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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest Event
Reported): August 14, 2000
MORGAN STANLEY ABS CAPITAL I INC.
-----------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-64909 13-3939229
---------------------------- ------------------ ----------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
1585 Broadway, 2nd Floor
New York, New York 10036
---------------------- ----------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 761-4000
----- --------------
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<PAGE>
Item 5. Other Events.
----------------------
Filing of Derived Materials.
----------------------------
In connection with the offering of the Morgan Stanley ABS Capital I
Inc. MSDWCC HELOC Trust 2000-1, HELOC Asset-Backed Notes, Series 2000-1 (the
"Notes"), Morgan Stanley & Co. Incorporated, as underwriter of the Notes (the
"Underwriter"), has prepared certain materials (the "Derived Materials") for
distribution to its potential investors. Although Morgan Stanley Dean Witter
Credit Corporation provided the Underwriter with certain information regarding
the characteristics of the Revolving Credit Loans (the "Loans") in the related
portfolio, it did not participate in the preparation of the Derived Materials.
For purposes of this Form 8-K, Derived Materials shall mean computer
generated tables and/or charts displaying, with respect to the, any of the
following: yield; average life, duration; expected maturity; interest rate
sensitivity; loss sensitivity; cash flow characteristics; background
information regarding the Loans; the proposed structure; decrement tables; or
similar information (tabular or otherwise) of a statistical, mathematical,
tabular or computational nature. The Derived Materials are attached hereto as
Exhibit 99.1.
<PAGE>
Item 7. Financial Statements, Pro Forma Financial
--------------------------------------------------
Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Derived Materials
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
MORGAN STANLEY ABS CAPITAL I INC.
By: /s/ James Fadel
-----------------------------
Name: James Fadel
Title: Vice President
Dated: August 17, 2000
<PAGE>
Exhibit Index
-------------
Exhibit Description Page
------- ----------- ----
99.1 Derived Materials 6
<PAGE>
Exhibit 99.1
--------------------------------- --------------------------------------------
Morgan Stanley [OBJECT OMITTED] August 11, 2000
Securitized Products Group
--------------------------------- --------------------------------------------
Computational Materials
$196,366,000
MSDWCC HELOC Trust 2000-1
HELOC ABS
This information has been prepared in connection with the issuance of
securities representing debt of the above trust, and is based in part on
information provided by Morgan Stanley Dean Witter Credit Corporation with
respect to the expected characteristics of the pool of home equity loans in
which these securities will represent debt obligations. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in
nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that the collateral will prepay or new balances will be
originated at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth
below. NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS,
ACCURACY OR COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY
ARE BASED. Additional information is available upon request. These materials
do not constitute 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 particular trading
strategy. ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO
A DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN
SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In
the event of any such offering, these materials, including any description of
the collateral contained herein, shall be deemed superseded, amended and
supplemented in their entirety by such Prospectus and Prospectus Supplement.
Any collateral or structural termsheets contained herein supercede all prior
termsheets. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
------------------------------ ----------------------------------------------
Morgan Stanley [OBJECT OMITTED] August 11, 2000
Securitized Products Group
-----------------------------------------------------------------------------
$196,366,000 MSDWCC HELOC Trust 2000-1
Morgan Stanley Dean Witter Credit Corporation-- Seller/Servicer
<TABLE>
<CAPTION>
Transaction Highlights
----------------------
Modified
Expected Duration
Ratings Avg Life To Payment
(S&P/ To Call/ Window To Day Price
Class(1) Description Moody's) Balance Call/Mty(1)(2) Mty(1)(2) Call/Mty(1)(2) Count Benchmark Talk
=========== ===================== ========== ================ ============= ============= ============= ========= ======== =====
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A Class A Asset-Backed AAA/Aaa $196,366,817 3.52/3.58 2.92/2.95 84/97 Act/360 1-mo. LIBOR +
Notes
----------- --------------------- ---------- ---------------- ------------- ------------- ------------- --------- ------------- -
</TABLE>
Notes: (1) The notes are priced to the 10% optional redemption date.
-----
(2) Based on the prepayment and draw rate assumptions. See details
below.
Seller: Morgan Stanley Dean Witter Credit Corporation
Servicer: Morgan Stanley Dean Witter Credit Corporation
Indenture Trustee: Wells Fargo Bank Minnesota, N.A.
Owner Trustee: Wilmington Trust Company
Manager(s): MORGAN STANLEY DEAN WITTER (sole manager)
Expected Pricing Date: August 11, 2000. Priced to 10% optional
redemption date.
Expected Settlement Date: August 23, 2000 through DTC, Euroclear, and
Clearstream. Settles flat.
Payment Dates: The 25th of each month, beginning
September 25, 2000.
Mortgage Loans: 3,224 of adjustable rate revolving credit
loans with an aggregate unpaid balance of
$196,366,817 (as of August 1, 2000 cut-off
date) secured by first and second liens on
one- to four-family residential properties
Transaction Structure: 60-month managed amortization period (MAP)
followed by rapid amortization period (RAP)
in which 100% of principal collections are
distributed to the Class A Noteholders
Pricing Speed: o Prepayment Rate: 35% CPR
o Draw Rate: 20% CPR
Final Payment Date: September 28, 2010
Credit Enhancement: 100% FSA guaranty and overcollateralization.
Optional Redemption: Outstanding Class A Note Balance is less than
or equal to 10% of original Class A Note
Balance. The notes are priced to the 10%
optional redemption date.
Step-up Coupon: The margin on the notes will double after the
10% redemption date if the redemption is not
exercised.
Net Funds Cap: The notes will be subject to a net funds cap.
Net Funds Cap Carryover
Amount: Net funds cap carryover amount will be
payable on the notes. The net funds cap
carryover amount will not be covered by the
FSA guaranty and will not be addressed by
the ratings assigned to the notes by the
rating agencies.
Trust Tax Status: Owner Trust.
ERISA Eligibility: The Notes are expected to be ERISA eligible.
SMMEA Eligibility: The Notes are not SMMEA eligible.
This information has been prepared in connection with the issuance of
securities representing debt of the above trust, and is based in part on
information provided by Morgan Stanley Dean Witter Credit Corporation with
respect to the expected characteristics of the pool of home equity loans in
which these securities will represent debt obligations. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in
nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that the collateral will prepay or new balances will be
originated at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth
below. NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS,
ACCURACY OR COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY
ARE BASED. Additional information is available upon request. These materials
do not constitute 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 particular trading
strategy. ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO
A DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN
SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In
the event of any such offering, these materials, including any description of
the collateral contained herein, shall be deemed superseded, amended and
supplemented in their entirety by such Prospectus and Prospectus Supplement.
Any collateral or structural termsheets contained herein supercede all prior
termsheets. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Credit Structure
----------------
o On each payment date, the Investor Percentage of interest and principal
collections (please see below) on the loans (net of the 0.50% servicing
fee) will be used to pay the following amounts in the priority indicated:
1. Indenture and Owner Trustee Fees
2. Insurer Premium
3. Class A Interest
4. Class A Principal
5. Class A Investor Losses
6. Class A Overcollateralization Deficit
7. Any Outstanding Amounts owed to the Insurer
8. Class A Overcollateralization Requirement
9. Class A Net Funds Cap Carry-Over Amount
10 Remaining amounts payable to MSDWCC or its affiliate as Certificateholder
The prorata share of interest, losses and principal collections during the MAP
period will be based on the Investor Percentage which is the ratio of the
outstanding Investor Amount to the Pool Balance.
During the Managed Amortization Period (MAP) period, principal will be
allocated on a pro rata basis to investors based on the Investor Percentage.
During the Rapid Amortization Period (RAP) period, all principal collections
will be paid to the Class A Noteholders.
Interest and losses will be allocated on a pro rata basis based on the
Investor Percentage during both the MAP and RAP period.
As of the closing date, the Certificateholder Interest will equal zero. To the
extent principal draws exceed principal payments during the MAP period, the
Certificateholder Interest will increase by the amount of this differential.
