501 112,760,620 8.07 5.831 357 77.79
6.001 - 6.500 696 149,505,713 10.70 6.305 356 79.48
6.501 - 7.000 911 178,720,453 12.79 6.793 357 81.29
7.001 - 7.500 962 177,038,447 12.67 7.299 357 82.78
7.501 - 8.000 1,130 192,662,007 13.79 7.777 357 83.46
8.001 - 8.500 605 90,930,161 6.51 8.268 357 83.63
8.501 - 9.000 451 63,979,072 4.58 8.763 357 81.60
9.001 - 9.500 189 22,753,779 1.63 9.253 357 80.62
9.501 - 10.000 124 14,627,479 1.05 9.713 356 78.56
10.001 -10.500 39 3,651,459 0.26 10.269 356 76.73
10.501 - 11.000 31 2,484,684 0.18 10.749 357 71.61
11.001 - 11.500 8 760,407 0.05 11.307 357 83.67
11.501 - 12.000 7 469,513 0.03 11.710 357 73.14
12.001 - 12.500 4 410,962 0.03 12.196 356 74.81
12.501 - 13.000 1 68,931 0.00 12.680 356 75.00
13.001 - 13.500 1 45,857 0.00 13.005 356 85.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.500
Maximum: 13.005
Non-Zero Weighted Average: 7.184
------------------------------------------------------------------------------------------------------------------------------------
11. Range of Maximum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Range of Maximum Mortgage Principal Principal Interest Term Original
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,137 339,366,193 24.30 6.541 335 75.08
<= 12.500 717 156,540,867 11.21 5.871 356 77.65
12.501 - 13.000 638 132,061,396 9.45 6.292 356 78.64
13.001 - 13.500 650 130,611,580 9.35 6.625 356 80.57
13.501 - 14.000 867 163,142,898 11.68 7.097 357 82.19
14.001 - 14.500 858 157,499,164 11.28 7.438 357 83.52
14.501 - 15.000 958 160,419,546 11.48 7.902 357 83.69
15.001 - 15.500 541 75,837,366 5.43 8.376 357 83.48
15.501 - 16.000 378 51,729,265 3.70 8.885 357 81.97
16.001 - 16.500 129 16,253,229 1.16 9.360 357 79.74
16.501 - 17.000 70 8,582,743 0.61 9.875 357 76.81
17.001 - 17.500 25 2,477,587 0.18 10.515 357 79.14
17.501 - 18.000 18 1,458,979 0.10 10.980 357 67.54
18.001 - 18.500 6 589,285 0.04 11.955 356 73.35
18.501 - 19.000 3 225,481 0.02 11.895 357 70.48
19.001 - 19.500 1 45,857 0.00 13.005 356 85.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 10.330
Maximum: 19.005
Non-Zero Weighted Average: 13.849
------------------------------------------------------------------------------------------------------------------------------------
12. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,137 339,366,193 24.30 6.541 335 75.08
1 32 5,379,434 0.39 7.624 357 81.91
1.5 3,930 721,357,955 51.64 7.206 357 82.09
2 1 107,752 0.01 9.200 356 100.00
3 1,789 311,535,458 22.30 7.147 356 79.50
5 107 19,094,642 1.37 6.809 356 78.61
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 5.000
Non-Zero Weighted Average: 2.003
------------------------------------------------------------------------------------------------------------------------------------
13. Subsequent Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,137 339,366,193 24.30 6.541 335 75.08
1 1,926 335,185,886 24.00 7.143 356 79.51
1.5 3,930 721,357,955 51.64 7.206 357 82.09
3 3 931,400 0.07 4.674 296 73.49
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.343
------------------------------------------------------------------------------------------------------------------------------------
14. Next Rate Adjustment Dates
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,137 339,366,193 24.30 6.541 335 75.08
Nov-04 3 931,400 0.07 4.674 296 73.49
Mar-06 1 116,339 0.01 8.450 353 95.00
Apr-06 8 1,836,017 0.13 6.594 354 86.72
May-06 181 31,403,235 2.25 7.161 355 76.12
Jun-06 1,781 341,091,596 24.42 7.089 356 80.76
Jul-06 3,420 595,777,863 42.65 7.308 357 82.02
Aug-06 4 543,168 0.04 6.035 358 82.65
Apr-07 1 360,000 0.03 6.500 354 90.00
May-07 4 1,232,420 0.09 6.331 355 44.64
Jun-07 115 22,443,760 1.61 6.586 356 79.68
Jul-07 233 42,326,715 3.03 6.832 357 81.51
Aug-07 1 318,087 0.02 5.780 358 75.00
Apr-09 2 273,655 0.02 7.167 354 60.11
May-09 7 808,436 0.06 6.758 355 66.55
Jun-09 59 10,521,061 0.75 6.813 356 79.39
Jul-09 39 7,491,490 0.54 6.797 357 79.48
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Geographic Distribution Mortgage Principal Principal Interest Term Original
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
California 2,020 499,514,214 35.76 6.648 354 77.80
Florida 1,051 152,111,042 10.89 7.107 352 80.97
New York 402 97,483,800 6.98 6.849 349 77.04
Texas 589 62,101,939 4.45 7.366 333 79.69
New Jersey 214 47,465,327 3.40 7.293 352 80.34
Illinois 276 44,304,117 3.17 7.736 354 82.73
Washington 234 39,268,482 2.81 6.885 352 81.24
Massachusetts 170 39,138,184 2.80 6.969 353 79.76
Nevada 163 30,770,160 2.20 7.016 350 81.03
Michigan 270 29,850,773 2.14 7.900 352 82.72
Virginia 152 27,886,060 2.00 7.345 355 81.17
Maryland 153 27,849,853 1.99 7.392 351 80.09
Arizona 174 23,022,451 1.65 7.178 350 83.24
Minnesota 138 22,844,979 1.64 7.147 353 81.31
Ohio 208 21,018,648 1.50 7.685 351 84.36
Other 1,782 232,211,403 16.62 7.344 350 81.75
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 51
------------------------------------------------------------------------------------------------------------------------------------
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Primary 7,359 1,296,529,152 92.82 6.998 351 79.73
Investment 576 89,790,471 6.43 7.448 354 79.95
Second Home 61 10,521,811 0.75 7.139 357 82.27
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 6,405 1,093,482,196 78.28 7.027 351 79.56
2-4 Family 533 116,857,445 8.37 7.123 354 79.28
Planned Unit Development 557 106,261,753 7.61 6.915 349 81.51
Condo 501 80,240,040 5.74 7.044 353 80.87
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 5,012 903,190,304 64.66 6.989 350 77.79
Purchase 2,429 409,606,621 29.32 7.139 355 84.33
Refinance - Rate Term 555 84,044,509 6.02 6.898 347 78.70
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Full 4,854 798,385,825 57.16 6.820 350 79.63
Stated Documentation 2,887 546,743,766 39.14 7.345 353 79.92
Limited 255 51,711,843 3.70 6.873 352 80.17
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
20. Credit Score
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
500 - 524 526 79,490,402 5.69 8.414 355 73.85
525 - 549 792 117,821,650 8.43 8.008 356 76.89
550 - 574 924 150,144,516 10.75 7.546 355 79.60
575 - 599 1,293 224,839,486 16.10 7.040 352 79.87
600 - 624 1,265 227,040,895 16.25 6.828 351 81.43
625 - 649 1,274 214,891,308 15.38 6.780 349 80.90
650 - 674 918 180,092,193 12.89 6.588 350 80.21
675 - 699 494 98,331,561 7.04 6.416 346 81.08
700 - 724 221 43,578,097 3.12 6.371 348 80.39
725 - 749 168 38,117,261 2.73 6.338 347 78.57
750 - 774 76 13,981,146 1.00 6.410 346 81.67
775 - 799 41 7,693,524 0.55 6.527 346 78.28
800 + 4 819,393 0.06 5.532 356 54.76
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 817
Non-Zero Weighted Average: 615
------------------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 1,861 306,765,057 21.96 7.544 350 80.56
12 286 63,061,185 4.51 6.619 346 76.49
24 4,104 718,896,054 51.47 7.099 356 81.43
36 1,745 308,119,138 22.06 6.430 343 75.76
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 27
------------------------------------------------------------------------------------------------------------------------------------
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Lien Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 7,750 1,386,885,729 99.29 7.003 352 79.62
2nd Lien 246 9,955,705 0.71 10.438 270 99.49
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 7,341 1,232,028,400 88.20 7.095 351 79.43
24 515 130,883,725 9.37 6.569 356 82.91
36 55 13,236,796 0.95 6.333 356 80.43
60 82 19,761,112 1.41 6.423 356 79.46
120 3 931,400 0.07 4.674 296 73.49
------------------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
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an interest in the type of security described herein. It has been prepared
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MSAC 2004-HE8
Group 1
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original Combined LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 4,248
Aggregate Principal Balance ($): 679,840,741
Weighted Average Current Mortgage Rate (%): 7.037
Non-Zero Weighted Average Margin (%): 5.571
Non-Zero Weighted Average Maximum Rate (%): 14.234
Weighted Average Stated Original Term (months): 354
Weighted Average Stated Remaining Term (months): 351
Weighted Average Combined Original LTV (%): 80.13
% First Liens: 98.54
% Owner Occupied: 91.73
% Purchase: 28.60
% Full Doc: 56.57
Weighted Average Credit Score: 616
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Originator Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
New Century 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 1 136,465 0.02 5.500 116 80.00
Fixed - 15 Year 106 11,687,668 1.72 6.151 176 66.91
Fixed - 20 Year 230 13,748,884 2.02 8.072 236 83.97
Fixed - 25 Year 5 904,384 0.13 6.134 296 70.90
Fixed - 30 Year 714 126,908,940 18.67 6.165 356 74.54
ARM - 2 Year/6 Month 2,587 408,362,704 60.07 7.415 357 81.72
ARM - 3 Year/6 Month 184 30,426,428 4.48 6.854 357 80.98
ARM - 2 Year IO/6 Month 376 78,870,268 11.60 6.588 356 81.96
ARM - 3 Year IO/6 Month 43 8,197,499 1.21 6.559 356 80.53
ARM - 10 Year IO/1 Month 2 597,500 0.09 4.716 296 75.45
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 31 7,610,631 1.12 4.837 352 74.32
5.000 - 5.999 763 149,259,224 21.96 5.680 342 73.92
6.000 - 6.999 1,105 193,171,919 28.41 6.550 353 79.69
7.000 - 7.999 1,256 204,074,892 30.02 7.508 356 83.21
8.000 - 8.999 683 94,759,172 13.94 8.430 357 83.10
9.000 - 9.999 217 21,919,523 3.22 9.427 347 81.30
10.000 - 10.999 131 6,583,982 0.97 10.444 295 91.76
11.000 - 11.999 58 2,293,756 0.34 11.319 267 98.41
12.000 - 12.999 4 167,643 0.02 12.209 278 100.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.500
Maximum: 12.300
Weighted Average: 7.037
------------------------------------------------------------------------------------------------------------------------------------
5. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Range of Cut-off Mortgage Principal Principal Interest Term Original
Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 21 473,125 0.07 10.712 237 99.93
25,001 - 50,000 202 7,827,774 1.15 9.804 253 92.13
50,001 - 75,000 371 23,087,555 3.40 8.254 347 81.06
75,001 - 100,000 551 48,909,717 7.19 7.396 347 79.36
100,001 - 125,000 535 60,368,707 8.88 7.200 348 79.55
125,001 - 150,000 539 74,014,826 10.89 7.128 352 79.49
150,001 - 175,000 392 63,752,876 9.38 7.054 353 79.01
175,001 - 200,000 386 72,462,061 10.66 6.984 352 78.55
200,001 - 225,000 307 65,449,687 9.63 6.986 354 81.23
225,001 - 250,000 264 62,868,214 9.25 6.856 353 79.56
250,001 - 275,000 247 64,738,795 9.52 6.772 352 80.66
275,001 - 300,000 182 52,373,024 7.70 6.547 354 79.73
300,001 - 325,000 150 47,015,354 6.92 6.683 354 81.26
325,001 - 350,000 53 17,727,722 2.61 6.918 356 82.67
350,001 - 375,000 25 9,017,328 1.33 6.632 357 81.81
375,001 - 400,000 6 2,320,328 0.34 7.153 357 85.76
400,001 - 425,000 9 3,727,888 0.55 6.314 357 81.00
425,001 - 450,000 4 1,756,889 0.26 6.512 357 77.58
475,001 - 500,000 4 1,948,870 0.29 7.301 356 83.55
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 18,929
Maximum: 498,106
Average: 160,038
------------------------------------------------------------------------------------------------------------------------------------
6. Stated Original Term (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
120 1 136,465 0.02 5.500 116 80.00
180 106 11,687,668 1.72 6.151 176 66.91
240 230 13,748,884 2.02 8.072 236 83.97
300 7 1,501,884 0.22 5.570 296 72.71
360 3,904 652,765,839 96.02 7.035 357 80.30
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 354
------------------------------------------------------------------------------------------------------------------------------------
7. Range of Stated Remaining Terms (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Range of Stated Mortgage Principal Principal Interest Term Original
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
109 - 120 1 136,465 0.02 5.500 116 80.00
169 - 180 106 11,687,668 1.72 6.151 176 66.91
229 - 240 230 13,748,884 2.02 8.072 236 83.97
289 - 300 7 1,501,884 0.22 5.570 296 72.71
349 - 360 3,904 652,765,839 96.02 7.035 357 80.30
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 116
Maximum: 357
Weighted Average: 351
------------------------------------------------------------------------------------------------------------------------------------
8. Range of Original Combined LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Range of Original Mortgage Principal Principal Interest Term Original
Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 1 49,903 0.01 8.225 357 13.16
20.01 - 25.00 4 333,291 0.05 7.091 341 22.19
25.01 - 30.00 8 949,275 0.14 6.433 340 28.25
30.01 - 35.00 16 1,858,194 0.27 6.337 311 33.34
35.01 - 40.00 22 3,471,004 0.51 6.246 338 37.70
40.01 - 45.00 29 3,797,317 0.56 6.458 346 42.88
45.01 - 50.00 59 9,326,518 1.37 6.757 333 48.09
50.01 - 55.00 66 9,517,796 1.40 6.472 341 52.77
55.01 - 60.00 111 18,112,612 2.66 6.482 340 57.92
60.01 - 65.00 181 29,313,628 4.31 6.748 340 63.62
65.01 - 70.00 265 45,385,236 6.68 6.931 351 68.56
70.01 - 75.00 348 60,123,962 8.84 7.014 351 74.06
75.01 - 80.00 1,140 189,550,883 27.88 6.721 353 79.54
80.01 - 85.00 643 108,511,034 15.96 7.093 354 84.47
85.01 - 90.00 741 125,185,738 18.41 7.217 355 89.69
90.01 - 95.00 260 47,443,458 6.98 7.411 357 94.75
95.01 - 100.00 354 26,910,892 3.96 9.010 325 99.94
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 13.16
Maximum: 100.00
Weighted Average: 80.13
------------------------------------------------------------------------------------------------------------------------------------
9. Range of Gross Margins (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,056 153,386,341 22.56 6.334 331 74.78
<= 3.500 6 1,141,041 0.17 6.119 340 84.68
3.501 - 4.000 1 276,200 0.04 4.850 296 58.52
4.501 - 5.000 3 770,164 0.11 5.247 356 68.09
5.001 - 5.500 1,501 245,309,207 36.08 6.901 357 82.90
5.501 - 6.000 1,306 224,525,493 33.03 7.453 357 82.51
6.001 - 6.500 204 29,356,242 4.32 7.772 357 75.39
6.501 - 7.000 169 24,791,608 3.65 8.209 357 70.01
7.001 - 7.500 1 99,524 0.01 7.450 357 95.00
8.501 - 9.000 1 184,921 0.03 8.650 357 95.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 8.550
Non-Zero Weighted Average: 5.571
------------------------------------------------------------------------------------------------------------------------------------
10. Range of Minimum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,056 153,386,341 22.56 6.334 331 74.78
<=5.000 32 7,889,277 1.16 4.843 352 74.52
5.001 - 5.500 83 16,638,803 2.45 5.359 357 78.08
5.501 - 6.000 246 46,382,843 6.82 5.843 357 77.28
6.001 - 6.500 354 65,928,695 9.70 6.303 357 80.15
6.501 - 7.000 480 84,099,950 12.37 6.795 357 81.99
7.001 - 7.500 564 95,451,266 14.04 7.299 357 83.02
7.501 - 8.000 633 101,682,916 14.96 7.784 357 84.05
8.001 - 8.500 372 51,297,458 7.55 8.262 357 83.43
8.501 - 9.000 268 36,736,604 5.40 8.760 357 82.07
9.001 - 9.500 96 12,043,660 1.77 9.268 357 79.08
9.501 - 10.000 44 6,222,734 0.92 9.684 357 77.21
10.001 -10.500 16 1,655,773 0.24 10.281 357 76.71
10.501 - 11.000 4 424,420 0.06 10.793 357 65.39
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.500
Maximum: 10.950
Non-Zero Weighted Average: 7.242
------------------------------------------------------------------------------------------------------------------------------------
11. Range of Maximum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,056 153,386,341 22.56 6.334 331 74.78
<= 12.500 121 25,332,609 3.73 5.226 355 76.91
12.501 - 13.000 247 46,615,183 6.86 5.853 357 77.33
13.001 - 13.500 356 66,490,332 9.78 6.319 357 80.27
13.501 - 14.000 485 84,847,617 12.48 6.811 357 82.14
14.001 - 14.500 561 94,902,971 13.96 7.305 357 83.06
14.501 - 15.000 626 100,598,156 14.80 7.784 357 83.94
15.001 - 15.500 370 50,841,254 7.48 8.265 357 83.30
15.501 - 16.000 268 36,751,487 5.41 8.762 357 82.09
16.001 - 16.500 95 11,928,832 1.75 9.266 357 79.20
16.501 - 17.000 43 6,065,765 0.89 9.687 357 77.01
17.001 - 17.500 16 1,655,773 0.24 10.281 357 76.71
17.501 - 18.000 4 424,420 0.06 10.793 357 65.39
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.500
Maximum: 17.950
Non-Zero Weighted Average: 14.234
------------------------------------------------------------------------------------------------------------------------------------
12. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,056 153,386,341 22.56 6.334 331 74.78
1 30 4,860,330 0.71 7.499 357 85.69
1.5 3,159 520,888,817 76.62 7.242 357 81.65
2 1 107,752 0.02 9.200 356 100.00
3 2 597,500 0.09 4.716 296 75.45
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.497
------------------------------------------------------------------------------------------------------------------------------------
13. Subsequent Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,056 153,386,341 22.56 6.334 331 74.78
1 31 4,968,082 0.73 7.536 357 86.00
1.5 3,159 520,888,817 76.62 7.242 357 81.65
3 2 597,500 0.09 4.716 296 75.45
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.497
------------------------------------------------------------------------------------------------------------------------------------
14. Next Rate Adjustment Dates
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,056 153,386,341 22.56 6.334 331 74.78
Nov-04 2 597,500 0.09 4.716 296 75.45
Apr-06 1 143,992 0.02 5.838 354 80.00
May-06 34 5,638,147 0.83 6.985 355 83.32
Jun-06 695 127,274,795 18.72 6.916 356 80.74
Jul-06 2,233 354,176,038 52.10 7.418 357 82.10
May-07 2 435,993 0.06 5.744 355 73.48
Jun-07 54 9,953,287 1.46 6.474 356 80.23
Jul-07 171 28,234,647 4.15 6.919 357 81.23
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Geographic Distribution Mortgage Principal Principal Interest Term Original
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
California 1,077 222,336,501 32.70 6.696 353 77.52
Florida 417 54,882,519 8.07 7.178 348 81.85
New York 214 47,223,735 6.95 6.661 344 76.57
Illinois 168 26,693,693 3.93 7.612 353 82.97
New Jersey 122 24,506,175 3.60 7.237 353 79.83
Massachusetts 110 24,193,139 3.56 7.021 355 80.25
Texas 218 22,983,576 3.38 7.226 336 80.90
Washington 127 19,260,565 2.83 6.974 351 82.37
Michigan 159 16,953,931 2.49 7.921 352 82.81
Nevada 96 16,661,545 2.45 6.966 349 80.75
Hawaii 65 15,461,944 2.27 6.228 352 76.14
Maryland 86 15,051,770 2.21 7.183 354 80.53
Virginia 83 14,592,729 2.15 7.293 355 81.27
Arizona 109 14,247,559 2.10 7.195 352 84.89
Pennsylvania 105 12,531,964 1.84 7.191 342 82.59
Other 1,092 132,259,394 19.45 7.427 352 83.20
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 51
------------------------------------------------------------------------------------------------------------------------------------
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Primary 3,888 623,630,460 91.73 7.011 350 80.05
Investment 332 51,781,881 7.62 7.355 356 80.81
Second Home 28 4,428,400 0.65 7.003 357 83.53
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 3,225 501,736,093 73.80 7.028 351 79.93
2-4 Family 323 68,986,678 10.15 7.069 354 79.78
Planned Unit Development 422 68,009,377 10.00 7.012 350 81.40
Condo 278 41,108,593 6.05 7.133 353 81.11
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 2,662 449,863,628 66.17 6.937 350 77.86
Purchase 1,335 194,413,605 28.60 7.309 353 85.58
Refinance - Rate Term 251 35,563,509 5.23 6.821 349 79.12
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Full 2,543 384,611,970 56.57 6.803 349 79.92
Stated Documentation 1,546 267,850,520 39.40 7.387 353 80.40
Limited 159 27,378,251 4.03 6.903 354 80.39
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
20. Credit Score
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
500 - 524 265 38,477,230 5.66 8.401 357 73.84
525 - 549 403 59,085,198 8.69 8.001 357 77.46
550 - 574 477 73,677,729 10.84 7.470 356 78.91
575 - 599 676 107,305,737 15.78 6.999 352 79.47
600 - 624 651 104,228,901 15.33 6.854 351 82.18
625 - 649 689 104,804,288 15.42 6.809 346 81.69
650 - 674 483 86,058,123 12.66 6.632 348 81.22
675 - 699 305 53,114,361 7.81 6.433 347 81.43
700 - 724 150 27,303,589 4.02 6.515 348 81.14
725 - 749 85 15,507,035 2.28 6.435 347 78.53
750 - 774 44 6,562,848 0.97 6.708 347 84.50
775 - 799 18 3,399,083 0.50 6.729 355 78.96
800 + 2 316,619 0.05 5.583 356 53.88
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 810
Non-Zero Weighted Average: 616
------------------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 958 144,935,139 21.32 7.519 350 81.91
12 171 34,642,467 5.10 6.533 341 75.15
24 2,289 362,854,301 53.37 7.196 356 81.71
36 830 137,408,833 20.21 6.236 341 75.34
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 26
------------------------------------------------------------------------------------------------------------------------------------
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Lien Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 4,002 669,885,036 98.54 6.987 352 79.84
2nd Lien 246 9,955,705 1.46 10.438 270 99.49
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 3,827 592,175,474 87.11 7.106 350 79.89
24 376 78,870,268 11.60 6.588 356 81.96
36 43 8,197,499 1.21 6.559 356 80.53
120 2 597,500 0.09 4.716 296 75.45
------------------------------------------------------------------------------------------------------------------------------------
Total: 4,248 679,840,741 100.00 7.037 351 80.13
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
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MSAC 2004-HE8
Group 2
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original Combined LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 955
Aggregate Principal Balance ($): 154,912,167
Weighted Average Current Mortgage Rate (%): 7.004
Non-Zero Weighted Average Margin (%): 5.653
Non-Zero Weighted Average Maximum Rate (%): 13.029
Weighted Average Stated Original Term (months): 356
Weighted Average Stated Remaining Term (months): 352
Weighted Average Combined Original LTV (%): 78.38
% First Liens: 100.00
% Owner Occupied: 94.21
% Purchase: 33.19
% Full Doc: 60.86
Weighted Average Credit Score: 611
2. Originator
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Originator Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Aames 955 154,912,167 100.00 7.004 352 78.38
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
3. Product Types
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 6 460,380 0.30 7.278 117 67.37
Fixed - 15 Year 18 1,677,852 1.08 6.711 176 66.69
Fixed - 20 Year 12 1,406,966 0.91 7.018 236 75.67
Fixed - 25 Year 5 430,068 0.28 8.011 296 81.08
Fixed - 30 Year 175 26,963,314 17.41 6.887 356 75.38
ARM - 2 Year/6 Month 688 113,847,432 73.49 7.078 356 79.35
ARM - 3 Year/6 Month 25 4,262,249 2.75 6.946 356 78.83
ARM - 2 Year IO/6 Month 24 5,310,654 3.43 6.140 357 78.75
ARM - 3 Year IO/6 Month 2 553,250 0.36 6.216 356 67.56
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
4. Range of Gross Interest Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 2 345,051 0.22 4.916 355 77.56
5.000 - 5.999 159 30,250,344 19.53 5.742 353 75.64
6.000 - 6.999 338 59,504,440 38.41 6.548 352 77.39
7.000 - 7.999 267 41,096,348 26.53 7.530 351 80.10
8.000 - 8.999 123 16,986,975 10.97 8.483 352 81.94
9.000 - 9.999 46 4,868,563 3.14 9.429 356 81.11
10.000 - 10.999 12 1,154,461 0.75 10.582 356 76.87
11.000 - 11.999 6 374,844 0.24 11.395 356 79.13
12.000 - 12.999 2 331,140 0.21 12.304 356 75.00
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Minimum: 4.830
Maximum: 12.680
Weighted Average: 7.004
5. Range of Cut-off Date Principal Balances ($)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 19 849,252 0.55 8.814 336 64.14
50,001 - 75,000 79 5,088,174 3.28 8.325 331 76.92
75,001 - 100,000 122 10,576,060 6.83 7.408 341 78.03
100,001 - 125,000 128 14,311,214 9.24 7.357 349 77.60
125,001 - 150,000 132 18,293,859 11.81 6.971 356 78.93
150,001 - 175,000 105 16,972,047 10.96 6.946 352 77.64
175,001 - 200,000 108 20,176,738 13.02 7.028 355 79.09
