-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GVwMU/8lwYH6GDP3XptmMFiNM0c88hOnqbJToiStq0pDYvZugkP3kkx6KBkevDbA Zhaya+vjMYtupYT+nilEhA== 0000950136-02-000688.txt : 20020415 0000950136-02-000688.hdr.sgml : 20020415 ACCESSION NUMBER: 0000950136-02-000688 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20020313 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20020315 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AAMES CAPITAL CORP CENTRAL INDEX KEY: 0000913951 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 954438859 STATE OF INCORPORATION: CA FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 033-84816 FILM NUMBER: 02575546 BUSINESS ADDRESS: STREET 1: 350 SOUTH GRAND AVE STREET 2: 43RD FLOOR CITY: LOS ANGELES STATE: CA ZIP: 90071 BUSINESS PHONE: 3232105000 MAIL ADDRESS: STREET 1: 350 SOUTH GRAND AVE STREET 2: 43RD FLOOR CITY: LOS ANGELES STATE: CA ZIP: 90071 8-K 1 file001.txt FORM 8-K ============================ SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 8-K CURRENT REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES AND EXCHANGE ACT OF 1934 Date of Report (Date of earliest event reported) MARCH 13, 2002 AAMES CAPITAL ACCEPTANCE CORPORATION ON BEHALF OF AAMES MORTGAGE TRUST 2002-1 (Exact name of Registrant as specified in its charter) ---------------------------------------------------------------
DELAWARE 333-54184 95-4619902 - ------------------------------------------------- ------------------------------ ----------------------------------------- (State or other jurisdiction of (Commission file (I.R.S. employer identification no.) incorporation) number) 350 SOUTH GRAND AVENUE, 40TH FLOOR LOS ANGELES, CALIFORNIA 90071 - ---------------------------------------------------- ------------------------------------------ (Address of principal executive offices) (ZIP Code) (323) 210-5000 ----------------------------- Registrant's telephone number, including area code N/A ----------------------------- (Former name or former address, if changed since last report) --------------------------------------------------
Item 5. Other Events ------------ Filing of Computational Materials. - ---------------------------------- This Current Report on Form 8-K is being filed to file a copy of the Computational Materials (as defined below) prepared and distributed by Greenwich Capital Markets, Inc., as an underwriter, in connection with the issuance by Aames Mortgage Trust 2002-1 of Mortgage Pass-Through Certificates, Series 2002-1. The term "Computational Materials" shall have the meaning given in the No-Action Letter of May 20, 1994 issued by the Securities and Exchange Commission (the "SEC") to Kidder, Peabody Acceptance Corporation I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset Corporation, as made applicable to other issuers and underwriters by the SEC in response to the request of the Public Securities Association dated May 24, 1994, and supplemented in the No-Action Letter of February 17, 1995 issued by the SEC to the Public Securities Association. Some or all of the Computational Materials were also distributed by Lehman Brothers Inc. and Morgan Stanley & Co. Incorporated, other underwriters; the legend which such underwriters placed on the Computational Materials is attached hereto as Exhibit 99.3 and 99.4. Item 7. Financial Statements, Pro Forma Financial Information and Exhibits. ------------------------------------------------------------------- (a) Not applicable. (b) Not applicable. (c) Exhibits: 99.1 Computational Materials. 99.2 Legend of Lehman Brothers Inc. for Computational Materials. 99.3 Legend of Morgan Stanley & Co. Incorporated for Computational Materials. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. AAMES CAPITAL ACCEPTANCE CORPORATION By: /s/ Rick Holguin ---------------------------------------- Rick Holguin Vice President Dated: March 13, 2002 EXHIBIT INDEX Exhibit - ------- 99.1 Original Computational Materials. 