The Certificateholder Interest will grow by the amount of draws during the RAP
period.
Class A Interest
----------------
The Class A Noteholders will be entitled to receive monthly interest based on
a 1-month LIBOR rate + [ ] on the outstanding balance of the Class A Notes
subject to a net funds cap for the related period. The noteholders' interest
will generally be payable out of the Investor Percentage of interest
collections.
Interest will be payable on an actual/360 day-count basis. Interest will
accrue from and including the prior payment date to but excluding the next
payment date. On the closing date, interest will accrue from the closing date
to the next payment date.
Class A Principal
-----------------
The Class A Investor Percentage of principal will be payable to the
noteholders on a monthly basis during the MAP period based on the positive
difference between aggregate principal collections and draws or additional
balances created during the related collection period. During the RAP period,
all principal collections received on the collateral will be paid to the Class
A Noteholders.
This information has been prepared in connection with the issuance of
securities representing debt of the above trust, and is based in part on
information provided by Morgan Stanley Dean Witter Credit Corporation with
respect to the expected characteristics of the pool of home equity loans in
which these securities will represent debt obligations. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in
nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that the collateral will prepay or new balances will be
originated at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth
below. NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS,
ACCURACY OR COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY
ARE BASED. Additional information is available upon request. These materials
do not constitute 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 particular trading
strategy. ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO
A DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN
SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In
the event of any such offering, these materials, including any description of
the collateral contained herein, shall be deemed superseded, amended and
supplemented in their entirety by such Prospectus and Prospectus Supplement.
Any collateral or structural termsheets contained herein supercede all prior
termsheets. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
MAP Period
----------
For a period of approximately 60 months from the closing date through the
payment date in August 2005, Class A Noteholders shall receive the Investor
Percentage of the difference between aggregate principal collections and draws
or additional balances created during the related collection period. As
mentioned below, the MAP period may terminate earlier due to the occurrence of
a Rapid Amortization Event.
RAP Period
Upon the completion of the MAP period or upon the occurrence of a Rapid
Amortization Event, Class A Noteholders shall receive all principal
collections on the collateral until the Class A Notes are retired in full.
Rapid Amortization Events
-------------------------
The following will constitute Rapid Amortization Events:
1. Breach of representations and warranties or covenants in a material manner
which continues unremedied for a specified period of time after written
notice
2. Occurrence of certain events of bankruptcy, insolvency or receivership
relating to the Seller or Issuer
3. Issuer becomes subject to regulation as an investment company within the
meaning of the Investment Company Act of 1940
4. Failure to make a payment or deposit when due under the various Agreements
within five business days
5. Aggregate of all draws under the insurance policy exceeds a predetermined
amount or percentage
6. Issuer is determined to be an association taxable as a corporation for
federal income tax purposes
7. Any other event specified in the indenture.
Class A Investor Amount
-----------------------
The Class A Investor Amount equals the initial principal amount of the Class A
Notes issued minus the amount of principal payments allocated to the Class A
Notes (does not include Class A Overcollateralization Requirement) minus Class
A Investor Losses.
Certificateholder Interest
--------------------------
The Certificateholder Interest will comprise the Pool Balance in excess of the
Class A Investor Amount.
Credit Enhancement
------------------
Credit enhancement consists of the following:
1. Excess Interest Collections
2. Overcollateralization Amount
3. FSA Financial Guaranty Insurance Policy
The insurer will only be required to make a draw under the policy in the event
of shortfalls in Class A interest payments, to bring into parity any negative
differential between the Class A Investor Amount and the Class A Note Balance
and any outstanding Class A Note principal balance on the final payment date
(September 28, 2010).
After the initial payment date two and one-half years from the closing date,
the overcollateralization may step down to 2x the initial
overcollateralization requirement, subject to a 0.5% floor and performance
triggers.
Servicer Advances
-----------------
There will be no servicer advances.
This information has been prepared in connection with the issuance of
securities representing debt of the above trust, and is based in part on
information provided by Morgan Stanley Dean Witter Credit Corporation with
respect to the expected characteristics of the pool of home equity loans in
which these securities will represent debt obligations. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in
nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that the collateral will prepay or new balances will be
originated at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth
below. NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS,
ACCURACY OR COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY
ARE BASED. Additional information is available upon request. These materials
do not constitute 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 particular trading
strategy. ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO
A DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN
SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In
the event of any such offering, these materials, including any description of
the collateral contained herein, shall be deemed superseded, amended and
supplemented in their entirety by such Prospectus and Prospectus Supplement.
Any collateral or structural termsheets contained herein supercede all prior
termsheets. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
MSDWCC 2000-1 Collateral Description
------------------------------------
<S> <C>
Aggregate Pool Balance: $196,366,817
Total Line of Credit: $408,872,309
Available Balance: $212,505,492
Number of Loans: 3,224
Average Balance: $60,908
Average Line of Credit: $126,821
Average Available Line of Credit: $65,914
Adjustment Type: 100% 1 month ARM - Prime Rate
WA Coupon: 9.741% (min: 9.000% / max: 15.490%)
WA Gross Margin (ARMs only): 0.245% (min: 0.000%/ max: 5.990%)
WA Gross Life Cap: 17.757%
Average Outstanding Balance: $60,908 (min: $1,000/ max: $2,807,006)
WA Utilization Rate: 48.02%
Lien Position: 26.73% 1st Lien
73.27% 2nd Lien
WA Original Combined Loan to Value Ratio: 75.14%
WA Junior Ratio: 42.45%
WA Original Term: 120 months
WA Remaining Term: 116.5 months
Property Type: 78.61% Single Family
9.71% PUD
6.22% Other
5.46% Condominium
Geographic Distribution (>5%): CA-Southern (22.37%)
CA-Northern (17.91%)
NY (7.24%)
FL (6.87%)
NJ (6.31%)
</TABLE>
This information has been prepared in connection with the issuance of
securities representing debt of the above trust, and is based in part on
information provided by Morgan Stanley Dean Witter Credit Corporation with
respect to the expected characteristics of the pool of home equity loans in
which these securities will represent debt obligations. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in
nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that the collateral will prepay or new balances will be
originated at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth
below. NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS,
ACCURACY OR COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY
ARE BASED. Additional information is available upon request. These materials
do not constitute 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 particular trading
strategy. ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO
A DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN
SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In
the event of any such offering, these materials, including any description of
the collateral contained herein, shall be deemed superseded, amended and
supplemented in their entirety by such Prospectus and Prospectus Supplement.
Any collateral or structural termsheets contained herein supercede all prior
termsheets. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
----------- ------------------------------------------ -----------------------
ORGAN STANLEY DEAN WITTER [GRAPHIC OMITTED] August 11, 2000
Securitized Products Group
----------------------------------- ------------------------------------------
Contacts
--------
SPG Finance Group SPG Capital Markets
Phone Phone
----- -----
NY: Steven Shapiro (212) 761-2146 NY: Yared Yawand-Wossen (212) 761-1973
BJ Grant 761-2152 Richard Onkey 761-2140
Kenneth Lee 761-1783
Please Direct
All Questions and Orders to
ABS/MBS Capital Markets
This information has been prepared in connection with the issuance of
securities representing debt of the above trust, and is based in part on
information provided by Morgan Stanley Dean Witter Credit Corporation with
respect to the expected characteristics of the pool of home equity loans in
which these securities will represent debt obligations. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in
nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that the collateral will prepay or new balances will be
originated at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth
below. NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS,
ACCURACY OR COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY
ARE BASED. Additional information is available upon request. These materials
do not constitute 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 particular trading
strategy. ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO
A DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN
SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In
the event of any such offering, these materials, including any description of
the collateral contained herein, shall be deemed superseded, amended and
supplemented in their entirety by such Prospectus and Prospectus Supplement.