200,001 - 225,000 66 14,056,721 9.07 6.593 353 77.04
225,001 - 250,000 56 13,386,014 8.64 6.730 356 78.39
250,001 - 275,000 48 12,608,345 8.14 7.051 356 79.28
275,001 - 300,000 37 10,688,381 6.90 6.662 356 80.24
300,001 - 325,000 35 10,908,227 7.04 6.708 353 79.40
325,001 - 350,000 13 4,273,330 2.76 6.920 356 78.71
350,001 - 375,000 4 1,426,766 0.92 7.337 357 81.29
375,001 - 400,000 1 390,693 0.25 6.960 356 80.00
400,001 - 425,000 1 418,844 0.27 6.450 357 70.00
475,001 - 500,000 1 487,504 0.31 5.930 355 70.00
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Minimum: 34,904
Maximum: 487,504
Average: 162,212
6. Stated Original Term (months)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
120 6 460,380 0.30 7.278 117 67.37
180 18 1,677,852 1.08 6.711 176 66.69
240 12 1,406,966 0.91 7.018 236 75.67
300 5 430,068 0.28 8.011 296 81.08
360 914 150,936,901 97.43 7.004 356 78.56
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Minimum: 120
Maximum: 360
Weighted Average: 356
7. Range of Stated Remaining Terms (months)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
109 - 120 6 460,380 0.30 7.278 117 67.37
169 - 180 18 1,677,852 1.08 6.711 176 66.69
229 - 240 12 1,406,966 0.91 7.018 236 75.67
289 - 300 5 430,068 0.28 8.011 296 81.08
349 - 360 914 150,936,901 97.43 7.004 356 78.56
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Minimum: 116
Maximum: 358
Weighted Average: 352
8. Range of Original Combined LTV Ratios (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Original Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 1 49,661 0.03 8.730 356 25.00
25.01 - 30.00 1 78,173 0.05 5.880 177 25.65
40.01 - 45.00 7 605,061 0.39 6.319 341 42.89
45.01 - 50.00 6 677,767 0.44 6.821 296 48.80
50.01 - 55.00 10 1,422,488 0.92 6.587 350 52.72
55.01 - 60.00 25 3,755,405 2.42 6.680 342 58.29
60.01 - 65.00 32 4,666,026 3.01 6.625 351 63.95
65.01 - 70.00 94 14,546,946 9.39 7.065 348 68.61
70.01 - 75.00 117 19,225,285 12.41 7.122 349 73.97
75.01 - 80.00 448 74,906,847 48.35 6.753 355 79.76
80.01 - 85.00 98 15,504,216 10.01 7.467 354 84.44
85.01 - 90.00 71 12,387,356 8.00 7.462 354 89.83
90.01 - 95.00 43 6,845,530 4.42 7.956 356 94.49
95.01 - 100.00 2 241,407 0.16 8.889 356 98.77
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Minimum: 25.00
Maximum: 100.00
Weighted Average: 78.38
9. Range of Gross Margins (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 216 30,938,581 19.97 6.905 337 74.88
4.501 - 5.000 1 108,972 0.07 6.850 357 95.00
5.001 - 5.500 565 97,178,809 62.73 6.799 356 80.08
5.501 - 6.000 62 9,435,057 6.09 7.081 357 75.87
6.001 - 6.500 71 11,909,127 7.69 7.997 356 77.56
6.501 - 7.000 40 5,341,622 3.45 8.973 356 73.53
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Non-Zero Minimum: 5.000
Maximum: 6.950
Non-Zero Weighted Average: 5.653
10. Range of Minimum Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 216 30,938,581 19.97 6.905 337 74.88
<=5.000 3 566,645 0.37 4.949 356 78.51
5.001 - 5.500 25 4,813,348 3.11 5.372 356 76.71
5.501 - 6.000 104 20,596,330 13.30 5.821 356 76.71
6.001 - 6.500 107 21,043,126 13.58 6.323 356 78.47
6.501 - 7.000 147 25,300,711 16.33 6.794 356 78.97
7.001 - 7.500 89 15,135,761 9.77 7.288 356 80.54
7.501 - 8.000 107 16,354,508 10.56 7.762 356 80.91
8.001 - 8.500 46 7,585,337 4.90 8.282 356 82.95
8.501 - 9.000 45 5,848,812 3.78 8.787 356 80.79
9.001 - 9.500 27 2,685,268 1.73 9.236 356 81.39
9.501 - 10.000 19 2,183,295 1.41 9.667 356 80.77
10.001 -10.500 6 537,364 0.35 10.329 356 78.79
10.501 - 11.000 6 617,097 0.40 10.802 356 75.20
11.001 - 11.500 3 232,897 0.15 11.156 356 84.70
11.501 - 12.000 3 141,948 0.09 11.788 356 70.00
12.001 - 12.500 1 262,209 0.17 12.205 356 75.00
12.501 - 13.000 1 68,931 0.04 12.680 356 75.00
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Non-Zero Minimum: 4.830
Maximum: 12.680
Non-Zero Weighted Average: 7.029
11. Range of Maximum Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 216 30,938,581 19.97 6.905 337 74.88
<= 12.500 239 47,019,449 30.35 5.989 356 77.52
12.501 - 13.000 147 25,300,711 16.33 6.794 356 78.97
13.001 - 13.500 89 15,135,761 9.77 7.288 356 80.54
13.501 - 14.000 107 16,354,508 10.56 7.762 356 80.91
14.001 - 14.500 46 7,585,337 4.90 8.282 356 82.95
14.501 - 15.000 45 5,848,812 3.78 8.787 356 80.79
15.001 - 15.500 27 2,685,268 1.73 9.236 356 81.39
15.501 - 16.000 19 2,183,295 1.41 9.667 356 80.77
16.001 - 16.500 6 537,364 0.35 10.329 356 78.79
16.501 - 17.000 6 617,097 0.40 10.802 356 75.20
17.001 - 17.500 3 232,897 0.15 11.156 356 84.70
17.501 - 18.000 3 141,948 0.09 11.788 356 70.00
18.001 - 18.500 1 262,209 0.17 12.205 356 75.00
18.501 - 19.000 1 68,931 0.04 12.680 356 75.00
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Non-Zero Minimum: 10.830
Maximum: 18.680
Non-Zero Weighted Average: 13.029
12. Initial Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 216 30,938,581 19.97 6.905 337 74.88
3 739 123,973,586 80.03 7.029 356 79.25
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Non-Zero Minimum: 3.000
Maximum: 3.000
Non-Zero Weighted Average: 3.000
13. Subsequent Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 216 30,938,581 19.97 6.905 337 74.88
1 739 123,973,586 80.03 7.029 356 79.25
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Non-Zero Minimum: 1.000
Maximum: 1.000
Non-Zero Weighted Average: 1.000
14. Next Rate Adjustment Dates
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 216 30,938,581 19.97 6.905 337 74.88
May-06 59 10,093,228 6.52 7.261 355 74.05
Jun-06 356 59,814,440 38.61 7.148 356 79.69
Jul-06 295 48,955,816 31.60 6.859 357 79.92
Aug-06 2 294,602 0.19 5.932 358 84.88
May-07 1 149,149 0.10 5.355 355 60.00
Jun-07 17 2,640,582 1.70 7.052 356 78.31
Jul-07 8 1,707,682 1.10 6.903 357 78.35
Aug-07 1 318,087 0.21 5.780 358 75.00
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
15. Geographic Distribution of Mortgaged Properties
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
California 276 57,876,989 37.36 6.767 355 77.17
Florida 205 30,671,153 19.80 6.913 355 80.33
Texas 86 8,671,850 5.60 7.515 335 79.68
New York 34 7,723,050 4.99 7.068 355 74.71
Washington 40 6,572,694 4.24 6.791 348 80.52
Virginia 22 3,599,538 2.32 7.372 356 77.49
Minnesota 22 3,499,775 2.26 6.791 356 80.90
Illinois 25 3,445,391 2.22 7.945 354 80.03
New Jersey 17 3,294,041 2.13 7.690 356 77.08
Michigan 25 2,746,740 1.77 7.653 349 81.25
Massachusetts 11 2,680,405 1.73 6.845 356 74.78
Nevada 16 2,586,937 1.67 7.479 339 78.46
Ohio 29 2,482,638 1.60 7.357 338 75.93
Maryland 13 2,186,150 1.41 7.645 356 78.26
Colorado 12 1,979,685 1.28 6.496 356 81.39
Other 122 14,895,132 9.62 7.212 349 78.92
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Number of States/District of Columbia Represented: 39
16. Occupancy
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Primary 896 145,942,728 94.21 6.982 352 78.46
Investment 53 8,037,924 5.19 7.408 354 76.59
Second Home 6 931,515 0.60 7.067 357 81.78
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
17. Property Type
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Single Family Residence 845 135,732,054 87.62 6.998 352 78.35
Condo 65 9,834,700 6.35 7.080 356 80.27
2-4 Family 45 9,345,414 6.03 7.018 355 76.78
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
18. Loan Purpose
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 575 93,063,539 60.08 7.104 350 76.72
Purchase 310 51,416,894 33.19 6.872 356 81.50
Refinance - Rate Term 70 10,431,734 6.73 6.770 351 77.85
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
19. Documentation Level
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Full 610 94,282,322 60.86 6.871 351 78.54
Stated Documentation 331 58,218,889 37.58 7.214 355 77.93
Limited 14 2,410,956 1.56 7.141 335 82.70
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
20. Credit Score
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
500 - 524 70 9,412,729 6.08 8.475 350 74.80
525 - 549 98 14,007,724 9.04 7.880 353 74.60
550 - 574 124 18,826,722 12.15 7.573 355 81.07
575 - 599 132 21,210,497 13.69 6.932 351 78.21
600 - 624 155 25,562,383 16.50 6.763 353 79.96
625 - 649 174 28,882,535 18.64 6.673 349 78.25
650 - 674 124 22,278,489 14.38 6.559 355 77.02
675 - 699 28 5,370,187 3.47 6.632 354 82.72
700 - 724 16 3,371,908 2.18 6.328 357 81.49
725 - 749 17 3,064,100 1.98 6.163 349 77.13
750 - 774 11 2,104,222 1.36 6.065 356 79.43
775 - 799 6 820,669 0.53 6.088 356 79.39
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Minimum: 501
Maximum: 793
Non-Zero Weighted Average: 611
21. Prepayment Penalty Term
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
0 169 25,721,132 16.60 7.562 350 78.61
12 23 4,360,279 2.81 7.028 353 71.77
24 575 96,658,095 62.40 6.899 356 79.32
36 188 28,172,661 18.19 6.853 341 75.94
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 26
22. Lien Position
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
1st Lien 955 154,912,167 100.00 7.004 352 78.38
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
23. Interest Only Term
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
0 929 149,048,263 96.21 7.038 352 78.41
60 26 5,863,904 3.79 6.147 357 77.70
----------------------------------------------------------------------------------------------------------------------------
Total: 955 154,912,167 100.00 7.004 352 78.38
This information is being delivered to a specific number of prospective
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MSAC 2004-HE8
Group 3
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original Combined LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 2,793
Aggregate Principal Balance ($): 562,088,526
Weighted Average Current Mortgage Rate (%): 7.022
Non-Zero Weighted Average Margin (%): 5.616
Non-Zero Weighted Average Maximum Rate (%): 13.602
Weighted Average Stated Original Term (months): 355
Weighted Average Stated Remaining Term (months): 351
Weighted Average Combined Original LTV (%): 79.70
% First Liens: 100.00
% Owner Occupied: 93.75
% Purchase: 29.14
% Full Doc: 56.84
Weighted Average Credit Score: 616
2. Originator
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Originator Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Aames 1,432 244,748,391 43.54 7.214 354 78.74
New Century 1,361 317,340,136 56.46 6.874 350 80.44
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
3. Product Types
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 13 818,819 0.15 7.321 117 63.38
Fixed - 15 Year 109 10,417,550 1.85 6.750 176 73.19
Fixed - 20 Year 42 5,629,250 1.00 6.768 236 77.68
Fixed - 25 Year 9 678,392 0.12 7.687 297 69.82
Fixed - 30 Year 692 137,497,260 24.46 6.656 356 75.58
ARM - 2 Year/6 Month 1,538 301,334,642 53.61 7.350 357 81.17
ARM - 3 Year/6 Month 88 18,202,258 3.24 6.788 357 79.54
ARM - 5 Year/6 Month 94 16,226,493 2.89 6.872 356 78.21
ARM - 2 Year IO/6 Month 182 63,042,516 11.22 6.545 356 83.61
ARM - 3 Year IO/6 Month 12 5,039,298 0.90 5.965 356 80.27
ARM - 5 Year IO/6 Month 13 2,868,149 0.51 6.452 356 80.83
ARM - 10 Year IO/1 Month 1 333,900 0.06 4.600 297 70.00
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
4. Range of Gross Interest Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 17 6,154,050 1.09 4.813 353 79.76
5.000 - 5.999 388 114,059,232 20.29 5.675 347 76.07
6.000 - 6.999 732 172,922,480 30.76 6.529 353 78.93
7.000 - 7.999 962 177,536,266 31.59 7.524 352 81.85
8.000 - 8.999 430 66,344,470 11.80 8.433 353 82.36
9.000 - 9.999 176 18,204,200 3.24 9.463 350 80.94
10.000 - 10.999 66 4,998,174 0.89 10.452 348 74.01
11.000 - 11.999 17 1,636,907 0.29 11.421 345 77.97
12.000 - 12.999 4 186,890 0.03 12.186 331 74.58
13.000 - 13.999 1 45,857 0.01 13.005 356 85.00
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Minimum: 4.500
Maximum: 13.005
Weighted Average: 7.022
5. Range of Cut-off Date Principal Balances ($)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 95 4,240,215 0.75 8.920 318 70.09
50,001 - 75,000 370 23,363,851 4.16 8.103 329 77.45
75,001 - 100,000 354 30,875,590 5.49 7.623 334 77.90
100,001 - 125,000 319 35,859,355 6.38 7.593 352 79.71
125,001 - 150,000 258 35,348,434 6.29 7.404 351 79.25
150,001 - 175,000 183 29,657,845 5.28 7.277 350 79.46
175,001 - 200,000 143 26,861,184 4.78 7.106 356 78.08
200,001 - 225,000 120 25,549,956 4.55 7.235 355 78.95
225,001 - 250,000 97 23,081,891 4.11 7.178 353 78.91
250,001 - 275,000 75 19,685,467 3.50 7.191 356 78.59
275,001 - 300,000 66 18,955,821 3.37 7.152 356 77.40
300,001 - 325,000 41 12,781,753 2.27 7.102 354 83.09
325,001 - 350,000 127 43,283,276 7.70 6.812 354 80.74
350,001 - 375,000 133 48,079,367 8.55 6.686 355 82.20
375,001 - 400,000 121 46,982,156 8.36 6.849 353 82.43
400,001 - 425,000 86 35,388,099 6.30 6.631 355 81.57
425,001 - 450,000 54 23,751,599 4.23 6.719 356 77.56
450,001 - 475,000 38 17,662,184 3.14 6.343 348 82.23
475,001 - 500,000 58 28,474,622 5.07 6.529 356 79.37
500,001 - 750,000 55 32,205,862 5.73 6.064 353 77.57
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Minimum: 32,920
Maximum: 746,693
Average: 201,249
6. Stated Original Term (months)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
120 13 818,819 0.15 7.321 117 63.38
180 109 10,417,550 1.85 6.750 176 73.19
240 42 5,629,250 1.00 6.768 236 77.68
300 10 1,012,292 0.18 6.669 297 69.88
360 2,619 544,210,615 96.82 7.031 356 79.89
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Minimum: 120
Maximum: 360
Weighted Average: 355
7. Range of Stated Remaining Terms (months)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
109 - 120 13 818,819 0.15 7.321 117 63.38
169 - 180 109 10,417,550 1.85 6.750 176 73.19
229 - 240 42 5,629,250 1.00 6.768 236 77.68
289 - 300 10 1,012,292 0.18 6.669 297 69.88
349 - 360 2,619 544,210,615 96.82 7.031 356 79.89
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Minimum: 116
Maximum: 358
Weighted Average: 351
8. Range of Original Combined LTV Ratios (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Original Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
<= 10.00 1 59,120 0.01 7.980 175 7.50
10.01 - 15.00 1 153,352 0.03 5.750 356 11.85
15.01 - 20.00 3 222,268 0.04 6.102 293 17.11
20.01 - 25.00 8 1,153,220 0.21 6.853 355 22.66
25.01 - 30.00 8 740,879 0.13 7.729 252 28.32
30.01 - 35.00 7 446,297 0.08 7.059 336 31.56
35.01 - 40.00 9 957,761 0.17 7.148 332 37.31
40.01 - 45.00 22 3,951,402 0.70 6.941 340 42.87
45.01 - 50.00 25 4,215,243 0.75 6.714 349 47.97
50.01 - 55.00 33 5,401,662 0.96 6.948 342 52.67
55.01 - 60.00 62 11,759,708 2.09 6.826 349 58.00
60.01 - 65.00 101 19,843,535 3.53 6.527 350 63.27
65.01 - 70.00 230 43,208,456 7.69 6.929 349 68.61
70.01 - 75.00 274 55,242,128 9.83 7.019 349 73.87
75.01 - 80.00 981 187,640,012 33.38 6.836 352 79.55
80.01 - 85.00 376 82,953,168 14.76 7.114 351 84.24
85.01 - 90.00 449 104,603,826 18.61 7.182 353 89.60
90.01 - 95.00 183 34,878,938 6.21 7.702 356 94.73
95.01 - 100.00 20 4,657,552 0.83 8.146 356 100.00
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Minimum: 7.50
Maximum: 100.00
Weighted Average: 79.70
9. Range of Gross Margins (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 865 155,041,271 27.58 6.674 338 75.41
<= 3.500 2 449,100 0.08 5.190 312 75.13
5.001 - 5.500 1,164 239,861,178 42.67 6.861 356 82.02
5.501 - 6.000 489 118,271,129 21.04 7.354 357 82.57
6.001 - 6.500 189 34,543,975 6.15 7.981 356 77.16
6.501 - 7.000 84 13,921,874 2.48 8.542 356 69.56
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Non-Zero Minimum: 1.000
Maximum: 7.000
Non-Zero Weighted Average: 5.616
10. Range of Minimum Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 865 155,041,271 27.58 6.674 338 75.41
<=5.000 18 6,654,050 1.18 4.827 353 79.55
5.001 - 5.500 38 10,043,572 1.79 5.360 356 78.15
5.501 - 6.000 151 45,781,447 8.14 5.824 356 78.79
6.001 - 6.500 235 62,533,893 11.13 6.302 356 79.13
6.501 - 7.000 284 69,319,792 12.33 6.789 356 81.27
7.001 - 7.500 309 66,451,420 11.82 7.301 357 82.95
7.501 - 8.000 390 74,624,583 13.28 7.771 357 83.22
8.001 - 8.500 187 32,047,366 5.70 8.276 356 84.09
8.501 - 9.000 138 21,393,657 3.81 8.762 356 81.02
9.001 - 9.500 66 8,024,851 1.43 9.237 357 82.67
9.501 - 10.000 61 6,221,450 1.11 9.758 356 79.13
10.001 -10.500 17 1,458,322 0.26 10.233 356 76.00
10.501 - 11.000 21 1,443,167 0.26 10.713 357 71.91
11.001 - 11.500 5 527,511 0.09 11.374 357 83.22
11.501 - 12.000 4 327,565 0.06 11.676 357 74.50
12.001 - 12.500 3 148,754 0.03 12.181 355 74.47
13.001 - 13.500 1 45,857 0.01 13.005 356 85.00
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Non-Zero Minimum: 4.500
Maximum: 13.005
Non-Zero Weighted Average: 7.155
11. Range of Maximum Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 865 155,041,271 27.58 6.674 338 75.41
<= 12.500 357 84,188,809 14.98 6.000 356 77.94
12.501 - 13.000 244 60,145,502 10.70 6.421 356 79.51
13.001 - 13.500 205 48,985,487 8.71 6.835 356 80.99
13.501 - 14.000 275 61,940,773 11.02 7.314 356 82.60
14.001 - 14.500 251 55,010,855 9.79 7.553 357 84.40
14.501 - 15.000 287 53,972,578 9.60 8.028 357 83.55
15.001 - 15.500 144 22,310,844 3.97 8.524 357 84.13
15.501 - 16.000 91 12,794,482 2.28 9.106 356 81.86
16.001 - 16.500 28 3,787,033 0.67 9.519 357 81.58
16.501 - 17.000 21 1,899,880 0.34 10.175 357 76.69
17.001 - 17.500 6 588,917 0.10 10.917 356 83.80
17.501 - 18.000 11 892,612 0.16 10.941 357 68.17
18.001 - 18.500 5 327,077 0.06 11.754 356 72.03
18.501 - 19.000 2 156,550 0.03 11.550 357 68.49
19.001 - 19.500 1 45,857 0.01 13.005 356 85.00
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Non-Zero Minimum: 10.330
Maximum: 19.005
Non-Zero Weighted Average: 13.602
12. Initial Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 865 155,041,271 27.58 6.674 338 75.41
1 2 519,104 0.09 8.792 357 46.57
1.5 771 200,469,139 35.67 7.111 357 83.23
3 1,048 186,964,372 33.26 7.233 356 79.68
5 107 19,094,642 3.40 6.809 356 78.61
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Non-Zero Minimum: 1.000
Maximum: 5.000
Non-Zero Weighted Average: 2.353
13. Subsequent Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 865 155,041,271 27.58 6.674 338 75.41
1 1,156 206,244,217 36.69 7.202 356 79.51
1.5 771 200,469,139 35.67 7.111 357 83.23
3 1 333,900 0.06 4.600 297 70.00
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.248
14. Next Rate Adjustment Dates
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 865 155,041,271 27.58 6.674 338 75.41
Nov-04 1 333,900 0.06 4.600 297 70.00
Mar-06 1 116,339 0.02 8.450 353 95.00
Apr-06 7 1,692,025 0.30 6.659 354 87.29
May-06 88 15,671,861 2.79 7.160 355 74.87
Jun-06 730 154,002,360 27.40 7.210 356 81.20
Jul-06 892 192,646,008 34.27 7.220 357 82.40
Aug-06 2 248,566 0.04 6.156 358 80.00
Apr-07 1 360,000 0.06 6.500 354 90.00
May-07 1 647,278 0.12 6.950 355 21.67
Jun-07 44 9,849,891 1.75 6.574 356 79.49
Jul-07 54 12,384,387 2.20 6.623 357 82.59
Apr-09 2 273,655 0.05 7.167 354 60.11
May-09 7 808,436 0.14 6.758 355 66.55
Jun-09 59 10,521,061 1.87 6.813 356 79.39
Jul-09 39 7,491,490 1.33 6.797 357 79.48
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
15. Geographic Distribution of Mortgaged Properties
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
California 667 219,300,724 39.02 6.567 354 78.25
Florida 429 66,557,370 11.84 7.137 353 80.54
New York 154 42,537,014 7.57 7.017 354 78.00
Texas 285 30,446,513 5.42 7.429 331 78.78
New Jersey 75 19,665,112 3.50 7.295 350 81.52
Illinois 83 14,165,033 2.52 7.919 355 82.95
Washington 67 13,435,224 2.39 6.802 355 79.96
Massachusetts 49 12,264,640 2.18 6.893 349 79.90
Nevada 51 11,521,679 2.05 6.984 353 82.02
Maryland 54 10,611,933 1.89 7.636 346 79.84
Michigan 86 10,150,101 1.81 7.931 354 82.98
Virginia 47 9,693,792 1.72 7.413 355 82.38
Ohio 82 8,965,553 1.60 7.821 349 86.03
Connecticut 41 8,303,915 1.48 7.464 352 82.67
Minnesota 40 8,216,421 1.46 7.031 351 80.45
Other 583 76,253,502 13.57 7.501 347 81.01
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Number of States/District of Columbia Represented: 49
16. Occupancy
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Primary 2,575 526,955,963 93.75 6.986 351 79.71
Investment 191 29,970,667 5.33 7.618 350 79.36
Second Home 27 5,161,896 0.92 7.268 356 81.29
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
17. Property Type
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,335 456,014,050 81.13 7.034 351 79.53
2-4 Family 165 38,525,353 6.85 7.245 353 78.99
Planned Unit Development 135 38,252,376 6.81 6.744 348 81.70
Condo 158 29,296,748 5.21 6.907 352 80.74
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
18. Loan Purpose
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,775 360,263,137 64.09 7.025 350 77.99
Purchase 784 163,776,123 29.14 7.022 356 83.73
Refinance - Rate Term 234 38,049,266 6.77 7.005 345 78.55
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
19. Documentation Level
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Full 1,701 319,491,533 56.84 6.826 351 79.60
Stated Documentation 1,010 220,674,357 39.26 7.328 352 79.86
Limited 82 21,922,637 3.90 6.808 353 79.63
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
20. Credit Score
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
500 - 524 191 31,600,443 5.62 8.412 355 73.59
525 - 549 291 44,728,728 7.96 8.058 355 76.86
550 - 574 323 57,640,065 10.25 7.634 355 80.00
575 - 599 485 96,323,252 17.14 7.110 352 80.67
600 - 624 459 97,249,612 17.30 6.817 351 81.01
625 - 649 411 81,204,485 14.45 6.781 352 80.83
650 - 674 311 71,755,581 12.77 6.545 351 79.98
675 - 699 161 39,847,013 7.09 6.364 344 80.39
700 - 724 55 12,902,600 2.30 6.079 346 78.52
725 - 749 66 19,546,126 3.48 6.288 346 78.82
750 - 774 21 5,314,076 0.95 6.178 341 79.06
775 - 799 17 3,473,771 0.62 6.433 336 77.34
800 + 2 502,774 0.09 5.500 356 55.31
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Minimum: 500
Maximum: 817
Non-Zero Weighted Average: 616
21. Prepayment Penalty Term
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
0 734 136,108,786 24.21 7.568 349 79.49
12 92 24,058,439 4.28 6.669 352 79.28
24 1,240 259,383,657 46.15 7.037 356 81.81
36 727 142,537,644 25.36 6.534 345 76.13
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 27
22. Lien Position
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
1st Lien 2,793 562,088,526 100.00 7.022 351 79.70
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
23. Interest Only Term
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
0 2,585 490,804,663 87.32 7.100 351 79.19
24 139 52,013,458 9.25 6.541 356 84.37
36 12 5,039,298 0.90 5.965 356 80.27
60 56 13,897,208 2.47 6.539 356 80.20
120 1 333,900 0.06 4.600 297 70.00
----------------------------------------------------------------------------------------------------------------------------
Total: 2,793 562,088,526 100.00 7.022 351 79.70
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
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MSAC 2004-HE8
Interest Only Loans
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 655
Aggregate Principal Balance ($): 164,813,034
Weighted Average Current Mortgage Rate (%): 6.522
Non-Zero Weighted Average Margin (%): 5.439
Non-Zero Weighted Average Maximum Rate (%): 13.386
Weighted Average Stated Original Term (months): 360
Weighted Average Stated Remaining Term (months): 356
Weighted Average Combined Original LTV (%): 82.25
% First Liens: 100.00
% Owner Occupied: 99.24
% Purchase: 41.58
% Full Doc: 59.60
Weighted Average Credit Score: 621
2. Originator
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
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Aames 82 19,761,112 11.99 6.423 356 79.46 655
New Century 573 145,051,922 88.01 6.535 356 82.63 617
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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3. Product Types
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
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ARM - 2 Year IO/6 Month 582 147,223,439 89.33 6.553 356 82.55 621
ARM - 3 Year IO/6 Month 57 13,790,046 8.37 6.328 356 79.92 615
ARM - 5 Year IO/6 Month 13 2,868,149 1.74 6.452 356 80.83 656
