SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----------------
F O R M 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): July 29, 1998
The CIT Group Securitization Corporation III
The CIT Group, Inc.
(Exact name of registrant as specified in its charter)
Delaware
(State or other jurisdiction of incorporation)
333-22283 51-0374926
333-22283-01 13-2994534
(Commission File Number) (IRS Employer Identification No.)
650 CIT Drive
Livingston,New Jersey 07039-0491
1211 Avenue of the Americas
New York, New York 10036
(Address of principal executive offices and zip code)
(973) 740-5000
(212) 536-1950
Registrants' telephone number, including area code:
N/A
(Former name or former address, if changed since last report)
<PAGE>
Item 7. Financial Statements and Exhibits.
(c) Exhibits.
The following are filed herewith. The exhibit numbers correspond with Item
601(b) of Regulation S-K.
Exhibit No. Description
---------- -----------
99.1 Computational Materials
SIGNATURE
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.
THE CIT GROUP SECURITIZATION
CORPORATION III
By:/s/ Frank Garcia
--------------------------------
Name: Frank Garcia
Title: Vice President
THE CIT GROUP, INC.
By:/s/ Frank Garcia
--------------------------------
Name: Frank Garcia
Title: Vice President
Dated: July 31, 1998
Revised
Computational Materials
$341,424,000
CIT HOME EQUITY LOAN TRUST 1998-1
Home Equity Loan ABS
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[logo] Credit Suisse/First Boston
<PAGE>
- --------------------------------------------------------------------------------
First Chicago
Capital Markets, Inc.
- --------------------------------------------------------------------------------
Computational Materials
$341,424,000
CIT HOME EQUITY LOAN TRUST 1998-1
Home Equity Loan ABS
The analysis above has been prepared solely for informational purposes and is
not an offer to by or sell or a solicitation of an offer to by or sell any
security or instrument or to participate in any particular trading strategy.
First Chicago Capital Markets, Inc. ("FCCM") and others associated with it may
have positions in, and may effect transactions in securities and instruments of
the issuer mentioned herein and may also perform or seek to perform investment
banking services for the issuer of such securities and instruments. The
information provided above is based on or derived from information provided by
the issuer. No representation is made that it is accurate or complete. FCCM
makes no representations that the above referenced security will actually
perform as described in any scenario presented. This structural termsheet
supersedes any previous structural termsheets and will be superseded by the
information in the final prospectus supplement.
[logo] First Chicago Capital Markets, Inc.
<PAGE>
MORGAN STANLEY DEAN WITTER [logo] July 28, 1998
Asset Finance Group
ABS/MBS Capital Markets
Computational Materials
$341,424,000
CIT HOME EQUITY LOAN TRUST 1998-1
Home Equity Loan ABS
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
$341.424 Million CIT Home Equity Loan Trust, Series 1998-1
The CIT Group/Consumer Finance, Inc.
Seller and Master Servicer
Transaction Highlights
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Payment
Class Size Expected Ratings Average Life Window(4) Day
Class(1) ($millions) Tranche Type (Moody's / S&P) (years) (3) Duration(3) (months) Count Benchmark
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 61.000 Fixed Sequential Aaa / AAA 0.50 / 0.50 0.48 / 0.48 08/98-07/99 / 11 30 / 360 5.000% 1/00
A-2 38.000 Fixed Sequential Aaa / AAA 1.25 / 1.25 1.17 / 1.17 07/99-03/00 / 8 30 / 360 5.625% 10/99
A-3 45.000 Fixed Sequential Aaa / AAA 2.00 / 2.00 1.84 / 1.84 03/00-02/01 / 11 30 / 360 6.125% 7/00
A-4 25.000 Fixed Sequential Aaa / AAA 2.98 / 2.98 2.65 / 2.65 02/01-11/02 / 21 30 / 360 6.625% 7/01
A-5 11.000 Fixed Sequential Aaa / AAA 4.98 / 4.98 4.15 / 4.15 11/02-08/04 / 23 30 / 360 5.750% 8/03
A-6 10.872 Fixed Sequential Aaa / AAA 7.36 / 10.51 5.64 / 7.17 08/04-02/28 / 282 30 / 360 6.875% 5/06
A-7 19.000 Fixed NAS Aaa / AAA 6.49 / 6.82 5.16 / 5.34 05/02-01/13 / 128 30 / 360 7.500% 2/05
A-8 51.317 Floater Aaa / AAA 2.82 / 3.07 2.44 / 2.57 08/98-03/28 / 355 Actual / 360 1-mo. LIBOR
M-1 23.046 Fixed Mezzanine Aa2 / AA 5.23 / 5.82 4.25 / 4.54 12/01-03/28 / 315 30 / 360 5.875% 2/04
M-2 19.632 Fixed Mezzanine A2 / A- 5.16 / 5.75 4.16 / 4.45 10/01-03/28 / 317 30 / 360 5.875% 2/04
B-1 11.950 Fixed Subordinate Baa2 / BBB- 5.14 / 5.73 4.07 / 4.34 09/01-03/28 / 318 30 / 360 5.875% 2/04
B-2(2) 10.242 Fixed Subordinate Ba2 / BB -- -- -- -- --
B-3(2) 6.829 Fixed Subordinate B2 / B -- -- -- -- --
B-4(2) 8.536 Fixed Subordinate Unrated -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total $341.424 -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) All certificates are backed by a fixed- and adjustable-rate pool of home
equity loans.
(2) Classes B-2, B-3, and B-4 are not being offered.
(3) Average life and duration shown to 10% call, followed by maturity. See
"Prepayment Speed" below.
(4) Payment windows are shown to maturity.
Seller and
Master Servicer: The CIT Group / Consumer Finance, Inc.
Trustee: The Bank of New York
Collateral: Fixed and floating-rate home equity loans
secured by first and subordinate lien mortgages.
See "Collateral Description" within for more
detail.
Prepayment Speed:
Fixed-Rate Certificates: All classes are priced at a prepayment speed of
120% PPC which describes prepayments starting at
4.8% CPR in month 1, increasing by approximately
1.745% CPR per month to 24% CPR in month 12, and
remaining at 24% CPR thereafter.
Floating-Rate Certificates: Constant 27% CPR.
Expected Pricing Date: Friday, July 31, 1998
Expected Settlement: Monday, August 10, 1998, through DTC, Euroclear
and CEDEL.
Distribution Dates: The 15th of each month, beginning August 17,
1998
Fixed Rate Class Available All of the fixed rate certificates are subject
Funds Cap: to an available funds cap. The cap is calculated
as the weighted average net coupon on the
mortgage loans less the Master Servicing Fee
less certain component strip rates TBD.
Adjustable Rate Class Maximum The class A-8 adjustable rate class is subject
Variable Rate: due to this available funds cap WILL NOT be
carried forward.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Transaction Highlights
(continued)
Credit Enhancement: The class A certificates will be credit enhanced
through subordination of the class M-1 through
B-4 certificates. There will be no
overcollateralization in the transaction.
Realized losses will be allocated in reverse
sequential order beginning with the unrated B-4
Class.
Unpaid Interest: Any interest due but not paid is carried forward
and paid in future periods to the extent
interest funds are available. Any interest
carried forward amount WILL earn interest at the
current certificate rate.
Optional Termination: Optional clean-up call at 10% of original
aggregate mortgage loan principal balance,
followed by a 5% mandatory auction call if the
clean up call is not exercised.
Coupon Step Up: After the Clean-up Date and should the 10%
Clean-up Call not be exercised, the coupon on
the class A-6 will increase by 0.75% and the
spread to LIBOR on Class A-8 will double as an
incentive for CIT to call the bonds.
Tax Status: REMIC
ERISA Eligibility: The senior certificates are ERISA eligible; All
other Certificate Classes are NOT ERISA
eligible.
SMMEA Eligibility: None of the certificates are SMMEA eligible.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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 Interest Collections will by distributed in the following priority (note
that the Class B-2, B-3, and B-4 certificates are not being offered
hereby):
1) Current interest and any interest carry forward amount (plus
interest on this amount) to the class A certificates and Class IO
certificates, pari passu;
2) Current interest to the class M-1 certificates;
3) Current interest to the class M-2 certificates;
4) Current interest to the class B-1 certificates;
5) Current interest to the class B-2 certificates;
6) Current interest to the class B-3 certificates;
7) Current interest to the class B-4 certificates;
8) Pay Master Servicing Fee;
9) Any excess to holder of the Class R certificates;
o Principal Collections before the step-down date or during a trigger event
will be allocated as follows: Class A Principal Distribution Amount:
1. To class A-8 floating rate certificates, a principal distribution
amount sufficient to reduce the class A-8 balance to the ARM
collateral ending balance;
2. To the Class A-7 certificates according to its schedule:
August 1998 - July 2001 0%
August 2001 - July 2003 45%
August 2003 - July 2004 80%
August 2004 - July 2005 100%
August 2005 and thereafter 300%
3. Sequentially to Classes A-1 through A-6; 4. To Class A-7 until
reduced to zero; 5. To Class A-8 until reduced to zero;
o Principal Collections after the step-down date or if no trigger event is
in effect will be allocated as follows: Subordinate Class Principal
Distribution Amount:
1. M-1 principal distribution to class M-1;
2. M-2 principal distribution to class M-2;
3. B-1 principal distribution to class B-1;
4. B-2 principal distribution to class B-2;
5. B-3 principal distribution to class B-3;
6. B-4 principal distribution to class B-4;
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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
(continued)
o Step-Down Date.
-- The step-down date is the earlier to occur of (i) the later to occur
of (x) the distribution date in August 2001 and (y) the first
distribution date on which the percentage of subordinate classes is
greater than or equal to [ %] (the "Senior Enhancement Percentage")
and (ii) the distribution date on which the Class A certificates has
been reduced to zero.
o Loan Trigger Events.
A trigger event will occur if the percentage of 60-day or more
delinquent loans equals or exceeds a specified percentage of the
Senior Specified Enhancement Percentage (47%) in which case no
step-down will occur.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Collateral Description
The collateral pool will consist of a combination of first and junior lien home
equity loans. These loans are predominantly used by borrowers to consolidate
debt, to refinance an existing mortgage loan on more favorable terms, or to
obtain cash proceeds by borrowing against the homeowner's equity in the related
mortgage property. Approximately 55% of the home equity loans have prepayment
penalties in force to the maximum allowable on a state-by-state basis.