Any collateral or structural termsheets contained herein supercede all prior
termsheets. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY DEAN WITTER
3,224 records
Balance: 196,366,817
MSDWCC HELOC Trust 2000-1
HELOC ABS
SECURITIZATION
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
Selection Criteria: SECURITIZATION
Table of Contents
1
Source
------
2
Mortgage Rates (%)
------------------
3
Margins (%)
-----------
4
Maximum Mortgage Rates (%)
--------------------------
5
Current Mortgage Loan Principal Balance ($)
-------------------------------------------
6
Credit Limit ($)
----------------
7
Credit Utilization Ratio (%)
----------------------------
8
Combined Original Loan-to-Value Ratio (%)
-----------------------------------------
9
Product
-------
10
Adjustment Type
---------------
11
Index
-----
12
Seasoning
---------
13
Remaining Term to Stated Maturity
---------------------------------
14
Year of Origination
-------------------
15
Maturity Date
-------------
16
Geographic Distribution by Balance
----------------------------------
17
Property Type
-------------
18
Occupancy
---------
19
Lien Position
-------------
20
FICO Score
----------
1.Source
<TABLE>
<CAPTION>
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
Source Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
Dean Witter Brokerage 1,302 101,293,429.99 51.58 77,798.33 9.677 0.185 120
Direct Mailing- Discover 1,798 81,710,316.50 41.61 45,445.11 9.821 0.321 120
Field 113 7,129,057.85 3.63 63,089.01 9.923 0.423 120
Private Wealth Clients 7 6,103,468.70 3.11 871,924.10 9.5 0 120
Outbound Telemarketing 2 120,543.59 0.06 60,271.80 11.09 1.59 120
MSO 2 10,000.00 0.01 5,000.00 9.5 0 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
Source Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Dean Witter Brokerage 115.9 4.1 75.76 208,744,858.40 160,326.31 48.53 1.3 87.7
Direct Mailing- Discover 117.4 2.6 77.51 179,821,091.00 100,011.73 45.44 2.1 96.6
Field 115.5 4.5 72.63 12,473,065.25 110,381.11 57.16 5.7 93
Private Wealth Clients 116.3 3.7 88.47 6,970,794.00 995,827.71 87.56 0 80.8
Outbound Telemarketing 110.2 9.8 71.22 300,000.00 150,000.00 40.18 0 100
MSO 120 0 90.99 562,500.00 281,250.00 1.78 0 100
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
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---
<TABLE>
<CAPTION>
2. Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------------
Weighted
% of Average
Number of Aggregate Aggregate Average Weighted Margin Weighted
Mortgage Principal Principal Current Average (ARMs Average
Mortgage Rates (%) Loans Balance Balance Balance Coupon only) Original Term
<S> <C> <C> <C> <C> <C> <C> <C>
8.501 - 9.000 2 133,506.30 0.07 66,753.15 9 0 120
9.001 - 9.500 1,911 151,404,820.07 77.1 79,228.06 9.5 0.006 120
9.501 - 10.000 10 1,813,024.09 0.92 181,302.41 9.869 0.358 120
10.001 - 10.500 888 32,507,935.46 16.55 36,608.04 10.279 0.779 120
10.501 - 11.000 7 426,868.34 0.22 60,981.19 10.81 1.31 120
11.001 - 11.500 353 8,471,419.41 4.31 23,998.36 11.224 1.724 120
11.501 - 12.000 5 154,787.27 0.08 30,957.45 11.992 2.492 120
12.001 - 12.500 10 354,822.79 0.18 35,482.28 12.378 2.878 120
12.501 - 13.000 8 188,495.19 0.1 23,561.90 12.72 3.22 120
13.001 - 13.500 9 286,128.48 0.15 31,792.05 13.269 3.769 120
14.001 - 14.500 18 474,581.19 0.24 26,365.62 14.243 4.743 120
14.501 - 15.000 2 51,695.60 0.03 25,847.80 14.767 5.267 120
15.001 - 15.500 1 98,732.44 0.05 98,732.44 15.49 5.99 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Mortgage Rates Remaining Average Combined Credit Credit Utilization Cashout Owner
(%) Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
8.501 - 9.000 117.3 2.7 34.66 288,000.00 144,000.00 46.36 0 100
9.001 - 9.500 116.5 3.5 76.24 333,953,404.00 174,753.22 45.34 1.8 91
9.501 - 10.00 115.6 4.4 74.28 3,803,400.00 380,340.00 47.67 0 96
10.001 - 10.500 117 3 77.36 57,018,212.00 64,209.70 57.01 1.5 93
10.501 - 11.000 114.3 5.7 71.46 586,000.00 83,714.29 72.84 46.9 55.3
11.001 - 11.500 116.5 3.5 83.45 11,028,303.65 31,241.65 76.82 0.6 93.2
11.501 - 12.000 108.4 11.6 56.4 210,500.00 42,100.00 73.53 18.7 67.8
12.001 - 12.500 117.8 2.2 88.77 534,450.00 53,445.00 66.39 0 65
12.501 - 13.000 108.8 11.2 68.63 328,000.00 41,000.00 57.47 0 85.6
13.001 - 13.500 114 6 95.63 426,700.00 47,411.11 67.06 0 92.3
14.001 - 14.500 116.9 3.1 98.66 537,564.00 29,864.67 88.28 0 100
14.501 - 15.000 116.2 3.8 95.95 59,025.00 29,512.50 87.58 0 100
15.001 - 15.500 97 23 75.49 98,750.00 98,750.00 99.98 0 100
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 9,000
Maximum: 15,490
Weighted Average: 9.741
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<TABLE>
<CAPTION>
3. Margins(%)
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
Margins (%) Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
0 1,899 151,026,860.02 76.91 79,529.68 9.5 0 120
0.001 - 0.500 9 1,731,161.45 0.88 192,351.27 9.875 0.375 120
0.501 - 1.000 895 32,883,702.12 16.75 36,741.57 10.27 0.78 120
1.001 - 1.500 7 426,868.34 0.22 60,981.19 10.81 1.31 120
1.501 - 2.000 356 8,540,711.94 4.35 23,990.76 11.21 1.724 120
2.001 - 2.500 7 210,994.77 0.11 30,142.11 11.328 2.494 120
2.501 - 3.000 12 441,860.34 0.23 36,821.70 11.811 2.853 120
3.001 - 3.500 8 188,495.19 0.1 23,561.90 12.72 3.22 120
3.501 - 4.000 10 291,153.23 0.15 29,115.32 13.204 3.769 120
4.501 - 5.000 18 474,581.19 0.24 26,365.62 14.243 4.743 120
5.001 - 5.500 2 51,695.60 0.03 25,847.80 14.767 5.267 120
5.501 - 6.000 1 98,732.44 0.05 98,732.44 15.49 5.99 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
Margins(%) Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0 116.5 3.5 76.19 333,459,706.00 175,597.53 45.29 1.8 91.2
0.001 - 0.500 115.5 4.5 73.77 3,703,400.00 411,488.89 46.75 0 95.8
0.501 - 1.000 117.1 2.9 77.41 57,584,212.00 64,339.90 57.11 1.5 92.7
1.001 - 1.500 114.3 5.7 71.46 586,000.00 83,714.29 72.84 46.9 55.3
1.501 - 2.000 116.5 3.5 83.44 11,148,251.65 31,315.31 76.61 0.5 92.8
2.001 - 2.500 111.2 8.8 60.46 267,000.00 38,142.86 79.03 13.8 49.7
2.501 - 3.000 117.5 2.5 87.17 623,700.00 51,975.00 70.84 0 71.9
3.001 - 3.500 108.8 11.2 68.63 328,000.00 41,000.00 57.47 0 85.6