ARM - 10 Year IO/1 Month 3 931,400 0.57 4.674 296 73.49 682
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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4. Range of Gross Interest Rates (%)
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Gross Mortgage Principal Principal Interest Term Original FICO
Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
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4.000 - 4.999 27 8,435,103 5.12 4.841 350 77.23 646
5.000 - 5.999 127 34,592,333 20.99 5.722 356 77.80 621
6.000 - 6.999 327 80,608,513 48.91 6.518 356 82.53 625
7.000 - 7.999 147 35,714,032 21.67 7.435 356 86.00 611
8.000 - 8.999 26 5,116,303 3.10 8.211 356 89.09 599
9.000 - 9.999 1 346,750 0.21 9.000 356 95.00 612
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Minimum: 4.500
Maximum: 9.000
Weighted Average: 6.522
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5. Range of Cut-off Date Principal Balances ($)
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
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50,001 - 75,000 7 470,698 0.29 7.418 356 85.23 597
75,001 - 100,000 30 2,714,230 1.65 6.786 357 80.54 633
100,001 - 125,000 33 3,699,428 2.24 6.956 356 81.59 617
125,001 - 150,000 66 9,145,680 5.55 6.553 356 81.00 626
150,001 - 175,000 50 8,056,923 4.89 6.648 357 78.44 624
175,001 - 200,000 55 10,412,183 6.32 6.647 357 82.39 618
200,001 - 225,000 47 10,012,291 6.07 6.720 356 82.11 616
225,001 - 250,000 59 14,084,168 8.55 6.616 356 81.00 630
250,001 - 275,000 67 17,670,151 10.72 6.387 356 82.13 622
275,001 - 300,000 47 13,555,388 8.22 6.426 355 80.64 620
300,001 - 325,000 37 11,623,493 7.05 6.443 355 82.49 614
325,001 - 350,000 30 10,202,579 6.19 6.538 354 83.28 620
350,001 - 375,000 36 13,002,998 7.89 6.432 356 82.14 629
375,001 - 400,000 34 13,131,761 7.97 6.606 356 84.71 626
400,001 - 425,000 16 6,596,382 4.00 6.471 356 85.49 616
425,001 - 450,000 12 5,284,234 3.21 6.516 356 83.93 602
450,001 - 475,000 8 3,720,396 2.26 6.349 356 85.65 640
475,001 - 500,000 12 5,901,953 3.58 6.282 356 83.60 612
500,001 - 750,000 9 5,528,099 3.35 6.209 356 81.09 615
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Minimum: 60,000
Maximum: 667,250
Average: 251,623
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6. Stated Original Term (months)
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Stated Original Mortgage Principal Principal Interest Term Original FICO
Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
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300 3 931,400 0.57 4.674 296 73.49 682
360 652 163,881,634 99.43 6.532 356 82.30 621
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Minimum: 300
Maximum: 360
Weighted Average: 360
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7. Range of Stated Remaining Terms (months)
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
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289 - 300 3 931,400 0.57 4.674 296 73.49 682
349 - 360 652 163,881,634 99.43 6.532 356 82.30 621
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Minimum: 296
Maximum: 357
Weighted Average: 356
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8. Range of Combined Original LTV Ratios (%)
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
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25.01 - 30.00 1 154,785 0.09 6.075 357 26.18 690
30.01 - 35.00 1 130,500 0.08 6.990 356 34.80 591
35.01 - 40.00 1 200,000 0.12 7.500 357 38.10 583
40.01 - 45.00 1 145,000 0.09 4.500 356 41.43 615
45.01 - 50.00 3 739,000 0.45 5.727 356 48.15 608
50.01 - 55.00 2 267,311 0.16 6.580 356 52.84 594
55.01 - 60.00 10 2,527,500 1.53 5.983 349 57.76 614
60.01 - 65.00 13 2,948,950 1.79 6.277 356 63.88 598
65.01 - 70.00 30 7,614,609 4.62 5.989 354 68.69 612
70.01 - 75.00 28 8,439,462 5.12 6.003 356 73.92 609
75.01 - 80.00 277 62,743,930 38.07 6.285 357 79.77 635
80.01 - 85.00 93 26,407,211 16.02 6.593 356 84.27 605
85.01 - 90.00 144 39,673,720 24.07 6.952 356 89.62 615
90.01 - 95.00 51 12,821,057 7.78 7.074 356 94.82 632
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Minimum: 26.18
Maximum: 95.00
Weighted Average: 82.25
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9. Range of Gross Margins (%)
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
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< = 3.500 4 1,050,400 0.64 5.172 319 78.31 656
3.501 - 4.000 1 276,200 0.17 4.850 296 58.52 682
5.001 - 5.500 443 106,259,954 64.47 6.358 356 82.00 627
5.501 - 6.000 198 54,601,730 33.13 6.887 356 82.95 609
6.001 - 6.500 7 2,002,250 1.21 6.143 357 82.35 615
6.501 - 7.000 2 622,500 0.38 6.664 357 79.68 590
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Non-Zero Minimum: 1.000
Maximum: 6.700
Non-Zero Weighted Average: 5.439
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10. Range of Minimum Mortgage Rates (%)
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Minimum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
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<=5.000 28 8,935,103 5.42 4.850 350 77.21 645
5.001 - 5.500 22 5,889,811 3.57 5.344 356 79.38 630
5.501 - 6.000 110 29,869,354 18.12 5.824 356 77.91 619
6.001 - 6.500 173 41,654,723 25.27 6.310 356 81.20 630
6.501 - 7.000 158 39,700,574 24.09 6.789 356 84.00 621
7.001 - 7.500 84 20,971,446 12.72 7.300 356 84.97 610
7.501 - 8.000 59 13,258,221 8.04 7.768 356 88.01 607
8.001 - 8.500 15 3,350,203 2.03 8.165 357 89.24 599
8.501 - 9.000 6 1,183,600 0.72 8.737 356 89.69 597
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Non-Zero Minimum: 4.500
Maximum: 9.000
Non-Zero Weighted Average: 6.522
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11. Range of Maximum Mortgage Rates (%)
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Maximum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
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<= 12.500 101 27,255,926 16.54 5.563 354 78.32 648
12.501 - 13.000 104 28,318,440 17.18 5.917 356 78.49 618
13.001 - 13.500 157 37,317,343 22.64 6.382 356 81.52 623
13.501 - 14.000 145 36,989,935 22.44 6.818 357 84.13 617
14.001 - 14.500 72 18,196,046 11.04 7.299 356 85.57 608
14.501 - 15.000 55 12,201,541 7.40 7.770 356 88.67 606
15.001 - 15.500 15 3,350,203 2.03 8.165 357 89.24 599
15.501 - 16.000 6 1,183,600 0.72 8.737 356 89.69 597
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Non-Zero Minimum: 10.680
Maximum: 16.000
Non-Zero Weighted Average: 13.386
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12. Initial Periodic Cap (%)
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
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1.5 570 144,120,522 87.44 6.547 356 82.69 616
3 72 17,824,363 10.81 6.326 353 78.93 657
5 13 2,868,149 1.74 6.452 356 80.83 656
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Non-Zero Minimum: 1.500
Maximum: 5.000
Non-Zero Weighted Average: 1.723
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13. Subsequent Periodic Cap (%)
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
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1 82 19,761,112 11.99 6.423 356 79.46 655
1.5 570 144,120,522 87.44 6.547 356 82.69 616
3 3 931,400 0.57 4.674 296 73.49 682
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.449
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14. Next Rate Adjustment Dates
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
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Nov-04 3 931,400 0.57 4.674 296 73.49 682
Apr-06 4 1,321,892 0.80 6.000 354 87.62 646
May-06 12 3,721,104 2.26 6.236 355 81.43 616
Jun-06 295 77,969,448 47.31 6.519 356 82.14 616
Jul-06 271 64,210,995 38.96 6.624 357 83.00 626
Apr-07 1 360,000 0.22 6.500 354 90.00 627
Jun-07 31 8,116,421 4.92 6.179 356 78.85 613
Jul-07 25 5,313,625 3.22 6.543 357 80.87 617
Jun-09 6 1,556,650 0.94 6.593 356 83.09 669
Jul-09 7 1,311,499 0.80 6.285 357 78.15 641
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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15. Geographic Distribution of Mortgaged Properties
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
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California 340 99,626,839 60.45 6.374 356 81.62 623
Florida 40 7,723,030 4.69 6.519 357 84.11 626
Washington 30 6,422,700 3.90 6.397 357 81.68 627
Arizona 31 5,654,311 3.43 6.551 353 86.18 625
Virginia 21 5,382,453 3.27 6.987 356 83.01 612
New York 18 4,518,199 2.74 6.623 357 80.19 607
Nevada 20 4,346,265 2.64 6.589 356 82.27 622
Maryland 19 4,014,484 2.44 6.914 356 83.30 613
Massachusetts 12 3,442,444 2.09 6.919 357 81.88 620
Colorado 16 2,738,671 1.66 6.617 356 85.12 619
New Jersey 9 2,401,150 1.46 6.962 356 80.56 616
Oregon 15 2,380,063 1.44 6.589 356 83.08 628
Illinois 8 2,373,650 1.44 7.234 357 83.30 618
Minnesota 9 1,858,071 1.13 6.896 357 83.74 610
Michigan 9 1,507,340 0.91 7.818 357 86.46 615
Other 58 10,423,365 6.32 6.843 356 83.65 618
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Number of States/District of Columbia Represented: 37
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16. Occupancy
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
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Primary 650 163,568,154 99.24 6.519 356 82.19 621
Second Home 4 856,080 0.52 7.234 357 89.00 650
Investment 1 388,800 0.24 6.050 354 90.00 638
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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17. Property Type
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
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Single Family Residence 484 122,261,044 74.18 6.527 356 81.92 621
Planned Unit Development 87 22,358,022 13.57 6.461 355 84.42 612
Condo 66 14,869,798 9.02 6.495 355 81.12 637
2-4 Family 18 5,324,170 3.23 6.739 357 83.80 621
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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18. Loan Purpose
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 352 91,208,883 55.34 6.553 356 82.09 613
Purchase 278 68,534,265 41.58 6.462 356 82.43 632
Refinance - Rate Term 25 5,069,886 3.08 6.767 356 82.56 632
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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19. Documentation Level
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
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Full 411 98,224,206 59.60 6.253 356 82.23 629
Stated Documentation 217 58,920,697 35.75 6.956 356 82.20 609
Limited 27 7,668,132 4.65 6.621 356 82.86 625
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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20. Credit Score
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
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550 - 574 2 470,050 0.29 6.205 357 80.80 559
575 - 599 227 59,158,900 35.89 6.703 356 80.84 590
600 - 624 173 43,418,069 26.34 6.577 356 83.69 611
625 - 649 117 27,116,470 16.45 6.459 356 83.48 637
650 - 674 80 20,608,443 12.50 6.208 356 82.02 662
675 - 699 45 11,204,873 6.80 6.186 352 81.52 684
700 - 724 1 244,800 0.15 5.875 357 80.00 704
725 - 749 4 1,064,000 0.65 6.514 357 85.33 740
750 - 774 3 836,000 0.51 5.968 357 80.00 763
775 - 799 3 691,430 0.42 5.980 356 82.67 784
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Minimum: 551
Maximum: 786
Non-Zero Weighted Average: 621
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21. Prepayment Penalty Term
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 89 22,908,954 13.90 7.008 354 82.43 624
12 11 3,573,125 2.17 6.958 356 86.44 625
24 499 124,517,509 75.55 6.450 356 82.32 621
36 56 13,813,446 8.38 6.250 356 80.19 623
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 25
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22. Lien Position
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 655 164,813,034 100.00 6.522 356 82.25 621
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Total: 655 164,813,034 100.00 6.522 356 82.25 621
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23. Interest Only Term
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
24 515 130,883,725 79.41 6.569 356 82.91 617
36 55 13,236,796 8.03 6.333 356 80.43 613
60 82 19,761,112 11.99 6.423 356 79.46 655
120 3 931,400 0.57 4.674 296 73.49 682
------------------------------------------------------------------------------------------------------------------------------------
Total: 655 164,813,034 100.00 6.522 356 82.25 621
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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. ▇▇▇▇▇▇
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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
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BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & 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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
% of pool average LTV LTV above 80% LTV above 90% % full doc
---------------------------------------------------------------------------------------------------------
A FICO below 600 40.97 78.35 39.02 4.47 63.6
FICO below 580 27.07 77.61 36.51 3.68 65.2
FICO below 560 18.65 76.68 30.96 1.99 64.17
% owner occ ave wac % below 100k % above 500k % IO ave DTI DTI > 45%
------------------------------------------------------------------------------------------------------------------------
A FICO below 600 96.17 7.563 13.52 1.09 10.42 40.69 37.98
FICO below 580 96.58 7.864 14.73 0.17 0.23 40.91 39.9
FICO below 560 97.34 8.017 15.42 0.25 0.08 40.94 38.83
% of pool average LTV FICO <600 FICO < 575 % full doc % owner occ ave wac
-----------------------------------------------------------------------------------------------------------------------------------
B LTV above 85% 26 91.8 29.4 12.24 53.99 90.62 7.447
LTV above 90% 8.66 96.09 21.13 9.86 59.5 99.84 7.913
LTV above 95% 2.28 99.94 7.29 0.29 50.93 100 8.882
% below 100k % above 500k % IO ave DTI DTI > 45% LTV above 80% LTV above 90%
------------------------------------------------------------------------------------------------------------------------------
B LTV above 85% 11.52 1.42 14.46 40.68 36.64 100 33.31
LTV above 90% 17.56 0 10.6 41.53 39.47 100 100
LTV above 95% 41.18 0 0 42.02 39.03 100 100
% of pool average LTV FICO <600 FICO < 575 % full doc % owner occ ave wac
-----------------------------------------------------------------------------------------------------------------------------------
C DTI > 40% 58.22 80.24 41.94 25.46 57.38 93.69 7.025
DTI > 45% 36.35 80.06 42.82 27.04 59.03 92.63 7.027
DTI > 50% 5.47 73.07 57.1 41.86 82.23 92.67 6.941
% below 100k % above 500k % IO ave DTI DTI > 45% LTV above 80% LTV above 90%
---------------------------------------------------------------------------------------------------------------------------------
C DTI > 40% 8.54 2.41 11.79 46.44 62.43 41.48 9.67
DTI > 45% 8.35 2.67 10.13 48.62 100 41.32 9.4
DTI > 50% 7.59 0.66 3.12 52.66 100 20.54 1.76
D Non Owner Occ % of pool average LTV FICO <600 FICO < 575 % full doc % owner occ ave wac
-----------------------------------------------------------------------------------------------------------------------------------
Stated Docs 56.18 80.64 16.72 7.28 0 0 7.586
Loans below 100k 15.68 79.94 28.78 17.17 48.35 0 7.986
IO Loans 1.24 89.31 24.58 0 80.19 0 6.864
D Non Owner Occ % below 100k % above 500k % IO ave DTI DTI > 45% LTV > 80% LTV > 90%
---------------------------------------------------------------------------------------------------------------------------------
Stated Docs 13.11 0 0.44 37.5 33.87 50.57 0
Loans below 100k 100 0 0.54 37.89 34.31 48.92 0
IO Loans 6.88 0 100 39.43 37.3 93.12 0
E When do IOs reset
Remaining
Months to next reset Count Balance ($) % of Balance WAC Term WA LTV WA FICO
-----------------------------------------------------------------------------------------------------------------------------
1 3 931,400 0.57 4.674 296 73.49 682
18 4 1,321,892 0.8 6 354 87.62 646
19 12 3,721,104 2.26 6.236 355 81.43 616
20 295 77,969,448 47.31 6.519 356 82.14 616
21 271 64,210,995 38.96 6.624 357 83 626
30 1 360,000 0.22 6.5 354 90 627
32 31 8,116,421 4.92 6.179 356 78.85 613
33 25 5,313,625 3.22 6.543 357 80.87 617
56 6 1,556,650 0.94 6.593 356 83.09 669
57 7 1,311,499 0.8 6.285 357 78.15 641
-----------------------------------------------------------------------------------------------------------------------------
Total: 655 164,813,034 100 6.522 356 82.25 621
-----------------------------------------------------------------------------------------------------------------------------
G Summary of pool per NC grades
Remaining
New Century Credit Grade Count Balance ($) % of Balance WAC Term WA LTV WA FICO
-----------------------------------------------------------------------------------------------------------------------------
A 299 47,456,372 3.4 7.175 352 77.65 590
AA 3,866 708,894,996 50.75 6.81 349 81.71 634
A- 670 105,584,654 7.56 7.429 353 76.89 575
A+ 2,312 404,995,125 28.99 6.95 353 79.52 612
B 498 78,591,136 5.63 7.88 355 75.39 565
C 318 45,583,654 3.26 8.308 355 69.58 556
C- 30 4,804,096 0.34 9.77 356 66.58 549
FICO 3 931,400 0.07 4.674 296 73.49 682
-----------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100 7.028 351 79.76 615
-----------------------------------------------------------------------------------------------------------------------------
H What are top 10 cities and average strats for each
Top 10 Cities of Overall Pool Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Los Angeles CA 142 35,867,592 2.57 6.875 353 76.88 618
Miami FL 188 32,787,673 2.35 6.889 350 81.14 619
Las Vegas NV 93 18,654,369 1.34 7.027 351 80.57 614
Chicago IL 101 17,192,040 1.23 7.665 354 81.55 615
Sacramento CA 72 13,625,771 0.98 7.024 355 81.43 614
San Jose CA 33 11,656,949 0.83 6.263 356 80.53 642
Riverside CA 47 9,857,710 0.71 6.441 354 76.46 639
Brooklyn NY 33 9,240,639 0.66 6.967 357 75.67 621
San Diego CA 31 8,914,434 0.64 6.452 356 74.98 627
Houston TX 100 8,647,004 0.62 7.791 327 79.13 606
Other 7,156 1,230,397,252 88.08 7.038 351 79.84 615
-----------------------------------------------------------------------------------------------------------------------------
Total: 7,996 1,396,841,434 100 7.028 351 79.76 615
-----------------------------------------------------------------------------------------------------------------------------
I What % of pool are LTV above 90% and stated doc, IO, FICO below 600 or NOO?
% non-
% stated owner % Fico Less
LTV > 90 Loans Balance ($) % of Balance Rate (%) Doctype % IO Loans Occupied Than 600
---------------------------------------------------------------------------------------------------------
LTV > 90 862 120,977,778 8.66 7.913 36.52 10.6 0.16 21.13
J What is max LTV for stated income and minimum FICO for stated income?
Max LTV for Stated Income Documentation: 100.00
Min Fico for Stated Income Documentation: 500
K What is min FICO for loans above 90% LTV
Min Fico for ltv greater than 90: 539
L Seasoning hisotry - any over 3m?
M For loans below 100k do for D above but for top 5 MSAs
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
Please populate column D (&E) with the corresponding pool characteristics in
Column B.
- For values in currency format, omit $.
- For values in percentage format, provide data to 3 decimal places and omit %.
- For WAC Net Rate, subtract servicing fee, trustee fee, and initial MI fee.
- For MI Flag, Y or N.
MSAC 2004-HE8 Data
Collateral Characteristics Pool Balance $ 1,396,841,433.92
# of Loans # 7996
Avg Prin Balance $ 174,692.53
WAC % 7.028
WA Net Rate % 6.508
WAM # 351
Seasoning # 3.5
Second Liens % 0.713
WA CLTV % 79.763
WA FICO # 615
Prepay Penalties % 78.04
Arm Characteristics WAC (Arms only) % 7.184
WAM (Arms only) # 357
WA Margin % 5.598
WA Initial Cap % 2.003
WA Periodic Cap % 1.343
WA Cap % 6.67
WA Months to Roll # 22
Loan Type Fixed % 24.30
Balloons % 0.00
2/28 Arms % 69.50
3/27 Arms % 4.77
Other Hybrid Arms % 1.43
Index 1-Month LIBOR % 0.07
6-Month LIBOR % 75.64
Other Index % 24.30
Loan Purpose Purchase % 29.32
Cash-Out Refi % 64.66
Rate-Term Refi % 6.02
Debt Consolidation % 0
Occupancy Status Owner % 92.819
Second Home % 0.75
Investor % 6.43
Property Type Single Family % 78.28
2-4 Family % 8.37
PUD % 7.61
MH % 0.00
Condo % 5.74
Doc Type Full Doc % 57.16
Stated Doc % 39.14
Limited Doc % 3.70
No Doc % 0
MI Data MI Flag Y/N N
% of Pool Covered % N/A
Effective LTV % N/A
FICO Distribution FICO <460 % 0.00
FICO 460-479 % 0.00
FICO 480-499 % 0.00
FICO 500-519 % 4.48
FICO 520-539 % 6.23
FICO 540-559 % 7.94
FICO 560-579 % 8.42
FICO 580-599 % 13.90
FICO 600-619 % 12.73
FICO 620-639 % 12.47
FICO 640-659 % 11.95
FICO 660-679 % 9.10
FICO 680-699 % 5.32
FICO 700-719 % 2.68
FICO 720-739 % 2.04
FICO 740-759 % 1.64
FICO >760 % 1.10
LTV Distribution LTV <20 % 0.035
LTV 20.01-30 % 0.237
LTV 30.01-40 % 0.482
LTV 40.01-50 % 1.616
LTV 50.01-60 % 3.577
LTV 60.01-70 % 11.237
LTV 70.01-80 % 42.001
LTV 80.01-90 % 32.154
LTV 90.01-100 % 8.661
LTV >100 % 0.000
Data Data
Loan Balance Distribution $ 0-25,000 # & % 21 0.034
$ 25,001-50,000 # & % 316 0.925
$ 50,001-75,000 # & % 820 3.690
$ 75,001-100,000 # & % 1027 6.469
$ 100,001-150,000 # & % 1911 17.053
$ 150,001-200,000 # & % 1317 16.457
$ 200,001-250,000 # & % 910 14.632
$ 250,001-300,000 # & % 655 12.818
$ 300,001-350,000 # & % 419 9.736
$ 350,001-400,000 # & % 290 7.747
$ 400,001-450,000 # & % 154 4.656
$ 450,001-500,000 # & % 101 3.477
$ 500,001-550,000 # & % 18 0.677
$ 550,001-600,000 # & % 16 0.661
$ 600,001-650,000 # & % 16 0.719
$ 650,001-700,000 # & % 4 0.195
$ 700,001-750,000 # & % 1 0.053
$ 750,001-800,000 # & % 0 0.000
$ 800,001-850,000 # & % 0 0.000
$ 850,001-900,000 # & % 0 0.000
$ 900,001-950,000 # & % 0 0.000
$ 950,001-1,000,000 # & % 0 0.000
> $ 1,000,001 # & % 0 0.000
Geographic Distribution Alabama % 0.124
Alaska % 0.135
Arizona % 1.648
Arkansas % 0.171
California % 35.760
Colorado % 1.172
Connecticut % 1.352
Delaware % 0.127
District of Columbia % 0.239
Florida % 10.890
Georgia % 1.233
Hawaii % 1.487
Idaho % 0.234
Illinois % 3.172
Indiana % 0.652
Iowa % 0.215
Kansas % 0.263
Kentucky % 0.287
Louisiana % 0.297
Maine % 0.456
Maryland % 1.994
Massachusetts % 2.802
Michigan % 2.137
Minnesota % 1.635
Mississippi % 0.148
Missouri % 0.768
Montana % 0.163
Nebraska % 0.146
Nevada % 2.203
New Hampshire % 0.547
New Jersey % 3.398
New Mexico % 0.272
New York % 6.979
North Carolina % 0.597
North Dakota % 0.026
Ohio % 1.505
Oklahoma % 0.334
Oregon % 1.095
Pennsylvania % 1.324
Rhode Island % 0.760
South Carolina % 0.425
South Dakota % 0.021
Tennessee % 0.540
Texas % 4.446
Utah % 0.203
Vermont % 0.013
Virginia % 1.996
Washington % 2.811
West Virginia % 0.038
Wisconsin % 0.732
Wyoming % 0.028
Please populate appropriate loan characteristics for each loan bucket.
Balance # of loans WAC WA FICO WA CLTV Owner Occ % Cashout Refi% Full Doc%
-----------------------------------------------------------------------------------------------------
$600,000-650,000 16 6.041 631 73.815 100.000 56.106 87.484
$650,001-700,000 4 5.798 650 77.844 100.000 100.000 100.000
$700,001-750,000 1 5.500 745 83.240 100.000 0.000 100.000
$751,001-800,000 0 0.000 0 0.000 0.000 0.000 0.000
$800,001-850,000 0 0.000 0 0.000 0.000 0.000 0.000
$850,001-900,000 0 0.000 0 0.000 0.000 0.000 0.000
$900,001-950,000 0 0.000 0 0.000 0.000 0.000 0.000
$950,001-1,000,000 0 0.000 0 0.000 0.000 0.000 0.000
>$1,000,000 0 0.000 0 0.000 0.000 0.000 0.000
Please provide a breakdown of percentages for each cell of the matrix for loans
that fall within the appropriate category brokendown between loans with MI and
loans without MI as well as the loan count for each breakdown in the matrices
below. The sum of the percentages for the with MI and without MI percentages
should equal 100%. The sum of the loans in the matrices below should equal the
number of loans in the pool. If FICO is not available for loan, default to <450
bucket. If deal does not have MI, provide data for the entire pool in the "Loans
without MI" matrix.