Combined Fixed- and Adjustable-Rate Portfolio
---------------------------------------------
Total Outstanding Balance: $341,424,511.24
Number of Loans: 5,488
Average Remaining Balance: $62,213 (range: $6,903.66 - $628,397.03)
Loan Type: o 84.97% Fixed-rate
o 15.03% Adjustable-rate
Amortization Method: o 79.34% Level Pay
o 13.46% Call Loans
o 7.20% Balloon
WA Gross Coupon: 9.86% (range: 6.95% - 17.45%)
Original Weighted Average Term: 263 months
Remaining Weighted Average Term: 259 months
Seasoning: 4 months
Lien Position: o 83.73% 1sts
o 16.27% 2nds
WA CLTV Ratio: o 78.29% (100.36% max.)
Documentation: o 88.37% Full
o 11.63% Other
Property Type: o 92.40% Single family
o 4.32% 2-4 family
o 3.22% Condo
o 0.05% Townhouses
Owner Occupancy: o 95.08% Owner occupied
o 4.92% Non-owner occupied
Loan Purpose: o 88.85% Refinance and/or Cashout
o 11.15% Purchase
Geographic Distribution > 5%: CA (10.06%), OH (9.13%), FL (7.29%),
PA (6.74%), IN (6.40%), NY (5.05%)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Collateral Description
(continued)
<TABLE>
<CAPTION>
Fixed-Rate Portfolio Adjustable-Rate Portfolio
-------------------- -------------------------
<S> <C> <C>
Total Outstanding Balance: $290,107,437.54 $51,317,073.70
Number of Loans: 4,908 580
Average Remaining Balance: $59,109 (range: $6,903.66 - $88,478 (range: $9,757.88 -
$628,397.03) $456,921.36)
Loan Type: 0 44.36% Fixed - 30 Year o 44.63% ARM - 2 Year / 1 Year
0 32.42% Fixed - 15 Year o 26.21% ARM - 2 Year / 6 Month
0 14.75% Fixed - Call o 12.23% ARM - 3 Year / 1 Year
0 8.47% Balloon - 15/30 o 5.10% ARM - 1 Year
o 4.94% ARM - 2 Year / 1 Year Call
o 6.89% Other
Amortization Method: o 8.47% Balloon o 93.88% Level Pay
o 76.78% Level Pay o 6.12% Call Loan
o 14.75% Call Loan
WA Gross Coupon: 9.90% (range: 6.95% - 17.45%) 9.64% (range: 7.05% - 13.99%)
WA Gross Margin / WA Life Cap: N/A 6.02% / 15.67%
WA Periodic Interest Rate Caps: N/A 1.76%
WA Months to Roll: N/A 19 months
Original Weighted Average Term: 248 months 344 months
Remaining Weighted Average Term: 245 months 341 months
Seasoning: 4 months 4 months
Lien Position: o 81.17% 1sts o 98.19% 1sts
o 18.83% 2nds o 1.81% 2nds
WA CLTV Ratio: 77.95% (100.36% max.) 80.20% (96.98% max.)
Documentation: o 89.70% Full o 80.88% Full
o 10.30% Other o 19.12% Other
Property Type: o 92.27% Single family o 93.12% Single family
o 4.50% 2-4 family o 3.53% Condo
o 3.17% Condo o 3.35% 2-4 family
o 0.06% Townhouses
Owner Occupancy: o 94.76% Owner occupied o 96.90% Owner occupied
o 5.24% Non-owner occupied o 3.10% Non-owner occupied
Loan Purpose: o 90.75% Refinance and/or Cashout o 78.06% Refinance and/or Cashout
o 9.25% Purchase o 21.94% Purchase
Geographic Distribution > 5%: CA (9.99%), PA (7.58%), FL (7.38%), OH (22.04%), CA (10.50%), FL (6.77%),
OH (6.85%), IN (6.61%), NY (5.74%) IL (6.46%), AZ (5.84%), MI (5.70%),
IN (5.19%)
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Collateral Description
(continued)
Fixed Portfolio
- --------------------------------------------------------------------------------
1. Current Balance
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Current Balance Loans Balance Balance Coupon Balance CLTV Doc Occupied
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 - 10,000 28 259,266.75 0.09 11.757 9,260 79.502 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
10,001 - 20,000 502 7,907,580.20 2.73 11.082 15,752 73.347 94.59 95.30
----------------------------------------------------------------------------------------------------------------------------
20,001 - 30,000 775 19,625,599.63 6.76 10.892 25,323 75.189 91.54 96.11
----------------------------------------------------------------------------------------------------------------------------
30,001 - 40,000 752 26,710,018.98 9.21 10.749 35,519 76.261 93.67 92.57
----------------------------------------------------------------------------------------------------------------------------
40,001 - 50,000 689 31,099,563.49 10.72 10.282 45,137 76.346 92.31 92.97
----------------------------------------------------------------------------------------------------------------------------
50,001 - 60,000 503 27,611,344.13 9.52 10.158 54,893 77.277 91.29 93.62
----------------------------------------------------------------------------------------------------------------------------
60,001 - 70,000 347 22,580,453.21 7.78 9.950 65,073 78.075 91.38 95.77
----------------------------------------------------------------------------------------------------------------------------
70,001 - 80,000 301 22,505,194.63 7.76 9.600 74,768 79.444 93.09 95.57
----------------------------------------------------------------------------------------------------------------------------
80,001 - 90,000 207 17,576,738.82 6.06 9.791 84,912 78.517 86.86 94.68
----------------------------------------------------------------------------------------------------------------------------
90,001 - 100,000 170 16,151,798.79 5.57 9.447 95,011 78.015 89.29 97.69
----------------------------------------------------------------------------------------------------------------------------
100,001 - 120,000 232 25,417,287.37 8.76 9.636 109,557 79.523 89.40 94.83
----------------------------------------------------------------------------------------------------------------------------
120,001 - 140,000 117 15,203,223.27 5.24 9.425 129,942 80.455 93.31 93.23
----------------------------------------------------------------------------------------------------------------------------
140,001 - 160,000 98 14,628,120.22 5.04 9.432 149,267 78.125 76.42 97.99
----------------------------------------------------------------------------------------------------------------------------
160,001 - 180,000 50 8,463,617.15 2.92 9.215 169,272 80.603 81.80 95.98
----------------------------------------------------------------------------------------------------------------------------
180,001 - 200,000 38 7,282,875.49 2.51 9.487 191,655 80.412 81.45 97.40
----------------------------------------------------------------------------------------------------------------------------
200,001 - 220,000 27 5,653,719.63 1.95 8.869 209,397 78.053 84.88 92.69
----------------------------------------------------------------------------------------------------------------------------
220,001 - 240,000 19 4,345,550.54 1.50 8.956 228,713 80.440 89.34 94.82
----------------------------------------------------------------------------------------------------------------------------
240,001 - 260,000 12 2,972,515.14 1.02 9.251 247,710 79.780 83.27 100.00
----------------------------------------------------------------------------------------------------------------------------
260,001 - 280,000 10 2,692,628.60 0.93 9.037 269,263 82.940 79.58 90.02
----------------------------------------------------------------------------------------------------------------------------
280,001 - 300,000 5 1,454,702.73 0.50 8.688 290,941 84.516 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
300,001 - 320,000 5 1,524,637.31 0.53 8.829 304,927 73.504 59.83 100.00
----------------------------------------------------------------------------------------------------------------------------
320,001 - 340,000 4 1,337,509.92 0.46 8.879 334,377 79.746 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
340,001 - 360,000 3 1,055,545.53 0.36 8.902 351,849 79.560 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
360,001 - 380,000 5 1,828,910.14 0.63 8.973 365,782 78.963 59.95 80.15
----------------------------------------------------------------------------------------------------------------------------
380,001 - 400,000 4 1,568,719.79 0.54 8.541 392,180 76.434 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
400,001 >= 5 2,650,316.08 0.91 8.609 530,063 77.860 100.00 83.34
----------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 6,903.66
Max: 628,397.03
Average: 59,109.09
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
2. Current Coupon
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Current Coupon Loans Balance Balance Coupon Balance CLTV Doc Occupied
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
6.501 - 7.000 5 321,129.25 0.11 6.990 64,226 66.279 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 106 11,298,387.18 3.89 7.408 106,589 74.982 98.21 99.82
----------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 293 25,353,078.52 8.74 7.896 86,529 73.886 94.86 99.12
----------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 354 28,029,391.91 9.66 8.342 79,179 75.063 94.89 98.10
----------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 526 36,251,540.15 12.50 8.826 68,919 76.384 94.71 97.99
----------------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 528 31,792,583.24 10.96 9.332 60,213 78.440 88.89 93.59
----------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 685 45,531,237.28 15.69 9.819 66,469 79.933 89.41 89.99
----------------------------------------------------------------------------------------------------------------------------
10.001 - 10.500 461 24,799,592.00 8.55 10.349 53,795 77.699 83.02 92.50
----------------------------------------------------------------------------------------------------------------------------
10.501 - 11.000 566 28,847,432.35 9.94 10.835 50,967 78.333 80.34 92.61
----------------------------------------------------------------------------------------------------------------------------
11.001 - 11.500 313 13,884,065.23 4.79 11.323 44,358 78.579 84.08 95.40
----------------------------------------------------------------------------------------------------------------------------
11.501 - 12.000 339 14,813,046.57 5.11 11.848 43,696 81.326 84.78 93.18
----------------------------------------------------------------------------------------------------------------------------
12.001 - 12.500 202 8,628,494.40 2.97 12.347 42,715 81.551 90.68 93.49
----------------------------------------------------------------------------------------------------------------------------
12.501 - 13.000 209 8,200,231.35 2.83 12.799 39,236 82.811 91.16 96.29
----------------------------------------------------------------------------------------------------------------------------
13.001 - 13.500 71 3,061,065.63 1.06 13.316 43,114 77.708 90.31 94.77
----------------------------------------------------------------------------------------------------------------------------
13.501 - 14.000 137 4,916,150.01 1.69 13.898 35,884 85.935 92.75 98.11
----------------------------------------------------------------------------------------------------------------------------
14.001 - 14.500 45 1,913,792.21 0.66 14.211 42,529 76.861 96.71 82.16
----------------------------------------------------------------------------------------------------------------------------
14.501 - 15.000 25 929,630.86 0.32 14.807 37,185 80.084 97.44 100.00
----------------------------------------------------------------------------------------------------------------------------
15.001 - 15.500 32 1,047,366.32 0.36 15.361 32,730 85.232 94.53 100.00
----------------------------------------------------------------------------------------------------------------------------
15.501 - 16.000 4 176,275.02 0.06 15.752 44,069 68.615 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
16.001 - 16.500 3 105,466.85 0.04 16.339 35,156 53.227 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
16.501 - 17.000 2 76,563.49 0.03 16.950 38,282 60.136 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
17.001 - 17.500 2 130,917.72 0.05 17.385 65,459 65.000 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 6.950
Max: 17.450
Weighted Average Coupon: 9.898
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