3.501 - 4.000 114 6 96.12 476,700.00 47,670.00 61.08 0 92.4
4.501 - 5.000 116.9 3.1 98.66 537,564.00 29,864.67 88.28 0 100
5.001 - 5.500 116.2 3.8 95.95 59,025.00 29,512.50 87.58 0 100
5.501 - 6.000 97 23 75.49 98,750.00 98,750.00 99.98 0 100
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Maximum: 5.990
Weighted Average: 0.245
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<TABLE>
<CAPTION>
4. Maximum Mortgage Rates(%)
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Maximum Mortgage Principal Principal Current Average (ARMs Original
Mortgage Rates (%) Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
11.251 - 11.500 1 8,447.02 0 8,447.02 9.5 0 120
11.751 - 12.000 88 6,862,071.38 3.49 77,978.08 9.672 0.172 120
12.251 - 12.500 2 49,956.00 0.03 24,978.00 9.5 0 120
14.751 - 15.000 2 71,073.81 0.04 35,536.91 9.726 0.226 120
15.251 - 15.500 5 340,236.09 0.17 68,047.22 9.785 0.285 120
15.751 - 16.000 38 2,382,900.41 1.21 62,707.91 9.794 0.294 120
16.251 - 16.500 2 30,042.89 0.02 15,021.45 10.794 1.294 120
16.751 - 17.000 7 357,383.20 0.18 51,054.74 9.885 0.385 120
17.751 - 18.000 3,079 186,264,705.83 94.86 60,495.20 9.742 0.247 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Maximum Remaining Average Combined Credit Credit Utilization Cashout Owner
Mortgage Rates(%) Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
11.251 - 11.500 113 7 81.1 100,000.00 100,000.00 8.45 0 100
11.751 - 12.000 117 3 80.08 11,154,208.00 126,752.36 61.52 0 63.1
12.251 - 12.500 120 0 76.52 220,000.00 110,000.00 22.71 0 41.9
14.751 - 15.000 107.5 12.5 83.74 139,750.00 69,875.00 50.85 0 100
15.251 - 15.500 118.3 1.7 62.29 576,500.00 115,300.00 59.02 0 100
15.751 - 16.000 115.8 4.2 76.66 3,934,462.00 103,538.47 60.57 2.1 67.3
16.251 - 16.500 118.3 1.7 85.14 30,200.00 15,100.00 99.48 0 100
16.751 - 17.000 117.2 2.8 80.93 424,800.00 60,685.71 84.13 30.8 100
17.751 - 18.000 116.5 3.5 76.66 392,292,388.65 127,409.03 47.48 1.8 92.7
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 11.500
Maximum: 18.000
Weighted Average: 17.757
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<TABLE>
<CAPTION>
5. Current Mortgage Loan Principal Balance($)
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Current Mortgage Loan Mortgage Principal Principal Current Average (ARMs Original
Principal Balance ($) Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
0.01 - 10,000.00 636 4,174,922.95 2.13 6,564.34 9.865 0.371 120
10,000.01 - 20,000.00 462 6,933,271.73 3.53 15,007.08 10.2 0.705 120
20,000.01 - 30,000.00 440 11,001,171.82 5.6 25,002.66 10.283 0.799 120
30,000.01 - 40,000.00 324 11,362,001.74 5.79 35,067.91 10.144 0.666 120
40,000.01 - 50,000.00 339 15,405,849.00 7.85 45,444.98 10.072 0.583 120
50,000.01 - 60,000.00 191 10,534,063.59 5.36 55,152.17 9.838 0.338 120
60,000.01 - 70,000.00 134 8,611,002.27 4.39 64,261.21 9.834 0.334 120
70,000.01 - 80,000.00 111 8,291,475.90 4.22 74,697.98 9.82 0.327 120
80,000.01 - 90,000.00 83 7,066,862.08 3.6 85,142.92 9.687 0.184 120
90,000.01 - 100,000.00 148 14,329,730.19 7.3 96,822.50 9.679 0.182 120
100,000.01 - 110,000.00 51 5,330,509.07 2.71 104,519.79 9.566 0.066 120
110,000.01 - 120,000.00 40 4,631,063.81 2.36 115,776.60 9.509 0.009 120
120,000.01 - 130,000.00 36 4,515,745.62 2.3 125,437.38 9.5 0 120
130,000.01 - 140,000.00 23 3,127,085.96 1.59 135,960.26 9.543 0.043 120
140,000.01 - 150,000.00 36 5,261,217.56 2.68 146,144.93 9.642 0.17 120
150,000.01 - 200,000.00 60 10,553,549.03 5.37 175,892.48 9.538 0.038 120
200,000.01 - 250,000.00 21 4,747,244.10 2.42 226,059.24 9.552 0.052 120
250,000.01 - 300,000.00 13 3,611,984.31 1.84 277,844.95 9.649 0.149 120
300,000.01 - 350,000.00 12 3,926,137.70 2 327,178.14 9.58 0.08 120
350,000.01 - 400,000.00 10 3,710,098.37 1.89 371,009.84 9.5 0 120
400,000.01 - 450,000.00 3 1,263,557.24 0.64 421,185.75 9.5 0 120
450,000.01 - 500,000.00 5 2,363,233.93 1.2 472,646.79 9.5 0 120
500,000.01 - 1,000,000.00 29 19,898,922.53 10.13 686,169.74 9.5 0 120
1,000,000.01 - 1,500,000.00 11 12,824,825.20 6.53 1,165,893.20 9.533 0.033 120
1,500,000.01 - 2,000,000.00 3 5,595,759.91 2.85 1,865,253.30 9.5 0 120
2,000,000.01 - 2,500,000.00 2 4,488,525.02 2.29 2,244,262.51 9.5 0 120
2,500,000.01 - 3,000,000.00 1 2,807,006.00 1.43 2,807,006.00 9.5 0 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Current Mortgage Loan Remaining Average Combined Credit Credit Utilization Cashout Owner
Principal Balance ($) Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.01 - 10,000.00 117.7 2.3 74.42 71,100,840.00 111,793.77 5.87 0.6 96.2
10,000.01 - 20,000.00 117.4 2.6 75.24 36,243,413.00 78,448.95 19.13 1 95.3
20,000.01 - 30,000.00 117 3 74.64 33,710,912.40 76,615.71 32.63 2.9 94.7
30,000.01 - 40,000.00 117.1 2.9 74.08 26,954,010.00 83,191.39 42.15 0.6 97.1
40,000.01 - 50,000.00 116.9 3.1 76.57 26,914,832.25 79,394.79 57.24 2.2 95.8
50,000.01 - 60,000.00 117 3 75.78 19,102,306.00 100,012.07 55.15 0.5 97.3
60,000.01 - 70,000.00 117.2 2.8 77.72 13,561,069.00 101,202.01 63.5 0 97.1
70,000.01 - 80,000.00 117.1 2.9 75.86 13,619,614.00 122,699.23 60.88 1.8 93.6
80,000.01 - 90,000.00 116.9 3.1 78.02 10,698,774.00 128,900.89 66.05 1.3 94.1
90,000.01 - 100,000.00 116.3 3.7 72.75 18,743,361.00 126,644.33 76.45 0 93.9
100,000.01 - 110,000.00 117.1 2.9 74.48 9,141,675.00 179,248.53 58.31 6.1 96.1
110,000.01 - 120,000.00 117.5 2.5 75.41 7,863,500.00 196,587.50 58.89 2.5 97.5
120,000.01 - 130,000.00 117.5 2.5 79.21 11,064,809.00 307,355.81 40.81 2.7 100
130,000.01 - 140,000.00 117.7 2.3 77.95 4,711,000.00 204,826.09 66.38 4.3 100
140,000.01 - 150,000.00 117.2 2.8 79.47 6,323,195.00 175,644.31 83.2 2.7 94.4
150,000.01 - 200,000.00 116.8 3.2 76.31 16,216,700.00 270,278.33 65.08 3.1 92.1
200,000.01 - 250,000.00 117.4 2.6 81.15 5,603,780.00 266,846.67 84.71 0 89.7
250,000.01 - 300,000.00 117.5 2.5 72.19 3,967,999.00 305,230.69 91.03 8.3 91.9
300,000.01 - 350,000.00 116.9 3.1 78.04 6,086,700.00 507,225.00 64.5 7.9 91.1
350,000.01 - 400,000.00 116.2 3.8 81.23 6,791,500.00 679,150.00 54.63 0 71.1
400,000.01 - 450,000.00 118.3 1.7 80.66 1,462,100.00 487,366.67 86.42 0 100