99.2 Legend of Lehman Brothers Inc.. 99.3 Legend of Morgan Stanley & Co. Incorporated for Computational Materials. EX-99.1 3 file002.txt ORIGINAL COMPUTATIONAL MATERIALS EXHIBIT 99.1 - -------------------------------------------------------------------------------- AAMES $175,000,000 (APPROXIMATE) AAMES MORTGAGE TRUST 2002-1 MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2002-1 CLASS A-1, CLASS A-2, CLASS A-3, CLASS A-4, CLASS M-1, CLASS M-2 AND CLASS B AAMES CAPITAL CORPORATION SPONSOR AAMES CAPITAL ACCEPTANCE CORPORATION DEPOSITOR MARCH 13, 2002 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement. PRELIMINARY TERM SHEET DATE PREPARED: MARCH 13, 2002 $175,000,000 (APPROXIMATE) AAMES MORTGAGE TRUST 2002-1 MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2002-1
======================================================================================================================= APPROX CERTIFICATE WAL (YRS) PYMT WINDOW (3) TRANCHE EXPECTED RATINGS CLASS (1) CLASS SIZE COUPON (2)(4) CALL/MAT (3) CALL/MAT (MOS) TYPE MOODY'S/S&P - --------- ---------- ------------- ------------ --------------- ---- ----------- A-1 $65,500,000 TBD 1.00/1.00 1-23/1-23 Fixed-Senior Aaa/AAA A-2 50,000,000 TBD 3.01/3.01 23-60/23-60 Fixed-Senior Aaa/AAA A-3 21,500,000 TBD 8.06/8.77 60-130/60-220 Fixed-Senior Aaa/AAA A-4 NAS 11,750,000 TBD 6.58/6.60 38-130/38-218 Fixed-Senior Aaa/AAA M-1 11,375,000 TBD 6.04/6.26 37-130/37-180 Fixed-Sub Aa2/AA M-2 7,875,000 TBD 6.04/6.19 37-130/37-164 Fixed-Sub A2/A B 7,000,000 TBD 6.00/6.03 37-130/37-145 Fixed-Sub Baa2/BBB TOTAL $175,000,000 =======================================================================================================================
(1) The Certificates are backed by the cash flows from a pool of fixed rate and adjustable rate mortgage loans. The class sizes are subject to a +/- 10% variance. (2) The Certificates are subject to a [5%] Clean-up Call (as described herein). The coupon on the Certificates will increase by [0.50%] after the first date on which the Clean-up Call is exercisable. (3) See "Pricing Prepayment Speed" herein. (4) All Certificates are subject to the Net WAC Cap. 2 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Issuer: Aames Mortgage Trust 2002-1. Sponsor: Aames Capital Corporation, a California corporation and a wholly-owned subsidiary of Aames Financial Corporation. Depositor: Aames Capital Acceptance Corporation., a Delaware corporation and a wholly-owned subsidiary of Aames Financial Corporation. Servicer: Ocwen Federal Bank FSB ("OCWEN") Underwriters: Greenwich Capital Markets, Inc. (Lead and Book Manager), Lehman Brothers (Co), Morgan Stanley (Co). Trustee: Bankers Trust Company of California, N.A. Rating Agencies: S&P and Moody's. Statistical Calculation Date: March 1, 2002. Cut-Off Date: The close of business on March 1, 2002 or for Mortgage Loans originated after the Cut-Off Date, the origination date of such Mortgage Loans. Pricing Date: Week of March 11, 2002. Closing Date: On or about March 28, 2002. Settlement Date: On or about March 28, 2002. Distribution Date: The 25th of each month (or the next succeeding business day), beginning April 25, 2002. Certificates Offered: The "SENIOR CERTIFICATES" will consist of the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates. The "SUBORDINATE CERTIFICATES" will consist of the Class M-1, Class M-2 and Class B Certificates. The Senior Certificates and the Subordinate Certificates are collectively referred to herein as the "CERTIFICATES". Registration: The Certificates will be available in book-entry form through DTC and upon request through Euroclear or Clearstream, Luxembourg. Accrued Interest: The Certificates will settle with accrued interest. The price to be paid by investors for the Certificates will include accrued interest from March 1, 2002 up to, but not including the Settlement Date (27 days).