Percentage by range Loans without MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
-----------------------------------------------------------------------------
1,396,841,433.92 <20 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
20-30 0.000 0.000 0.000 0.001 0.000 0.000 0.000 0.000
30-40 0.000 0.000 0.000 0.001 0.002 0.001 0.000 0.000
40-50 0.000 0.000 0.003 0.004 0.004 0.003 0.001 0.000
CLTVs 50-60 0.000 0.000 0.005 0.011 0.009 0.006 0.003 0.001
60-70 0.000 0.000 0.028 0.031 0.028 0.017 0.007 0.002
70-80 0.000 0.000 0.073 0.093 0.132 0.091 0.023 0.007
80-90 0.000 0.000 0.035 0.109 0.100 0.055 0.017 0.004
90-100 0.000 0.000 0.000 0.018 0.038 0.022 0.006 0.002
>100 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Loans with MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
-----------------------------------------------------------------------------
<20
20-30
30-40
40-50
LTVs 50-60
60-70
70-80
80-90
90-100
>100
Loan Count Loans without MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
-----------------------------------------------------------------------------
<20 0 0 0 3 1 2 0 0
20-30 0 0 7 7 4 6 4 2
30-40 0 0 4 13 27 6 3 1
40-50 0 0 29 33 45 28 12 1
CLTVs 50-60 0 1 53 94 79 48 24 8
60-70 0 4 256 250 223 118 40 12
70-80 0 4 685 776 1030 622 141 50
80-90 0 0 317 857 706 363 107 28
90-100 0 0 6 191 407 188 56 14
>100 0 0 0 0 0 0 0 0
# 0 9 1357 2224 2522 1381 387 116
Loans with MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
-----------------------------------------------------------------------------
<20
20-30
30-40
40-50
LTVs 50-60
60-70
70-80
80-90
90-100
>100
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
Here's what we like to see: 1,396,841,433.92
The percentages per table should add up to 100% (denominator = corresponding
aggregate collateral pool balance)
For example, if the collateral matices are for group II collateral, denominator
to be used for all the % should be as of aggregate group II collateral balance)
FICO & Documentation 100
FICO Score Full DOC Limited Doc Stated Doc All Docs Avg Prin Bal Current LTV
------------------------------------------------------------------------------------------------------------
(50 increment)
0 - 499 0.00 0.00 0.00 0.00 -- 0
500-550 9.46 0.46 4.77 14.69 150,223 75.67
551-600 17.07 0.79 9.06 26.93 169,130 79.65
601-650 17.54 1.49 12.46 31.49 174,399 80.83
651-700 9.47 0.69 9.39 19.56 197,802 80.38
701-750 2.78 0.22 2.80 5.79 208,999 79.17
751-800 0.78 0.05 0.66 1.49 185,636 80.03
801-850 0.06 0.00 0.00 0.06 204,848 54.51
Total 57.16 3.70 39.14 100.00 174,693 79.54
LTV & FICO
Current LTV FICO NA FICO 500-550 551-600 601-650 651-700 701-750
-----------------------------------------------------------------------------------------------------------
(10 increment)
..01 - 10.00 0.00 0.00 0.00 0.00 0.00 0.00
10.01-20 0.00 0.00 0.01 0.00 0.01 0.00
20.01-30 0.00 0.03 0.08 0.03 0.04 0.03
30.01-40 0.00 0.03 0.12 0.23 0.07 0.02
40.01-50 0.00 0.33 0.35 0.45 0.32 0.15
50.01-60 0.00 0.55 1.14 0.98 0.63 0.29
60.01-70 0.00 2.82 3.09 2.74 1.67 0.68
70.01-80 0.00 7.34 9.34 13.27 9.13 2.31
80.01-90 0.00 3.54 10.95 10.02 5.47 1.70
90.01-100 0.00 0.05 1.84 3.78 2.19 0.62
Total 0.00 14.69 26.93 31.49 19.56 5.79
LTV & FICO
Current LTV 751-800 801-850 total Avg Prin Bal WAC Gross Margin
--------------------------------------------------------------------------------------------------------
(10 increment)
..01 - 10.00 0.00 0.00 0.00 59,120 7.980 0.000
10.01-20 0.00 0.00 0.03 85,105 6.224 6.400
20.01-30 0.01 0.01 0.24 107,659 6.959 5.738
30.01-40 0.01 0.00 0.48 126,421 6.450 5.685
40.01-50 0.02 0.00 1.62 152,522 6.721 5.781
50.01-60 0.06 0.03 3.67 162,678 6.625 5.844
60.01-70 0.18 0.01 11.18 173,345 6.852 5.828
70.01-80 0.67 0.00 42.06 177,723 6.831 5.601
80.01-90 0.38 0.01 32.07 188,547 7.180 5.537
90.01-100 0.17 0.00 8.65 140,440 7.913 5.506
Total 1.49 0.06 100.00 174,693 7.028 5.598
Prin Balance & FICO
Prin Balance FICO NA FICO 500-550 551-600 601-650 651-700 701-750
----------------------------------------------------------------------------------------------------------
(50,000 increments)
$1 - $50,000 0.00 0.17 0.23 0.40 0.11 0.03
$50,001 - $100,000 0.00 2.25 2.96 3.08 1.34 0.40
$100,001 - $150,000 0.00 3.16 5.13 5.28 2.65 0.65
$150,001 - $200,000 0.00 2.76 4.78 5.07 2.75 0.80
$200,001 - $250,000 0.00 2.15 3.49 4.77 3.22 0.85
$250,001 - $300,000 0.00 1.73 3.34 4.06 2.67 0.86
$300,001 - $350,000 0.00 1.08 2.54 2.81 2.54 0.61
$350,001 - $400,000 0.00 0.73 1.88 2.77 1.65 0.50
$400,001 - $450,000 0.00 0.46 1.03 1.53 1.03 0.43
$450,001 - $500,000 0.00 0.20 1.11 0.96 0.96 0.24
$500,001 - $550,000 0.00 0.00 0.04 0.38 0.07 0.19
$550,001 - $600,000 0.00 0.00 0.04 0.21 0.29 0.08
$600,001 - $650,000 0.00 0.00 0.27 0.18 0.22 0.05
$650,001 - $700,000 0.00 0.00 0.10 0.00 0.05 0.05
$700,001 - $750,000 0.00 0.00 0.00 0.00 0.00 0.05
$850,001 - $900,000 0.00 0.00 0.00 0.00 0.00 0.00
total 0.00 14.69 26.93 31.49 19.56 5.79
Prin Balance & FICO
Prin Balance 751-800 801-850 total Current LTV WAC Gross Margin
--------------------------------------------------------------------------------------------------------
(50,000 increments)
$1 - $50,000 0.02 0.00 0.96 83.41 9.493 5.848
$50,001 - $100,000 0.13 0.01 10.16 78.57 7.736 5.650
$100,001 - $150,000 0.19 0.01 17.05 79.12 7.259 5.605
$150,001 - $200,000 0.28 0.01 16.46 78.49 7.057 5.610
$200,001 - $250,000 0.15 0.00 14.63 79.48 6.955 5.600
$250,001 - $300,000 0.16 0.00 12.82 79.48 6.806 5.594
$300,001 - $350,000 0.16 0.00 9.74 81.01 6.803 5.597
$350,001 - $400,000 0.21 0.00 7.75 82.12 6.772 5.539
$400,001 - $450,000 0.15 0.03 4.66 79.67 6.641 5.579
$450,001 - $500,000 0.00 0.00 3.48 80.25 6.486 5.572
$500,001 - $550,000 0.00 0.00 0.68 79.78 6.205 5.522
$550,001 - $600,000 0.04 0.00 0.66 78.24 6.069 5.392
$600,001 - $650,000 0.00 0.00 0.72 73.65 6.041 5.496
$650,001 - $700,000 0.00 0.00 0.19 77.62 5.798 5.402
$700,001 - $750,000 0.00 0.00 0.05 82.87 5.500 0.000
$850,001 - $900,000 0.00 0.00 0.00 0.00 0.000 0.000
total 1.49 0.06 100.00 79.54 7.028 5.598
Prepayment Penalty & FICO
Prepayment Penalty Term FICO NA FICO 500-550 551-600 601-650 651-700 701-750
-----------------------------------------------------------------------------------------------------------
(whatever increments)
0 0.00 3.89 6.15 6.68 3.85 1.07
12 0.00 0.34 0.70 1.40 1.37 0.55
24 0.00 9.73 16.41 15.37 8.01 1.47
36 0.00 0.73 3.66 8.03 6.32 2.70
total 0.00 14.69 26.93 31.49 19.56 5.79
Prepayment Penalty & FICO
Prepayment Penalty Term 751-800 801-850 total Current LTV WAC Gross Margin Avg Prin Bal
---------------------------------------------------------------------------------------------------------------------
(whatever increments)
0 0.31 0.01 21.96 80.35 7.54 5.62 164839.00
12 0.14 0.00 4.51 76.22 6.62 5.55 220494.00
24 0.46 0.01 51.47 81.24 7.10 5.60 175170.00
36 0.58 0.04 22.06 75.45 6.43 5.55 176573.00
total 1.49 0.06 100.00 79.54 7.03 5.60 174693.00
Mortg Rates & FICO
Mortg Rates FICO NA FICO 500-550 551-600 601-650 651-700 701-750
-----------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.5% 0.00 0.00 0.03 0.06 0.06 0.00
4.501 - 5.0% 0.00 0.00 0.16 0.23 0.44 0.07
5.001 - 5.5% 0.00 0.03 0.57 2.01 2.29 1.25
5.501 - 6.0% 0.00 0.27 2.79 5.94 4.67 1.80
6.001 - 6.5% 0.00 0.25 2.99 5.40 3.50 0.48
6.501 - 7.0% 0.00 1.28 5.27 6.29 3.26 0.72
7.001 - 7.5% 0.00 1.96 4.84 4.69 2.48 0.69
7.501 - 8.0% 0.00 3.82 5.44 3.93 1.65 0.40
8.001 - 8.5% 0.00 2.34 2.48 1.53 0.54 0.21
8.501 - 9.0% 0.00 2.30 1.35 0.75 0.46 0.10
9.001 - 9.5% 0.00 1.07 0.41 0.16 0.11 0.03
9.501 - 10.0% 0.00 0.82 0.28 0.18 0.05 0.01
10.001 - 10.5% 0.00 0.27 0.07 0.11 0.04 0.02
10.501 - 11.0% 0.00 0.16 0.11 0.12 0.01 0.00
11.001 - 11.5% 0.00 0.05 0.09 0.05 0.00 0.00
11.501 - 12.0% 0.00 0.04 0.03 0.02 0.00 0.00
12.001 - 12.5% 0.00 0.03 0.01 0.01 0.00 0.00
12.501 - 13.0% 0.00 0.00 0.00 0.00 0.00 0.00
13.001 - 13.5% 0.00 0.00 0.00 0.00 0.00 0.00
total 0.00 14.69 26.93 31.49 19.56 5.79
Mortg Rates & FICO
Mortg Rates 751-800 801-850 total Current LTV WAC Gross Margin Avg Prin Bal
---------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.5% 0.00 0.00 0.15 74.57 4.50 5.36 349904.00
4.501 - 5.0% 0.02 0.00 0.94 76.97 4.90 5.26 273520.00
5.001 - 5.5% 0.25 0.05 6.44 73.34 5.45 5.44 231389.00
5.501 - 6.0% 0.35 0.01 15.84 75.41 5.81 5.45 219332.00
6.001 - 6.5% 0.28 0.00 12.90 78.57 6.30 5.50 207345.00
6.501 - 7.0% 0.21 0.00 17.02 79.25 6.79 5.55 184822.00
7.001 - 7.5% 0.14 0.00 14.80 81.71 7.30 5.59 177439.00
7.501 - 8.0% 0.18 0.00 15.41 82.67 7.78 5.65 164089.00
8.001 - 8.5% 0.01 0.00 7.12 83.20 8.27 5.69 146902.00
8.501 - 9.0% 0.01 0.00 4.97 81.35 8.76 5.84 137418.00
9.001 - 9.5% 0.04 0.00 1.81 81.05 9.26 5.88 110632.00
9.501 - 10.0% 0.01 0.00 1.35 80.83 9.73 6.10 91057.00
10.001 - 10.5% 0.00 0.00 0.51 83.05 10.27 6.22 63565.00
10.501 - 11.0% 0.00 0.00 0.40 84.01 10.77 6.46 56692.00
11.001 - 11.5% 0.00 0.00 0.20 89.09 11.25 6.28 54952.00
11.501 - 12.0% 0.00 0.00 0.08 86.79 11.79 6.20 53622.00
12.001 - 12.5% 0.00 0.00 0.04 81.58 12.20 6.34 68527.00
12.501 - 13.0% 0.00 0.00 0.00 74.93 12.68 6.65 68931.00
13.001 - 13.5% 0.00 0.00 0.00 84.92 13.01 6.36 45857.00
total 1.49 0.06 100.00 79.54 7.03 5.60 174693.00
Mortg Rates & LTV
Mortg Rates .01-10 10.01-20 20.01-30 30.01-40 40.01-50 50.01-60 60.01-70
------------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.500 0.00 0.00 0.00 0.00 0.01 0.00 0.03
4.501 - 5.000 0.00 0.00 0.00 0.00 0.01 0.05 0.15
5.001 - 5.500 0.00 0.00 0.03 0.08 0.25 0.41 1.24
5.501 - 6.000 0.00 0.02 0.02 0.16 0.36 0.97 2.54
6.001 - 6.500 0.00 0.01 0.02 0.04 0.11 0.49 1.35
6.501 - 7.000 0.00 0.00 0.09 0.09 0.31 0.70 1.61
7.001 - 7.500 0.00 0.00 0.02 0.05 0.15 0.39 1.14
7.501 - 8.000 0.00 0.00 0.02 0.01 0.23 0.33 1.33
8.001 - 8.500 0.00 0.00 0.01 0.01 0.05 0.13 0.59
8.501 - 9.000 0.00 0.00 0.02 0.03 0.09 0.05 0.56
9.001 - 9.500 0.00 0.00 0.00 0.00 0.04 0.03 0.20
9.501 - 10.000 0.00 0.00 0.00 0.00 0.02 0.03 0.24
10.001 - 10.500 0.00 0.00 0.00 0.00 0.00 0.03 0.07
10.501 - 11.000 0.00 0.00 0.00 0.00 0.00 0.03 0.07
11.001 - 11.500 0.00 0.00 0.00 0.00 0.00 0.00 0.03
11.501 - 12.000 0.00 0.00 0.00 0.00 0.00 0.00 0.02
12.001 - 12.500 0.00 0.00 0.00 0.00 0.00 0.00 0.01
12.501 - 13.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00
13.001 - 13.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00
total 0.00 0.03 0.24 0.48 1.62 3.67 11.18
Mortg Rates & LTV
Mortg Rates 70.01-80 80.01-90 90.01-100 total avg FICO Gross Margin Avg Prin Bal
------------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.500 0.09 0.02 0.00 0.15 634 5.4 349904.0
4.501 - 5.000 0.52 0.21 0.00 0.94 655 5.3 273520.0
5.001 - 5.500 3.20 1.21 0.02 6.44 666 5.4 231389.0
5.501 - 6.000 7.78 3.83 0.16 15.84 646 5.5 219332.0
6.001 - 6.500 7.36 3.02 0.51 12.90 632 5.5 207345.0
6.501 - 7.000 7.42 5.76 1.03 17.02 619 5.5 184822.0
7.001 - 7.500 5.63 5.68 1.73 14.80 609 5.6 177439.0
7.501 - 8.000 4.53 6.93 2.02 15.41 593 5.6 164089.0
8.001 - 8.500 2.16 2.98 1.19 7.12 581 5.7 146902.0
8.501 - 9.000 1.79 1.63 0.80 4.97 570 5.8 137418.0
9.001 - 9.500 0.77 0.41 0.35 1.81 562 5.9 110632.0
9.501 - 10.000 0.49 0.27 0.28 1.35 559 6.1 91057.0
10.001 - 10.500 0.19 0.04 0.19 0.51 571 6.2 63565.0
10.501 - 11.000 0.08 0.03 0.17 0.40 573 6.5 56692.0
11.001 - 11.500 0.02 0.03 0.12 0.20 578 6.3 54952.0
11.501 - 12.000 0.01 0.01 0.04 0.08 563 6.2 53622.0
12.001 - 12.500 0.02 0.00 0.01 0.04 549 6.3 68527.0
12.501 - 13.000 0.00 0.00 0.00 0.00 521 6.7 68931.0
13.001 - 13.500 0.00 0.00 0.00 0.00 526 6.4 45857.0
total 42.06 32.07 8.65 100.00 615 5.6 174693.0
Here's what we like to see: 562,088,526.28
The percentages per table should add up to 100% (denominator = corresponding
aggregate collateral pool balance)
For example, if the collateral matices are for group II collateral, denominator
to be used for all the % should be as of aggregate group II collateral balance)
FICO & Documentation 100
FICO Score Full DOC Limited Doc Stated Doc All Docs Avg Prin Bal Current LTV
----------------------------------------------------------------------------------------------------------
(50 increment)
0 - 499 0.00 0.00 0.00 0.00 0.00 0.00
500-550 9.20 0.47 4.50 14.18 159,682 75.76
551-600 17.31 0.79 9.18 27.29 189,840 80.15
601-650 16.89 1.55 13.27 31.71 205,791 80.6
651-700 9.60 0.66 9.14 19.40 237,610 79.94
701-750 2.85 0.39 2.60 5.85 267,201 78.47
751-800 0.89 0.03 0.57 1.49 232,522 77.59
801-850 0.09 0.00 0.00 0.09 251,387 55.06
Total 56.84 3.90 39.26 100.00 201,249 79.47
LTV & FICO
Current LTV FICO NA FICO 500-550 551-600 601-650 651-700 701-750
----------------------------------------------------------------------------------------------------------
(10 increment)
..01 - 10.00 0.00 0.00 0.00 0.00 0.01 0.00
10.01-20 0.00 0.00 0.03 0.01 0.03 0.00
20.01-30 0.00 0.06 0.14 0.06 0.05 0.01
30.01-40 0.00 0.04 0.09 0.10 0.00 0.01
40.01-50 0.00 0.33 0.39 0.30 0.33 0.10
50.01-60 0.00 0.45 1.06 0.93 0.34 0.18
60.01-70 0.00 2.75 2.50 2.73 1.91 0.93
70.01-80 0.00 6.84 9.42 14.46 9.36 2.62
80.01-90 0.00 3.60 11.33 10.40 5.94 1.59
90.01-100 0.00 0.11 2.33 2.70 1.43 0.40
Total 0.00 14.18 27.29 31.71 19.40 5.85
LTV & FICO
Current LTV 751-800 801-850 total Avg Prin Bal WAC Gross Margin
----------------------------------------------------------------------------------------------------
(10 increment)
..01 - 10.00 0.00 0.00 0.01 59,120 7.980 0.000
10.01-20 0.00 0.00 0.07 93,905 5.958 0.000
20.01-30 0.02 0.00 0.34 113,354 7.194 5.682
30.01-40 0.00 0.00 0.24 91,409 7.120 6.248
40.01-50 0.00 0.00 1.45 173,758 6.824 5.817
50.01-60 0.08 0.07 3.12 182,521 6.837 5.977
60.01-70 0.34 0.02 11.18 188,695 6.811 5.822
70.01-80 0.62 0.00 43.33 194,208 6.874 5.622
80.01-90 0.37 0.00 33.23 226,924 7.158 5.553
90.01-100 0.06 0.00 7.03 194,761 7.754 5.534
Total 1.49 0.09 100.00 201,249 7.022 5.616
Prin Balance & FICO
Prin Balance FICO NA FICO 500-550 551-600 601-650 651-700 701-750
------------------------------------------------------------------------------------------------------------
(50,000 increments)
$1 - $50,000 0.00 0.29 0.22 0.16 0.05 0.02
$50,001 - $100,000 0.00 1.89 3.04 2.97 1.23 0.36
$100,001 - $150,000 0.00 2.84 3.93 3.76 1.72 0.31
$150,001 - $200,000 0.00 1.62 3.16 3.47 1.45 0.25
$200,001 - $250,000 0.00 1.46 1.99 2.85 2.04 0.23
$250,001 - $300,000 0.00 1.46 2.02 1.73 1.12 0.49
$300,001 - $350,000 0.00 1.31 2.96 2.62 2.31 0.72
$350,001 - $400,000 0.00 1.67 4.03 6.36 3.33 1.06
$400,001 - $450,000 0.00 1.14 2.33 3.51 2.27 0.84
$450,001 - $500,000 0.00 0.51 2.50 2.37 2.30 0.52
$500,001 - $550,000 0.00 0.00 0.09 0.94 0.19 0.46
$550,001 - $600,000 0.00 0.00 0.10 0.51 0.72 0.21
$600,001 - $650,000 0.00 0.00 0.67 0.44 0.56 0.12
$650,001 - $700,000 0.00 0.00 0.24 0.00 0.12 0.12
$700,001 - $750,000 0.00 0.00 0.00 0.00 0.00 0.13
$850,001 - $900,000 0.00 0.00 0.00 0.00 0.00 0.00
total 0.00 14.18 27.29 31.71 19.40 5.85
Prin Balance & FICO
Prin Balance 751-800 801-850 total Current LTV WAC Gross Margin
----------------------------------------------------------------------------------------------------------
(50,000 increments)
$1 - $50,000 0.01 0.00 0.75 69.64 8.920 5.822
$50,001 - $100,000 0.14 0.02 9.65 77.42 7.830 5.684
$100,001 - $150,000 0.11 0.00 12.67 79.25 7.499 5.655
$150,001 - $200,000 0.10 0.00 10.06 78.56 7.196 5.647
$200,001 - $250,000 0.08 0.00 8.65 78.72 7.208 5.682
$250,001 - $300,000 0.05 0.00 6.87 77.78 7.172 5.729
$300,001 - $350,000 0.06 0.00 9.97 81.06 6.878 5.607
$350,001 - $400,000 0.47 0.00 16.91 82.12 6.767 5.548
$400,001 - $450,000 0.37 0.07 10.52 79.74 6.666 5.571
$450,001 - $500,000 0.00 0.00 8.21 80.24 6.458 5.572
$500,001 - $550,000 0.00 0.00 1.68 79.78 6.205 5.522
$550,001 - $600,000 0.10 0.00 1.64 78.24 6.069 5.392
$600,001 - $650,000 0.00 0.00 1.79 73.65 6.041 5.496
$650,001 - $700,000 0.00 0.00 0.48 77.62 5.798 5.402
$700,001 - $750,000 0.00 0.00 0.13 82.87 5.500 0.000
$850,001 - $900,000 0.00 0.00 0.00 0.00 0.000 0.000
total 1.49 0.09 100.00 79.47 7.022 5.616
Prepayment Penalty & FICO
Prepayment Penalty Term FICO NA FICO 500-550 551-600 601-650 651-700 701-750
------------------------------------------------------------------------------------------------------------
(whatever increments)
0 0.00 4.12 7.07 7.86 3.91 0.97
12 0.00 0.39 0.70 1.16 1.10 0.69
24 0.00 8.56 15.24 13.88 7.31 0.77
36 0.00 1.10 4.28 8.79 7.09 3.42
total 0.00 14.18 27.29 31.71 19.40 5.85
Prepayment Penalty & FICO
Prepayment Penalty Term F 751-800 801-850 total Current LTV WAC Gross Margin Avg Prin Bal
---------------------------------------------------------------------------------------------------------------------
(whatever increments)
0 0.29 0.00 24.21 79.27 7.57 5.65 185434.00
12 0.23 0.00 4.28 79.02 6.67 5.60 261505.00
24 0.37 0.02 46.15 81.63 7.04 5.61 209180.00
36 0.60 0.07 25.36 75.82 6.53 5.59 196063.00
total 1.49 0.09 100.00 79.47 7.02 5.62 201249.00
Mortg Rates & FICO
Mortg Rates FICO NA FICO 500-550 551-600 601-650 651-700 701-750
------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.5% 0.00 0.00 0.00 0.08 0.15 0.00
4.501 - 5.0% 0.00 0.00 0.06 0.40 0.43 0.06
5.001 - 5.5% 0.00 0.02 0.61 1.74 2.09 1.52
5.501 - 6.0% 0.00 0.13 2.46 5.22 4.93 2.08
6.001 - 6.5% 0.00 0.41 2.77 5.99 3.74 0.42
6.501 - 7.0% 0.00 1.43 5.60 5.74 2.78 0.57
7.001 - 7.5% 0.00 1.78 4.78 5.26 2.72 0.57
7.501 - 8.0% 0.00 3.77 5.80 4.73 1.54 0.42
8.001 - 8.5% 0.00 1.83 2.57 1.56 0.70 0.13
8.501 - 9.0% 0.00 2.00 1.47 0.72 0.24 0.07
9.001 - 9.5% 0.00 0.98 0.48 0.17 0.07 0.00
9.501 - 10.0% 0.00 1.00 0.36 0.07 0.01 0.01
10.001 - 10.5% 0.00 0.31 0.14 0.03 0.00 0.00
10.501 - 11.0% 0.00 0.28 0.12 0.00 0.00 0.00
11.001 - 11.5% 0.00 0.11 0.07 0.01 0.00 0.00
11.501 - 12.0% 0.00 0.07 0.01 0.00 0.00 0.00
12.001 - 12.5% 0.00 0.03 0.00 0.00 0.00 0.00
12.501 - 13.0% 0.00 0.00 0.00 0.00 0.00 0.00
13.001 - 13.5% 0.00 0.01 0.00 0.00 0.00 0.00
total 0.00 14.18 27.29 31.71 19.40 5.85
Mortg Rates & FICO
Mortg Rates 751-800 801-850 total Current LTV WAC Gross Margin Avg Prin Bal
----------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.5% 0.00 0.00 0.23 76.93 4.50 5.30 433167.00
4.501 - 5.0% 0.02 0.00 0.97 79.76 4.91 5.29 342061.00
5.001 - 5.5% 0.39 0.09 6.47 74.66 5.45 5.44 302936.00
5.501 - 6.0% 0.45 0.00 15.27 76.26 5.81 5.48 285219.00
6.001 - 6.5% 0.17 0.00 13.49 78.12 6.30 5.53 246970.00
6.501 - 7.0% 0.12 0.00 16.23 79.63 6.79 5.57 224756.00
7.001 - 7.5% 0.20 0.00 15.30 81.11 7.30 5.59 197187.00
7.501 - 8.0% 0.08 0.00 16.34 82.06 7.77 5.69 173653.00
8.001 - 8.5% 0.00 0.00 6.79 83.31 8.27 5.69 159660.00
8.501 - 9.0% 0.01 0.00 4.50 80.58 8.75 5.87 146368.00
9.001 - 9.5% 0.06 0.00 1.76 82.20 9.24 5.84 109969.00
9.501 - 10.0% 0.00 0.00 1.45 78.40 9.76 6.10 93620.00
10.001 - 10.5% 0.00 0.00 0.48 73.72 10.26 6.37 81470.00
10.501 - 11.0% 0.00 0.00 0.39 73.09 10.74 6.30 68781.00
11.001 - 11.5% 0.00 0.00 0.19 79.20 11.30 6.18 99031.00
11.501 - 12.0% 0.00 0.00 0.08 77.62 11.77 5.98 94294.00
12.001 - 12.5% 0.00 0.00 0.03 74.46 12.19 6.76 46722.00
12.501 - 13.0% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
13.001 - 13.5% 0.00 0.00 0.01 84.92 13.01 6.36 45857.00
total 1.49 0.09 100.00 79.47 7.02 5.62 201249.00
Mortg Rates & LTV
Mortg Rates .01-10 10.01-20 20.01-30 30.01-40 40.01-50 50.01-60
-----------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.500 0.00 0.00 0.00 0.00 0.00 0.00
4.501 - 5.000 0.00 0.00 0.00 0.00 0.00 0.02
5.001 - 5.500 0.00 0.00 0.04 0.01 0.19 0.18
5.501 - 6.000 0.00 0.04 0.00 0.05 0.35 0.70
6.001 - 6.500 0.00 0.03 0.01 0.05 0.08 0.43
6.501 - 7.000 0.00 0.00 0.17 0.02 0.22 0.58
7.001 - 7.500 0.00 0.00 0.02 0.03 0.21 0.49
7.501 - 8.000 0.01 0.00 0.04 0.02 0.23 0.47
8.001 - 8.500 0.00 0.00 0.01 0.01 0.01 0.06
8.501 - 9.000 0.00 0.00 0.03 0.03 0.12 0.04
9.001 - 9.500 0.00 0.00 0.01 0.01 0.00 0.01
9.501 - 10.000 0.00 0.00 0.00 0.00 0.05 0.00
10.001 - 10.500 0.00 0.00 0.00 0.01 0.00 0.08
10.501 - 11.000 0.00 0.00 0.01 0.00 0.00 0.07
11.001 - 11.500 0.00 0.00 0.00 0.00 0.00 0.00
11.501 - 12.000 0.00 0.00 0.00 0.00 0.00 0.00
12.001 - 12.500 0.00 0.00 0.00 0.00 0.00 0.00
12.501 - 13.000 0.00 0.00 0.00 0.00 0.00 0.00
13.001 - 13.500 0.00 0.00 0.00 0.00 0.00 0.00
total 0.01 0.07 0.34 0.24 1.45 3.12
Mortg Rates & LTV
Mortg Rates 60.01-70 70.01-80 80.01-90 90.01-100 total avg FICO Gross Margin Avg Prin Bal
----------------------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.500 0.07 0.17 0.00 0.00 0.23 656 5.300 433167.0
4.501 - 5.000 0.20 0.33 0.42 0.00 0.97 652 5.286 342061.0
5.001 - 5.500 1.43 2.90 1.73 0.00 6.47 672 5.439 302936.0
5.501 - 6.000 2.42 7.60 3.97 0.15 15.27 652 5.480 285219.0
6.001 - 6.500 1.50 8.12 2.90 0.37 13.49 630 5.531 246970.0
6.501 - 7.000 1.46 6.84 6.08 0.85 16.23 615 5.570 224756.0
7.001 - 7.500 1.18 6.31 5.47 1.60 15.30 612 5.585 197187.0
7.501 - 8.000 1.18 5.64 6.95 1.81 16.34 593 5.691 173653.0
8.001 - 8.500 0.49 2.22 2.97 1.02 6.79 586 5.690 159660.0
8.501 - 9.000 0.56 1.35 1.65 0.71 4.50 568 5.866 146368.0
9.001 - 9.500 0.11 0.79 0.52 0.31 1.76 565 5.843 109969.0
9.501 - 10.000 0.27 0.62 0.39 0.12 1.45 544 6.096 93620.0
10.001 - 10.500 0.11 0.18 0.05 0.05 0.48 544 6.366 81470.0
10.501 - 11.000 0.07 0.18 0.06 0.01 0.39 538 6.300 68781.0
11.001 - 11.500 0.08 0.05 0.03 0.04 0.19 544 6.183 99031.0
11.501 - 12.000 0.03 0.03 0.03 0.00 0.08 535 5.976 94294.0
12.001 - 12.500 0.02 0.01 0.01 0.00 0.03 524 6.762 46722.0
12.501 - 13.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
13.001 - 13.500 0.00 0.00 0.01 0.00 0.01 526 6 45857
total 11.18 43.33 33.23 7.03 100.00 616 6 201249
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
All records
Table of Contents
1. Silent Seconds Total Pool
2. Silent Seconds Group 3
3. Silent Seconds Northern California
4. Silent Seconds Southern California
1. Silent Seconds Total Pool
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average
of Date Date Gross Remaining
Mortgage Principal Principal Interest Term
Silent Seconds Total Pool Loans Balance ($) Balance Rate (%) (months)
---------------------------------- -------- ------------- --------- -------- ---------
No 6,727 1,171,714,576 83.88 7.112 350
Yes 1,269 225,126,858 16.12 6.587 356
---------------------------------- -------- ------------- --------- -------- ---------
Total: 7,996 1,396,841,434 100.00 7.028 351
Weighted
Average Weighted
Comb Average Pct Pct
Original FICO Cashout Single Pct Pct
Silent Seconds Total Pool LTV Score Refi Family PUD Full Doc
---------------------------------- -------- -------- ------- ------ ---- --------
No 79.79 610 74.26 78.20 7.78 56.97
Yes 79.62 640 14.68 78.70 6.73 58.14
---------------------------------- -------- -------- ------- ------ ---- --------
Total: 79.76 615 64.66 78.28 7.61 57.16
2. Silent Seconds Group 3
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average
of Date Date Gross Remaining
Mortgage Principal Principal Interest Term
Silent Seconds Group 3 Loans Balance ($) Balance Rate (%) (months)
---------------------------------- -------- ------------- --------- -------- ---------
No 2,321 468,641,381 83.38 7.101 351
Yes 472 93,447,145 16.62 6.628 356
---------------------------------- -------- ------------- --------- -------- ---------
Total: 2,793 562,088,526 100.00 7.022 351
Weighted
Average Weighted
Comb Average Pct Pct
Original FICO Cashout Single Pct Pct
Silent Seconds Group 3 LTV Score Refi Family PUD Full Doc
---------------------------------- -------- -------- ------- ------ ---- --------
No 79.84 611 73.20 80.66 7.62 56.66
Yes 79.01 640 18.40 83.48 2.74 57.72
---------------------------------- -------- -------- ------- ------ ---- --------
Total: 79.70 616 64.09 81.13 6.81 56.84
3. Silent Seconds Northern California
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average
of Date Date Gross Remaining
Mortgage Principal Principal Interest Term
Silent Seconds Northern California Loans Balance ($) Balance Rate (%) (months)
---------------------------------- -------- ------------- --------- -------- ---------
No 503 121,583,184 78.77 6.716 354
Yes 114 32,770,768 21.23 6.238 356
---------------------------------- -------- ------------- --------- -------- ---------
Total: 617 154,353,953 100.00 6.615 354
Weighted
Average Weighted
Comb Average Pct Pct
Original FICO Cashout Single Pct Pct
Silent Seconds Northern California LTV Score Refi Family PUD Full Doc
---------------------------------- -------- -------- ------- ------ ---- --------
No 78.46 614 78.97 91.99 2.86 61.71
Yes 78.47 649 22.28 80.39 5.20 59.67
---------------------------------- -------- -------- ------- ------ ---- --------
Total: 78.46 621 66.94 89.53 3.36 61.27
4. Silent Seconds Southern California
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average
of Date Date Gross Remaining
Mortgage Principal Principal Interest Term
Silent Seconds Southern California Loans Balance ($) Balance Rate (%) (months)
---------------------------------- -------- ------------- --------- -------- ---------
No 1,223 300,586,966 87.09 6.706 353
Yes 180 44,573,295 12.91 6.372 356
---------------------------------- -------- ------------- --------- -------- ---------
Total: 1,403 345,160,261 100.00 6.663 353
Weighted
Average Weighted
Comb Average Pct Pct
Original FICO Cashout Single Pct Pct
Silent Seconds Southern California LTV Score Refi Family PUD Full Doc
---------------------------------- -------- -------- ------- ------ ---- --------
No 77.20 617 81.32 78.67 6.33 53.49
Yes 79.58 656 12.55 79.85 1.55 52.27