3. Stated Remaining Term
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Stated Remaining Term Loans Balance Balance Coupon Balance CLTV Doc Occupied
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
49 - 60 27 649,107.14 0.22 9.743 24,041 61.002 97.75 96.71
----------------------------------------------------------------------------------------------------------------------------
61 - 72 6 218,482.29 0.08 8.846 36,414 74.187 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
73 - 84 19 482,670.17 0.17 9.468 25,404 67.880 100.00 88.34
----------------------------------------------------------------------------------------------------------------------------
85 - 96 3 108,298.47 0.04 8.943 36,099 58.252 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
97 - 108 1 49,515.13 0.02 10.880 49,515 78.580 0.00 100.00
----------------------------------------------------------------------------------------------------------------------------
109 - 120 280 8,781,554.94 3.03 9.900 31,363 69.766 95.21 97.37
----------------------------------------------------------------------------------------------------------------------------
133 - 144 6 293,301.09 0.10 9.250 48,884 80.786 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
145 - 156 3 122,426.26 0.04 8.841 40,809 67.593 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
157 - 168 3 141,418.21 0.05 9.061 47,139 91.442 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
169 - 180 3,064 150,583,285.89 51.91 10.296 49,146 78.861 88.70 95.74
----------------------------------------------------------------------------------------------------------------------------
181 - 192 1 146,623.65 0.05 7.490 146,624 77.090 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
217 - 228 2 128,530.15 0.04 10.468 64,265 69.426 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
229 - 240 358 21,461,194.20 7.40 9.653 59,947 76.902 89.98 97.79
----------------------------------------------------------------------------------------------------------------------------
289 - 300 13 1,006,472.94 0.35 8.488 77,421 79.669 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
349 - 360 1,122 105,934,557.01 36.52 9.406 94,416 77.715 90.34 92.44
----------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 54
Max: 360
Weighted Average: 245
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
- --------------------------------------------------------------------------------
4. Seasoning
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Seasoning Loans Balance Balance Coupon Balance CLTV Doc Occupied
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
2 - 3 1,383 88,811,540.54 30.61 9.538 64,217 77.275 91.14 92.88
----------------------------------------------------------------------------------------------------------------------------
4 - 6 3,257 189,410,861.48 65.29 9.962 58,155 78.092 88.80 95.55
----------------------------------------------------------------------------------------------------------------------------
7 - 12 265 11,692,853.53 4.03 11.568 44,124 80.825 93.12 96.06
----------------------------------------------------------------------------------------------------------------------------
13 - 18 3 192,181.99 0.07 10.851 64,061 80.786 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 2
Max: 16
Weighted Average: 4
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
5. Combined Original LTV
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Combined Original LTV Loans Balance Balance Coupon Balance CLTV Doc Occupied
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
5.01 - 10.00 3 45,764.67 0.02 8.418 15,255 8.614 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 12 330,268.95 0.11 8.958 27,522 13.085 75.09 100.00
----------------------------------------------------------------------------------------------------------------------------
15.01 - 20.00 16 364,612.41 0.13 10.168 22,788 17.869 60.82 95.90
----------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 24 589,901.03 0.20 9.529 24,579 23.078 92.30 97.07
----------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 28 984,737.35 0.34 9.849 35,169 28.282 95.03 76.67
----------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 45 1,490,577.66 0.51 9.649 33,124 32.325 76.48 97.33
----------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 58 2,091,854.43 0.72 9.458 36,066 37.962 83.80 95.83
----------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 66 2,901,471.21 1.00 9.944 43,962 42.938 84.82 87.23
----------------------------------------------------------------------------------------------------------------------------
45.01 - 50.00 85 3,530,447.22 1.22 9.951 41,535 47.512 87.26 93.06
----------------------------------------------------------------------------------------------------------------------------
50.01 - 55.00 97 4,814,190.60 1.66 9.415 49,631 52.501 86.11 95.99
----------------------------------------------------------------------------------------------------------------------------
55.01 - 60.00 134 5,915,894.57 2.04 9.929 44,148 57.828 75.50 96.83
----------------------------------------------------------------------------------------------------------------------------
60.01 - 65.00 198 10,461,329.62 3.61 10.067 52,835 62.830 85.88 92.40
----------------------------------------------------------------------------------------------------------------------------
65.01 - 70.00 341 19,792,563.08 6.82 10.077 58,043 68.383 85.83 87.75
----------------------------------------------------------------------------------------------------------------------------
70.01 - 75.00 511 31,396,142.81 10.82 9.795 61,441 73.540 88.01 94.65
----------------------------------------------------------------------------------------------------------------------------
75.01 - 80.00 1,064 72,707,399.64 25.06 9.623 68,334 78.677 87.90 94.22
----------------------------------------------------------------------------------------------------------------------------
80.01 - 85.00 1,016 68,159,868.55 23.49 9.603 67,086 82.586 88.82 93.61
----------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 620 37,070,556.03 12.78 9.846 59,791 87.177 96.76 99.10
----------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 200 11,241,837.50 3.88 10.643 56,209 92.549 98.24 100.00
----------------------------------------------------------------------------------------------------------------------------
95.01 - 100.00 382 15,979,808.81 5.51 12.056 41,832 99.029 100.00 99.82
----------------------------------------------------------------------------------------------------------------------------
100.01 - 101.00 8 238,211.40 0.08 12.554 29,776 100.136 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 7.69
Max: 100.36
Weighted Average: 77.95
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
6. Original LTV
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Original LTV Loans Balance Balance Coupon Balance CLTV Doc Occupied
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.01 - 5.00 8 126,883.74 0.04 11.428 15,860 82.725 73.94 100.00
----------------------------------------------------------------------------------------------------------------------------
5.01 - 10.00 154 4,065,743.74 1.40 11.032 26,401 80.021 71.46 98.60
----------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 293 8,344,149.24 2.88 10.978 28,478 79.225 76.68 99.55
----------------------------------------------------------------------------------------------------------------------------
15.01 - 20.00 380 12,028,861.67 4.15 11.473 31,655 82.819 81.82 98.49
----------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 300 10,540,773.49 3.63 11.466 35,136 82.864 89.36 98.39
----------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 190 7,195,461.35 2.48 10.887 37,871 76.639 87.39 96.67
----------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 156 6,619,429.45 2.28 10.479 42,432 73.251 83.32 98.22
----------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 130 5,605,202.29 1.93 10.336 43,117 66.116 80.37 98.45
----------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 104 4,851,313.43 1.67 10.187 46,647 57.769 84.05 91.73
----------------------------------------------------------------------------------------------------------------------------
45.01 - 50.00 100 4,253,820.86 1.47 10.146 42,538 56.763 90.59 94.24
----------------------------------------------------------------------------------------------------------------------------
50.01 - 55.00 101 5,310,332.77 1.83 9.530 52,578 56.390 87.19 96.36
----------------------------------------------------------------------------------------------------------------------------
55.01 - 60.00 112 5,097,508.33 1.76 9.839 45,513 59.885 79.36 96.92
----------------------------------------------------------------------------------------------------------------------------
60.01 - 65.00 164 9,368,412.84 3.23 10.011 57,124 63.464 89.04 92.62
----------------------------------------------------------------------------------------------------------------------------
65.01 - 70.00 270 17,276,243.13 5.96 10.016 63,986 68.723 89.75 85.97
----------------------------------------------------------------------------------------------------------------------------
70.01 - 75.00 384 27,108,410.19 9.34 9.656 70,595 73.642 90.61 94.18
----------------------------------------------------------------------------------------------------------------------------
75.01 - 80.00 839 63,664,996.63 21.95 9.530 75,882 78.744 90.92 93.65
----------------------------------------------------------------------------------------------------------------------------
80.01 - 85.00 749 58,786,052.33 20.26 9.456 78,486 82.555 91.21 92.63
----------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 355 28,021,205.20 9.66 9.470 78,933 87.045 96.53 99.23
----------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 65 6,622,197.46 2.28 9.817 101,880 92.718 97.65 100.00
----------------------------------------------------------------------------------------------------------------------------
95.01 - 100.00 54 5,220,439.40 1.80 10.342 96,675 99.124 100.00 99.45
----------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 4.29
Max: 100.00
Weighted Average: 66.89
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
7. Junior Loan Ratio
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Junior Loan Ratio Loans Balance Balance Coupon Balance CLTV Doc Occupied
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.01 - 5.00 1 17,510.31 0.03 11.750 17,510 93.430 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
5.01 - 10.00 63 1,567,490.00 2.87 11.133 24,881 82.577 68.88 98.42
----------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 208 5,649,226.53 10.34 11.265 27,160 85.683 78.55 99.43
----------------------------------------------------------------------------------------------------------------------------
15.01 - 20.00 313 9,477,472.68 17.35 11.640 30,279 87.392 85.21 100.00
----------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 290 9,727,150.83 17.81 11.634 33,542 87.368 84.42 99.18
----------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 186 7,116,090.36 13.03 11.385 38,259 84.707 87.09 97.11
----------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 139 5,049,480.20 9.25 10.798 36,327 81.933 85.65 99.00
----------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 93 4,071,335.01 7.45 10.851 43,778 83.571 85.79 97.35
----------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 74 3,434,349.23 6.29 10.557 46,410 81.061 76.29 100.00