3 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Interest Accrual Period: The interest accrual period for the Certificates with respect to any Distribution Date will be the calendar month preceding such Distribution Date (based on a 360-day year consisting of twelve 30-day months). Cleanup Call: On the Distribution Date on which the aggregate principal balance of the Mortgage Loans is equal to or less than [5%] of the sum of the aggregate principal balance of the Mortgage Loans and amounts on deposit in the Pre-Funding Account as of the Cut-off Date (the "CLEAN-UP CALL DATE"), the Servicer will have the right to call all outstanding Certificates by depositing an amount not less than the sum of (x) 100% of the principal balance of each such Mortgage Loan (other than any REO property whose market value is included pursuant to clause (y) as of the final distribution date), and (y) the fair market value of each REO property (as determined by the Servicer as of the close of business on the third Business Day next preceding the date upon which notice of any such repurchase is furnished to certificateholders), plus one month's interest at the interest rate on each such Mortgage Loan including any Mortgage Loan as to which title to the underlying mortgage property has been acquired by the Trust and any unreimbursed servicing advances made in respect of such mortgage loan less any payments of principal and interest received during the related collection period in respect of such Mortgage Loans. Denominations: $25,000 minimum; increments of $1,000. Federal Tax Status: The Certificates will be treated as REMIC regular interest for Federal income tax purposes. ERISA: The Certificates are expected to be "ERISA" eligible. SMMEA: After the end of the Pre-Funding Period, the Certificates (other than the Class M-2 and Class B Certificates) are expected to constitute "mortgage related securities" for purposes of SMMEA. Pricing Prepayment Speed: Fixed rate Mortgage Loans: [115%] of PPC (100% PPC is equal to 4% - 20% CPR over 12 months) Adjustable rate Mortgage Loans: [ 27%] CPR Statistical Calculation Mortgage Loans: As of the Statistical Calculation Date, the aggregate principal balance of the mortgage loans described herein was approximately $118,044,387 (the "STATISTICAL CALCULATION MORTGAGE LOANS"). Additional Mortgage Loans: On or prior to the Closing Date approximately $13,205,613 of additional fixed rate mortgage loans having similar characteristics to the fixed rate Statistical Calculation Mortgage Loans will be added to the Trust (the "ADDITIONAL MORTGAGE Loans").
4 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Pre-Funding Account: An account (the "PRE-FUNDING ACCOUNT") will be established on the Closing Date into which approximately $43,750,000 will be deposited which will be used to purchase additional fixed rate mortgage loans (the "SUBSEQUENT MORTGAGE LOANS"). On or prior to [April 30, 2002] (the "PRE-FUNDING PERIOD"), the related amounts on deposit in the Pre-Funding Account will be used to purchase Subsequent Mortgage Loans having similar characteristics to the fixed rate Statistical Calculation Mortgage Loans (with any unused portion of such deposit amount to be distributed as principal of the Certificates after such date). The Statistical Calculation Mortgage Loans together with the Additional Mortgage Loans and the Subsequent Mortgage Loans are collectively referred to herein as the "MORTGAGE LOANS". Collateral Description: For further information, please see the attached collateral term sheet. Net WAC Cap: As to any Distribution Date, a per annum rate equal to the weighted average gross rate of the Mortgage Loans less servicing and trustee fee rates. Net Rate Cap Carryover: As to any Distribution Date and the Senior and Subordinate Certificates, the sum of (i) the excess, if any, of interest due such Certificates (without regard to the Net WAC Cap) over interest due such Certificates at a rate equal to the Net WAC Cap; (ii) any Net Rate Cap Carryover remaining unpaid from prior Distribution Dates; and (iii) interest on the amount in clause (ii) at the related certificate rate (without regard to the Net WAC Cap). Credit Enhancement: Credit enhancement for the Certificates will consist of (i) Excess Interest Collections, (ii) Overcollateralization and (iii) the subordination of Certificates with lower payment priorities. Excess Interest Collections: For each Distribution Date, the interest collections from the Mortgage Loans minus the sum of (i) the interest paid on the Certificates and (ii) the servicing and trustee paid in respect of the Mortgage Loans paid on the related Distribution Date. Overcollateralization: The Certificateholders will be entitled to receive distributions of Excess Interest Collections as principal until the Overcollateralization Amount equals the Required Overcollateralization Amount. This distribution of interest as principal will have the effect of accelerating the amortization of the Certificates relative to the underlying Mortgage Loans. On any Distribution Date, the Overcollateralization Amount will be the amount by which the balance of the Mortgage Loans (the "MORTGAGE LOAN BALANCE") plus any amounts in the Pre-Funding Account exceed the balance of the Certificates (the "CERTIFICATE PRINCIPAL BALANCE"). On any Distribution Date on which the Mortgage Loan Balance and amounts in the Pre-Funding Account do not exceed the Certificate Principal Balance by the Required Overcollateralization Amount, Excess Interest Collections will be distributed as principal to the Certificateholders to increase the overcollateralization amount to the Required Overcollateralization Amount.