---------------------------------- -------- -------- ------- ------ ---- --------
Total: 77.51 622 72.44 78.82 5.71 53.33
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
--------------------------------------------------------------------------------
Selection Criteria: Full Documentation & Purchase
================================================================================
Number of Mortgage Loans: 1,229
Total Current Balance: 191,154,292.07
Average Current Balance: 155,536.45
Weighted Average FICO Score: 626.0
Weighted Average Current LTV: 83.80
Weighted Average DTI Ratio: 41.67
% Cash-Out Refinance: 0.0
% Full Documentation: 100.0
% Owner Occupied: 93.5
Weighted Average Coupon: 6.842
Weighted Average Margin: 5.453
% 2-4 Family: 6.8
% MH: 0.0
% PUD: 10.9
% Condo: 9.0
% Silent Second: 50.33
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
--------------------------------------------------------------------------------
Selection Criteria: Full Documentation & Refinance - Cashout
================================================================================
Number of Mortgage Loans: 3,219
Total Current Balance: 549,304,914.42
Average Current Balance: 170,644.58
Weighted Average FICO Score: 603.0
Weighted Average Current LTV: 77.94
Weighted Average DTI Ratio: 40.36
% Cash-Out Refinance: 100.0
% Full Documentation: 100.0
% Owner Occupied: 95.6
Weighted Average Coupon: 6.816
Weighted Average Margin: 5.633
% 2-4 Family: 6.4
% MH: 0.0
% PUD: 6.5
% Condo: 4.6
% Silent Second: 3.99
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
--------------------------------------------------------------------------------
Selection Criteria: Full Documentation & Refinance - Rate Term
================================================================================
Number of Mortgage Loans: 406
Total Current Balance: 57,926,618.57
Average Current Balance: 142,676.40
Weighted Average FICO Score: 616.8
Weighted Average Current LTV: 78.63
Weighted Average DTI Ratio: 39.68
% Cash-Out Refinance: 0.0
% Full Documentation: 100.0
% Owner Occupied: 96.9
Weighted Average Coupon: 6.791
Weighted Average Margin: 5.627
% 2-4 Family: 3.1
% MH: 0.0
% PUD: 9.1
% Condo: 3.5
% Silent Second: 22.07
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
--------------------------------------------------------------------------------
Selection Criteria: Limited Documentation & Purchase
================================================================================
Number of Mortgage Loans: 76
Total Current Balance: 13,058,427.57
Average Current Balance: 171,821.42
Weighted Average FICO Score: 631.6
Weighted Average Current LTV: 84.58
Weighted Average DTI Ratio: 36.50
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 87.3
Weighted Average Coupon: 7.112
Weighted Average Margin: 5.474
% 2-4 Family: 7.7
% MH: 0.0
% PUD: 4.2
% Condo: 6.5
% Silent Second: 34.76
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
--------------------------------------------------------------------------------
Selection Criteria: Limited Documentation & Refinance - Cashout
================================================================================
Number of Mortgage Loans: 161
Total Current Balance: 35,003,725.74
Average Current Balance: 217,414.45
Weighted Average FICO Score: 610.9
Weighted Average Current LTV: 78.99
Weighted Average DTI Ratio: 35.34
% Cash-Out Refinance: 100.0
% Full Documentation: 0.0
% Owner Occupied: 90.9
Weighted Average Coupon: 6.845
Weighted Average Margin: 5.634
% 2-4 Family: 5.9
% MH: 0.0
% PUD: 6.4
% Condo: 5.6
% Silent Second: 2.33
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
--------------------------------------------------------------------------------
Selection Criteria: Limited Documentation & Refinance - Rate Term
================================================================================
Number of Mortgage Loans: 18
Total Current Balance: 3,649,689.97
Average Current Balance: 202,760.55
Weighted Average FICO Score: 648.2
Weighted Average Current LTV: 72.45
Weighted Average DTI Ratio: 37.78
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 87.0
Weighted Average Coupon: 6.295
Weighted Average Margin: 5.549
% 2-4 Family: 6.2
% MH: 0.0
% PUD: 18.0
% Condo: 9.3
% Silent Second: 8.58
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
--------------------------------------------------------------------------------
Selection Criteria: Stated Documentation & Purchase
================================================================================
Number of Mortgage Loans: 1,124
Total Current Balance: 205,393,901.73
Average Current Balance: 182,734.79
Weighted Average FICO Score: 646.1
Weighted Average Current LTV: 84.42
Weighted Average DTI Ratio: 40.88
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 86.5
Weighted Average Coupon: 7.418
Weighted Average Margin: 5.557
% 2-4 Family: 10.9
% MH: 0.0
% PUD: 9.1
% Condo: 8.2
% Silent Second: 36.40
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
--------------------------------------------------------------------------------
Selection Criteria: Stated Documentation & Refinance - Cashout
================================================================================
Number of Mortgage Loans: 1,632
Total Current Balance: 318,881,663.44
Average Current Balance: 195,393.18
Weighted Average FICO Score: 608.7
Weighted Average Current LTV: 76.75
Weighted Average DTI Ratio: 40.18
% Cash-Out Refinance: 100.0
% Full Documentation: 0.0
% Owner Occupied: 91.5
Weighted Average Coupon: 7.303
Weighted Average Margin: 5.664
% 2-4 Family: 12.4
% MH: 0.0
% PUD: 6.2
% Condo: 4.6
% Silent Second: 3.24
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
--------------------------------------------------------------------------------
Selection Criteria: Stated Documentation & Refinance - Rate Term
================================================================================
Number of Mortgage Loans: 131
Total Current Balance: 22,468,200.41
Average Current Balance: 171,512.98
Weighted Average FICO Score: 621.3
Weighted Average Current LTV: 78.80
Weighted Average DTI Ratio: 39.74
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 94.1
Weighted Average Coupon: 7.270
Weighted Average Margin: 5.627
% 2-4 Family: 8.6
% MH: 0.0
% PUD: 10.3
% Condo: 3.6
% Silent Second: 15.42
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & 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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
ARM Loans
Table of Contents
1. Documentation Level
2. Credit Score
3. Range of Combined Original LTV Ratios (%)
4. Documentation Level Greater than 85% LTV
1. Documentation Level
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Documentation Level Loans Balance Balance Balance Rate Margin LTV FICO Score
------------------------------------------- -------- ------------- --------- --------- -------- -------- -------- ----------
Full 3,335 567,543,472 53.67 170,178 6.976 5.582 81.30 594.8
Stated Documentation 2,344 454,689,012 43.00 193,980 7.441 5.619 81.10 615.9
Limited 180 35,242,758 3.33 195,793 7.214 5.578 82.77 605.5
------------------------------------------- -------- ------------- --------- --------- -------- -------- -------- ----------
Total: 5,859 1,057,475,241 100.00 180,487 7.184 5.598 81.27 604.2
2. Credit Score
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Credit Score Loans Balance Balance Balance Rate Margin LTV FICO Score
------------------------------------------- -------- ------------- --------- --------- -------- -------- -------- ----------
481 - 500 9 773,171 0.07 85,908 8.285 5.795 70.58 500
501 - 520 393 62,116,161 5.87 158,056 8.352 5.881 74.12 510.5
521 - 540 565 85,159,819 8.05 150,725 8.077 5.806 76.72 530.9
541 - 560 665 107,914,254 10.20 162,277 7.697 5.691 78.79 551.2
561 - 580 639 105,966,215 10.02 165,831 7.503 5.687 80.42 570.7
581 - 600 836 160,996,646 15.22 192,580 6.925 5.570 80.45 590.7
601 - 620 677 132,384,413 12.52 195,546 6.843 5.528 82.89 609.8
621 - 640 691 124,119,061 11.74 179,622 6.901 5.511 83.93 629.8
641 - 660 575 113,366,518 10.72 197,159 6.749 5.476 83.05 650.1
661 - 680 385 78,421,684 7.42 203,693 6.73 5.497 83.99 669.5
681 - 700 193 40,488,793 3.83 209,786 6.693 5.483 85.11 688.9
701 - 720 90 17,390,832 1.64 193,231 6.877 5.526 86.55 709.9
721 - 740 59 12,536,505 1.19 212,483 7.141 5.508 86.11 731.1
741 - 760 41 7,488,012 0.71 182,634 6.903 5.516 85.98 750.4
761 - 780 31 6,191,332 0.59 199,720 6.699 5.505 84.03 769.7
781 - 800 10 2,161,828 0.20 216,183 6.609 5.469 83.25 784.6
------------------------------------------- -------- ------------- --------- --------- -------- -------- -------- ----------
Total: 5,859 1,057,475,241 100.00 180,487 7.184 5.598 81.27 604.2
------------------------------------------- -------- ------------- --------- --------- -------- -------- -------- ----------
Non-Zero Minimum: 500
Maximum: 792
Non-Zero Weighted Average: 604
3. Range of Combined Original LTV Ratios (%)
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Range of Combined Original LTV Ratios (%) Loans Balance Balance Balance Rate Margin LTV FICO Score
------------------------------------------- -------- ------------- --------- --------- -------- -------- -------- ----------
10.01 - 15.00 1 49,903 0.00 49,903 8.225 6.400 13.16 554
20.01 - 25.00 6 984,840 0.09 164,140 7.214 5.797 22.23 551.8
25.01 - 30.00 4 414,180 0.04 103,545 7.42 5.617 26.98 595.9
30.01 - 35.00 10 933,889 0.09 93,389 7.088 5.630 33.51 603.1
35.01 - 40.00 13 1,866,012 0.18 143,539 7.009 5.708 37.64 600.3
40.01 - 45.00 27 4,408,768 0.42 163,288 7.044 5.764 43.11 579.2
45.01 - 50.00 40 6,019,314 0.57 150,483 7.48 5.793 48.34 562.6
50.01 - 55.00 46 6,783,873 0.64 147,476 7.185 5.824 52.88 580.7
55.01 - 60.00 111 18,420,582 1.74 165,951 6.939 5.836 58.01 580.3
60.01 - 65.00 193 33,201,412 3.14 172,028 7.001 5.806 63.66 581
65.01 - 70.00 381 66,460,708 6.28 174,438 7.292 5.845 68.76 572.6
70.01 - 75.00 505 92,828,613 8.78 183,819 7.328 5.788 74.11 574.1
75.01 - 80.00 1,958 347,572,955 32.87 177,514 6.859 5.551 79.67 611.7
80.01 - 85.00 898 164,392,909 15.55 183,066 7.33 5.605 84.51 586.4
85.01 - 90.00 1,058 203,370,122 19.23 192,221 7.299 5.482 89.67 620.7
90.01 - 95.00 475 87,823,182 8.30 184,891 7.55 5.472 94.72 629
95.01 - 100.00 133 21,943,978 2.08 164,992 8.193 5.640 99.94 672.9
------------------------------------------- -------- ------------- --------- --------- -------- -------- -------- ----------
Total: 5,859 1,057,475,241 100.00 180,487 7.184 5.598 81.27 604.2
------------------------------------------- -------- ------------- --------- --------- -------- -------- -------- ----------
Minimum: 13.16
Maximum: 100.00
Weighted Average: 81.27
4. Documentation Level Greater than 85% LTV
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Documentation Level Greater than 85% LTV Loans Balance Balance Balance Rate Margin LTV FICO Score
------------------------------------------- -------- ------------- --------- --------- -------- -------- -------- ----------
Full 936 160,515,751 51.26 171,491 7.231 5.455 91.88 612.6
Stated Documentation 670 139,838,964 44.66 208,715 7.663 5.533 91.73 643.2
Limited 60 12,782,567 4.08 213,043 7.436 5.461 91.66 624.3
------------------------------------------- -------- ------------- --------- --------- -------- -------- -------- ----------
Total: 1,666 313,137,282 100.00 187,958 7.432 5.490 91.80 626.7
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
Fixed Rate Loans
Table of Contents
1. Documentation Level
2. Credit Score
3. Range of Combined Original LTV Ratios (%)
4. Documentation Level Greater than 85% LTV
1. Documentation Level
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Documentation Level Loans Balance Balance Balance Rate LTV FICO Score
------------------------------------------------ -------- ----------- --------- --------- -------- -------- ----------
Full 1,519 230,842,353 68.02 151,970 6.439 75.51 645.8
Stated Documentation 543 92,054,754 27.13 169,530 6.870 74.07 659.5
Limited 75 16,469,086 4.85 219,588 6.144 74.62 647.0
------------------------------------------------ -------- ----------- --------- --------- -------- -------- ----------
Total: 2,137 339,366,193 100.00 158,805 6.541 75.08 649.6
2. Credit Score
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Credit Score Loans Balance Balance Balance Rate LTV FICO Score
------------------------------------------------ -------- ----------- --------- --------- -------- -------- ----------
501 - 520 26 2,497,233 0.74 96,047 9.646 69.46 512.6
521 - 540 40 3,549,201 1.05 88,730 8.851 73.86 530.7
541 - 560 35 4,336,025 1.28 123,886 7.897 73.11 549.4
561 - 580 123 17,563,872 5.18 142,796 7.390 76.17 572.8
581 - 600 259 30,477,290 8.98 117,673 7.147 76.64 590.3
601 - 620 291 43,567,558 12.84 149,717 6.793 75.78 611.0
621 - 640 345 50,019,750 14.74 144,985 6.645 74.74 631.0
641 - 660 349 55,397,290 16.32 158,731 6.425 74.80 650.5
661 - 680 234 44,596,774 13.14 190,585 6.226 74.73 669.7
681 - 700 163 30,636,471 9.03 187,954 6.003 75.76 689.4
701 - 720 102 19,928,836 5.87 195,381 5.943 74.54 710.6
721 - 740 67 15,532,559 4.58 231,829 5.943 74.26 730.5
741 - 760 59 14,374,303 4.24 243,632 5.807 75.92 747.3
761 - 780 24 3,030,715 0.89 126,280 6.347 76.77 770.3
781 - 800 16 3,038,923 0.90 189,933 6.176 68.38 787.6
801 - 820 4 819,393 0.24 204,848 5.532 54.76 811.8
------------------------------------------------ -------- ----------- --------- --------- -------- -------- ----------
Total: 2,137 339,366,193 100.00 158,805 6.541 75.08 649.6
------------------------------------------------ -------- ----------- --------- --------- -------- -------- ----------
Minimum: 501
Maximum: 817
Weighted Average: 650
3. Range of Combined Original LTV Ratios (%)
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Range of Combined Original LTV Ratios (%) Loans Balance Balance Balance Rate LTV FICO Score
------------------------------------------------ -------- ----------- --------- --------- -------- -------- ----------
<= 10.00 1 59,120 0.02 59,120 7.980 7.50 660.0
10.01 - 15.00 1 153,352 0.05 153,352 5.750 11.85 656.0
15.01 - 20.00 3 222,268 0.07 74,089 6.102 17.11 592.4
20.01 - 25.00 7 551,332 0.16 78,762 6.521 23.34 661.2
25.01 - 30.00 13 1,354,147 0.40 104,165 6.809 28.53 669.6
30.01 - 35.00 13 1,370,602 0.40 105,431 6.061 32.65 644.2
35.01 - 40.00 18 2,562,753 0.76 142,375 6.027 37.60 633.4
40.01 - 45.00 31 3,945,011 1.16 127,258 6.265 42.62 648.2
45.01 - 50.00 50 8,200,214 2.42 164,004 6.209 47.91 654.4
50.01 - 55.00 63 9,558,072 2.82 151,715 6.252 52.63 664.9
55.01 - 60.00 87 15,207,143 4.48 174,795 6.243 57.97 647.5
60.01 - 65.00 121 20,621,777 6.08 170,428 6.100 63.30 643.4
65.01 - 70.00 208 36,679,930 10.81 176,346 6.327 68.27 651.1
70.01 - 75.00 234 41,762,761 12.31 178,473 6.371 73.65 644.5
75.01 - 80.00 611 104,524,787 30.80 171,072 6.493 79.30 653.3
80.01 - 85.00 219 42,575,509 12.55 194,409 6.355 83.85 650.9
85.01 - 90.00 203 38,806,798 11.44 191,166 6.769 89.59 648.2
90.01 - 95.00 11 1,344,744 0.40 122,249 8.668 94.79 590.8
95.01 - 100.00 243 9,865,873 2.91 40,600 10.414 99.94 634.9
------------------------------------------------ -------- ----------- --------- --------- -------- -------- ----------
Total: 2,137 339,366,193 100.00 158,805 6.541 75.08 649.6
------------------------------------------------ -------- ----------- --------- --------- -------- -------- ----------
Minimum: 7.50
Maximum: 100.00
Weighted Average: 75.08
4. Documentation Level Greater than 85% LTV
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Documentation Level Greater than 85% LTV Loans Balance Balance Balance Rate LTV FICO Score
------------------------------------------------ -------- ----------- --------- --------- -------- -------- ----------
Full 342 35,555,346 71.09 103,963 7.483 91.84 636.8
Stated Documentation 104 12,740,696 25.47 122,507 7.833 91.70 664.0
Limited 11 1,721,373 3.44 156,488 6.530 90.87 645.7
------------------------------------------------ -------- ----------- --------- --------- -------- -------- ----------
Total: 457 50,017,415 100.00 109,447 7.539 91.77 644.0
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
All records
Table of Contents
1. Current Mortgage Principal Balance <75k
2. Current Mortgage Principal Balance Greater or Equal to 400K
3. FICO Score
4. Original Loan-to-Value Ratio Greater or Equal 80
5. Second Home
6. Investment Property
7. Cashout Loans
8. Stated Doc
9. Limited Doc
10. 2-4 Family
11. IO Loans
1. Current Mortgage Principal Balance <75k
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
Current Mortgage Principal Balance <75k Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
0.01 - 25,000.00 21 473,125.42 0.73 10.712 0.00
25,000.01 - 50,000.00 316 12,917,241.22 19.89 9.449 29.80
50,000.01 - 75,000.00 820 51,539,579.30 79.38 8.193 63.02
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 1,157 64,929,945.94 100.00 8.461 55.95
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
Current Mortgage Principal Balance <75k FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
0.01 - 25,000.00 649 99.93 55.59 100.00 85.44 4.84
25,000.01 - 50,000.00 607 83.06 77.35 91.33 81.37 48.83
50,000.01 - 75,000.00 597 79.02 67.35 86.30 85.22 60.98
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 599 79.97 69.26 87.40 84.46 58.15
2. Current Mortgage Principal Balance Greater or Equal to 400K
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
Current Mortgage Principal Balance Greater or Equal to 400K Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
<= 400,000.00 3 1,200,000.00 0.82 6.533 100.00
400,000.01 - 450,000.00 154 65,043,318.34 44.24 6.641 73.26
450,000.01 - 500,000.00 101 48,573,179.13 33.04 6.486 71.24
500,000.01 - 550,000.00 18 9,461,724.17 6.44 6.205 55.86
550,000.01 - 600,000.00 16 9,230,180.98 6.28 6.069 43.96
600,000.01 - 650,000.00 16 10,047,854.84 6.83 6.041 62.45
650,000.01 - 700,000.00 4 2,719,408.96 1.85 5.798 50.21
700,000.01 - 750,000.00 1 746,692.66 0.51 5.500 0.00
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 313 147,022,359.08 100.00 6.463 68.32
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
Current Mortgage Principal Balance Greater or Equal to 400K FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
<= 400,000.00 619 82.01 33.33 100.00 66.67 66.67
400,000.01 - 450,000.00 632 79.89 48.02 89.59 70.21 66.29
450,000.01 - 500,000.00 622 80.48 54.31 95.94 77.27 59.32
500,000.01 - 550,000.00 653 80.05 60.93 100.00 77.95 61.26
550,000.01 - 600,000.00 661 78.58 68.32 93.95 93.71 93.52
600,000.01 - 650,000.00 631 73.82 87.48 100.00 81.31 56.11
650,000.01 - 700,000.00 650 77.84 100.00 100.00 74.33 100.00
700,000.01 - 750,000.00 745 83.24 100.00 100.00 100.00 0.00
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 632 79.60 56.01 93.67 75.48 64.97
3. FICO Score
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
FICO Score Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
500 - 525 560 84,340,983.20 8.26 8.387 96.13
526 - 550 806 120,863,169.99 11.84 7.969 95.56
551 - 575 911 147,390,063.57 14.43 7.556 91.38
576 - 600 1,313 228,755,668.56 22.40 7.024 83.78
601 - 625 1,263 225,901,167.03 22.12 6.823 75.79
626 - 650 1,259 213,932,373.76 20.95 6.773 68.30
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 6,112 1,021,183,426.11 100.00 7.228 82.28
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
FICO Score FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
500 - 525 513 74.05 64.31 97.02 86.28 87.34
526 - 550 538 77.11 64.46 97.81 86.63 81.83
551 - 575 563 79.56 64.87 96.05 80.30 74.40
576 - 600 589 80.01 62.44 94.65 79.10 69.54
601 - 625 613 81.31 58.72 95.54 80.23 64.12
626 - 650 638 80.78 52.52 91.04 77.19 56.61
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 589 79.56 60.28 94.86 80.61 69.26
4. Original Loan-to-Value Ratio Greater or Equal 80
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
Original Loan-to-Value Ratio Greater or Equal 80 Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
75.01 - 80.00 2,043 351,345,160.29 38.13 6.818 81.46
80.01 - 85.00 1,117 206,968,418.58 22.46 7.129 79.43
85.01 - 90.00 1,261 242,176,919.55 26.28 7.214 83.98
90.01 - 95.00 486 89,167,926.24 9.68 7.567 98.49
95.01 - 100.00 376 31,809,851.33 3.45 8.882 68.98
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 5,283 921,468,275.99 100.00 7.136 82.88
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
Original Loan-to-Value Ratio Greater or Equal 80 FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
75.01 - 80.00 622 80.00 57.85 94.64 79.20 39.77
80.01 - 85.00 600 84.37 58.72 91.89 79.06 77.02
85.01 - 90.00 625 89.66 51.24 86.01 72.71 59.67
90.01 - 95.00 628 94.72 62.55 99.78 78.91 47.91
95.01 - 100.00 661 99.94 50.93 100.00 75.03 20.53
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 620 85.63 56.53 92.44 77.29 53.49
5. Second Home
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
Second Home Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Second Home 61 10,521,810.80 100.00 7.139 77.77
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 61 10,521,810.80 100.00 7.139 77.77
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
Second Home FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Second Home 624 82.27 45.05 0.00 68.83 37.11
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 624 82.27 45.05 0.00 68.83 37.11
6. Investment Property
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
Investment Property Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Investment 576 89,790,471.48 100.00 7.448 82.19
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 576 89,790,471.48 100.00 7.448 82.19
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
Investment Property FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Investment 648 79.95 37.74 0.00 52.05 56.65
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 648 79.95 37.74 0.00 52.05 56.65
7. Cashout Loans
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
Cashout Loans Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Refinance - Cashout 5,012 903,190,303.60 100.00 6.989 71.98
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 5,012 903,190,303.60 100.00 6.989 71.98
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
Cashout Loans FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Refinance - Cashout 605 77.79 60.82 93.94 80.44 100.00
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 605 77.79 60.82 93.94 80.44 100.00
8. Stated Doc
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
Stated Doc Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Stated Documentation 2,887 546,743,765.58 100.00 7.345 83.16
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 2,887 546,743,765.58 100.00 7.345 83.16
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
Stated Doc FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Stated Documentation 623 79.92 0.00 89.69 74.94 58.32
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 623 79.92 0.00 89.69 74.94 58.32
9. Limited Doc
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
Limited Doc Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Limited 255 51,711,843.28 100.00 6.873 68.15
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 255 51,711,843.28 100.00 6.873 68.15
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
Limited Doc FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Limited 619 80.17 0.00 89.69 80.94 67.69
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 619 80.17 0.00 89.69 80.94 67.69
10. 2-4 Family
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
2-4 Family Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
2 Family 400 84,672,803.33 72.46 6.996 72.94
3 Family 85 20,085,033.00 17.19 7.367 79.74
4 Family 48 12,099,608.26 10.35 7.608 71.82
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 533 116,857,444.59 100.00 7.123 73.99
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
2-4 Family FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
2 Family 635 79.51 43.82 78.13 0.00 62.53
3 Family 633 78.38 37.27 66.22 0.00 74.52
4 Family 628 79.17 43.06 40.32 0.00 72.02
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 634 79.28 42.62 72.17 0.00 65.57
11. IO Loans
Number % of
of Total Total Wtd
Mortgage Current Current Avg Pct
IO Loans Loans Balance Balance Coupon ARM
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Y 655 164,813,034.05 100.00 6.522 100.00
----------------------------------------------------------- -------- ---------------- ------- ------ ------
Total: 655 164,813,034.05 100.00 6.522 100.00
Wtd
Avg
Wtd Comb Pct Pct Pct Pct
Avg Orig Full Owner Single Cashout
IO Loans FICO LTV Doc Occ Family Refi
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Y 621 82.25 59.60 99.24 74.18 55.34
----------------------------------------------------------- ---- ----- ------ ------ ------ -------
Total: 621 82.25 59.60 99.24 74.18 55.34
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Collateral Cuts for MSAC 2004-HE6
FICO Score
----------
--------------------------------------------------------------------------------------------------------------------------------
FICO Total Balance CLTV Adjusted Balance[1] WA Loan Balance WAC % Covered by WA FICO
Amount %[2] Amount %[2] Mortgage Ins.