450,000.01 - 500,000.00 116.1 3.9 79 2,698,450.00 539,690.00 87.58 0 80.7
500,000.01 - 1,000,000.00 115.3 4.7 82.03 23,719,269.00 817,905.83 83.89 3.1 82.3
1,000,000.01 - 1,500,000.00 114.4 5.6 77.17 18,022,500.00 1,638,409.09 71.16 0 61.9
1,500,000.01 - 2,000,000.00 112.6 7.4 69.3 5,650,000.00 1,883,333.33 99.04 0 100
2,000,000.01 - 2,500,000.00 115.1 4.9 90.22 4,900,000.00 2,450,000.00 91.6 0 100
2,500,000.01 - 3,000,000.00 119 1 64.52 4,000,000.00 4,000,000.00 70.18 0 100
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 1,000.00
Maximum: 2,807,006.00
Average: 60,907.82
Top
<TABLE>
<CAPTION>
6. Credit Limit ($)
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
Credit Limit ($) Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
0.01 - 10,000.00 17 139,831.87 0.07 8,225.40 11.204 1.704 120
10,000.01 - 20,000.00 81 1,146,308.15 0.58 14,151.95 11.579 2.079 120
20,000.01 - 30,000.00 134 2,721,766.18 1.39 20,311.69 11.315 1.879 120
30,000.01 - 40,000.00 127 3,341,390.68 1.7 26,310.16 11.266 1.798 120
40,000.01 - 50,000.00 554 15,982,156.39 8.14 28,848.66 10.331 0.85 120
50,000.01 - 60,000.00 144 5,164,677.36 2.63 35,865.81 10.206 0.706 120
60,000.01 - 70,000.00 131 5,598,467.65 2.85 42,736.39 10.183 0.683 120
70,000.01 - 80,000.00 135 5,725,134.09 2.92 42,408.40 10.085 0.599 120
80,000.01 - 90,000.00 81 3,817,526.49 1.94 47,129.96 10.041 0.55 120
90,000.01 - 100,000.00 947 35,880,224.03 18.27 37,888.30 9.603 0.104 120
100,000.01 - 110,000.00 51 3,057,202.70 1.56 59,945.15 9.597 0.097 120
110,000.01 - 120,000.00 66 3,913,200.97 1.99 59,290.92 9.511 0.011 120
120,000.01 - 130,000.00 79 5,434,797.13 2.77 68,794.90 9.526 0.026 120
130,000.01 - 140,000.00 40 2,202,899.62 1.12 55,072.49 9.52 0.02 120
140,000.01 - 150,000.00 127 9,256,171.41 4.71 72,883.24 9.613 0.129 120
150,000.01 - 200,000.00 201 15,020,415.20 7.65 74,728.43 9.543 0.045 120
200,000.01 - 250,000.00 90 8,026,859.31 4.09 89,187.33 9.537 0.037 120
250,000.01 - 300,000.00 58 6,350,621.15 3.23 109,493.47 9.553 0.053 120
300,000.01 - 350,000.00 21 2,318,289.75 1.18 110,394.75 9.62 0.12 120
350,000.01 - 400,000.00 31 4,540,595.25 2.31 146,470.81 9.503 0.003 120
400,000.01 - 450,000.00 8 1,714,443.91 0.87 214,305.49 9.5 0 120
450,000.01 - 500,000.00 25 3,271,883.43 1.67 130,875.34 9.524 0.024 120
500,000.01 - 1,000,000.00 48 20,405,287.63 10.39 425,110.16 9.515 0.015 120
1,000,000.01 - 1,500,000.00 16 13,388,965.05 6.82 836,810.32 9.5 0 120
1,500,000.01 - 2,000,000.00 6 8,305,347.16 4.23 1,384,224.53 9.5 0 120
2,000,000.01 - 2,500,000.00 2 4,488,525.02 2.29 2,244,262.51 9.5 0 120
2,500,000.01 - 3,000,000.00 2 2,224,666.61 1.13 1,112,333.31 9.689 0.189 120
3,500,000.01 - 4,000,000.00 1 2,807,006.00 1.43 2,807,006.00 9.5 0 120
5,500,000.01 - 6,000,000.00 1 122,156.44 0.06 122,156.44 9.5 0 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
Credit Limit ($) Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.01 - 10,000.00 116.5 3.6 85.23 153,040.00 9,002.35 91.37 0 92.8
10,000.01 - 20,000.00 117.2 2.8 86.53 1,356,138.00 16,742.44 84.53 0 96
20,000.01 - 30,000.00 116.1 3.9 79 3,510,153.40 26,195.17 77.54 1.7 92.1
30,000.01 - 40,000.00 117 3 87.43 4,493,357.00 35,380.76 74.36 0 94.7
40,000.01 - 50,000.00 116.8 3.2 73.41 27,305,769.25 49,288.39 58.53 1.5 96.7
50,000.01 - 60,000.00 117.3 2.7 81.45 8,169,423.00 56,732.10 63.22 0 95.9
60,000.01 - 70,000.00 116.9 3.1 85.45 8,660,910.00 66,113.82 64.64 0.8 98.3
70,000.01 - 80,000.00 117 3 81.58 10,241,082.00 75,859.87 55.9 1.7 96.6
80,000.01 - 90,000.00 117.2 2.8 85.76 6,955,994.00 85,876.47 54.88 0 93.4
90,000.01 - 100,000.00 117 3 68.85 94,478,537.00 99,766.14 37.98 1.1 94.7
100,000.01 - 110,000.00 117 3 82.31 5,405,708.00 105,994.27 56.56 3.6 95.5
110,000.01 - 120,000.00 117.1 2.9 79.11 7,727,771.00 117,087.44 50.64 3.4 99.3
120,000.01 - 130,000.00 117.6 2.4 76.75 9,954,236.00 126,002.99 54.6 2.2 97.8
130,000.01 - 140,000.00 117.7 2.3 87.79 5,462,580.00 136,564.50 40.33 0 100
140,000.01 - 150,000.00 117 3 74.27 18,952,120.00 149,229.29 48.84 3 96.6
150,000.01 - 200,000.00 117 3 76.86 37,015,141.00 184,154.93 40.58 3.5 92.9
200,000.01 - 250,000.00 117.5 2.5 77.55 21,120,065.00 234,667.39 38.01 1.7 93.5
250,000.01 - 300,000.00 117.6 2.4 73.9 16,870,150.00 290,864.66 37.64 5.5 93.1
300,000.01 - 350,000.00 118.2 1.8 77.86 7,017,500.00 334,166.67 33.04 0 84.8
350,000.01 - 400,000.00 117.3 2.7 80.25 12,051,800.00 388,767.74 37.68 8.3 70.4
400,000.01 - 450,000.00 118.4 1.6 72.46 3,491,700.00 436,462.50 49.1 0 99.4
450,000.01 - 500,000.00 116.4 3.6 71.56 12,328,315.00 493,132.60 26.54 0.4 97.4
500,000.01 - 1,000,000.00 115.7 4.3 82.64 34,404,013.00 716,750.27 59.31 3 88
1,000,000.01 - 1,500,000.00 114.5 5.5 79.03 19,758,306.00 1,234,894.13 67.76 0 61.2
1,500,000.01 - 2,000,000.00 112.2 7.8 72.8 11,538,500.00 1,923,083.33 71.98 0 85.2
2,000,000.01 - 2,500,000.00 115.1 4.9 90.22 4,900,000.00 2,450,000.00 91.6 0 100
2,500,000.01 - 3,000,000.00 115 5 75.21 5,550,000.00 2,775,000.00 40.09 0 100
3,500,000.01 - 4,000,000.00 119 1 64.52 4,000,000.00 4,000,000.00 70.18 0 100
5,500,000.01 - 6,000,000.00 120 0 64.06 6,000,000.00 6,000,000.00 2.04 0 100
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 5,500.00
Maximum: 6,000,000.00
Average: 126,821.44
Total: 408,872,308.65
Top
<TABLE>
<CAPTION>
7. Credit Utilization Ratio (%)
Weighted
% of Average Weighted
Credit Number of Aggregate Aggregate Average Weighted Margin Average
Utilization Mortgage Principal Principal Current Average (ARMs Original
Ratio (%) Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
0.01 - 5.00 275 1,471,353.07 0.75 5,350.37 9.535 0.035 120
5.01 - 10.00 250 2,437,936.15 1.24 9,751.74 9.591 0.094 120
10.01 - 15.00 204 3,406,739.63 1.73 16,699.70 9.639 0.144 120
15.01 - 20.00 195 3,938,185.78 2.01 20,195.82 9.675 0.18 120
20.01 - 25.00 131 3,748,141.60 1.91 28,611.77 9.61 0.11 120
25.01 - 30.00 137 4,743,986.40 2.42 34,627.64 9.648 0.148 120
30.01 - 35.00 99 3,572,725.32 1.82 36,088.13 9.655 0.155 120
35.01 - 40.00 126 6,326,611.70 3.22 50,211.20 9.701 0.201 120
40.01 - 45.00 122 7,036,445.02 3.58 57,675.78 9.621 0.134 120