5 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement. Credit Enhancement Percentage: Initial Credit Target Credit Enhancement Enhancement. After Stepdown Date ------------ ------------------- Rating Percent Rating Percent ------ ------- ------ ------- AAA [15.00%] AAA [36.30%] AA [8.50%] AA [23.30%] A [4.00%] A [14.30%] BBB [0.00%] BBB [6.30%]
Required Overcollateralization Amount: On any Distribution Date on which a Delinquency Event or a Cumulative Loss Event has not occurred, the Required Overcollateralization Amount is equal to: (i) prior to the Stepdown Date, [3.15%] multiplied by the sum of the initial Mortgage Loan Balance and the amount initially in the Pre-Funding Account; (ii) on or after the Stepdown Date, the greater of: (a) the lesser of: (x) [3.15%] multiplied by the sum of the initial Mortgage Loan Balance and the amount initially in the Pre-Funding Account; and (y) [6.30%] of the current balance of the Mortgage Loans and any amounts in the Pre-Funding Account; (b) 0.50% of the initial balance of the Certificates (the "OC FLOOR"). On any Distribution Date on which a Delinquency Event or a Cumulative Loss Event has occurred, the Required Overcollateralization Amount is equal to the Required Overcollateralization Amount as of the preceding Distribution Date. Delinquency Event: The three-month rolling average of the percentage of Mortgage Loans 60+ days delinquent exceeds [50%] of the percentage equal to the credit enhancement provided to the Senior Certificates. Cumulative Loss Event: For any Distribution Date in the applicable period below, if cumulative losses on the Mortgage Loans exceed the applicable percentage of the aggregate initial balance of the Mortgage Loans: Distribution Periods Percentage -------------------- ---------- 37-48 [3.50]% 49-60 [5.00]% 60-72 [6.25]% 73 and thereafter [7.00]% Stepdown Date: The later to occur of (x) the earlier of: (a) the Distribution Date occurring in April 2005; and (b) the Distribution Date on which the aggregate balance of the Senior Certificates is reduced to zero; and (y) the first Distribution Date on which the aggregate Mortgage Loan balance and amounts in the Pre-Funding Account have been reduced to 50% of the aggregate of the Mortgage Loan balance and the amount in the Pre-Funding Account as of the Cut-off Date.