--------------------------------------------------------------------------------------------------------------------------------
FICO NA 0 0% > 65.0 0 0%
▇ - ▇▇▇ ▇▇▇,171 0% > 65.0 461,073 0% 85,908 8.285 -- 500
500.01 - 550 204,430,982 15% > 70.0 152,567,764 11% 150,649 8.141 -- 528
550.01 - 575 147,390,064 11% > 70.0 118,891,537 9% 161,789 7.556 -- 563
575.01 - 600 228,755,669 16% > 70.0 190,311,700 14% 174,224 7.024 -- 589
600.01 - 620 175,951,970 13% > 70.0 149,958,168 11% 181,769 6.831 -- 610
620.01 - 650 263,881,570 19% > 80.0 111,583,661 8% 169,808 6.778 -- 635
650.01 - 680 202,039,506 14% > 80.0 76,556,505 5% 197,112 6.568 -- 664
680.01 - 700 71,125,263 5% > 85.0 21,587,342 2% 199,790 6.396 -- 689
700.01 - 750 80,882,601 6% > 85.0 23,841,792 2% 208,999 6.358 -- 724
750.01 - 800 20,791,244 1% > 85.0 5,737,020 0% 185,636 6.471 -- 770
800 + 819,393 0% > 85.0 0 0% 204,848 5.532 -- 812
--------------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 851,496,561 61% 174,693 7.028 -- 615
--------------------------------------------------------------------------------------------------------------------------------
FICO: Average 615 Min: 500 Max: 817
-----------------------------------------------------------------------------------------
FICO WA CLTV WA DTI % SFR/ PUD % Owner Occ. % Full Doc % Cashout Refi
-----------------------------------------------------------------------------------------
FICO NA
0 - 500 70.58 34.22 91.6 68.0 69.5 100.0
500.01 - 550 75.87 41.02 91.5 97.6 64.4 84.0
550.01 - 575 79.56 40.74 86.9 96.0 64.9 74.4
575.01 - 600 80.01 40.41 89.0 94.7 62.4 69.5
600.01 - 620 81.13 40.37 88.6 96.4 59.4 65.6
620.01 - 650 80.99 40.31 84.6 91.3 53.3 57.1
650.01 - 680 80.49 40.31 81.3 87.6 47.1 54.9
680.01 - 700 81.08 39.60 81.9 88.9 52.1 52.9
700.01 - 750 79.49 39.64 74.5 87.1 48.0 48.7
750.01 - 800 80.32 38.24 85.5 78.9 52.5 36.6
800 + 54.76 27.94 61.4 100.0 100.0 50.8
-----------------------------------------------------------------------------------------
Total: 79.76 40.37 85.9 92.8 57.2 64.7
-----------------------------------------------------------------------------------------
Debt To Income (DTI) Ratio
--------------------------
--------------------------------------------------------------------------------------------------------------------------
DTI Total Balance FICO Adjusted Balance[1] WA Loan Balance WAC % Covered by
Amount %[2] Amount %[2] Mortgage Ins.
--------------------------------------------------------------------------------------------------------------------------
<= 20 35,980,616 3% < 550 3,410,249 0% 132,282 7.031 --
20.001 - 25.00 53,485,938 4% < 550 6,465,432 0% 136,444 7.100 --
25.001 - 30.00 102,813,451 7% < 575 25,985,141 2% 152,542 7.034 --
30.001 - 35.00 162,610,469 12% < 575 37,080,907 3% 168,508 6.975 --
35.001 - 40.00 228,721,991 16% < 600 89,112,764 6% 171,842 7.056 --
40.001 - 45.00 305,534,231 22% < 625 169,779,182 12% 182,627 7.021 --
45.001 - 50.00 431,344,636 31% < 650 317,083,954 23% 189,602 7.042 --
50.001 - 55.00 75,446,654 5% < 675 67,726,188 5% 184,466 6.952 --
55+ 903,448 0% < 700 723,204 0% 180,690 6.048 --
--------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 717,367,022 51% 174,693 7.028 --
--------------------------------------------------------------------------------------------------------------------------
DTI: Average 40.37 Min: 0.53 Max: 56.73
-----------------------------------------------------------------------------------------------------
DTI WA FICO WA CLTV WA DTI % SFR/ PUD % Owner Occ. % Full Doc % Cashout Refi
-----------------------------------------------------------------------------------------------------
<= 20 625 77.33 16.13 83.2 84.8 53.2 69.0
20.001 - 25.00 616 75.85 22.85 87.0 86.1 57.0 74.3
25.001 - 30.00 617 78.45 27.74 88.5 90.5 56.6 68.9
30.001 - 35.00 616 79.18 32.73 86.4 92.8 60.1 69.3
35.001 - 40.00 617 80.38 37.78 87.2 93.6 55.2 62.4
40.001 - 45.00 617 80.54 42.82 85.0 95.5 54.6 62.3
45.001 - 50.00 615 81.29 47.91 84.6 92.6 54.9 60.2
50.001 - 55.00 597 73.12 52.62 88.7 92.6 82.0 82.3
55 637 68.70 56.29 100.0 100.0 100.0 41.4
-----------------------------------------------------------------------------------------------------
Total: 615 79.76 40.37 85.9 92.8 57.2 64.7
-----------------------------------------------------------------------------------------------------
Combined Loan To Value (CLTV) Ratio
-----------------------------------
------------------------------------------------------------------------------------------------------------------------
CLTV Total Balance DTI Adjusted Balance[1] WA Loan Balance WAC % Covered by
Amount %[2] Amount %[2] Mortgage Ins.
------------------------------------------------------------------------------------------------------------------------
< 60.00 83,065,375 6% > 50 10,305,336 1% 152,414 6.652 --
60.01 - 70.00 156,963,827 11% > 50 17,340,312 1% 173,825 6.849 --
70.01 - 80.00 586,689,116 42% > 50 33,025,701 2% 177,355 6.833 --
80.01 - 85.00 206,968,419 15% > 50 10,408,937 1% 185,290 7.129 --
85.01 - 90.00 242,176,920 17% > 50 3,924,039 0% 192,051 7.214 --
90.01 - 95.00 89,167,926 6% > 50 1,230,945 0% 183,473 7.567 --
95.01 - 100.00 31,809,851 2% > 50 114,833 0% 84,601 8.882 --
100+ 0 0% > 50 0 0%
------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 76,350,102 5% 174,693 7.028 --
------------------------------------------------------------------------------------------------------------------------
LTV: Average 79.76 Min: 7.50 Max: 100.00
-----------------------------------------------------------------------------------------------------
CLTV WA FICO WA CLTV WA DTI % SFR/ PUD % Owner Occ % Full Doc % Cashout Refi
-----------------------------------------------------------------------------------------------------
< 60.00 617 50.42 38.38 85.6 92.5 54.2 86.7
60.01 - 70.00 602 66.85 39.70 85.0 92.6 55.6 89.4
70.01 - 80.00 615 78.30 40.63 86.8 94.6 59.4 57.5
80.01 - 85.00 600 84.37 40.37 86.0 91.9 58.7 77.0
85.01 - 90.00 625 89.66 40.26 83.2 86.0 51.2 59.7
90.01 - 95.00 628 94.72 41.35 88.4 99.8 62.6 47.9
95.01 - 100.00 661 99.94 42.02 86.7 100.0 50.9 20.5
100+
-----------------------------------------------------------------------------------------------------
Total: 615 79.76 40.37 85.9 92.8 57.2 64.7
-----------------------------------------------------------------------------------------------------
[1] Balance of the collateral cut with second qualifier, i.e. (LTV), FICO, DTI
etc. All other cuts except the adjusted balance are only for the main bucket
[2] Percent of the Aggregate Principal Balance - calculated automatically.
GEOGRAPHIC CONCENTRATION - TOP 12 STATES
----------------------------------------
--------------------------------------------------------------------------------------------------------------------------
STATE Total Balance WA Loan WAC % Covered by WA FICO WA CLTV WA DTI
Amount %[2] Balance Mortgage Ins.
--------------------------------------------------------------------------------------------------------------------------
California 499,514,214 36% 247,284 6.648 -- 622 77.80 41.06
Florida 152,111,042 11% 144,730 7.107 -- 611 80.97 40.91
New York 97,483,800 7% 242,497 6.849 -- 623 77.04 41.36
Texas 62,101,939 4% 105,436 7.366 -- 615 79.69 38.38
New Jersey 47,465,327 3% 221,801 7.293 -- 608 80.34 40.84
Illinois 44,304,117 3% 160,522 7.736 -- 611 82.73 39.85
Washington 39,268,482 3% 167,814 6.885 -- 618 81.24 40.70
Massachusetts 39,138,184 3% 230,225 6.969 -- 624 79.76 40.95
Nevada 30,770,160 2% 188,774 7.016 -- 615 81.03 39.19
Michigan 29,850,773 2% 110,558 7.900 -- 593 82.72 39.56
Virginia 27,886,060 2% 183,461 7.345 -- 602 81.17 40.98
Maryland 27,849,853 2% 182,025 7.392 -- 602 80.09 39.15
Other 299,097,482 21% 129,929 7.340 -- 610 82.01 39.16
--------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 174,693 7.028 -- 615 79.76 40.37
--------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------
STATE % SFR/ PUD % Owner Occ % Full Doc % Cashout Refi
------------------------------------------------------------------------------------
California 87.1 93.6 55.8 70.7
Florida 87.9 92.0 53.8 54.9
New York 71.1 94.5 56.0 71.8
Texas 96.7 94.7 60.3 42.4
New Jersey 74.1 96.0 52.2 74.7
Illinois 69.3 89.6 47.8 51.1
Washington 92.5 95.3 68.1 53.7
Massachusetts 65.9 88.2 49.4 72.0
Nevada 97.3 84.3 60.5 62.7
Michigan 92.7 89.8 57.5 62.7
Virginia 90.6 95.6 57.5 71.0
Maryland 88.9 92.9 60.1 76.8
Other 88.9 92.2 61.9 61.4
------------------------------------------------------------------------------------
Total: 85.9 92.8 57.2 64.7
------------------------------------------------------------------------------------
Principal Balance
-----------------
--------------------------------------------------------------------------------------------------------------------------
Scheduled Principal Balance Total Balance WA Loan Balance WAC % Covered by WA FICO WA CLTV WA DTI
Amount %[2] Mortgage Ins.
--------------------------------------------------------------------------------------------------------------------------
0 - $50K 13,390,367 1% 39,734 9.493 -- 608 83.65 37.41
$51 - $200K 609,980,092 44% 120,193 7.294 -- 606 78.99 39.12
$200.1 - $250K 204,392,482 15% 224,607 6.955 -- 618 79.69 41.37
$250.1 - $300K 179,049,832 13% 273,359 6.806 -- 618 79.69 41.61
$300.1 - $400K 244,206,302 17% 344,438 6.789 -- 624 81.71 41.60
$400.1 - $500K 113,616,497 8% 445,555 6.575 -- 628 80.14 40.86
$500.1 - $600K 18,691,905 1% 549,762 6.138 -- 657 79.32 38.63
$600.1 - $700K 12,767,264 1% 638,363 5.990 -- 635 74.67 44.16
$700.1 - $800K 746,693 0% 746,693 5.500 -- 745 83.24 42.16
$800.1 - $900K 0 0% --
$900.1 - $1000K 0 0% --
>$1000K 0 0%
--------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 174,693 7.028 -- 615 79.76 40.37
--------------------------------------------------------------------------------------------------------------------------
Principal Balance: Average 174,693 Min: 18,929 Max: 746,693
------------------------------------------------------------------------------------
Scheduled Principal Balance % SFR/ PUD % Owner Occ % Full Doc % Cashout Refi
------------------------------------------------------------------------------------
0 - $50K 91.9 91.6 76.6 47.3
$51 - $200K 87.8 91.8 63.8 62.8
$200.1 - $250K 86.1 92.8 51.7 65.9
$250.1 - $300K 83.3 94.3 52.0 66.1
$300.1 - $400K 81.6 93.8 48.4 67.8
$400.1 - $500K 85.6 92.3 50.7 63.3
$500.1 - $600K 91.6 97.0 64.6 77.2
$600.1 - $700K 94.5 100.0 90.1 65.5
$700.1 - $800K 100.0 100.0 100.0 0.0
$800.1 - $900K
$900.1 - $1000K
>$1000K
------------------------------------------------------------------------------------
Total: 85.9 92.8 57.2 64.7
------------------------------------------------------------------------------------
Documentation Type
------------------
--------------------------------------------------------------------------------------------------------------------------
Doc Type Total Balance WA Loan Balance WAC % Covered by WA FICO WA CLTV WA DTI % SFR/ PUD
Amount %[2] Mortgage Ins.
--------------------------------------------------------------------------------------------------------------------------
Full Doc 798,385,825 57% 164,480 6.820 -- 610 79.63 40.63 88.2
Stated Doc 546,743,766 39% 189,381 7.345 -- 623 79.92 40.42 82.4
Limited Doc 51,711,843 4% 202,792 6.873 -- 619 80.17 35.81 87.6
NINA 0 0%
Other 0 0%
--------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 174,693 7.028 -- 615 79.76 40.37 85.9
--------------------------------------------------------------------------------------------------------------------------
-------------------------------------------
Doc Type % Owner Occ % Cashout Refi
-------------------------------------------
Full Doc 95.2 68.8
Stated Doc 89.7 58.3
Limited Doc 89.7 67.7
▇▇▇▇
Other
-------------------------------------------
Total: 92.8 64.7
-------------------------------------------
Property Type
-------------
--------------------------------------------------------------------------------------------------------------------------
Property Type Total Balance WA Loan Balance WAC % Covered by WA FICO WA CLTV WA DTI % Owner Occ
Amount %[2] Mortgage Ins.
--------------------------------------------------------------------------------------------------------------------------
Single Family 1,093,482,196 78% 170,723 7.027 -- 612 79.56 40.36 95.1
PUD 106,261,753 8% 190,775 6.915 -- 619 81.51 39.92 93.8
Townhouse 0 0%
2-4 Family 116,857,445 8% 219,245 7.123 -- 634 79.28 40.57 72.2
Condo 80,240,040 6% 160,160 7.044 -- 627 80.87 40.71 91.0
Manufactured 0 0%
Other 0 0%
--------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 174,693 7.028 -- 615 79.76 40.37 92.8
--------------------------------------------------------------------------------------------------------------------------
-------------------------------------------
Property Type % Full Doc % Cashout Refi
-------------------------------------------
Single Family 58.7 66.4
PUD 58.3 54.4
Townhouse
2-4 Family 42.6 65.6
Condo 55.7 52.6
Manufactured
Other
-------------------------------------------
Total: 57.2 64.7
-------------------------------------------
Primary Mortgage Insurance
--------------------------
-----------------------------------------------------------------------------------------------------------------------------
Mortgage Insurance Total Balance WA Loan Balance WAC % Covered by WA FICO WA CLTV WA DTI
Amount %[2] Mortgage Ins.
-----------------------------------------------------------------------------------------------------------------------------
Loans >80 LTV w/MI 0% -- -- -- -- --
Loans >80 LTV w/o MI 570,123,116 41% -- -- -- -- -- --
Other 826,718,318 59% -- -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
Total: 100% -- -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------
Mortgage Insurance % Owner Occ % Cashout Refi % Full Doc Is MI down
to 60 LTV
----------------------------------------------------------------------------------------
Loans >80 LTV w/MI -- -- --
Loans >80 LTV w/o MI -- -- -- --
Other -- -- -- --
----------------------------------------------------------------------------------------
Total: -- -- -- --
----------------------------------------------------------------------------------------
Loan Purpose
------------
---------------------------------------------------------------------------------------------------------------------
Loan Purpose Total Balance WA Loan Balance WAC % Covered by WA. FICO WA CLTV WA DTI
Amount %[2] Mortgage Ins.
---------------------------------------------------------------------------------------------------------------------
Debt Consolidation -- 0%
Refinance - Cashout 903,190,304 65% 180,206 6.989 -- 605 77.79 40.10
Purchase 409,606,621 29% 168,632 7.139 -- 636 84.33 41.11
Refinance - Rate Term 84,044,509 6% 151,432 6.898 -- 619 78.70 39.61
Other -- 0%
---------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 174,693 7.028 -- 615 79.76 40.37
---------------------------------------------------------------------------------------------------------------------
------------------------------------------------
Loan Purpose % SFR/ PUD % Owner Occ
------------------------------------------------
Debt Consolidation
Refinance - Cashout 86.8 93.9
Purchase 82.6 89.8
Refinance - Rate Term 91.5 95.7
Other
------------------------------------------------
Total: 85.9 92.8
------------------------------------------------
Fixed Vs. Floating Collateral
-----------------------------
---------------------------------------------------------------------------------------------------------------------------
Collateral Type Total Balance WA Loan Balance WAC % Covered by WA FICO WA CLTV WA DTI % SFR/ PUD
Amount %[2] Mortgage Ins.
---------------------------------------------------------------------------------------------------------------------------
Fixed 339,366,193 24% 158,805 6.541 -- 650 75.08 39.70 86.7
Floating 17,157,893 1% 176,885 6.753 -- 623 77.96 40.16 80.5
A2/6 823,544,779 59% 171,108 7.344 -- 599 81.19 40.72 85.1
A3/6 52,890,936 4% 178,084 6.838 -- 622 80.31 40.12 88.2
Other 163,881,634 12% 251,352 6.532 -- 621 82.30 40.09 87.9
---------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 174,693 7.028 -- 615 79.76 40.37 85.9
---------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
Collateral Type % Owner Occ % Cashout Refi Index Margin
-------------------------------------------------------------------------------------
Fixed 94.6 74.6 0.000
Floating 95.7 66.8 6 Month Libor/1 Month Libor 5.494
A2/6 90.9 62.1 6 Month Libor 5.633
A3/6 90.2 70.4 6 Month Libor 5.557
Other 99.2 55.1 6 Month Libor 5.450
-------------------------------------------------------------------------------------
Total: 92.8 64.7 5.598
-------------------------------------------------------------------------------------
Lien Status
-----------
--------------------------------------------------------------------------------------------------------------------------
Lien Status Total Balance WA Loan Balance WAC % Covered by WA FICO WA CLTV WA DTI % SFR/ PUD
Amount %[2] Mortgage Ins.
--------------------------------------------------------------------------------------------------------------------------
First Lien 1,386,885,729 99% 178,953 7.003 -- 615 79.62 40.36 85.9
Second Lien 9,955,705 1% 40,470 10.438 -- 635 99.49 41.95 88.5
Third Lien 0 0%
--------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 174,693 7.028 -- 615 79.76 40.37 85.9
--------------------------------------------------------------------------------------------------------------------------
------------------------------------------
Lien Status % Owner Occ % Cashout Refi
------------------------------------------
First Lien 92.8 65.0
Second Lien 100.0 11.0
Third Lien
------------------------------------------
Total: 92.8 64.7
------------------------------------------
Occupancy Status
----------------
------------------------------------------------------------------------------------------------------------------------------
Occupancy Type Total Balance WA Loan Balance WAC % Covered by WA. FICO WA CLTV WA DTI % SFR/ PUD
Amount %[2] Mortgage Ins.
------------------------------------------------------------------------------------------------------------------------------
Primary Residence 1,296,529,152 93% 176,183 6.998 -- 613 79.73 40.51 87.9
Second Home 10,521,811 1% 172,489 7.139 -- 624 82.27 41.58 77.9
Investment 89,790,471 6% 155,886 7.448 -- 648 79.95 38.14 58.3
Non-owner 0 0%
Other 0 0%
------------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 174,693 7.028 -- 615 79.76 40.37 85.9
------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------
Occupancy Type % Owner Occ % Cashout Refi
-----------------------------------------------
Primary Residence 100.0 65.4
Second Home 0.0 37.1
Investment 0.0 56.6
Non-owner
Other
-----------------------------------------------
Total: 92.8 64.7
-----------------------------------------------
Prepayment Penalty
------------------
-------------------------------------------------------------------------------------------------------------------------------
Prepayment Charges Term at Origination Total Balance WA Loan Balance WAC % Covered by # of Loans WA FICO
Amount %[2] Mortgage Ins.
-------------------------------------------------------------------------------------------------------------------------------
0 Months 306,765,057 22% 164,839 7.544 -- 1,861 609
6 Months 0 0%
12 Months 63,061,185 5% 220,494 6.619 -- 286 642
24 Months 718,896,054 51% 175,170 7.099 -- 4,104 602
36 Months 308,119,138 22% 176,573 6.430 -- 1,745 646
60 Months 0 0%
Other 0 0%
-------------------------------------------------------------------------------------------------------------------------------
Total: 1,396,841,434 100% 174,693 7.028 -- 7,996 615
-------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------
Prepayment Charges Term at Origination WA CLTV WA DTI % SFR/ PUD % Owner Occ % Cashout Refi
---------------------------------------------------------------------------------------------------------
0 Months 80.56 40.01 80.8 91.3 64.7
6 Months
12 Months 76.49 41.43 72.2 93.4 69.5
24 Months 81.43 40.70 88.1 92.9 60.2
36 Months 75.76 39.72 88.6 94.0 74.1
60 Months
Other
---------------------------------------------------------------------------------------------------------
Total: 79.76 40.37 85.9 92.8 64.7
---------------------------------------------------------------------------------------------------------
Section 32 Loans
-----------------------------------------------------------------------------------------------------------------------------
Total Balance WA Loan Balance WAC % Covered by WA FICO WA CLTV WA DTI % SFR/ PUD
Amount %[2] Mortgage Ins.
-----------------------------------------------------------------------------------------------------------------------------
Section 32 Loans 0 0% 0 0 0 0 0 0
-----------------------------------------------------------------------------------------------------------------------------
Total: -- 0 0 0 0.00 0.00 0.0
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------
% Owner Occ % Cashout Refi
-----------------------------------------------
Section 32 Loans 0 0
-----------------------------------------------
Total: 0.0 0.0
-----------------------------------------------
Top 5 MSA
---------
---------------------------------------------------
MSA %[2]
---------------------------------------------------
No MSA 69.31
San Diego 2.64
Las Vegas, NV-AZ 1.98
Minneapolis-St. ▇▇▇▇, MN-WI 1.44
Phoenix-Mesa 1.14
Honolulu 1.11
---------------------------------------------------
Top 5 Originators
-----------------
---------------------------------------------------
Originator %[2]
Aames 28.61
New Century 71.39
---------------------------------------------------
Servicers
---------
---------------------------------------------------
Servicer %[2]
Chase 3.03%
Countrywide 96.97%
---------------------------------------------------
Rating Agency Base Case Loss Expectations
Standard & Poors: Analyst Name :
----------------------------------------------------------------------------------------------------
Foreclosure Frequency Loss Severity Cumulative Losses
--------------------------------------------------------------------------------------------------------------------
AA
--------------------------------------------------------------------------------------------------------------------
A
--------------------------------------------------------------------------------------------------------------------
A-
--------------------------------------------------------------------------------------------------------------------
BBB+
--------------------------------------------------------------------------------------------------------------------
BBB
--------------------------------------------------------------------------------------------------------------------
BBB-
--------------------------------------------------------------------------------------------------------------------
B
--------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
▇▇▇▇▇'▇: Analyst Name :
----------------------------------------------------------------------------------------------------
Foreclosure Frequency Loss Severity Cumulative Losses
--------------------------------------------------------------------------------------------------------------------
AA
--------------------------------------------------------------------------------------------------------------------
A More...
--------------------------------------------------------------------------------------------------------------------
A-
--------------------------------------------------------------------------------------------------------------------
BBB+
--------------------------------------------------------------------------------------------------------------------
BBB
--------------------------------------------------------------------------------------------------------------------
BBB-
--------------------------------------------------------------------------------------------------------------------
B
--------------------------------------------------------------------------------------------------------------------
Assuming LIBOR Ramp: 1 month LIBOR+300 over 36 months; 50% Loss Severity; 12
month lag for liquidation losses, Solve for first dollar of principal loss, i.e.
breakeven CDR and corresponding cumulative losses.