----------------------------------------------------------------------------------------------------------------------------
45.01 - 50.00 52 2,313,552.16 4.24 10.806 44,491 77.795 69.07 100.00
----------------------------------------------------------------------------------------------------------------------------
50.01 - 55.00 33 1,473,869.39 2.70 10.268 44,663 77.617 82.70 100.00
----------------------------------------------------------------------------------------------------------------------------
55.01 - 60.00 21 755,211.13 1.38 9.942 35,962 70.229 87.66 100.00
----------------------------------------------------------------------------------------------------------------------------
60.01 - 65.00 19 741,577.17 1.36 10.076 39,030 75.319 82.06 97.32
----------------------------------------------------------------------------------------------------------------------------
65.01 - 70.00 12 464,664.62 0.85 9.888 38,722 75.029 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
70.01 - 75.00 16 892,004.92 1.63 9.957 55,750 62.188 55.75 100.00
----------------------------------------------------------------------------------------------------------------------------
75.01 - 80.00 11 431,208.05 0.79 10.492 39,201 64.065 100.00 92.92
----------------------------------------------------------------------------------------------------------------------------
80.01 - 85.00 11 600,217.24 1.10 10.032 54,565 67.107 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 7 405,211.31 0.74 9.791 57,887 70.013 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 4 322,951.45 0.59 8.986 80,738 58.712 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
95.01 - 100.00 2 105,114.33 0.19 8.151 52,557 61.650 100.00 100.00
----------------------------------------------------------------------------------------------------------------------------
Total: 1,555 54,615,686.92 100.00 11.125 35,123 83.193 83.07 98.99
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 4.92
Max: 97.68
Weighted Average: 30.41
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
8. Property Type
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Property Type Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Single Family Residence 4,580 267,679,972.57 92.27 9.880 58,445 78.025 89.73 96.43
---------------------------------------------------------------------------------------------------------------------------
2-4 Family 184 13,044,317.77 4.50 10.334 70,893 75.944 93.11 65.19
---------------------------------------------------------------------------------------------------------------------------
Condo 139 9,199,334.74 3.17 9.793 66,182 78.779 83.86 88.80
---------------------------------------------------------------------------------------------------------------------------
Townhouse 5 183,812.46 0.06 10.216 36,762 75.899 100.00 56.86
---------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
- --------------------------------------------------------------------------------
9. Loan Purpose
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Loan Purpose Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Refinance and/or Cashout 4,589 263,279,908.33 90.75 9.884 57,372 77.721 89.36 94.75
---------------------------------------------------------------------------------------------------------------------------
Purchase 319 26,827,529.21 9.25 10.034 84,099 80.234 93.03 94.86
---------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
- --------------------------------------------------------------------------------
10. Occupancy
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Occupancy Loans Balance Balance Coupon Balance CLTV Doc Occupied
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Owner Occupied 4,647 274,906,234.74 94.76 9.873 59,158 78.198 89.13 100.00
----------------------------------------------------------------------------------------------------------------------------
Non-owner Occupied 261 15,201,202.80 5.24 10.347 58,242 73.528 100.00 0.00
----------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
11. Geographic Concentration
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Geographic Concentration Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
California 371 28,974,761.98 9.99 9.686 78,099 78.576 80.74 96.02
---------------------------------------------------------------------------------------------------------------------------
Pennsylvania 403 22,000,394.55 7.58 9.259 54,592 76.985 95.81 97.05
---------------------------------------------------------------------------------------------------------------------------
Florida 374 21,411,578.94 7.38 9.813 57,250 77.623 92.80 91.20
---------------------------------------------------------------------------------------------------------------------------
Ohio 367 19,858,290.43 6.85 9.849 54,110 77.760 91.75 91.87
---------------------------------------------------------------------------------------------------------------------------
Indiana 402 19,184,199.09 6.61 9.780 47,722 78.548 89.28 94.93
---------------------------------------------------------------------------------------------------------------------------
New York 247 16,640,202.58 5.74 10.507 67,369 76.349 89.51 86.78
---------------------------------------------------------------------------------------------------------------------------
New Jersey 230 14,183,257.04 4.89 10.840 61,666 77.108 86.09 95.23
---------------------------------------------------------------------------------------------------------------------------
North Carolina 235 13,640,547.22 4.70 9.417 58,045 78.580 94.87 96.91
---------------------------------------------------------------------------------------------------------------------------
Kentucky 262 13,053,105.13 4.50 9.661 49,821 77.749 93.58 98.58
---------------------------------------------------------------------------------------------------------------------------
Georgia 160 10,455,869.08 3.60 9.765 65,349 77.289 95.41 93.60
---------------------------------------------------------------------------------------------------------------------------
Nevada 142 8,794,544.18 3.03 9.557 61,933 79.448 86.43 96.10
---------------------------------------------------------------------------------------------------------------------------
Oklahoma 177 8,694,119.91 3.00 9.371 49,119 79.379 94.19 97.06
---------------------------------------------------------------------------------------------------------------------------
Michigan 150 8,591,457.30 2.96 11.209 57,276 78.533 91.41 97.11
---------------------------------------------------------------------------------------------------------------------------
Washington 116 7,836,772.71 2.70 9.545 67,558 79.427 82.50 94.49
---------------------------------------------------------------------------------------------------------------------------
Arizona 129 7,674,702.16 2.65 9.593 59,494 77.993 82.88 93.97
---------------------------------------------------------------------------------------------------------------------------
Oregon 92 6,985,071.76 2.41 9.276 75,925 79.498 86.72 96.61
---------------------------------------------------------------------------------------------------------------------------
Illinois 108 6,399,604.62 2.21 10.226 59,256 78.529 91.95 93.25
---------------------------------------------------------------------------------------------------------------------------
Maryland 96 6,091,172.44 2.10 9.520 63,450 79.220 90.68 96.09
---------------------------------------------------------------------------------------------------------------------------
Missouri 112 5,687,081.47 1.96 10.091 50,778 76.663 96.02 96.24
---------------------------------------------------------------------------------------------------------------------------
Utah 74 4,889,644.79 1.69 9.606 66,076 80.121 72.16 94.77
---------------------------------------------------------------------------------------------------------------------------
Wisconsin 82 4,509,407.16 1.55 11.090 54,993 77.944 92.35 97.23
---------------------------------------------------------------------------------------------------------------------------
Colorado 69 4,327,490.56 1.49 9.990 62,717 77.138 78.93 95.92
---------------------------------------------------------------------------------------------------------------------------
Virginia 63 4,237,901.71 1.46 10.413 67,268 77.918 92.96 91.52
---------------------------------------------------------------------------------------------------------------------------
Tennessee 72 4,023,898.67 1.39 10.523 55,887 78.668 95.25 96.31
---------------------------------------------------------------------------------------------------------------------------
Texas 50 3,316,737.96 1.14 11.315 66,335 74.483 76.63 98.95
---------------------------------------------------------------------------------------------------------------------------
Delaware 52 3,153,322.10 1.09 9.518 60,641 77.484 96.64 97.07
---------------------------------------------------------------------------------------------------------------------------
Nebraska 51 2,616,678.00 0.90 10.380 51,307 77.456 90.48 93.12
---------------------------------------------------------------------------------------------------------------------------
Connecticut 24 2,313,663.50 0.80 10.354 96,403 77.437 99.07 82.14
---------------------------------------------------------------------------------------------------------------------------
South Carolina 31 1,852,115.78 0.64 9.882 59,746 77.556 100.00 95.89
---------------------------------------------------------------------------------------------------------------------------
West Virginia 29 1,459,745.29 0.50 9.862 50,336 81.606 96.87 100.00
---------------------------------------------------------------------------------------------------------------------------
Massachusetts 14 1,347,997.74 0.46 10.437 96,286 71.527 81.46 100.00
---------------------------------------------------------------------------------------------------------------------------
Iowa 27 1,204,841.54 0.42 10.593 44,624 78.706 100.00 95.45
---------------------------------------------------------------------------------------------------------------------------
Louisiana 19 829,986.37 0.29 10.301 43,683 74.069 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Idaho 15 791,145.08 0.27 9.753 52,743 69.488 74.40 100.00
---------------------------------------------------------------------------------------------------------------------------
Minnesota 10 638,185.56 0.22 10.901 63,819 79.088 84.47 100.00
---------------------------------------------------------------------------------------------------------------------------
Kansas 18 610,697.57 0.21 9.955 33,928 73.462 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Montana 6 572,120.66 0.20 9.707 95,353 87.820 66.77 100.00
---------------------------------------------------------------------------------------------------------------------------
Mississippi 11 475,490.91 0.16 11.044 43,226 76.748 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
New Mexico 4 223,380.11 0.08 8.945 55,845 87.757 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Wyoming 6 206,355.98 0.07 9.702 34,393 79.823 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Rhode Island 3 148,151.22 0.05 11.235 49,384 89.512 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
District of Columbia 2 97,864.54 0.03 9.322 48,932 53.650 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
South Dakota 2 80,308.25 0.03 9.355 40,154 68.834 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Vermont 1 23,573.90 0.01 11.000 23,574 78.340 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
- --------------------------------------------------------------------------------