45.01 - 50.00 111 6,526,694.86 3.32 58,799.05 9.644 0.144 120
50.01 - 55.00 117 8,201,049.68 4.18 70,094.44 9.667 0.167 120
55.01 - 60.00 97 4,846,248.49 2.47 49,961.32 9.814 0.314 120
60.01 - 65.00 89 5,860,518.61 2.98 65,848.52 9.763 0.276 120
65.01 - 70.00 87 7,383,876.09 3.76 84,872.14 9.702 0.202 120
70.01 - 75.00 94 9,292,957.39 4.73 98,861.25 9.704 0.204 120
75.01 - 80.00 75 6,889,226.34 3.51 91,856.35 9.782 0.287 120
80.01 - 85.00 87 8,993,179.46 4.58 103,369.88 9.706 0.203 120
85.01 - 90.00 125 13,964,243.46 7.11 111,713.95 9.745 0.245 120
90.01 - 95.00 136 12,900,077.86 6.57 94,853.51 9.752 0.252 120
95.01 - 100.00 641 72,227,409.85 36.78 112,679.27 9.803 0.31 120
100.01 - 105.00 26 2,599,209.87 1.32 99,969.61 9.859 0.416 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Credit Stated Weighted Original Aggregate Average Credit Percent Percent
Utilization Remaining Average Combined Credit Credit Utilization Cashout Owner
Ratio(%) Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.01 - 5.00 118 2 71.92 54,095,436.00 196,710.68 2.72 2 94.4
5.01 - 10.00 117.1 2.9 73.15 30,547,683.00 122,190.73 7.98 0.3 96.5
10.01 - 15.00 116.7 3.3 75.01 27,544,897.00 135,024.00 12.37 2.1 97.9
15.01 - 20.00 117.1 2.9 73.62 22,349,108.00 114,610.81 17.62 3.8 93.9
20.01 - 25.00 117.3 2.7 73.33 16,730,972.00 127,717.34 22.4 1.4 97.3
25.01 - 30.00 117.3 2.7 77.95 17,147,123.00 125,161.48 27.67 2 91.6
30.01 - 35.00 117.1 2.9 69.64 11,029,631.00 111,410.41 32.39 0.9 98.9
35.01 - 40.00 117.3 2.7 72.29 16,765,236.00 133,057.43 37.74 0 94.8
40.01 - 45.00 116.4 3.6 75.76 16,566,535.00 135,791.27 42.47 0 97.9
45.01 - 50.00 117.1 2.9 76.97 13,641,245.00 122,894.10 47.85 3.3 97.7
50.01 - 55.00 116.1 3.9 75.68 15,575,681.00 133,125.48 52.65 1.3 90.2
55.01 - 60.00 117.2 2.8 70.64 8,487,235.00 87,497.27 57.1 3.5 92.3
60.01 - 65.00 115.3 4.7 74.18 9,387,406.00 105,476.47 62.43 0 75.5
65.01 - 70.00 116.3 3.7 72.15 10,906,873.00 125,366.36 67.7 1.1 87.9
70.01 - 75.00 117.6 2.4 72.38 12,898,401.00 137,217.03 72.05 0.2 93.3
75.01 - 80.00 115.9 4.1 75.3 8,900,004.00 118,666.72 77.41 6.7 97.6
80.01 - 85.00 116.5 3.5 79.4 10,833,039.00 124,517.69 83.02 0 93.4
85.01 - 90.00 117.5 2.5 79.9 15,904,334.00 127,234.67 87.8 7.3 88.6
90.01 - 95.00 117.2 2.8 79.13 13,891,876.00 102,146.15 92.86 0 89.2
95.01 - 100.00 115.9 4.1 79.25 73,075,618.65 114,002.53 98.84 1.4 90
100.01 - 105.00 117.9 2.1 62.33 2,593,975.00 99,768.27 100.2 0 94.4
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 0.47
Maximum: 102.56
Weighted Average: 48.03
Top
<TABLE>
<CAPTION>
8. Combined Original Loan-to-Value Ratio (%)
Weighted
% of Average Weighted
Combined Number of Aggregate Aggregate Average Weighted Margin Average
Original Mortgage Principal Principal Current Average (ARMs Original
Loan-to-Value Ratio (%) Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
0.01 - 5.00 1 25,000.00 0.01 25,000.00 11.125 1.625 120
5.01 - 10.00 4 178,740.58 0.09 44,685.15 9.804 0.304 120
10.01 - 15.00 16 430,978.61 0.22 26,936.16 9.92 0.42 120
15.01 - 20.00 18 720,784.69 0.37 40,043.59 9.643 0.212 120
20.01 - 25.00 26 1,002,809.39 0.51 38,569.59 9.738 0.238 120
25.01 - 30.00 35 1,647,826.87 0.84 47,080.77 9.644 0.144 120
30.01 - 35.00 50 2,197,622.88 1.12 43,952.46 9.729 0.229 120
35.01 - 40.00 47 2,537,154.68 1.29 53,982.01 9.648 0.148 120
40.01 - 45.00 69 2,911,726.35 1.48 42,198.93 9.584 0.084 120
45.01 - 50.00 99 6,097,583.53 3.11 61,591.75 9.674 0.174 120
50.01 - 55.00 96 3,691,550.36 1.88 38,453.65 9.83 0.33 120
55.01 - 60.00 123 5,539,562.65 2.82 45,037.09 9.684 0.184 120
60.01 - 65.00 155 11,908,236.49 6.06 76,827.33 9.603 0.103 120
65.01 - 70.00 185 11,104,122.98 5.65 60,022.29 9.652 0.156 120
70.01 - 75.00 226 16,770,282.02 8.54 74,204.79 9.664 0.175 120
75.01 - 80.00 328 22,718,009.09 11.57 69,262.22 9.807 0.319 120
80.01 - 85.00 440 25,536,637.75 13 58,037.81 9.695 0.203 120
85.01 - 90.00 1,255 76,724,920.25 39.07 61,135.39 9.762 0.264 120
90.01 - 95.00 17 2,669,589.46 1.36 157,034.67 9.738 0.238 120
95.01 - 100.00 32 1,858,867.42 0.95 58,089.61 11.465 1.965 120
105.01 - 110.00 1 89,785.83 0.05 89,785.83 9.5 0 120
110.01 >= 1 5,024.75 0 5,024.75 9.5 3.75 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Combined Stated Weighted Original Aggregate Average Credit Percent Percent
Original Remaining Average Combined Credit Credit Utilization Cashout Owner
Loan-to-Value Ratio(%) Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C<
0.01 - 5.00 117 3 4.72 25,000.00 25,000.00 100 100 100
5.01 - 10.00 118.2 1.8 8.48 324,000.00 81,000.00 55.17 0 79.6
10.01 - 15.00 117.9 2.1 13.25 1,294,250.00 80,890.63 33.3 0 100
15.01 - 20.00 117.4 2.6 17.16 1,552,000.00 86,222.22 46.44 0 96.5
20.01 - 25.00 115.5 4.5 23.07 2,877,000.00 110,653.85 34.86 3.3 75.4
25.01 - 30.00 117.8 2.2 27.7 3,672,000.00 104,914.29 44.88 3.6 98.5
30.01 - 35.00 117.2 2.8 32.59 5,540,000.00 110,800.00 39.67 3.4 91.8
35.01 - 40.00 118.4 1.6 36.78 6,210,000.00 132,127.66 40.86 5.7 99
40.01 - 45.00 117 3 42.38 7,608,000.00 110,260.87 38.27 0.3 96.8
45.01 - 50.00 117.9 2.1 47.77 13,576,999.00 137,141.40 44.91 0.2 94.4
50.01 - 55.00 117.1 2.9 52.73 9,930,935.25 103,447.24 37.17 0.3 97.1
55.01 - 60.00 116.9 3.1 57.45 13,271,000.00 107,894.31 41.74 5.8 96.7
60.01 - 65.00 115.6 4.4 63 30,658,000.00 197,793.55 38.84 3.2 96.7
65.01 - 70.00 116.9 3.1 67.47 25,082,100.00 135,578.92 44.27 3.3 90
70.01 - 75.00 114.8 5.2 73.16 37,345,172.00 165,244.12 44.91 3.1 74
75.01 - 80.00 116.1 3.9 78.15 43,590,940.00 132,899.21 52.12 4.7 90.8
80.01 - 85.00 114.7 5.3 83.42 55,612,157.00 126,391.27 45.92 0.1 94
85.01 - 90.00 117.6 2.4 88.94 144,172,341.40 114,878.36 53.22 0.6 93.1
90.01 - 95.00 114.5 5.5 91.61 3,822,350.00 224,844.12 69.84 0 97.3
95.01 - 100.00 115.3 4.7 97.99 2,383,064.00 74,470.75 78 0 56.9
105.01 - 110.00 116 4 108.56 275,000.00 275,000.00 32.65 0 100
110.01 >= 114 6 124.3 50,000.00 50,000.00 10.05 0 100
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 4.72
Maximum: 124.30
Weighted Average by Credit Limit: 75.14
Top
<TABLE>
<CAPTION>
9. Product
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