----------------------------------------------------------------------------------------------------
Breakeven CDR Cumulative Losses
------------------------------------------------------------------------------------------------------------------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
------------------------------------------------------------------------------------------------------------------------------------
AA
------------------------------------------------------------------------------------------------------------------------------------
A
------------------------------------------------------------------------------------------------------------------------------------
BBB
------------------------------------------------------------------------------------------------------------------------------------
BBB-
------------------------------------------------------------------------------------------------------------------------------------
Default Ramp - 0 to 4.5 CDR over 36 months; and other assumptions remaining same
as breakeven CDR, solve for a multiple of default ramp at first dollar principal
loss for the following prepayment speeds:
----------------------------------------------------------------------------------------------------
Multiple of Default Ramp Cumulative Losses
------------------------------------------------------------------------------------------------------------------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
------------------------------------------------------------------------------------------------------------------------------------
AA
------------------------------------------------------------------------------------------------------------------------------------
A
------------------------------------------------------------------------------------------------------------------------------------
BBB
------------------------------------------------------------------------------------------------------------------------------------
BBB-
------------------------------------------------------------------------------------------------------------------------------------
0 - 500 85907.9 8.285011433 0 500 70.58005829 34.2211037
500.01 - 550 150649.213 8.140520829 0 528.1844877 75.87211348 41.02209365
550.01 - 575 161789.3124 7.555731309 0 562.8482974 79.55749838 40.73985209
575.01 - 600 174223.6623 7.023959647 0 588.584009 80.0148621 40.4117295
600.01 - 620 181768.5645 6.830502045 0 610.133835 81.13310132 40.37153103
620.01 - 650 169807.9603 6.777654516 0 635.317699 80.99371637 40.30991875
650.01 - 680 197111.7134 6.567836122 0 664.1769747 80.48637187 40.30715485
680.01 - 700 199790.0655 6.395600686 0 689.1247865 81.08172697 39.59743487
700.01 - 750 208998.9681 6.357992921 0 724.1205869 79.49266502 39.64250616
750.01 - 800 185636.1109 6.470699828 0 769.6747355 80.32447925 38.24029356
800 + 204848.2975 5.531898583 0 811.7775965 54.75621023 27.94485034
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
0 - 500 91.60695737 67.95530769 69.54457687 100
500.01 - 550 91.47518708 97.60011982 64.37626312 84.03676744
550.01 - 575 86.93922456 96.04669941 64.86867993 74.39687833
575.01 - 600 89.0275624 94.65135326 62.4431725 69.53739138
600.01 - 620 88.55226962 96.44117311 59.35818118 65.56878336
620.01 - 650 84.64940585 91.29393771 53.26186491 57.06084909
650.01 - 680 81.27256302 87.57305563 47.13686089 54.90197389
680.01 - 700 81.94732749 88.9003706 52.07051402 52.93715422
700.01 - 750 74.54416337 87.06167724 47.95519196 48.65234409
750.01 - 800 85.46414544 78.86625316 52.53898372 36.60268951
800 + 61.3592749 100 100 50.79107626
Total: 85.88977388 92.81863497 57.1565108 64.65947255
<= 20.00 132281.6767 7.030812431 0 625.496759 77.3266176 16.12873648
20.01 - 25.00 136443.7186 7.100220646 0 615.793419 75.85098715 22.84641778
25.01 - 30.00 152542.2115 7.03389776 0 617.3558177 78.44661333 27.73880232
30.01 - 35.00 168508.2576 6.97456378 0 616.4491909 79.17841042 32.73347557
35.01 - 40.00 171842.2174 7.055936144 0 617.4116879 80.38199066 37.78117611
40.01 - 45.00 182626.558 7.021181046 0 616.539608 80.53548764 42.81567732
45.01 - 50.00 189602.0378 7.041741664 0 614.5276932 81.29489582 47.90973487
50.01 - 55.00 184466.147 6.952019817 0 596.6243365 73.12026043 52.62069698
55.01 + 180689.624 6.047510113 0 637.2942864 68.70348021 56.28744819
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
<= 20.00 83.21678251 84.81033802 53.22836197 68.9591459
20.01 - 25.00 86.99192599 86.14037151 57.02819235 74.25353119
25.01 - 30.00 88.49747645 90.50394726 56.6241004 68.87356488
30.01 - 35.00 86.35212487 92.77103314 60.07780029 69.31704399
35.01 - 40.00 87.2222979 93.61239408 55.17235371 62.36611363
40.01 - 45.00 85.00807282 95.46022626 54.63807955 62.2705518
45.01 - 50.00 84.57357528 92.61957723 54.92443412 60.22356937
50.01 - 55.00 88.72006342 92.57721934 82.01224392 82.29229054
55.01 + 100 100 100 41.43428291
Total: 85.88977388 92.81863497 57.1565108 64.65947255
<= 60.00 152413.5322 6.651920644 0 616.9088164 50.4163244 38.38308202
60.01 - 70.00 173824.8362 6.848571908 0 602.0425039 66.85033511 39.6964263
70.01 - 80.00 177354.63 6.833314713 0 615.4773006 78.29510124 40.63358728
80.01 - 85.00 185289.5421 7.129317196 0 599.6804108 84.37399303 40.36747264
85.01 - 90.00 192051.4826 7.214317146 0 625.1339903 89.65543149 40.25720075
90.01 - 95.00 183473.0993 7.56683725 0 628.398759 94.72091257 41.35242521
95.01 - 100.00 84600.66843 8.882168628 0 661.1180714 99.93932124 42.01873612
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
<= 60.00 85.63342797 92.51189819 54.1751697 86.69843561
60.01 - 70.00 84.96325457 92.62549275 55.58939246 89.44619432
70.01 - 80.00 86.84638509 94.60424918 59.40563121 57.54643751
80.01 - 85.00 85.95428883 91.88879489 58.72021912 77.01864287
85.01 - 90.00 83.17352762 86.01132807 51.23957126 59.66717373
90.01 - 95.00 88.41063522 99.78052293 62.55485075 47.91053536
95.01 - 100.00 86.68102914 100 50.93333864 20.53403574
Total: 85.88977388 92.81863497 57.1565108 64.65947255
California 247284.2643 6.647889177 0 621.5921846 77.80168572 41.06379127
Florida 144729.8212 7.10693383 0 611.0306852 80.97321761 40.91257499
New York 242497.0144 6.848657125 0 622.8127702 77.04255942 41.36005654
Texas 105436.2294 7.366022983 0 614.5425224 79.69132034 38.38017587
New Jersey 221800.594 7.292850833 0 607.6538398 80.34093217 40.84131922
Illinois 160522.1632 7.735892101 0 610.924637 82.73260691 39.84828427
Washington 167814.0274 6.88467511 0 617.5534676 81.23890033 40.70222836
Massachusetts 230224.6136 6.968971815 0 623.7362213 79.76190696 40.94652905
Nevada 188773.9875 7.015761559 0 614.8996254 81.03468509 39.19059131
Michigan 110558.4178 7.899676983 0 592.8995744 82.72327282 39.55734384
Virginia 183460.922 7.345266166 0 602.2164352 81.16811355 40.98035219
Maryland 182025.1861 7.39188247 0 601.6106764 80.0890019 39.14504477
Other 129929.4013 7.339708324 0 609.6737422 82.01144327 39.15575563
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
California 87.11694673 93.56941852 55.78505105 70.73660124
Florida 87.94517631 92.04635622 53.8392442 54.87993537
New York 71.13170261 94.54756788 55.95468391 71.77641106
Texas 96.74694227 94.69406641 60.33301951 42.38385527
New Jersey 74.05310779 96.03762019 52.21200617 74.65907834
Illinois 69.34888681 89.56581711 47.82125342 51.0840722
Washington 92.49601857 95.33564766 68.09714604 53.71656306
Massachusetts 65.92975586 88.16565482 49.35477066 71.95258237
Nevada 97.34213192 84.30241434 60.48628492 62.66326151
Michigan 92.68378757 89.81199385 57.45173711 62.73681204
Virginia 90.56394526 95.58685658 57.49565526 71.03423335
Maryland 88.89346946 92.90209691 60.13786912 76.82015255
Other 88.85211944 92.16434658 61.93687962 61.36622085
Total: 85.88977388 92.81863497 57.1565108 64.65947255
BALCURR lt 50000 39734.02564 9.493167771 0 608.2494707 83.65209981 37.40869427
BALCURR between 50000 -200000 120193.1215 7.29361942 0 606.2045201 78.98679094 39.11611445
BALCURR between 200000 -250000 224607.1232 6.954991432 0 617.5527427 79.69468262 41.37191824
BALCURR between 250000 -300000 273358.5223 6.805624625 0 618.4335249 79.69132006 41.60788433
BALCURR between 300000 -400000 344437.662 6.789470082 0 623.6331993 81.70929386 41.60290509
BALCURR between 400000 -500000 445554.892 6.574666761 0 627.5643995 80.14489897 40.86148576
BALCURR between 500000 -500000 549761.9162 6.137721828 0 656.8828668 79.32402555 38.63131573
BALCURR between 600000 -700000 638363.19 5.989529424 0 634.8321453 74.67353178 44.16006176
BALCURR between 700000 -800000 746692.66 5.5 0 745 83.24 42.16
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
BALCURR lt 50000 91.90537721 91.63816384 76.5857164 47.2777322
BALCURR between 50000 -200000 87.83059349 91.82219505 63.83992582 62.84734268
BALCURR between 200000 -250000 86.14335555 92.80054337 51.66438418 65.93144406
BALCURR between 250000 -300000 83.34227451 94.28479733 51.99071893 66.1322391
BALCURR between 300000 -400000 81.55943124 93.83501855 48.35724215 67.81764625
BALCURR between 400000 -500000 85.62415643 92.30040693 50.70926713 63.31386761
BALCURR between 500000 -500000 91.59755232 97.01405761 64.57647235 77.18843823
BALCURR between 600000 -700000 94.53194803 100 90.14989461 65.45514208
BALCURR between 700000 -800000 100 100 100 0
Total: 85.88977388 92.81863497 57.1565108 64.65947255
Full Doc 164479.9804 6.820368944 0 609.5243762 79.62918752 40.62521315
Stated Doc 189381.2835 7.344898849 0 623.2811826 79.919297 40.42188039
Limited Doc 202791.5423 6.873366 0 618.7514983 80.17462288 35.80538929
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
Full Doc 88.16284662 95.16220696 100 68.80193726
Stated Doc 82.41149891 89.69263308 0 58.32378593
Limited Doc 87.57093801 89.68680667 0 67.68995944
Total: 85.88977388 92.81863497 57.1565108 64.65947255
PUD 190775.1394 6.91526741 0 619.4099869 81.50736095 39.91704799
Single Family 170723.2157 7.027181276 0 611.9495922 79.56398608 40.3634511
2-4 Family 219244.7366 7.122991063 0 633.9876017 79.27865949 40.57491932
Condo 160159.7611 7.043832233 0 627.4393315 80.8692348 40.71179495
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
PUD 100 93.80564952 58.34929336 54.44668457
Single Family 100 95.06333093 58.70024137 66.43904943
2-4 Family 0 72.16685631 42.61548761 65.57478082
Condo 0 90.99781225 55.71630411 52.59981428
Total: 85.88977388 92.81863497 57.1565108 64.65947255
Loans >80 LTV w/o MI 175963.9246 7.331651959 0 618.412063 89.10417596 40.56681085
Other 173826.3916 6.817985745 0 613.0703529 73.32100637 40.22953256
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
Loans >80 LTV w/o MI 91.07900216 61.94400084 55.70786343 0
Other 94.01832398 66.53212151 58.15552986 0
Total: 92.81863497 64.65947255 57.1565108 0
Refinance - Cashout 180205.5674 6.989021196 0 605.3405626 77.79174563 40.10101293
Purchase 168631.7914 7.139439727 0 636.2624192 84.32717633 41.1090232
Refinance - Rate Term 151431.5477 6.89777373 0 619.3441729 78.70174322 39.61227197
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
Refinance - Cashout 86.84273681 93.9360216 60.81829181 100
Purchase 82.6370191 89.75938336 46.66777393 0
Refinance - Rate Term 91.50159813 95.72039438 68.92373969 0
Total: 85.88977388 92.81863497 57.1565108 64.65947255
Fixed 158804.9569 6.541415562 0 649.5845338 75.07806674 39.70257295
Floating 176885.4909 6.753109539 0 623.1525035 77.95646854 40.15868257
A2/6 171108.410 7.344 0.000 599.3915524 81.19179036 40.71554723
A3/6 178083.959 6.838 0.000 621.6734497 80.30978907 40.12197168
Other 251352.1995 6.53230727 0 620.9470394 82.29664214 40.09389937
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
Fixed 86.69319992 94.59746581 68.02161146 74.56888857 0
Floating 80.50255982 95.66107367 61.97649237 66.84618364 5.494141427
A2/6 85.12331819 90.91367829 52.39328213 62.06584073 5.632534001
A3/6 88.24533863 90.24666267 53.19373985 70.41251013 5.557317345
Other 87.88145624 99.24037858 59.36772988 55.08700432 5.449674266
Total: 85.88977388 92.81863497 57.1565108 64.65947255 5.598187895
First Lien 178952.9973 7.003157063 0 615.1056062 79.62131864 40.35580069
Second Lien 40470.34638 10.43817376 0 635.4463344 99.49058862 41.95423975
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
First Lien 85.8710616 92.76708382 57.04271545 65.04499938
Second Lien 88.49649959 100 73.00884264 10.95341703
Total: 85.88977388 92.81863497 57.1565108 64.65947255
Primary Residence 176182.79 6.997650313 0 612.8993553 79.72958133 40.51169805
Second Home 172488.7016 7.13850171 0 623.6399536 82.2741409 41.58184237
Investment 155886.2352 7.447676437 0 648.2180074 79.95024413 38.13828186
Total: 174692.5255 7.02763945 0 615.2505806 79.76293285 40.36719324
Primary Residence 87.86382665 100 58.59965202 65.4378683
Second Home 77.93880384 0 45.04588868 37.10958165
Investment 58.31715592 0 37.73742372 56.64817673
Total: 85.88977388 92.81863497 57.1565108 64.65947255
0 Months 164838.8267 7.544315465 0 1861 608.9808772 80.55963561
12 Months 220493.6539 6.61897013 0 286 641.9830979 76.49451627
24 Months 175169.6038 7.099110248 0 4104 602.4831444 81.42641081
36 Months 176572.5721 6.430120418 0 1745 645.8101922 75.75747545
Total: 174692.5255 7.02763945 0 7996 615.2505806 79.76293285
0 Months 40.00518942 80.76746482 91.33285214 64.72468188
12 Months 41.43367955 72.15971811 93.39618114 69.51963362
24 Months 40.70404143 88.10513549 92.91257285 60.17342777
36 Months 39.72340786 88.63080548 93.96051124 74.06657544
Total: 40.36719324 85.88977388 92.81863497 64.65947255
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
All records
1. Range of Gross Interest Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------- -------- ------------- --------- --------- -------- -------- ----------
4.500 - 4.749 14 4,139,318 0.30 4.558 347 74.84 667
4.750 - 4.999 36 9,970,414 0.71 4.941 355 77.57 645
5.000 - 5.249 31 7,749,508 0.55 5.123 356 77.31 635
5.250 - 5.499 93 18,783,363 1.34 5.364 353 77.28 637
5.500 - 5.749 561 128,168,840 9.18 5.561 341 73.17 664
5.750 - 5.999 625 138,867,088 9.94 5.873 347 76.10 643
6.000 - 6.249 378 74,945,335 5.37 6.096 352 78.24 641
6.250 - 6.499 462 98,367,849 7.04 6.350 354 78.69 628
6.500 - 6.749 579 113,299,284 8.11 6.597 353 79.22 624
6.750 - 6.999 756 138,986,370 9.95 6.871 352 79.62 617
7.000 - 7.249 445 76,943,374 5.51 7.111 353 80.99 616
7.250 - 7.499 645 112,374,767 8.04 7.346 354 82.54 609
7.500 - 7.749 694 118,089,430 8.45 7.592 354 82.31 598
7.750 - 7.999 701 115,299,934 8.25 7.876 355 83.05 591
8.000 - 8.249 352 53,178,865 3.81 8.096 355 83.95 585
8.250 - 8.499 333 48,698,482 3.49 8.354 355 83.56 579
8.500 - 8.749 282 39,802,360 2.85 8.601 355 82.38 576
8.750 - 8.999 269 36,410,910 2.61 8.863 355 80.15 561
9.000 - 9.249 105 12,839,264 0.92 9.106 354 83.63 573
9.250 - 9.499 123 12,420,954 0.89 9.365 350 79.65 554
9.500 - 9.749 107 11,488,153 0.82 9.614 353 79.57 553
9.750 - 9.999 104 8,243,916 0.59 9.839 334 81.68 564
10.000 - 10.249 41 2,895,719 0.21 10.108 331 82.64 569
10.250 - 10.499 69 3,993,651 0.29 10.328 318 84.59 578
10.500 - 10.749 45 2,672,189 0.19 10.591 336 81.90 563
10.750 - 10.999 54 3,175,059 0.23 10.835 304 84.04 574
11.000 - 11.249 35 1,847,807 0.13 11.123 304 89.14 579
11.250 - 11.499 23 1,192,787 0.09 11.322 285 92.34 589
11.500 - 11.749 12 645,672 0.05 11.589 328 80.67 540
11.750 - 11.999 11 619,242 0.04 11.931 317 90.56 579
12.000 - 12.249 6 491,462 0.04 12.171 339 78.49 539
12.250 - 12.499 3 125,280 0.01 12.315 282 94.12 589
12.500 - 12.749 1 68,931 0.00 12.680 356 75.00 521
13.000 - 13.249 1 45,857 0.00 13.005 356 85.00 526
---------------------------------------------- -------- ------------- --------- --------- -------- -------- ----------
Total: 7,996 1,396,841,434 100.00 7.028 351 79.76 615
---------------------------------------------- -------- ------------- --------- --------- -------- -------- ----------
Minimum: 4.500
Maximum: 13.005
Weighted Average: 7.028
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
ARM Loans
1. Range of Gross Interest Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------- -------- ------------- --------- --------- -------- -------- ----------
4.500 - 4.749 14 4,139,318 0.39 4.558 347 74.84 667
4.750 - 4.999 36 9,970,414 0.94 4.941 355 77.57 645
5.000 - 5.249 28 6,741,300 0.64 5.128 357 77.21 630
5.250 - 5.499 84 16,867,402 1.60 5.360 356 77.86 634
5.500 - 5.749 181 40,087,905 3.79 5.614 357 76.53 630
5.750 - 5.999 315 72,377,551 6.84 5.890 356 78.02 625
6.000 - 6.249 276 56,005,326 5.30 6.109 357 79.46 632
6.250 - 6.499 366 81,636,679 7.72 6.355 356 79.38 624
6.500 - 6.749 405 84,197,171 7.96 6.594 356 81.12 621
6.750 - 6.999 551 106,880,409 10.11 6.874 357 81.11 611
7.000 - 7.249 358 64,844,597 6.13 7.113 357 82.13 615
7.250 - 7.499 533 96,638,378 9.14 7.346 357 83.56 607
7.500 - 7.749 583 103,336,715 9.77 7.592 357 82.89 594
7.750 - 7.999 609 103,715,182 9.81 7.876 357 83.53 588
8.000 - 8.249 317 48,598,611 4.60 8.096 357 84.21 582
8.250 - 8.499 294 44,282,093 4.19 8.356 357 84.00 576
8.500 - 8.749 250 36,087,428 3.41 8.600 357 82.34 574
8.750 - 8.999 246 34,638,296 3.28 8.864 357 80.39 560
9.000 - 9.249 94 11,973,521 1.13 9.107 357 83.61 571
9.250 - 9.499 94 10,737,041 1.02 9.362 357 78.45 546
9.500 - 9.749 87 10,238,180 0.97 9.613 356 78.96 547
9.750 - 9.999 47 5,589,910 0.53 9.851 356 76.93 543
10.000 - 10.249 15 1,455,499 0.14 10.108 356 78.72 529
10.250 - 10.499 20 1,784,115 0.17 10.348 357 75.48 533
10.500 - 10.749 20 1,567,821 0.15 10.580 357 72.41 533
10.750 - 10.999 14 1,252,619 0.12 10.863 357 72.49 537
11.000 - 11.249 6 430,518 0.04 11.142 356 77.75 570
11.250 - 11.499 2 288,493 0.03 11.394 357 91.84 558
11.500 - 11.749 6 438,529 0.04 11.574 357 71.54 515
11.750 - 11.999 2 148,470 0.01 11.945 357 75.38 550
12.000 - 12.249 3 364,250 0.03 12.173 356 73.60 521
12.250 - 12.499 1 46,713 0.00 12.380 357 84.23 542
12.500 - 12.749 1 68,931 0.01 12.680 356 75.00 521
13.000 - 13.249 1 45,857 0.00 13.005 356 85.00 526
---------------------------------------------- -------- ------------- --------- --------- -------- -------- ----------
Total: 5,859 1,057,475,241 100.00 7.184 357 81.27 604
---------------------------------------------- -------- ------------- --------- --------- -------- -------- ----------
Minimum: 4.500
Maximum: 13.005
Weighted Average: 7.184
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
FRM Loans
1. Range of Gross Interest Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------- -------- ------------- --------- --------- -------- -------- ----------
5.000 - 5.249 3 1,008,209 0.3 5.092 356 78.02 664
5.250 - 5.499 9 1,915,962 0.56 5.401 321 72.24 657
5.500 - 5.749 380 88,080,935 25.95 5.537 334 71.65 679
5.750 - 5.999 310 66,489,537 19.59 5.855 337 74.01 663
6.000 - 6.249 102 18,940,009 5.58 6.06 339 74.62 665
6.250 - 6.499 96 16,731,170 4.93 6.325 344 75.33 648
6.500 - 6.749 174 29,102,114 8.58 6.607 342 73.72 634
6.750 - 6.999 205 32,105,961 9.46 6.858 339 74.66 637
7.000 - 7.249 87 12,098,777 3.57 7.098 336 74.9 625
7.250 - 7.499 112 15,736,389 4.64 7.348 336 76.27 618
7.500 - 7.749 111 14,752,716 4.35 7.588 336 78.23 628
7.750 - 7.999 92 11,584,752 3.41 7.884 338 78.81 613
8.000 - 8.249 35 4,580,253 1.35 8.093 334 81.16 618
8.250 - 8.499 39 4,416,389 1.3 8.333 341 79.19 602
8.500 - 8.749 32 3,714,932 1.09 8.606 339 82.77 599
8.750 - 8.999 23 1,772,614 0.52 8.834 322 75.46 584
9.000 - 9.249 11 865,742 0.26 9.101 312 83.87 591
9.250 - 9.499 29 1,683,913 0.5 9.386 309 87.3 605
9.500 - 9.749 20 1,249,973 0.37 9.627 323 84.51 603
9.750 - 9.999 57 2,654,005 0.78 9.813 288 91.7 609
10.000 - 10.249 26 1,440,220 0.42 10.107 306 86.61 610
10.250 - 10.499 49 2,209,536 0.65 10.313 287 91.96 615
10.500 - 10.749 25 1,104,368 0.33 10.607 307 95.37 607
10.750 - 10.999 40 1,922,440 0.57 10.818 270 91.56 598
11.000 - 11.249 29 1,417,289 0.42 11.117 288 92.6 581
11.250 - 11.499 21 904,294 0.27 11.299 262 92.5 599
11.500 - 11.749 6 207,142 0.06 11.62 267 100 592
11.750 - 11.999 9 470,772 0.14 11.926 304 95.35 588
12.000 - 12.249 3 127,212 0.04 12.166 291 92.51 590
12.250 - 12.499 2 78,567 0.02 12.276 237 100 617
---------------------------------------------- -------- ------------- --------- --------- -------- -------- ----------
Total: 2,137 339,366,193 100 6.541 335 75.08 650
---------------------------------------------- -------- ------------- --------- --------- -------- -------- ----------
Minimum: 5.000
Maximum: 12.300
Weighted Average: 6.541
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
H Pool Data
Pool Summary
--------------------------------------------------------------------------------
Total Issue Balance (USD)
Original Mortgage Pool Balance (USD) 1,400,896,900.02
Current Mortgage Pool Balance (USD) 1,396,841,433.92
Total Number of Loans 7,996
Average Loan Balance (USD) 174,692.53
1st lien (%age) 99.29
2nd lien (%age) 0.71
WA FICO 615
- Minimum FICO 500
- Maximum FICO 817
WA LTV 79.76
- Minimum LTV 7.5
- Maximum LTV 100
WA DTI 40.37
- Minimum DTI 0.53
- Maximum DTI 56.73
WA Age (Months) 4
WA Remaining Term (Months) 351
Aquired Loans 100%
North California (% of Pool) 8.48%
South California (% of Pool) 17.47%
North California
--------------------------------------------------------------------------------
% of State 31%
WA FICO 621
- Minimum FICO 501
- Maximum FICO 810
WA LTV 78.46
- Minimum LTV 11.85
- Maximum LTV 100
Highest Zip-Code Density (% of State) 1.97%
Zip-Code with Highest Density 95758
South California
--------------------------------------------------------------------------------
% of State 69%
WA FICO 622
Minimum FICO 501
Maximum FICO 799
WA LTV 77.51
Minimum LTV 16.33
Maximum LTV 100
Highest Zip-Code Density (% of State) 1.09%
Zip-Code with Highest Density 92553
Classification Total Check
-------------------------------------------------------- ------------- -----
Mortgage Type 1,396,841,434 [_]
Loan-to-Value 1,396,841,434 [_]
FICO 1,396,841,434 [_]
Purpose 1,396,841,434 [_]
Occupancy 1,396,841,434 [_]
Loan Balance 1,396,841,434 [_]
Property Type 1,396,841,434 [_]
Documentation Type 1,396,841,434 [_]
Fixed Period 1,396,841,434 [_]
Debt-to-Income Ratio 1,396,841,434 [_]
Geographic Distribution 1,396,841,434 [_]
▇▇▇ ▇▇▇▇▇ ▇▇▇▇
--------------------------------------------------------------------------------
Servicer Fees 0.52%
Cost of Carry
Mortgage Type WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
Fixed - 10 Year 66.28 636 1,415,664.00
Fixed - 15 Year 69.65 650 23,783,070.42
Fixed - 20 Year 81.71 640 20,785,099.91
Fixed - 25 Year 72.71 610 2,012,844.75
Fixed - 30 Year 75.11 651 291,369,513.73
ARM - 2 Year/6 Month 81.19 599 823,544,778.61
ARM - 3 Year/6 Month 80.31 622 52,890,935.83
ARM - 5 Year/6 Month 78.21 620 16,226,492.62
ARM - 2 Year IO/6 Month 82.55 621 147,223,438.65
ARM - 3 Year IO/6 Month 79.92 615 13,790,046.44
ARM - 5 Year IO/6 Month 80.83 656 2,868,148.96
ARM - 10 Year IO/1 Month 73.49 682 931,400.00
LTV WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
0.01 - 20.00 13.87 617 484,643.16
20.01 - 25.00 22.63 591 1,536,171.85
25.01 - 30.00 28.17 652 1,768,326.22
30.01 - 35.00 33.00 628 2,304,490.52
35.01 - 40.00 37.62 619 4,428,765.27
40.01 - 45.00 42.88 612 8,353,779.56
45.01 - 50.00 48.09 616 14,219,528.13
50.01 - 55.00 52.74 630 16,341,945.44
55.01 - 60.00 57.99 611 33,627,724.92
60.01 - 65.00 63.52 605 53,823,188.72
65.01 - 70.00 68.59 601 103,140,638.34
70.01 - 75.00 73.97 596 134,591,374.50
75.01 - 80.00 79.58 621 452,097,741.59
80.01 - 85.00 84.37 600 206,968,418.58
85.01 - 90.00 89.66 625 242,176,919.55
90.01 - 95.00 94.72 628 89,167,926.24
95.01 - 100.00 99.94 661 31,809,851.33
FICO WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
321 - 340 0.00 0 0
341 - 360 0.00 0 0
361 - 380 0.00 0 0
381 - 400 0.00 0 0
401 - 420 0.00 0 0
421 - 440 0.00 0 0
441 - 460 0.00 0 0
461 - 480 0.00 0 0
481 - 500 70.58 500 773,171.10
501 - 520 73.94 511 64,613,393.52
521 - 540 76.61 531 88,709,019.58
541 - 560 78.57 551 112,250,279.13