12. Product Type
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Product Type Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed - 30 Year 1,496 128,677,377.95 44.36 9.439 86,014 77.586 90.37 93.41
---------------------------------------------------------------------------------------------------------------------------
Fixed - 15 Year 2,426 94,047,748.72 32.42 10.252 38,767 77.692 88.42 97.45
---------------------------------------------------------------------------------------------------------------------------
Fixed - Call 596 42,796,788.54 14.75 9.575 71,807 79.673 91.13 94.47
---------------------------------------------------------------------------------------------------------------------------
Balloon - 15/30 390 24,585,522.33 8.47 11.505 63,040 77.889 88.56 92.06
---------------------------------------------------------------------------------------------------------------------------
Total: 4,908 290,107,437.54 100.00 9.898 59,109 77.954 89.70 94.76
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Adjustable Portfolio
1. Current Balance
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Current Balance Loans Balance Balance Coupon Balance CLTV Doc Occupied
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 - 10,000 1 9,757.88 0.02 9.240 9,758 77.370 100.00 100.00
--------------------------------------------------------------------------------------------------------------------------
10,001 - 20,000 11 181,750.62 0.35 10.138 16,523 68.247 81.67 100.00
--------------------------------------------------------------------------------------------------------------------------
20,001 - 30,000 22 591,496.96 1.15 10.848 26,886 70.575 86.31 86.62
--------------------------------------------------------------------------------------------------------------------------
30,001 - 40,000 46 1,615,574.96 3.15 10.554 35,121 75.388 91.39 85.79
--------------------------------------------------------------------------------------------------------------------------
40,001 - 50,000 70 3,219,936.70 6.27 10.323 45,999 74.255 91.23 94.07
--------------------------------------------------------------------------------------------------------------------------
50,001 - 60,000 73 4,033,155.44 7.86 10.178 55,249 77.153 95.65 94.49
--------------------------------------------------------------------------------------------------------------------------
60,001 - 70,000 58 3,732,694.61 7.27 9.902 64,357 79.855 87.70 100.00
--------------------------------------------------------------------------------------------------------------------------
70,001 - 80,000 68 5,122,763.67 9.98 9.762 75,335 79.746 89.77 95.62
--------------------------------------------------------------------------------------------------------------------------
80,001 - 90,000 38 3,221,795.68 6.28 9.643 84,784 80.947 94.60 92.19
--------------------------------------------------------------------------------------------------------------------------
90,001 - 100,000 29 2,780,699.59 5.42 9.641 95,886 80.990 86.17 100.00
--------------------------------------------------------------------------------------------------------------------------
100,001 - 120,000 51 5,583,747.01 10.88 9.694 109,485 80.333 84.11 96.24
--------------------------------------------------------------------------------------------------------------------------
120,001 - 140,000 30 3,876,039.86 7.55 9.807 129,201 80.386 72.62 100.00
--------------------------------------------------------------------------------------------------------------------------
140,001 - 160,000 20 2,966,870.77 5.78 9.516 148,344 82.974 70.02 100.00
--------------------------------------------------------------------------------------------------------------------------
160,001 - 180,000 13 2,225,777.88 4.34 9.130 171,214 85.146 85.20 100.00
--------------------------------------------------------------------------------------------------------------------------
180,001 - 200,000 17 3,240,944.49 6.32 9.308 190,644 81.677 88.61 94.43
--------------------------------------------------------------------------------------------------------------------------
200,001 - 220,000 6 1,259,096.77 2.45 8.991 209,849 87.552 83.53 100.00
--------------------------------------------------------------------------------------------------------------------------
220,001 - 240,000 5 1,160,516.48 2.26 8.771 232,103 82.289 39.84 100.00
--------------------------------------------------------------------------------------------------------------------------
240,001 - 260,000 4 1,000,820.90 1.95 8.786 250,205 84.509 49.69 100.00
--------------------------------------------------------------------------------------------------------------------------
260,001 - 280,000 4 1,074,676.42 2.09 9.328 268,669 82.970 24.88 100.00
--------------------------------------------------------------------------------------------------------------------------
280,001 - 300,000 10 2,904,192.02 5.66 8.633 290,419 80.003 49.93 100.00
--------------------------------------------------------------------------------------------------------------------------
300,001 - 320,000 1 307,804.76 0.60 8.380 307,805 80.000 100.00 100.00
--------------------------------------------------------------------------------------------------------------------------
340,001 - 360,000 1 351,211.84 0.68 10.240 351,212 72.550 0.00 100.00
--------------------------------------------------------------------------------------------------------------------------
380,001 - 400,000 1 398,827.03 0.78 8.650 398,827 85.400 100.00 100.00
--------------------------------------------------------------------------------------------------------------------------
400,001 >= 1 456,921.36 0.89 8.990 456,921 86.240 100.00 100.00
--------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
--------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 9,757.88
Max: 456,921.36
Average: 88,477.71
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
2. Current Coupon
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Current Coupon Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
7.001 - 7.500 6 700,079.44 1.36 7.410 116,680 79.092 58.31 100.00
---------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 13 1,660,669.88 3.24 7.832 127,744 82.057 98.27 100.00
---------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 41 5,093,655.88 9.93 8.394 124,236 80.371 75.17 98.35
---------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 83 10,198,084.40 19.87 8.854 122,868 81.957 79.58 97.11
---------------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 76 7,297,869.85 14.22 9.341 96,025 81.582 81.48 96.98
---------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 119 10,357,114.52 20.18 9.809 87,035 81.019 75.59 97.98
---------------------------------------------------------------------------------------------------------------------------
10.001 - 10.500 97 7,283,492.86 14.19 10.336 75,088 79.472 77.87 95.71
---------------------------------------------------------------------------------------------------------------------------
10.501 - 11.000 71 4,352,755.59 8.48 10.809 61,306 77.096 91.83 91.65
---------------------------------------------------------------------------------------------------------------------------
11.001 - 11.500 33 2,165,721.15 4.22 11.315 65,628 78.261 91.18 96.71
---------------------------------------------------------------------------------------------------------------------------
11.501 - 12.000 28 1,605,376.65 3.13 11.779 57,335 75.076 93.49 100.00
---------------------------------------------------------------------------------------------------------------------------
12.001 - 12.500 3 161,980.80 0.32 12.412 53,994 76.160 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
12.501 - 13.000 7 323,057.12 0.63 12.853 46,151 64.751 100.00 90.04
---------------------------------------------------------------------------------------------------------------------------
13.001 - 13.500 1 31,414.31 0.06 13.240 31,414 55.260 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
13.501 - 14.000 2 85,801.25 0.17 13.895 42,901 55.400 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 7.050
Max: 13.990
Weighted Average Coupon: 9.637
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
3. ARM Margin
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
ARM Margin Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
3.501 - 4.000 1 53,193.83 0.10 7.050 53,194 72.540 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
4.001 - 4.500 14 1,192,396.72 2.32 8.771 85,171 80.879 82.61 82.87
---------------------------------------------------------------------------------------------------------------------------
4.501 - 5.000 25 2,953,406.04 5.76 8.706 118,136 80.267 88.70 100.00
---------------------------------------------------------------------------------------------------------------------------
5.001 - 5.500 138 16,647,582.19 32.44 9.134 120,635 81.530 73.24 96.64
---------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 117 10,226,232.70 19.93 9.555 87,404 79.977 69.93 98.96
---------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 67 5,473,732.92 10.67 9.944 81,698 81.545 85.58 96.89
---------------------------------------------------------------------------------------------------------------------------
6.501 - 7.000 108 7,700,060.99 15.00 10.323 71,297 79.147 94.33 94.89
---------------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 77 5,048,827.68 9.84 10.287 65,569 77.490 89.85 98.11
---------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 22 1,336,764.50 2.60 10.881 60,762 78.516 100.00 97.96
---------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 5 353,176.50 0.69 12.030 70,635 76.400 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 3 170,674.61 0.33 10.849 56,892 77.096 100.00 81.15
---------------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 3 161,025.02 0.31 10.604 53,675 67.492 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 3.750
Max: 9.500
Weighted Average: 6.020
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
4. ARM Maximum Rate
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
ARM Maximum Rate Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
10.501 - 11.000 1 239,306.62 0.47 10.000 239,307 79.990 0.00 100.00
---------------------------------------------------------------------------------------------------------------------------
11.001 - 11.500 1 291,882.12 0.57 7.500 291,882 76.990 0.00 100.00
---------------------------------------------------------------------------------------------------------------------------
11.501 - 12.000 2 114,579.79 0.22 7.675 57,290 81.983 74.95 100.00
---------------------------------------------------------------------------------------------------------------------------
12.501 - 13.000 2 353,227.14 0.69 8.685 176,614 85.369 75.71 100.00
---------------------------------------------------------------------------------------------------------------------------
13.001 - 13.500 5 380,906.39 0.74 7.920 76,181 79.184 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
13.501 - 14.000 14 1,606,116.72 3.13 8.149 114,723 80.685 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
14.001 - 14.500 34 4,401,951.25 8.58 8.528 129,469 81.439 77.25 96.12
---------------------------------------------------------------------------------------------------------------------------
14.501 - 15.000 76 9,379,654.94 18.28 8.985 123,417 81.792 80.17 97.41
---------------------------------------------------------------------------------------------------------------------------