Product Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
Arm 10 Year/IO 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
Product Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Arm 10 Year/IO 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Top
---
<TABLE>
<CAPTION>
10. Adjustment Type
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
Adjustment Type Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
ARM 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
Adjustment Type Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ARM 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Top
---
11. Index
<TABLE>
<CAPTION>
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
Index Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
Prime Rate -WSJ 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
Index Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Prime Rate -WSJ 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Top
---
<TABLE>
<CAPTION>
12. Seasoning
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
Seasoning Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
0 498 20,133,655.44 10.25 40,429.03 9.759 0.259 120
03-Jan 2,041 117,261,355.74 59.72 57,452.89 9.763 0.268 120
06-Apr 373 30,522,557.55 15.54 81,829.91 9.614 0.122 120
09-Jul 156 13,529,653.63 6.89 86,728.55 9.68 0.18 120
12-Oct 84 7,597,497.20 3.87 90,446.40 9.86 0.36 120
13 - 15 70 7,205,540.58 3.67 102,936.29 9.778 0.278 120
16 - 18 1 17,824.05 0.01 17,824.05 10.5 1 120
22 - 24 1 98,732.44 0.05 98,732.44 15.49 5.99 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
Seasoning Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0 120 0 73.58 68,614,463.00 137,780.05 29.34 3.5 94.4
03-Jan 117.9 2.1 76.42 222,817,256.65 109,170.63 52.63 1.7 94.4
06-Apr 115.4 4.6 81.8 64,983,777.00 174,219.24 46.97 1.9 84.4
09-Jul 112 8 76.13 28,097,159.00 180,109.99 48.15 0.2 91.9
12-Oct 109.5 10.5 76.28 11,789,907.00 140,356.04 64.44 1 74
13 - 15 105.8 14.2 71.63 12,323,996.00 176,057.09 58.47 2 81.2
16 - 18 103 17 84.98 147,000.00 147,000.00 12.13 0 100
22 - 24 97 23 75.49 98,750.00 98,750.00 99.98 0 100
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 0
Maximum: 23
Weighted Average: 3.5
Top
---
<TABLE>
<CAPTION>
13. Remaining Term to Stated Maturity
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Remaining Term Mortgage Principal Principal Current Average (ARMs Original
to Stated Maturity Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
97 - 99 1 98,732.44 0.05 98,732.44 15.49 5.99 120
103 - 105 18 2,619,665.39 1.33 145,536.97 9.661 0.161 120
106 - 108 74 5,480,395.30 2.79 74,059.40 9.934 0.434 120
109 - 111 97 12,146,729.00 6.19 125,224.01 9.738 0.238 120
112 - 114 168 13,659,661.45 6.96 81,307.51 9.631 0.132 120
115 - 117 1,074 66,478,109.19 33.85 61,897.68 9.719 0.226 120
118 - 120 1,792 95,883,523.86 48.83 53,506.43 9.757 0.262 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Term Remaining Average Combined Credit Credit Utilization Cashout Owner
to Stated Maturity Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97 - 99 97 23 75.49 98,750.00 98,750.00 99.98 0 100
103 - 105 105 15 65.29 3,155,500.00 175,305.56 83.02 0 99.1
106 - 108 106.6 13.4 74.78 10,769,721.00 145,536.77 50.89 3.2 74.9
109 - 111 110.3 9.7 76.62 19,036,811.00 196,255.78 63.81 0.4 76.2
112 - 114 113.2 6.8 79.19 29,952,993.00 178,291.63 45.6 0.3 86.4
115 - 117 116.5 3.5 79.43 127,637,223.40 118,842.85 52.08 2.1 92.8
118 - 120 118.7 1.3 75.02 218,221,310.25 121,775.28 43.94 1.9 93.7
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 97
Maximum: 120
Weighted Average: 116.5
Top
---
<TABLE>
<CAPTION>
14. Year of Origination
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
Year of Origination Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
1998 1 98,732.44 0.05 98,732.44 15.49 5.99 120
1999 316 28,484,055.07 14.51 90,139.41 9.755 0.255 120
2000 2,907 167,784,029.12 85.44 57,717.24 9.735 0.24 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
Year of Origination Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1998 97 23 75.49 98,750.00 98,750.00 99.98 0 100
1999 109.8 10.2 74.93 52,768,562.00 166,989.12 53.98 0.9 84.3
2000 117.7 2.3 77.08 356,004,996.65 122,464.74 47.13 1.9 92.6
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 1998-08-01
Maximum: 2000-07-31
Weighted Average: 2000-03-26
Top
---
15. Maturity Date
<TABLE>
<CAPTION>
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Maturity Mortgage Principal Principal Current Average (ARMs Original
Date Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
2008 1 98,732.44 0.05 98,732.44 15.49 5.99 120
2009 244 23,584,772.34 12.01 96,658.90 9.773 0.273 120
2010 2,979 172,683,311.85 87.94 57,966.87 9.733 0.238 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Maturity Remaining Average Combined Credit Credit Utilization Cashout Owner
Date Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
2008 97 23 75.49 98,750.00 98,750.00 99.98 0 100
2009 109.1 10.9 74.64 41,986,702.00 172,076.65 56.17 1.1 81.6
2010 117.6 2.4 77.06 366,786,856.65 123,124.15 47.08 1.9 92.7
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 2008-09-07
Maximum: 2010-09-04
Weighted Average: 2010-05-03
Top
---
16. Geographic Distribution by Balance
<TABLE>
<CAPTION>
Weighted
% of Average Weighted
Geographic Number of Aggregate Aggregate Average Weighted Margin Average
Distribution Mortgage Principal Principal Current Average (ARMs Original
by Balance Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
California-Southern 610 43,934,623.90 22.37 72,023.97 9.692 0.193 120
California-Northern 536 35,162,645.53 17.91 65,601.95 9.621 0.121 120
New York 218 14,208,521.45 7.24 65,176.70 9.848 0.355 120
Florida 173 13,484,662.31 6.87 77,946.02 9.76 0.259 120
New Jersey 176 12,399,720.64 6.31 70,452.96 9.683 0.194 120
Massachusetts 89 7,652,206.80 3.9 85,979.85 9.66 0.16 120
Illinois 130 5,876,212.02 2.99 45,201.63 9.881 0.381 120
Georgia 88 5,646,722.25 2.88 64,167.30 9.776 0.3 120
Colorado 101 5,513,844.61 2.81 54,592.52 9.703 0.233 120
Michigan 108 5,283,658.27 2.69 48,922.76 9.761 0.278 120