561 - 580 79.82 571 123,530,086.34
581 - 600 79.85 591 191,473,935.65
601 - 620 81.13 610 175,951,970.44
621 - 640 81.29 630 174,138,810.99
641 - 660 80.34 650 168,763,807.68
661 - 680 80.63 670 123,018,457.91
681 - 700 81.08 689 71,125,263.32
701 - 720 80.14 710 37,319,668.01
721 - 740 79.56 731 28,069,063.71
741 - 760 79.37 748 21,862,315.18
761 - 780 81.65 770 9,222,046.50
781 - 800 74.56 786 5,200,751.67
801 - 820 54.76 812 819,393.19
> 820 0.00 0 0
Unknown 0.00 0 0
LTV MIG% WA FICO Balance with MIG
------------------------------------------ ------ ------- ----------------
0.01-20.00 0.00 0 0
20.01-25.00 0.00 0 0
25.01-30.00 0.00 0 0
30.01-35.00 0.00 0 0
35.01-40.00 0.00 0 0
40.01-45.00 0.00 0 0
45.01-50.00 0.00 0 0
50.01-55.00 0.00 0 0
55.01-60.00 0.00 0 0
60.01-65.00 0.00 0 0
65.01-70.00 0.00 0 0
70.01-75.00 0.00 0 0
75.01-80.00 0.00 0 0
80.01-85.00 0.00 0 0
85.01-90.00 0.00 0 0
90.01-95.00 0.00 0 0
95.01-100.00 0.00 0 0
Purpose WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
Refinance - Cashout 77.79 605 903,190,303.60
Purchase 84.33 636 409,606,621.37
Refinance - Rate Term 78.70 619 84,044,508.95
Occupancy WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
Primary 79.73 613 1,296,529,151.64
Investment 79.95 648 89,790,471.48
Second Home 82.27 624 10,521,810.80
Loan Balance WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
<$200,000 79.10 606 622,770,458.27
<$400,000 80.46 620 627,048,616.57
<$600,000 80.05 632 133,508,402.62
>$600,000 75.15 641 13,513,956.46
Property Type WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
Single Family Residence 79.56 612 1,093,482,196.37
2-4 Family 79.28 634 116,857,444.59
Planned Unit Development 81.51 619 106,261,752.64
Condo 80.87 627 80,240,040.32
Documentation Type WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
Full 79.63 610 798,385,825.06
Stated Documentation 79.92 623 546,743,765.58
Limited 80.18 619 51,711,843.28
Fixed Period (Months) WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
0 75.08 650 339,366,192.81
1 73.49 682 931,400.00
24 81.40 603 970,768,217.26
36 80.23 620 66,680,982.27
60 78.61 625 19,094,641.58
DTI WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
0.00 0.00 0 --
0.01 - 5.00 71.43 643 74,801.34
5.01 - 10.00 69.57 670 2,200,651.91
10.01 - 15.00 75.75 616 9,072,812.69
15.01 - 20.00 78.62 625 24,632,350.13
20.01 - 25.00 75.85 616 53,485,937.70
25.01 - 30.00 78.45 617 102,813,450.55
30.01 - 35.00 79.18 616 162,610,468.56
35.01 - 40.00 80.38 617 228,721,991.36
40.01 - 45.00 80.54 617 305,534,231.47
45.01 - 50.00 81.30 615 431,344,635.95
50.01 - 55.00 73.12 597 75,446,654.14
> 55.00 68.70 637 903,448.12
Unknown 0.00 0 --
Geographic Distribution WA LTV WA FICO Balance
------------------------------------------ ------ ------- ----------------
Alabama 86.15 607 1,737,102.51
Alaska 83.38 631 1,879,486.81
Arizona 83.24 614 23,022,451.01
Arkansas 84.59 597 2,386,898.89
California 77.80 622 499,514,213.82
Colorado 82.98 613 16,369,967.62
Connecticut 82.83 612 18,887,412.69
Delaware 85.20 581 1,771,343.28
District of Columbia 79.97 619 3,334,766.50
Florida 80.97 611 152,111,042.06
Georgia 83.68 598 17,222,682.99
Hawaii 76.78 652 20,774,546.39
Idaho 80.02 605 3,265,238.65
Illinois 82.73 611 44,304,117.03
Indiana 81.88 606 9,111,718.21
Iowa 83.98 591 3,009,975.99
Kansas 86.08 590 3,678,022.37
Kentucky 82.20 607 4,008,753.25
Louisiana 80.43 605 4,154,051.23
Maine 81.05 622 6,375,143.91
Maryland 80.09 602 27,849,853.47
Massachusetts 79.76 624 39,138,184.32
Michigan 82.72 593 29,850,772.81
Minnesota 81.31 609 22,844,979.34
Mississippi 82.99 596 2,068,717.57
Missouri 82.62 591 10,724,435.27
Montana 81.58 622 2,271,828.43
Nebraska 85.88 623 2,045,919.52
Nevada 81.04 615 30,770,159.97
New Hampshire 78.13 600 7,635,603.84
New Jersey 80.34 608 47,465,327.11
New Mexico 83.12 606 3,801,798.93
New York 77.04 623 97,483,799.78
North Carolina 82.73 603 8,336,110.15
North Dakota 81.06 607 358,651.53
Ohio 84.36 602 21,018,648.34
Oklahoma 82.55 618 4,659,930.61
Oregon 82.55 622 15,293,434.12
Pennsylvania 82.76 612 18,492,280.71
Rhode Island 76.68 604 10,617,976.21
South Carolina 82.55 594 5,930,546.26
South Dakota 78.41 594 288,732.77
Tennessee 82.06 592 7,539,911.74
Texas 79.69 615 62,101,939.11
Utah 80.90 605 2,842,104.33
Vermont 76.56 520 183,524.19
Virginia 81.17 602 27,886,060.15
Washington 81.24 618 39,268,482.42
West Virginia 86.16 597 534,917.33
Wisconsin 83.18 596 10,228,631.06
Wyoming 69.71 555 389,237.32
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
Collateral Analysis
WTD Avg Percent Of
FICO FICO Current Current Wtd Avg Wtd Avg Wtd Avg Wtd Avg % Owner % Full
Low High LTV Balance Balance GWAC % MI FICO DTI LTV % SFD % PUD Occ Doc
-------- --------- --- --------------------------------- ---- ---- --- --- ----- ----- ----------- -------
500 524 > 65% 150,868.52 4.93 8.431 0 513 41.46 76.61 87.35 5.42 97.72 64.31
525 549 > 65% 149,829.80 7.57 8.054 0 537 41.1 79.1 86.7 4.94 97.87 64.61
550 574 > 65% 162,889.13 9.5 7.6 0 562 40.67 82.88 81.13 6.73 96.83 67.4
575 599 > 70% 174,030.01 13.28 7.119 0 588 40.52 83.67 79.04 10.67 95.28 62.81
600 624 > 70% 182,492.75 14.08 6.882 0 612 40.7 84.46 79.95 8.43 95.28 59.6
625 649 > 70% 169,809.17 13.24 6.871 0 637 40.55 84.46 77.46 7.27 91.17 53.29
650 674 > 80% 190,964.25 4.8 7.05 0 662 40.37 90.53 67.43 10.49 79.52 46.95
675 699 > 80% 200,210.11 2.97 6.834 0 685 39.37 89.86 76.26 8.73 83.34 45.56
700 724 > 80% 183,081.99 1.25 7.056 0 710 40.05 90.71 58.55 7.73 75.18 30.96
725 749 > 85% 206,095.24 0.74 7.285 0 737 38.99 92.66 60.48 0 76.39 35.31
750 774 > 85% 169,705.63 0.3 7.149 0 758 39.26 93.32 79.46 12.62 76.01 51.04
775 799 > 85% 214,098.04 0.15 7.424 0 778 36.16 91.56 53.85 18.24 47.51 35.22
800 max > 85% 0.00 0 0 0 0 0 0 0 0 0 0
FICO % Ltd % Stated % Int
LOW DOC Doc Doc Only
-------- ------ ------- -----
500 3.77 31.92 0
525 2.37 33.03 0
550 2.04 30.56 0.35
575 3.11 34.08 27.03
600 4.32 36.08 20.73
625 5.46 41.25 14.12
650 4.41 48.64 9.16
675 2.77 51.67 7.73
700 1.63 67.41 0
725 6.67 58.03 4.02
750 0 48.96 0
775 0 64.78 0
800 max 0 0 0
WTD Avg Percent Of
LTV LTV Current Current Wtd Avg Wtd Avg Wtd Avg Wtd Avg % Owner % Full
Low High DTI Balance Balance GWAC % MI FICO DTI LTV % SFD % PUD Occ Doc
-------- --------- --- ------------ ----------- ----- ---- ---- --- --- ----- ----- ----------- -------
60% 64% > 50% 188,733.00 0.36 6.717 0.00 605 53.28 62.88 87.77 0.00 90.82 90.61
65% 69% > 50% 189,269.70 0.54 6.561 0.00 602 52.31 67.53 89.44 8.18 99.02 82.17
70% 74% > 50% 189,425.97 0.98 7.048 0.00 593 52.72 71.81 82.50 5.89 96.00 73.61
75% 79% > 50% 187,627.59 1.02 7.170 0.00 573 52.82 76.22 78.56 10.46 92.19 83.37
80% 84% > 50% 192,996.08 1.05 6.944 0.00 601 52.71 80.95 86.97 1.60 87.11 84.69
85% 89% > 50% 176,698.60 0.56 7.252 0.00 591 52.41 85.73 90.00 1.58 93.31 98.08
90% 94% > 50% 160,304.43 0.20 7.376 0.00 610 51.75 90.46 81.59 0.00 94.73 91.84
95% 99% > 50% 127,318.21 0.05 7.335 0.00 619 50.94 95.00 100.00 0.00 100.00 100.00
100% max > 50% 57,416.37 0.01 10.275 0.00 642 52.13 100.00 48.70 51.30 100.00 100.00
LTV % Ltd % Stated % Int
Low Doc Doc Only
-------- ------ ------- -----
60% 0.00 9.39 0.00
65% 1.63 16.19 8.11
70% 1.82 24.56 4.40
75% 0.00 16.63 2.21
80% 6.17 9.14 1.06
85% 0.00 1.92 2.86
90% 8.16 0.00 3.67
95% 0.00 0.00 0.00
100% max 0.00 0.00 0.00
WTD Avg Percent Of
DTI DTI Current Current Wtd Avg Wtd Avg Wtd Avg Wtd Avg % Owner % Full
Low High FICO Balance Balance GWAC % MI FICO DTI LTV % SFD % PUD Occ Doc
-------- --------- --- ------------ ---------- ---- ---- ---- --- --- ----- ----- ----------- -------
20% 24% < 525 117,312.15 0.23 8.687 0 511 22.78 69.26 85.64 5.62 95.04 71.22
25% 29% < 550 118,293.73 1.03 8.185 0 529 27.52 74.75 90.07 4.77 95.23 71.65
30% 34% < 575 138,626.00 2.62 8.006 0 541 32.26 77.97 87.22 5.88 97.1 70.83
35% 39% < 600 153,991.54 6.27 7.614 0 560 37.44 78.49 84.88 7.57 97.42 63.5
40% 44% < 625 171,721.86 12.05 7.35 0 574 42.43 79.63 80.12 8.36 96.84 60.18
45% 49% < 650 182,358.27 22.39 7.238 0 590 47.65 81.23 78.55 7.3 94.65 57.45
50% 54% < 675 186,157.41 6.21 7.034 0 587 51.75 75.31 83.99 4.2 93.12 79.57
55% max < 700 181,463.23 0.42 6.997 0 573 55.17 71.52 87.16 0 94.94 92.79
DTI % Ltd % Stated % Int
Low Doc Doc Only
-------- ------ ------- -----
20% 7.78 21 0
25% 1.74 26.61 0
30% 1.63 27.54 0
35% 1.7 34.8 10.45
40% 2.19 37.63 15.68
45% 3.64 38.91 13
50% 1 19.43 2.75
55% max 7.21 0 0
LIMITED AND STATED DOC
WTD Avg Percent Of
FICO FICO Current Current Wtd Avg Wtd Avg Wtd Avg Wtd Avg % Owner % Full
Low High Balance Balance GWAC % MI FICO DTI LTV % SFD % PUD Occ Doc
-------- --------- ------------ ---------- ---- ---- ---- --- --- ----- ----- ----------- -------
500 524 164,395.24 2.07 8.781 0 513 41.53 72.32 85.05 4.11 97.81 0
525 549 160,094.35 3.07 8.351 0 537 41.16 75.52 85.58 3.55 97.11 0
550 574 173,455.39 3.65 7.724 0 562 40.57 76.33 77.82 6.39 95.43 0
575 599 210,536.13 6.12 7.289 0 588 39.68 79.82 77.11 10.02 92.80 0
600 624 207,614.52 6.66 7.209 0 612 39.72 81.71 78.10 8.58 93.71 0
625 649 173,553.20 7.18 7.134 0 638 40.00 81.05 76.01 5.91 89.21 0
650 674 199,354.87 6.82 6.954 0 662 39.91 80.63 69.58 9.67 83.93 0
675 699 201,821.85 3.53 6.863 0 686 39.60 82.82 71.13 6.28 81.57 0
700 724 192,204.60 1.65 6.831 0 710 39.60 84.20 63.20 6.92 82.35 0
725 749 242,222.35 1.37 6.699 0 737 39.37 80.04 66.65 3.03 80.47 0
750 774 180,789.20 0.45 6.917 0 762 39.09 83.04 67.28 14.83 82.16 0
775 799 234,640.77 0.27 6.804 0 782 39.71 80.49 76.60 10.40 64.60 0
800 max 0.00 0.00 0.000 0 0 0.00 0.00 0.00 0.00 0.00 0
FICO % LTD % Stated % Int
Low Doc Doc Only % CA % NY % FL
-------- ------ ------- ------ ----- ----- -----
500 11.99 88.01 0.00 37.76 5.96 15.71
525 7.03 92.97 0.00 29.03 5.84 16.37
550 6.55 93.45 0.41 36.94 6.25 11.19
575 8.60 91.40 39.49 40.75 6.44 10.91
600 10.38 89.62 19.50 37.82 6.10 10.62
625 11.50 88.50 4.91 28.97 7.24 14.41
650 7.88 92.12 6.58 38.11 8.16 9.75
675 4.40 95.60 6.19 47.72 5.10 9.67
700 4.71 95.29 0.00 37.05 10.18 11.55
725 10.06 89.94 1.25 44.28 15.16 7.78
750 5.60 94.40 0.00 31.99 6.84 14.99
775 7.96 92.04 0.00 19.18 29.38 3.38
800 max 0.00 0.00 0.00 0.00 0.00 0.00
IO LOANS
WTD Avg Percent Of
FICO FICO Current Current Wtd Avg Wtd Avg Wtd Avg Wtd Avg % Owner % Full
Low High Balance Balance GWAC % MI FICO DTI LTV % SFD % PUD Occ Doc
-------- --------- ------------ ---------- ---- ---- ---- --- --- ----- ----- ----------- -------
500 524
525 549
550 574 235,025.00 0.03 6.205 0.00 559 42.05 80.80 100.00 0.00 100.00 56.06
575 599 260,611.89 4.24 6.703 0.00 590 39.82 80.84 73.49 16.86 99.48 42.94
600 624 250,971.50 3.11 6.577 0.00 611 39.88 83.69 74.91 16.11 100.00 58.23
625 649 231,764.70 1.94 6.459 0.00 637 40.11 83.48 73.80 9.71 98.57 81.82
650 674 257,605.54 1.48 6.208 0.00 662 40.56 82.02 74.81 9.55 97.75 69.56
675 699 248,997.17 0.80 6.186 0.00 684 41.85 81.52 74.20 7.04 100.00 72.78
700 724 244,800.00 0.02 5.875 0.00 704 42.00 80.00 0.00 0.00 100.00 100.00
725 749 266,000.00 0.08 6.514 0.00 740 39.22 85.33 48.76 0.00 100.00 77.52
750 774 278,666.67 0.06 5.968 0.00 763 36.56 80.00 100.00 0.00 100.00 100.00
775 799 230,476.66 0.05 5.980 0.00 784 38.98 82.67 100.00 0.00 87.61 100.00
800 max 0.00 0.00 0.000 0.00 0 0.00 0.00 0.00 0.00 0.00 0.00
FICO % LTD % Stated % Int
Low Doc Doc Only % CA % NY % FL
-------- --------- ---------- ------ ------ ------ ------
500
525
550 0.00 43.94 100.00 100.00 0.00 0.00
575 3.45 53.61 100.00 58.86 5.01 4.68
600 4.93 36.84 100.00 61.67 0.63 5.90
625 3.71 14.47 100.00 51.48 2.24 1.75
650 10.61 19.83 100.00 71.59 3.26 4.27
675 2.64 24.57 100.00 59.51 0.00 4.18
700 0.00 0.00 100.00 100.00 0.00 0.00
725 0.00 22.48 100.00 90.15 0.00 9.85
750 0.00 0.00 100.00 44.50 0.00 55.50
775 0.00 0.00 100.00 87.61 0.00 0.00
800 max 0.00 0.00 0.00 0.00 0.00 0.00
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or 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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
All records
1. FICO Spreadsheet Request
---------------------------------------------------------------------------------------------------------------------------------
Master & Sched
% of Gross Gross Gross Gross Sub Serv Rem
FICO Spreadsheet Request Count Balance Balance Rate Margin Lifecap Lifefloor Fees Term
---------------------------------------------------------------------------------------------------------------------------------
500 - 500 9 773,171 0.06 8.285 5.795 14.811 8.285 0.52 357
501 - 510 212 31,662,984 2.27 8.452 5.926 15.113 8.422 0.52 356
511 - 520 207 32,950,410 2.36 8.354 5.835 14.885 8.283 0.52 354
521 - 530 292 40,633,919 2.91 8.249 5.814 14.896 8.206 0.52 356
531 - 540 313 48,075,101 3.44 7.99 5.8 14.607 7.969 0.52 356
541 - 550 333 51,108,569 3.66 7.866 5.704 14.488 7.848 0.52 356
551 - 560 367 61,141,710 4.38 7.57 5.681 14.295 7.573 0.52 356
561 - 570 357 57,369,152 4.11 7.587 5.706 14.206 7.578 0.52 355
571 - 580 405 66,160,934 4.74 7.401 5.669 14.11 7.43 0.52 353
581 - 590 536 94,855,479 6.79 6.979 5.589 13.606 6.946 0.52 351
591 - 600 559 96,618,456 6.92 6.942 5.552 13.646 6.904 0.52 353
601 - 610 487 89,730,897 6.42 6.829 5.523 13.455 6.809 0.52 352
611 - 620 481 86,221,074 6.17 6.832 5.534 13.554 6.881 0.52 351
621 - 630 536 90,416,760 6.47 6.85 5.517 13.523 6.913 0.52 349
631 - 640 500 83,722,051 5.99 6.803 5.504 13.474 6.887 0.52 350
641 - 650 518 89,742,759 6.42 6.681 5.485 13.312 6.744 0.52 349
651 - 660 406 79,021,048 5.66 6.6 5.466 13.421 6.756 0.52 351
661 - 670 347 69,573,839 4.98 6.573 5.505 13.442 6.755 0.52 350
671 - 680 272 53,444,619 3.83 6.514 5.487 13.36 6.698 0.52 346
681 - 690 213 42,429,298 3.04 6.386 5.458 13.366 6.647 0.52 350
691 - 700 143 28,695,966 2.05 6.409 5.518 13.701 6.757 0.52 343
701 - 710 101 19,582,319 1.4 6.541 5.511 13.829 7.058 0.52 346
711 - 720 91 17,737,349 1.27 6.198 5.542 13.48 6.663 0.52 349
721 - 730 63 13,694,800 0.98 6.437 5.496 14.16 7.332 0.52 346
731 - 740 63 14,374,264 1.03 6.517 5.516 13.756 7.005 0.52 353
741 - 750 69 15,493,869 1.11 6.092 5.523 13.571 6.879 0.52 343
751 - 760 31 6,368,446 0.46 6.402 5.507 13.73 6.934 0.52 351
761 - 770 27 4,709,050 0.34 6.467 5.541 13.102 6.497 0.52 339
771 - 780 28 4,512,997 0.32 6.704 5.459 13.76 6.958 0.52 354
781 - 790 19 3,942,405 0.28 6.377 5.467 12.768 6.597 0.52 337
791 - 800 7 1,258,347 0.09 6.289 5.5 12.83 6.83 0.52 356
801 - 810 3 416,179 0.03 5.563 0 0 0 0.52 356
811 - 820 1 403,215 0.03 5.5 0 0 0 0.52 356
---------------------------------------------------------------------------------------------------------------------------------
Total: 7996 1,396,841,434 100 7.028 5.598 13.849 7.184 0.52 351
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
Month
Rem Orig Initial Periodic to Next Provided Known Avg LTV>80w
FICO Spreadsheet Request Amort Term Cap Cap Adj LTV FICOs Balance MI
---------------------------------------------------------------------------------------------------------------------------------
500 - 500 356 360 1.904 1.263 23 70.58 500 85,908 0
501 - 510 356 359 1.931 1.345 21 72.64 505 149,354 0
511 - 520 354 358 2.102 1.306 21 75.18 516 159,181 0
521 - 530 356 359 1.963 1.348 21 75.85 526 139,157 0
531 - 540 356 359 2.039 1.322 21 77.24 535 153,595 0
541 - 550 356 359 2.048 1.328 22 77.04 546 153,479 0
551 - 560 356 360 1.912 1.363 21 79.84 556 166,599 0
561 - 570 355 359 2.054 1.316 21 78.98 565 160,698 0
571 - 580 353 356 1.974 1.347 22 80.54 576 163,360 0
581 - 590 350 354 2.011 1.341 22 79.47 586 176,969 0
591 - 600 353 357 1.887 1.375 22 80.22 595 172,842 0
601 - 610 351 355 2.041 1.332 22 81 605 184,252 0
611 - 620 351 354 1.992 1.345 22 81.27 615 179,254 0
621 - 630 349 353 2.098 1.322 23 81.87 625 168,688 0
631 - 640 349 353 2.122 1.306 22 80.67 635 167,444 0
641 - 650 349 352 2.14 1.306 23 80.42 645 173,249 0
651 - 660 351 354 1.994 1.341 22 80.26 656 194,633 0
661 - 670 350 354 1.981 1.36 23 79.73 665 200,501 0
671 - 680 345 350 2.052 1.357 23 81.81 675 196,488 0
681 - 690 350 353 1.951 1.404 22 80.94 685 199,199 0
691 - 700 342 346 1.584 1.472 22 81.29 695 200,671 0
701 - 710 345 349 1.864 1.405 24 81.14 706 193,884 0
711 - 720 349 353 1.774 1.409 23 79.03 715 194,916 0
721 - 730 345 349 1.67 1.414 21 77.83 726 217,378 0
731 - 740 353 356 1.829 1.376 21 81.2 735 228,163 0
741 - 750 343 347 1.962 1.346 21 77.82 745 224,549 0
751 - 760 351 355 1.807 1.398 22 83.12 756 205,434 0
761 - 770 339 343 2.091 1.303 23 82.55 765 174,409 0
771 - 780 354 358 1.82 1.424 23 80.7 775 161,178 0
781 - 790 337 341 2.58 1.176 29 77.19 784 207,495 0
791 - 800 356 360 3 1 20 66.33 793 179,764 0
801 - 810 356 360 0 0 0 55.49 807 138,726 0
811 - 820 356 360 0 0 0 54 817 403,215 0
---------------------------------------------------------------------------------------------------------------------------------
Total: 351 355 2.003 1.343 22 79.76 615 174,693 0
---------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
MSAC 2004-HE8
FICO Less than 550
Table of Contents
1. Purpose
2. Range of Combined Original LTV Ratios (%)
3. Documentation Level
4. Geographic Distribution by State
1. Purpose
-----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------------
Purchase 139 18,986,445 9.62 8.347 357 79.23 533
Refinance - Rate Term 101 12,099,286 6.13 8.493 355 79.56 528
Refinance - Cashout 1,078 166,226,320 84.25 8.128 356 74.98 527
-----------------------------------------------------------------------------------------------------------------------------------
Total: 1,318 197,312,052 100.00 8.172 356 75.67 527
-----------------------------------------------------------------------------------------------------------------------------------
2. Range of Combined Original LTV Ratios (%)
-----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 5 327,534 0.17 7.886 356 23.71 526
25.01 - 30.00 2 144,393 0.07 9.421 295 27.76 516
30.01 - 35.00 2 110,311 0.06 8.790 355 31.38 536
35.01 - 40.00 2 259,470 0.13 8.766 356 39.58 505
40.01 - 45.00 7 1,155,153 0.59 8.517 356 41.94 528
45.01 - 50.00 21 3,315,549 1.68 7.908 357 48.42 521
50.01 - 55.00 14 1,783,243 0.90 8.054 351 52.48 525
55.01 - 60.00 37 5,247,383 2.66 7.760 356 57.79 530
60.01 - 65.00 66 10,393,129 5.27 7.896 356 63.60 526
65.01 - 70.00 186 28,090,528 14.24 8.234 355 68.82 526
70.01 - 75.00 257 39,161,085 19.85 8.267 356 74.45 526
75.01 - 80.00 421 61,679,894 31.26 8.190 355 79.52 522
80.01 - 85.00 271 41,949,300 21.26 8.157 356 84.72 535
85.01 - 90.00 25 3,522,552 1.79 8.002 357 89.18 539
90.01 - 95.00 2 172,528 0.09 8.494 356 95.00 542
-----------------------------------------------------------------------------------------------------------------------------------
Total: 1,318 197,312,052 100.00 8.172 356 75.67 527
-----------------------------------------------------------------------------------------------------------------------------------
Minimum: 21.24
Maximum: 95.00
Weighted Average: 75.67
3. Documentation Level
-----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------------
Full 874 125,473,203 63.59 7.970 355 76.49 527
Stated Documentation 410 65,353,549 33.12 8.562 356 74.19 528
Limited 34 6,485,300 3.29 8.140 357 74.63 523
-----------------------------------------------------------------------------------------------------------------------------------
Total: 1,318 197,312,052 100.00 8.172 356 75.67 527
-----------------------------------------------------------------------------------------------------------------------------------
4. Geographic Distribution by State
-----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
Geographic of Date Date Gross Remaining Combined Average
Distribution Mortgage Principal Principal Interest Term Original FICO
by State Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------------
Alabama 7 497,550 0.25 9.155 357 78.65 531
Arizona 26 3,246,796 1.65 8.259 357 79.18 527
Arkansas 2 140,513 0.07 8.039 357 80.00 521
California 268 59,450,159 30.13 7.830 356 73.70 526
Colorado 9 876,607 0.44 8.363 357 75.21 515
Connecticut 17 2,835,101 1.44 8.667 357 78.56 528
Delaware 3 361,196 0.18 8.917 357 83.85 510
District of Columbia 5 709,689 0.36 7.623 357 75.29 531
Florida 193 24,474,951 12.40 8.037 356 75.75 529
Georgia 30 3,464,398 1.76 8.824 357 80.53 527
Hawaii 1 247,272 0.13 7.605 356 80.00 542
Idaho 4 369,521 0.19 7.927 357 79.39 533
Illinois 53 6,984,932 3.54 8.707 356 77.67 527
Indiana 15 1,120,495 0.57 8.155 357 80.23 530
Iowa 8 707,270 0.36 8.782 357 76.37 531
Kansas 9 666,345 0.34 8.972 357 77.06 514
Kentucky 9 856,753 0.43 8.235 356 76.07 529
Louisiana 6 535,263 0.27 8.823 357 77.20 517
Maine 5 909,833 0.46 8.840 357 60.12 514
Maryland 29 5,226,416 2.65 8.451 357 79.41 533
Massachusetts 24 4,729,966 2.40 7.987 357 72.05 530
Michigan 64 7,007,395 3.55 8.505 357 78.31 528
Minnesota 23 3,504,677 1.78 8.382 357 77.64 526
Mississippi 3 460,569 0.23 8.583 357 69.08 517
Missouri 27 2,121,847 1.08 8.826 357 76.76 526
Nebraska 1 52,699 0.03 9.680 356 80.00 548
Nevada 23 4,217,063 2.14 7.721 356 77.71 527
New Hampshire 8 1,486,986 0.75 7.967 356 69.80 532
New Jersey 42 8,560,013 4.34 8.258 357 73.80 529
New Mexico 7 726,315 0.37 7.933 357 75.08 533
New York 59 13,800,972 6.99 7.951 357 74.21 528
North Carolina 16 1,251,717 0.63 9.505 349 74.08 525
Ohio 38 3,217,975 1.63 8.569 349 77.75 534
Oklahoma 5 541,380 0.27 8.648 346 79.41 536
Oregon 16 2,325,156 1.18 8.044 357 81.39 532
Pennsylvania 29 3,149,899 1.60 8.219 357 78.30 528
Rhode Island 14 2,637,006 1.34 7.903 356 75.32 531
South Carolina 13 1,260,397 0.64 8.806 357 76.40 524
Tennessee 20 1,412,507 0.72 8.800 355 79.45 526
Texas 92 7,971,475 4.04 8.876 342 77.55 526
Utah 2 411,880 0.21 8.513 357 81.46 525
Vermont 1 183,524 0.09 10.400 357 76.56 520
Virginia 41 5,774,651 2.93 8.397 357 77.23 526
Washington 23 3,892,892 1.97 8.087 357 78.51 527
West Virginia 1 65,891 0.03 8.990 357 75.00 529
Wisconsin 25 2,633,923 1.33 8.830 357 77.04 524
Wyoming 2 232,216 0.12 8.386 356 71.59 516
-----------------------------------------------------------------------------------------------------------------------------------
Total: 1,318 197,312,052 100.00 8.172 356 75.67 527
-----------------------------------------------------------------------------------------------------------------------------------
Number of States 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & 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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
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
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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.
----------------------------------------
Please fill in all blue values!
Thank You!
----------------------------------------
ARM FRM Total/Avg.
-------------------------------------------------------------------------------
Percentage Bal. 75.70% 24.30%
Deal Balance 1,057,475,241 339,366,193 1,396,841,434
WAM 357 335
WALA 3 4
WAC 7.184% 6.541%
LTV 81.27% 75.08%
FICO 604 650
Avg. Loan Size 180,487 158,805
Stated Document % 43.00% 27.13%
DTI 40.58% 39.70%
IO % 15.59% 0.00%
Second Lien % 0.00% 2.93%
Property Type 100.00% 100.00%
--------------------
Single Family % 77.99% 79.18%
PUD % 7.64% 7.51%
2-4 Unit % 8.18% 8.96%
CO % 6.19% 4.35%
MH % 0.00% 0.00%
Occupancy Type 100.00% 100.00%
--------------------
Owner Occupied 92.25% 94.60%
2nd Home 0.77% 0.69%
Investor Prop. 6.98% 4.71%
Loan Purpose 100.00% 100.00%
--------------------
Purchase 33.51% 16.27%
Cash-Out 61.48% 74.57%
Rate-Reduction 5.01% 9.16%
-------------------------------------------------------------------------------
ARM Check FRM Check
------------- -------------
100.00% 100.00%
------------- -------------
State Percent State Percent
-------------------------- --------------------------
NY 5.69% NY 11.01%
PA 1.25% PA 1.57%
OH 1.66% OH 1.03%
NJ 3.43% NJ 3.31%
GA 1.41% GA 0.68%
FL 11.14% FL 10.11%
IL 3.89% IL 0.92%
Other 71.54% Other 71.38%
-------------------------- --------------------------