15.001 - 15.500 80 7,763,462.99 15.13 9.253 97,043 82.116 73.71 97.13
---------------------------------------------------------------------------------------------------------------------------
15.501 - 16.000 115 9,706,952.94 18.92 9.729 84,408 81.299 78.82 97.53
---------------------------------------------------------------------------------------------------------------------------
16.001 - 16.500 91 6,643,582.26 12.95 10.224 73,006 78.340 79.69 95.89
---------------------------------------------------------------------------------------------------------------------------
16.501 - 17.000 74 4,837,638.07 9.43 10.459 65,373 77.368 90.37 97.40
---------------------------------------------------------------------------------------------------------------------------
17.001 - 17.500 34 2,418,380.77 4.71 11.075 71,129 79.092 93.75 98.35
---------------------------------------------------------------------------------------------------------------------------
17.501 - 18.000 32 2,081,869.77 4.06 11.128 65,058 74.533 88.50 89.93
---------------------------------------------------------------------------------------------------------------------------
18.001 - 18.500 5 308,680.79 0.60 11.486 61,736 80.563 100.00 89.81
---------------------------------------------------------------------------------------------------------------------------
18.501 - 19.000 7 413,326.67 0.81 12.342 59,047 73.212 100.00 92.22
---------------------------------------------------------------------------------------------------------------------------
19.001 - 19.500 2 68,999.78 0.13 12.630 34,500 68.736 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
19.501 - 20.000 3 159,828.87 0.31 13.183 53,276 57.214 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
20.501 - 21.000 2 146,725.82 0.29 11.612 73,363 82.081 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 10.650
Max: 21.000
Weighted Average: 15.671
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
5. Month of Next Rate Adjustment
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Month of Next Rate Loans Balance Balance Coupon Balance CLTV Doc Occupied
Adjustment
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1998-08 9 819,991.06 1.60 9.430 91,110 82.554 100.00 92.94
---------------------------------------------------------------------------------------------------------------------------
1998-09 8 651,382.66 1.27 9.677 81,423 81.289 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
1998-10 3 230,382.31 0.45 9.098 76,794 81.512 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
1998-11 2 148,478.36 0.29 9.240 74,239 76.594 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
1998-12 7 661,290.06 1.29 8.497 94,470 74.719 48.38 100.00
---------------------------------------------------------------------------------------------------------------------------
1999-01 11 1,015,467.86 1.98 9.386 92,315 78.822 70.20 100.00
---------------------------------------------------------------------------------------------------------------------------
1999-02 17 1,311,740.96 2.56 9.073 77,161 80.709 86.55 100.00
---------------------------------------------------------------------------------------------------------------------------
1999-03 9 621,173.46 1.21 8.833 69,019 79.868 84.22 100.00
---------------------------------------------------------------------------------------------------------------------------
1999-04 4 338,365.79 0.66 8.842 84,591 87.702 71.46 100.00
---------------------------------------------------------------------------------------------------------------------------
1999-05 2 154,538.38 0.30 10.035 77,269 72.123 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
1999-09 1 31,414.31 0.06 13.240 31,414 55.260 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
1999-10 1 87,561.04 0.17 10.800 87,561 86.030 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
1999-11 14 1,031,318.50 2.01 10.166 73,666 79.977 73.02 100.00
---------------------------------------------------------------------------------------------------------------------------
1999-12 35 2,293,350.80 4.47 10.321 65,524 79.245 91.35 100.00
---------------------------------------------------------------------------------------------------------------------------
2000-01 86 6,533,295.16 12.73 9.836 75,969 79.875 84.32 95.39
---------------------------------------------------------------------------------------------------------------------------
2000-02 104 9,579,107.19 18.67 9.753 92,107 79.966 77.92 97.57
---------------------------------------------------------------------------------------------------------------------------
2000-03 106 9,890,266.39 19.27 9.618 93,304 80.189 86.50 97.08
---------------------------------------------------------------------------------------------------------------------------
2000-04 88 7,694,542.99 14.99 9.696 87,438 81.546 82.27 96.93
---------------------------------------------------------------------------------------------------------------------------
2000-05 19 1,749,725.92 3.41 9.389 92,091 76.770 64.29 77.69
---------------------------------------------------------------------------------------------------------------------------
2000-12 1 42,378.76 0.08 10.990 42,379 85.000 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
2001-01 8 890,328.57 1.73 9.575 111,291 77.095 76.84 100.00
---------------------------------------------------------------------------------------------------------------------------
2001-02 17 1,676,891.42 3.27 9.693 98,641 79.519 83.52 100.00
---------------------------------------------------------------------------------------------------------------------------
2001-03 20 2,500,438.62 4.87 9.081 125,022 80.397 56.81 96.77
---------------------------------------------------------------------------------------------------------------------------
2001-04 8 1,363,643.13 2.66 9.261 170,455 85.151 78.56 100.00
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
6. Stated Remaining Term
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Stated Remaining Term Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
109 - 120 3 137,070.08 0.27 9.784 45,690 79.897 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
169 - 180 70 4,143,188.48 8.07 10.152 59,188 80.164 86.56 99.32
---------------------------------------------------------------------------------------------------------------------------
229 - 240 5 226,411.20 0.44 10.231 45,282 79.907 88.62 100.00
---------------------------------------------------------------------------------------------------------------------------
289 - 300 1 60,121.05 0.12 9.350 60,121 67.630 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
349 - 360 501 46,750,282.89 91.10 9.588 93,314 80.219 80.26 96.66
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 115
Max: 360
Weighted Average: 341
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
- --------------------------------------------------------------------------------
7. Seasoning
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Seasoning Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
2 - 3 129 11,864,755.94 23.12 9.578 91,975 81.368 79.95 94.46
---------------------------------------------------------------------------------------------------------------------------
4 - 6 415 36,988,677.71 72.08 9.615 89,129 80.025 80.35 97.48
---------------------------------------------------------------------------------------------------------------------------
7 - 12 36 2,463,640.05 4.80 10.244 68,434 77.147 93.41 100.00
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 2
Max: 10
Weighted Average: 4
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
8. Combined Original LTV
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Combined Original LTV Loans Balance Balance Coupon Balance CLTV Doc Occupied
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
20.01 - 25.00 2 87,541.58 0.17 9.006 43,771 22.644 43.49 100.00
--------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 1 16,791.73 0.03 10.950 16,792 29.470 100.00 100.00
--------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 2 120,569.67 0.23 9.610 60,285 33.590 100.00 100.00
--------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 1 52,960.01 0.10 9.200 52,960 35.570 100.00 100.00
--------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 1 49,920.74 0.10 10.870 49,921 43.480 100.00 0.00
--------------------------------------------------------------------------------------------------------------------------
45.01 - 50.00 4 167,493.07 0.33 12.518 41,873 47.949 100.00 100.00
--------------------------------------------------------------------------------------------------------------------------
50.01 - 55.00 8 432,122.97 0.84 10.300 54,015 53.384 37.74 100.00
--------------------------------------------------------------------------------------------------------------------------
55.01 - 60.00 12 526,706.35 1.03 10.505 43,892 58.189 87.01 100.00
--------------------------------------------------------------------------------------------------------------------------
60.01 - 65.00 15 808,290.07 1.58 9.791 53,886 63.356 76.78 96.02
--------------------------------------------------------------------------------------------------------------------------
65.01 - 70.00 42 2,750,378.51 5.36 10.246 65,485 68.269 74.77 76.30
--------------------------------------------------------------------------------------------------------------------------
70.01 - 75.00 60 4,816,716.61 9.39 10.034 80,279 73.749 79.64 93.45
--------------------------------------------------------------------------------------------------------------------------
75.01 - 80.00 172 15,683,916.13 30.56 9.662 91,186 79.035 75.08 97.16
--------------------------------------------------------------------------------------------------------------------------
80.01 - 85.00 136 12,163,570.62 23.70 9.419 89,438 82.650 84.11 99.24
--------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 93 10,714,106.41 20.88 9.459 115,205 87.109 83.95 100.00
--------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 29 2,768,617.46 5.40 9.368 95,470 92.300 100.00 100.00
--------------------------------------------------------------------------------------------------------------------------
95.01 - 100.00 2 157,371.77 0.31 9.309 78,686 96.708 100.00 100.00
--------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
--------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 21.87
Max: 96.98
Weighted Average: 80.20
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
9. Original LTV
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Original LTV Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.01 - 5.00 1 19,256.50 0.04 9.880 19,257 84.950 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
5.01 - 10.00 5 132,340.07 0.26 10.134 26,468 73.211 76.75 100.00
---------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 4 253,385.36 0.49 10.423 63,346 86.675 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
15.01 - 20.00 6 284,552.61 0.55 9.818 47,425 76.042 93.72 100.00
---------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 3 148,595.99 0.29 9.616 49,532 49.970 66.71 100.00
---------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 3 167,537.91 0.33 10.812 55,846 79.835 65.20 100.00
---------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 3 145,835.81 0.28 10.022 48,612 41.111 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 1 52,960.01 0.10 9.200 52,960 35.570 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 1 49,920.74 0.10 10.870 49,921 43.480 100.00 0.00
---------------------------------------------------------------------------------------------------------------------------