Other 995 47,203,998.85 24.04 47,441.20 9.847 0.351 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Geographic Stated Weighted Original Aggregate Average Credit Percent Percent
Distribution Remaining Average Combined Credit Credit Utilization Cashout Owner
by Balance Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
California-Southern 116.2 3.8 78.52 94,103,365.00 154,267.81 46.69 0.7 94.3
California-Northern 116.9 3.1 75.78 87,573,498.00 163,383.39 40.15 0.7 94.8
New York 116.2 3.8 72.24 24,682,628.00 113,223.06 57.56 2.8 86.8
Florida 116.3 3.7 72.39 22,107,672.00 127,790.01 61 2.9 82.2
New Jersey 116.5 3.5 76.69 24,458,438.00 138,968.40 50.7 2.6 98.1
Massachusetts 116.2 3.8 79.1 12,579,208.00 141,339.42 60.83 0 56.4
Illinois 117.1 2.9 76.83 11,954,967.00 91,961.28 49.15 0.5 99.1
Georgia 116.5 3.5 79.68 9,673,422.00 109,925.25 58.37 10.9 84.2
Colorado 117 3 76.27 11,517,103.40 114,030.73 47.88 4.4 86.8
Michigan 117 3 77.31 11,027,984.00 102,110.96 47.91 1.5 96.6
Other 116.7 3.3 77.77 99,194,023.25 99,692.49 47.59 1.8 93.9
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Number of States Represented: 48
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---
<TABLE>
<CAPTION>
17. Property Type
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
Property Type Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
Single Family Residence 2,693 154,364,924.64 78.61 57,320.80 9.752 0.256 120
PUD 258 19,065,859.07 9.71 73,898.68 9.679 0.179 120
Other 101 12,206,480.44 6.22 120,856.24 9.632 0.136 120
Condo 172 10,729,552.48 5.46 62,381.12 9.819 0.333 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
Property Type Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Single Family Residence 116.6 3.4 75.97 335,524,140.25 124,591.21 46.01 2.1 93.4
PUD 116.9 3.1 80.94 35,815,854.40 138,821.14 53.23 0.3 89.5
Other 115.9 4.1 76.88 18,379,898.00 181,979.19 66.41 0.4 86.8
Condo 116.2 3.8 80.72 19,152,416.00 111,351.26 56.02 0.8 70.5
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
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<TABLE>
<CAPTION>
18. Occupancy
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
Occupancy Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
Primary 3,076 179,447,729.41 91.38 58,338.01 9.741 0.244 120
Second Home 103 13,412,154.30 6.83 130,215.09 9.605 0.108 120
Investment 45 3,506,932.92 1.79 77,931.84 10.247 0.839 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
Occupancy Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Primary 116.7 3.3 76.67 380,795,421.65 123,795.65 47.12 1.8 100
Second Home 114.6 5.4 78.3 22,522,537.00 218,665.41 59.55 1 0
Investment 116.7 3.3 76.07 5,554,350.00 123,430.00 63.14 4.3 0
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
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---
<TABLE>
<CAPTION>
19. Lien Position
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Lien Mortgage Principal Principal Current Average (ARMs Original
Position Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
1 618 52,485,134.11 26.73 84,927.40 9.612 0.117 120
2 2,606 143,881,682.52 73.27 55,211.70 9.788 0.292 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Lien Remaining Average Combined Credit Credit Utilization Cashout Owner
Position Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 116.7 3.3 67.55 106,209,922.25 171,860.72 49.42 6.7 81
2 116.5 3.5 80.13 302,662,386.40 116,140.59 47.54 0 95.2
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
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<TABLE>
<CAPTION>
20. FICO Score
Weighted
% of Average Weighted
Number of Aggregate Aggregate Average Weighted Margin Average
Mortgage Principal Principal Current Average (ARMs Original
FICO Score Loans Balance Balance Balance Coupon only) Term
<S> <C> <C> <C> <C> <C> <C> <C>
0 4 408,564.63 0.21 102,141.16 9.536 0.036 120
501 - 525 3 303,101.71 0.15 101,033.90 9.613 0.113 120
526 - 550 16 1,250,622.40 0.64 78,163.90 9.87 0.49 120
551 - 575 25 1,132,414.68 0.58 45,296.59 10.114 0.739 120
576 - 600 93 5,026,561.03 2.56 54,049.04 10.363 0.87 120
601 - 625 140 11,595,986.84 5.91 82,828.48 9.954 0.456 120
626 - 650 142 10,777,376.47 5.49 75,897.02 9.782 0.282 120
651 - 675 309 17,471,057.87 8.9 56,540.64 9.918 0.419 120
676 - 700 482 31,794,110.20 16.19 65,962.88 9.751 0.253 120
701 - 725 535 29,853,783.05 15.2 55,801.46 9.735 0.241 120
726 - 750 511 35,485,915.32 18.07 69,444.06 9.639 0.139 120
751 - 775 487 25,661,857.54 13.07 52,693.75 9.626 0.132 120
776 - 800 406 23,039,159.10 11.73 56,746.70 9.606 0.111 120
801 - 825 69 2,492,540.22 1.27 36,123.77 9.69 0.19 120
826 - 850 2 73,765.57 0.04 36,882.79 10.25 0.75 120
Total: 3,224 196,366,816.63 100 60,907.82 9.741 0.245 120
</TABLE>
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Stated Weighted Original Aggregate Average Credit Percent Percent
Remaining Average Combined Credit Credit Utilization Cashout Owner
FICO Score Term Seasoning LTV Limit Limit Ratio Refi Occupied
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0 117.1 2.9 75.76 580,000.00 145,000.00 70.44 0 100
501 - 525 112.8 7.2 46.65 312,000.00 104,000.00 97.15 0 39.2
526 - 550 116.1 3.9 78.72 1,415,906.00 88,494.13 88.33 0 96
551 - 575 112.7 7.3 79.15 1,627,038.00 65,081.52 69.6 0 98.5
576 - 600 112.2 7.8 75.13 6,312,041.00 67,871.41 79.63 0.6 89.8
601 - 625 115.2 4.8 74.82 13,464,354.00 96,173.96 86.12 7.2 92.8
626 - 650 117 3 80.09 14,918,839.25 105,062.25 72.24 0.3 92.9
651 - 675 117.9 2.1 79.11 32,284,760.00 104,481.42 54.12 1.1 97
676 - 700 117.2 2.8 77.99 53,318,182.40 110,618.64 59.63 1.3 96.3
701 - 725 116 4 76.48 65,269,959.00 121,999.92 45.74 0.6 94.1
726 - 750 116.4 3.6 77.99 78,770,606.00 154,149.91 45.05 0.9 82.8
751 - 775 116.5 3.5 76.89 70,670,693.00 145,114.36 36.31 0.9 90.2
776 - 800 117 3 72.18 61,568,637.00 151,646.89 37.42 5.2 89.8
801 - 825 117.4 2.6 71.72 8,259,293.00 119,699.90 30.18 2.8 96.6
826 - 850 118.7 1.3 75.13 100,000.00 50,000.00 73.77 0 33.9
Total: 116.5 3.5 76.77 408,872,308.65 126,821.44 48.03 1.8 91.4
</TABLE>
Minimum: 503
Maximum: 837
Weighted Average: 710.2
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