45.01 - 50.00 4 167,493.07 0.33 12.518 41,873 47.949 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
50.01 - 55.00 8 432,122.97 0.84 10.300 54,015 53.384 37.74 100.00
---------------------------------------------------------------------------------------------------------------------------
55.01 - 60.00 11 509,700.30 0.99 10.517 46,336 58.140 86.58 100.00
---------------------------------------------------------------------------------------------------------------------------
60.01 - 65.00 12 718,285.81 1.40 9.726 59,857 63.664 78.15 95.52
---------------------------------------------------------------------------------------------------------------------------
65.01 - 70.00 41 2,650,493.57 5.16 10.298 64,646 68.213 73.82 75.41
---------------------------------------------------------------------------------------------------------------------------
70.01 - 75.00 60 4,816,716.61 9.39 10.034 80,279 73.749 79.64 93.45
---------------------------------------------------------------------------------------------------------------------------
75.01 - 80.00 168 15,619,052.98 30.44 9.657 92,971 79.039 75.09 97.14
---------------------------------------------------------------------------------------------------------------------------
80.01 - 85.00 131 11,936,456.90 23.26 9.406 91,118 82.682 84.29 99.22
---------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 89 10,369,918.87 20.21 9.420 116,516 87.038 83.42 100.00
---------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 27 2,685,075.85 5.23 9.328 99,447 92.359 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
95.01 - 100.00 2 157,371.77 0.31 9.309 78,686 96.708 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 4.95
Max: 96.98
Weighted Average: 79.03
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
10. Junior Loan Ratio
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Junior Loan Ratio Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
5.01 - 10.00 1 19,256.50 2.08 9.880 19,257 84.950 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 5 166,173.88 17.93 10.131 33,235 76.702 81.48 100.00
---------------------------------------------------------------------------------------------------------------------------
15.01 - 20.00 6 327,102.36 35.30 10.476 54,517 87.390 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 2 117,768.27 12.71 9.106 58,884 71.190 84.81 100.00
---------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 3 171,741.16 18.53 10.747 57,247 85.885 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 2 99,292.96 10.72 10.226 49,646 71.982 41.29 100.00
---------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 1 25,266.14 2.73 11.990 25,266 77.000 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Total: 20 926,601.27 100.00 10.293 46,330 81.150 88.46 100.00
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5.83
Max: 41.07
Weighted Average: 20.75
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
- --------------------------------------------------------------------------------
11. Property Type
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Property Type Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Single Family Residence 534 47,784,829.86 93.12 9.624 89,485 80.165 81.21 97.81
---------------------------------------------------------------------------------------------------------------------------
Condo 22 1,810,633.32 3.53 9.635 82,302 84.197 79.20 87.13
---------------------------------------------------------------------------------------------------------------------------
2-4 Family 24 1,721,610.52 3.35 9.986 71,734 76.884 73.65 82.18
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
12. Loan Purpose
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Loan Purpose Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Refinance and/or Cashout 459 40,060,530.16 78.06 9.611 87,278 79.740 78.20 97.59
---------------------------------------------------------------------------------------------------------------------------
Purchase 121 11,256,543.54 21.94 9.728 93,029 81.825 90.44 94.48
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
- --------------------------------------------------------------------------------
13. Occupancy
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Occupancy Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Owner Occupied 553 49,728,781.74 96.90 9.626 89,925 80.449 80.27 100.00
---------------------------------------------------------------------------------------------------------------------------
Non-owner Occupied 27 1,588,291.96 3.10 9.983 58,826 72.322 100.00 0.00
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
14. Geographic Concentration
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Geographic Concentration Loans Balance Balance Coupon Balance CLTV Doc Occupied
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ohio 152 11,307,863.11 22.04 9.830 74,394 80.895 88.54 99.65
---------------------------------------------------------------------------------------------------------------------------
California 35 5,389,432.59 10.50 9.091 153,984 80.665 68.88 99.19
---------------------------------------------------------------------------------------------------------------------------
Florida 44 3,475,511.77 6.77 9.309 78,989 76.649 83.42 97.74
---------------------------------------------------------------------------------------------------------------------------
Illinois 39 3,313,189.76 6.46 9.824 84,954 79.901 75.90 96.89
---------------------------------------------------------------------------------------------------------------------------
Arizona 33 2,994,755.51 5.84 9.652 90,750 81.526 72.47 89.11
---------------------------------------------------------------------------------------------------------------------------
Michigan 31 2,926,738.03 5.70 9.851 94,411 82.579 87.58 98.02
---------------------------------------------------------------------------------------------------------------------------
Indiana 42 2,665,382.06 5.19 10.409 63,461 79.355 100.00 97.97
---------------------------------------------------------------------------------------------------------------------------
Utah 17 2,245,759.32 4.38 9.149 132,103 80.902 74.72 100.00
---------------------------------------------------------------------------------------------------------------------------
Washington 15 2,005,897.26 3.91 9.181 133,726 82.422 51.30 91.00
---------------------------------------------------------------------------------------------------------------------------
Wisconsin 26 1,790,219.80 3.49 10.700 68,855 75.921 86.91 98.20
---------------------------------------------------------------------------------------------------------------------------
New Jersey 10 1,387,561.25 2.70 9.785 138,756 79.817 59.38 96.40
---------------------------------------------------------------------------------------------------------------------------
Oregon 10 1,217,863.57 2.37 9.399 121,786 79.122 60.37 100.00
---------------------------------------------------------------------------------------------------------------------------
Missouri 19 1,027,607.56 2.00 9.980 54,085 80.112 79.46 97.25
---------------------------------------------------------------------------------------------------------------------------
Iowa 14 1,021,380.27 1.99 10.063 72,956 80.756 91.38 94.56
---------------------------------------------------------------------------------------------------------------------------
Pennsylvania 12 1,006,897.99 1.96 9.379 83,908 79.964 60.63 96.62
---------------------------------------------------------------------------------------------------------------------------
Nevada 7 922,553.35 1.80 8.863 131,793 80.533 97.13 83.87
---------------------------------------------------------------------------------------------------------------------------
Tennessee 12 762,260.30 1.49 10.170 63,522 79.355 100.00 95.88
---------------------------------------------------------------------------------------------------------------------------
Maryland 7 691,233.66 1.35 9.058 98,748 78.811 100.00 95.56
---------------------------------------------------------------------------------------------------------------------------
Oklahoma 3 645,183.02 1.26 7.969 215,061 81.575 54.76 100.00
---------------------------------------------------------------------------------------------------------------------------
West Virginia 11 633,991.80 1.24 9.836 57,636 77.735 97.57 100.00
---------------------------------------------------------------------------------------------------------------------------
New York 5 593,021.79 1.16 9.658 118,604 81.612 83.81 100.00
---------------------------------------------------------------------------------------------------------------------------
Kentucky 9 564,823.10 1.10 9.427 62,758 78.834 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Colorado 2 483,311.54 0.94 9.529 241,656 79.460 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Minnesota 6 436,529.80 0.85 9.510 72,755 82.631 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Connecticut 3 293,678.74 0.57 10.207 97,893 70.872 100.00 0.00
---------------------------------------------------------------------------------------------------------------------------
North Carolina 3 259,621.70 0.51 9.831 86,541 82.139 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Louisiana 2 219,516.20 0.43 9.247 109,758 78.192 24.23 100.00
---------------------------------------------------------------------------------------------------------------------------
Virginia 1 203,923.86 0.40 8.750 203,924 93.910 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Nebraska 2 166,628.50 0.32 9.666 83,314 74.573 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
South Carolina 1 157,459.75 0.31 10.250 157,460 75.000 0.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Delaware 1 144,744.33 0.28 8.500 144,744 80.560 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Georgia 2 143,215.24 0.28 10.752 71,608 81.465 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Idaho 1 74,710.21 0.15 8.880 74,710 78.820 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Rhode Island 1 71,385.95 0.14 8.700 71,386 85.000 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Kansas 1 47,954.87 0.09 11.350 47,955 76.620 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Texas 1 25,266.14 0.05 11.990 25,266 77.000 100.00 100.00
---------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
15. Product Type
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Product Type Loans Balance Balance Coupon Balance CLTV Doc Occupied
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ARM - 2 Year/1 Year 243 22,904,337.70 44.63 9.507 94,257 81.124 77.69 96.18
-------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year/6 Month 175 13,451,534.48 26.21 10.093 76,866 78.464 88.35 95.93
-------------------------------------------------------------------------------------------------------------------------
ARM - 3 Year/1 Year 50 6,278,383.10 12.23 9.314 125,568 80.621 70.88 98.71
-------------------------------------------------------------------------------------------------------------------------
ARM - 1 Year 36 2,615,379.14 5.10 9.065 72,649 78.846 75.24 100.00
-------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year/1 Year Call 36 2,534,710.12 4.94 10.193 70,409 79.957 89.59 98.89
-------------------------------------------------------------------------------------------------------------------------
ARM - 6 Month 23 1,932,459.51 3.77 9.426 84,020 81.498 100.00 97.00
-------------------------------------------------------------------------------------------------------------------------
ARM - 1 Year/6 Month 7 923,192.72 1.80 9.016 131,885 78.944 70.66 100.00
-------------------------------------------------------------------------------------------------------------------------
ARM - 1 Year Call 6 481,779.53 0.94 9.001 80,297 82.950 79.95 100.00
-------------------------------------------------------------------------------------------------------------------------
ARM - 3 Year/1 Year Call 2 126,422.89 0.25 10.966 63,211 86.428 100.00 100.00
-------------------------------------------------------------------------------------------------------------------------
ARM - 3 Year/6 Month 2 68,874.51 0.13 10.371 34,437 81.769 61.53 100.00
-------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
- --------------------------------------------------------------------------------
16. Index Type
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent
Mortgage Principal Principal Average Current Original Full Owner
Index Type Loans Balance Balance Coupon Balance CLTV Doc Occupied
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury - 1 Year 373 34,941,012.48 68.09 9.487 93,676 80.823 77.26 97.19
-------------------------------------------------------------------------------------------------------------------------
Libor - 6 Month 207 16,376,061.22 31.91 9.955 79,111 78.863 88.62 96.30
-------------------------------------------------------------------------------------------------------------------------
Total: 580 51,317,073.70 100.00 9.637 88,478 80.197 80.88 96.90
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Due to rounding, percent of aggregate principal balance may not add up to
100.00%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Average Life Sensitivity to Changes in Prepayment Rates
Priced to 10% Optional Call
<TABLE>
<CAPTION>
I II III IV V VI VII
<S> <C> <C> <C> <C> <C> <C> <C>
Scenario
Fixed 0% PPC 50% PPC 85% PPC 120% PPC 150% PPC 175% PPC 200% PPC
ARM 0% CPR 15% CPR 21% CPR 27% CPR 33% CPR 40% CPR 50% CPR
</TABLE>
<TABLE>
<CAPTION>
I II III IV V VI VII
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 @ Price 100/00
Average Life 5.0525 1.032 0.6694 0.5008 0.4136 0.3614 0.3205
First Prin 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98
Last Prin 12/15/07 8/15/00 11/15/99 7/15/99 5/15/99 4/15/99 3/15/99
Mod Duration 4.1118 0.9664 0.6355 0.4785 0.3964 0.3471 0.3082
Payment Window 113 25 16 12 10 9 8
Class A-2 @ Price 100/00
Average Life 11.3578 2.7356 1.7188 1.2485 1.0113 0.8727 0.7682
First Prin 12/15/07 8/15/00 11/15/99 7/15/99 5/15/99 4/15/99 3/15/99
Last Prin 9/15/11 2/15/02 10/15/00 3/15/00 11/15/99 9/15/99 7/15/99
Mod Duration 8.0324 2.4538 1.5888 1.1704 0.9548 0.8273 0.7306
Payment Window 46 19 12 9 7 6 5
Class A-3 @ Price 100/00
Average Life 14.144 4.6502 2.8072 2.0043 1.6014 1.3672 1.1878
First Prin 9/15/11 2/15/02 10/15/00 3/15/00 11/15/99 9/15/99 7/15/99
Last Prin 1/15/13 2/15/05 4/15/02 2/15/01 8/15/00 4/15/00 1/15/00
Mod Duration 9.2816 3.9362 2.5102 1.8358 1.4846 1.2764 1.1149
Payment Window 17 37 19 12 10 8 7
Class A-4 @ Price 100/00
Average Life 15.4913 9.5669 5.0524 2.9837 2.2168 1.881 1.6234
First Prin 1/15/13 2/15/05 4/15/02 2/15/01 8/15/00 4/15/00 1/15/00
Last Prin 11/15/17 5/15/11 7/15/05 11/15/02 2/15/01 9/15/00 6/15/00
Mod Duration 9.7356 7.001 4.2134 2.647 2.0165 1.7282 1.5032
Payment Window 59 76 40 22 7 6 6
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Priced to 10% Optional Call
<TABLE>
<CAPTION>
I II III IV V VI VII
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-5 @ Price 100/00
Average Life 22.5228 13.9649 9.2879 4.9778 2.5978 2.196 1.8983
First Prin 11/15/17 5/15/11 7/15/05 11/15/02 2/15/01 9/15/00 6/15/00
Last Prin 2/15/24 1/15/13 2/15/09 8/15/04 5/15/01 12/15/00 8/15/00
Mod Duration 11.6813 9.0289 6.8167 4.1477 2.3287 1.9929 1.7386
Payment Window 76 21 44 22 4 4 3
Class A-6 @ Price 100/00
Average Life 26.8542 14.4306 10.5139 7.3611 3.1002 2.4226 2.085
First Prin 2/15/24 1/15/13 2/15/09 8/15/04 5/15/01 12/15/00 8/15/00
Last Prin 9/15/25 1/15/13 2/15/09 4/15/06 6/15/04 2/15/01 10/15/00
Mod Duration 12.162 9.0099 7.3437 5.6437 2.703 2.1708 1.8888
Payment Window 20 1 1 21 38 3 3
Class A-7 @ Price 100/00
Average Life 9.9664 7.4829 6.7816 6.4866 5.975 2.9034 2.3753
First Prin 8/15/01 8/15/01 8/15/01 5/15/02 10/15/03 2/15/01 10/15/00
Last Prin 1/15/13 1/15/13 2/15/09 4/15/06 9/15/04 9/15/03 3/15/01
Mod Duration 7.0953 5.6873 5.2961 5.1558 4.8482 2.5727 2.1456
Payment Window 138 138 91 48 12 32 6
Class A-8 @ Price 100/00
Average Life 20.701 5.3432 3.7748 2.8239 2.227 1.7696 1.1862
First Prin 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98
Last Prin 9/15/25 1/15/13 2/15/09 4/15/06 9/15/04 9/15/03 5/15/01
Mod Duration 11.3795 4.1387 3.1198 2.4377 1.9755 1.6013 1.1097
Payment Window 326 174 127 93 74 62 34
Class M-1 @ Price 100/00
Average Life 21.2568 10.2528 6.9823 5.2312 4.916 5.0409 3.7836
First Prin 1/15/13 11/15/03 1/15/02 12/15/01 7/15/02 3/15/03 5/15/01
Last Prin 9/15/25 1/15/13 2/15/09 4/15/06 9/15/04 9/15/03 12/15/02
Mod Duration 11.0116 7.1102 5.3319 4.248 4.0751 4.175 3.2449
Payment Window 153 111 86 53 27 7 20
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Priced to 10% Optional Call
<TABLE>
<CAPTION>
I II III IV V VI VII
<S> <C> <C> <C> <C> <C> <C> <C>
Class M-2 @ Price 100/00
Average Life 21.2568 10.2528 6.9823 5.1645 4.4801 4.3561 4.2518
First Prin 1/15/13 11/15/03 1/15/02 10/15/01 1/15/02 4/15/02 6/15/02
Last Prin 9/15/25 1/15/13 2/15/09 4/15/06 9/15/04 9/15/03 12/15/02
Mod Duration 10.738 7.0037 5.2716 4.1589 3.7228 3.6529 3.5819
Payment Window 153 111 86 55 33 18 7
Class B-1 @ Price 100/00
Average Life 21.2568 10.2528 6.9823 5.139 4.3377 4.004 3.832
First Prin 1/15/13 11/15/03 1/15/02 9/15/01 11/15/01 1/15/02 2/15/02
Last Prin 9/15/25 1/15/13 2/15/09 4/15/06 9/15/04 9/15/03 12/15/02
Mod Duration 10.264 6.8149 5.1639 4.0725 3.5645 3.3476 3.2312
Payment Window 153 111 86 56 35 21 11
Class B-2 @ Price 100/00
Average Life 21.2568 10.2528 6.9823 5.1282 4.2762 3.862 3.6168
First Prin 1/15/13 11/15/03 1/15/02 8/15/01 9/15/01 10/15/01 11/15/01
Last Prin 9/15/25 1/15/13 2/15/09 4/15/06 9/15/04 9/15/03 12/15/02
Mod Duration 9.6934 6.5801 5.0283 3.9801 3.4556 3.1889 3.0244
Payment Window 153 111 86 57 37 24 14
Class B-3 @ Price 100/00
Average Life 21.2568 10.2528 6.9823 5.1186 4.2414 3.7851 3.4982
First Prin 1/15/13 11/15/03 1/15/02 8/15/01 8/15/01 9/15/01 9/15/01
Last Prin 9/15/25 1/15/13 2/15/09 4/15/06 9/15/04 9/15/03 12/15/02
Mod Duration 9.6934 6.5801 5.0283 3.9729 3.4295 3.1315 2.9363
Payment Window 153 111 86 57 38 25 16
Class B-4 @ Price 100/00
Average Life 21.2568 10.2528 6.9823 5.1186 4.2147 3.7344 3.42
First Prin 1/15/13 11/15/03 1/15/02 8/15/01 8/15/01 8/15/01 8/15/01
Last Prin 9/15/25 1/15/13 2/15/09 4/15/06 9/15/04 9/15/03 12/15/02
Mod Duration 9.6934 6.5801 5.0283 3.9729 3.4094 3.0933 2.8774
Payment Window 153 111 86 57 38 26 17
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Priced to Maturity
<TABLE>
<CAPTION>
I II III IV V VI VII
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 @ Price 100/00
Average Life 5.0525 1.032 0.6694 0.5008 0.4136 0.3614 0.3205
First Prin 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98
Last Prin 12/15/07 8/15/00 11/15/99 7/15/99 5/15/99 4/15/99 3/15/99
Mod Duration 4.1118 0.9664 0.6355 0.4785 0.3964 0.3471 0.3082
Class A-2 @ Price 100/00
Average Life 11.3578 2.7356 1.7188 1.2485 1.0113 0.8727 0.7682
First Prin 12/15/07 8/15/00 11/15/99 7/15/99 5/15/99 4/15/99 3/15/99
Last Prin 9/15/11 2/15/02 10/15/00 3/15/00 11/15/99 9/15/99 7/15/99
Mod Duration 8.0324 2.4538 1.5888 1.1704 0.9548 0.8273 0.7306
Class A-3 @ Price 100/00
Average Life 14.144 4.6502 2.8072 2.0043 1.6014 1.3672 1.1878
First Prin 9/15/11 2/15/02 10/15/00 3/15/00 11/15/99 9/15/99 7/15/99
Last Prin 1/15/13 2/15/05 4/15/02 2/15/01 8/15/00 4/15/00 1/15/00
Mod Duration 9.2816 3.9362 2.5102 1.8358 1.4846 1.2764 1.1149
Class A-4 @ Price 100/00
Average Life 15.4913 9.5669 5.0524 2.9837 2.2168 1.881 1.6234
First Prin 1/15/13 2/15/05 4/15/02 2/15/01 8/15/00 4/15/00 1/15/00
Last Prin 11/15/17 5/15/11 7/15/05 11/15/02 2/15/01 9/15/00 6/15/00
Mod Duration 9.7356 7.001 4.2134 2.647 2.0165 1.7282 1.5032
Class A-5 @ Price 100/00
Average Life 22.5228 13.9649 9.386 4.9778 2.5978 2.196 1.8983
First Prin 11/15/17 5/15/11 7/15/05 11/15/02 2/15/01 9/15/00 6/15/00
Last Prin 2/15/24 1/15/13 1/15/10 8/15/04 5/15/01 12/15/00 8/15/00
Mod Duration 11.6813 9.0289 6.865 4.1477 2.3287 1.9929 1.7386
Class A-6 @ Price 100/00
Average Life 27.8086 19.1131 14.6092 10.509 3.1002 2.4226 2.085
First Prin 2/15/24 1/15/13 1/15/10 8/15/04 5/15/01 12/15/00 8/15/00
Last Prin 2/15/28 2/15/28 2/15/28 2/15/28 6/15/04 2/15/01 10/15/00
Mod Duration 12.3152 10.3823 8.9815 7.1735 2.703 2.1708 1.8888
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Priced to Maturity
<TABLE>
<CAPTION>
I II III IV V VI VII
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-7 @ Price 100/00
Average Life 9.9664 7.4829 6.8374 6.8171 7.7952 3.3821 2.3753
First Prin 8/15/01 8/15/01 8/15/01 5/15/02 10/15/03 2/15/01 10/15/00
Last Prin 1/15/13 1/15/13 1/15/13 1/15/13 2/15/28 2/15/28 3/15/01
Mod Duration 7.0953 5.6873 5.3225 5.3432 5.9046 2.8432 2.1456
Class A-8 @ Price 100/00
Average Life 20.9226 5.6791 4.0539 3.0735 2.4263 1.9049 1.1862
First Prin 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98 8/15/98
Last Prin 3/15/28 3/15/28 3/15/28 3/15/28 3/15/28 2/15/28 5/15/01
Mod Duration 11.4227 4.2562 3.2444 2.5728 2.0967 1.6908 1.1097
Class M-1 @ Price 100/00
Average Life 21.4972 11.006 7.6564 5.8204 5.4113 6.4374 5.4028
First Prin 1/15/13 11/15/03 1/15/02 12/15/01 7/15/02 3/15/03 5/15/01
Last Prin 3/15/28 3/15/28 3/15/28 3/15/28 2/15/28 2/15/28 2/15/28
Mod Duration 11.0499 7.3355 5.6073 4.5437 4.3563 5.0594 4.3003
Class M-2 @ Price 100/00
Average Life 21.4972 11.006 7.6564 5.7537 4.9754 4.7809 4.7619
First Prin 1/15/13 11/15/03 1/15/02 10/15/01 1/15/02 4/15/02 6/15/02
Last Prin 3/15/28 3/15/28 3/15/28 3/15/28 2/15/28 2/15/28 2/15/28
Mod Duration 10.7733 7.2174 5.5365 4.4459 3.9971 3.9092 3.921
Class B-1 @ Price 100/00
Average Life 21.4972 11.006 7.6564 5.7282 4.833 4.4288 4.1874
First Prin 1/15/13 11/15/03 1/15/02 9/15/01 11/15/01 1/15/02 2/15/02
Last Prin 3/15/28 3/15/28 3/15/28 3/15/28 2/15/28 2/15/28 2/15/28
Mod Duration 10.2944 7.009 5.4105 4.3441 3.8267 3.5942 3.4529
Class B-2 @ Price 100/00
Average Life 21.4972 11.006 7.6564 5.7175 4.7715 4.2868 3.9723
First Prin 1/15/13 11/15/03 1/15/02 8/15/01 9/15/01 10/15/01 11/15/01
Last Prin 3/15/28 3/15/28 3/15/28 3/15/28 2/15/28 2/15/28 2/15/28
Mod Duration 9.7185 6.7514 5.2531 4.233 3.7029 3.4233 3.2366
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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>
Priced to Maturity
<TABLE>
<CAPTION>
I II III IV V VI VII
<S> <C> <C> <C> <C> <C> <C> <C>
Class B-3 @ Price 100/00
Average Life 21.4972 11.006 7.6564 5.7079 4.7367 4.2099 3.8536
First Prin 1/15/13 11/15/03 1/15/02 8/15/01 8/15/01 9/15/01 9/15/01
Last Prin 3/15/28 3/15/28 3/15/28 3/15/28 2/15/28 2/15/28 2/15/28
Mod Duration 9.7185 6.7514 5.2531 4.2258 3.6768 3.366 3.1485
Class B-4 @ Price 100/00
Average Life 21.4972 11.006 7.6564 5.7079 4.71 4.1592 3.7754
First Prin 1/15/13 11/15/03 1/15/02 8/15/01 8/15/01 8/15/01 8/15/01
Last Prin 3/15/28 3/15/28 3/15/28 3/15/28 2/15/28 2/15/28 2/15/28
Mod Duration 9.7185 6.7514 5.2531 4.2258 3.6566 3.3278 3.0896
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. 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 loans will prepay 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 loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. 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.