6 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Subordination Increase Amount: As to any Distribution Date the lesser of the Subordination Deficiency and Excess Interest Collections. Subordination Deficiency: As to any Distribution Date, the excess, if any, of the Required Overcollateralization Amount over the Overcollateralization Amount after giving effect to the distribution of principal from the Mortgage Loans, including distributions from the Pre-Funding Account, (but prior to the distribution of any Subordination Increase Amount). Excess OC Amount: As to any Distribution Date, the lesser of (i) the principal payments received on the Mortgage Loans, including distributions from the Pre-Funding Account and (ii) the excess, if any, of the Overcollateralization Amount over the Required Overcollateralization Amount (assuming 100% of the distribution of principal payments received on the Mortgage Loans as well as any amounts in the Pre-Funding Account not used to purchase Additional Mortgage Loans are distributed to the Certificates). Priority of Distributions: Available Funds will be distributed in the following order of priority, in each case, to the extent of funds remaining: 1. To the Servicer and the Trustee, the related fees; 2. To the Senior Certificates, concurrently, the related Accrued Certificate Interest, pro rata, and any Interest Carry Forward Amount for such Class of Certificates for such Distribution Date; 3. Sequentially, to the Class M-1, Class M-2 and Class B Certificates, the Accrued Certificate Interest; 4. To the Senior Certificates, the Senior Principal Distribution Amount for such Distribution Date, excluding any Subordination Increase Amount, payable in the order set forth under "Priority of Class A Principal Distribution"; 5. Sequentially, to the Class M-1, Class M-2 and Class B Certificates, the related principal distribution amount due (until the related required credit enhancement level is met), excluding any Subordination Increase Amounts; 6. To the Certificates, the related Subordination Increase Amount, distributed in the order of priorities set forth in 4 and 5 above; 7. To the holders of the Class M-1 Certificates, in an amount equal to the Interest Carry Forward Amount for such class; 8. To the holders of the Class M-1 Certificates, in an amount equal to the Realized Loss Amount allocable to the Class M-1 Certificates: 9. To the holders of the Class M-2 Certificates, in an amount equal to the Interest Carry Forward Amount for such class; 10. To the holders of the Class M-2 Certificates, in an amount equal to the Realized Loss Amount allocable to the Class M-2 Certificates: 11. To the holders of the Class B Certificates, in an amount equal to the Interest Carry Forward Amount for such class; 12. To the holders of the Class B Certificates, in an amount equal to the Realized Loss Amount allocable to the Class B Certificates:
7 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
13. Sequentially, (a) concurrently to the Senior Certificates, pro rata, and (b) sequentially to the Class M-1, Class M-2 and Class B Certificates, in that order, the related Net Rate Cap Carryover; 14. To the Class C Certificates, the amounts required by the pooling and servicing agreement; 15. To the residual certificates, any remaining amounts. On any Distribution Date, any shortfalls resulting from the application of the Relief Act and any Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the Servicer will be allocated, first, to the interest distribution amount with respect to the Class C Certificates, and thereafter, to the Accrued Certificate Interest with respect to the Senior Certificates and Subordinate Certificates on a pro rata basis based on the respective amounts of interest accrued on such Certificates for such Distribution Date. THE HOLDERS OF THE OFFERED CERTIFICATES WILL NOT BE ENTITLED TO REIMBURSEMENT FOR ANY SUCH INTEREST SHORTFALLS. Interest Shortfall As to any Class of Certificates and any Distribution Date, is the amount equal to the sum of Relief Act Shortfalls and Prepayment Interest Shortfalls. Accrued Certificate Interest: As to any Distribution Date and for any Class of Certificates, the amount of interest due thereon in respect of any Interest Period at the applicable pass-through rate, less the related pro rata share of Interest Shortfalls. Interest Carry Forward Amount: As to any Distribution Date and for any Class of Certificates, the amount, if any, by which (i) the Accrued Certificate Interest on such Class for the preceding Distribution Date plus any outstanding Interest Carry Forward Amount with respect to such Class from the second preceding Distribution Date (together with interest on such outstanding Interest Carry Forward Amount at the related pass-through rate for the related Interest Period to the extent lawful) exceeds (ii) the amount of interest actually distributed to the holders of such Certificates on such preceding Distribution Date. Principal Distribution Amount: As to any Distribution Date, the lesser of: (i) the balance of the Certificates prior to such Distribution Date and (ii) the sum of (a) principal received in connection with the Mortgage Loans less any Excess OC Amount; (b) amounts distributed as principal to the Certificates from the Pre-Funding Account and (c) the Subordination Increase Amount.
8 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Senior Principal Distribution Amount: As to any Distribution Date prior to the Stepdown Date or during the continuation of a Delinquency Event or a Cumulative Loss Event, the lesser of (i) 100% of the Principal Distribution Amount and (ii) the balance of the Senior Certificates. As to any other Distribution Date, an amount equal to the excess, if any, of (i) the balance of the Senior Certificates prior to such Distribution Date over (ii) the lesser of (a) 63.70% of the balance of the Mortgage Loans and amounts in the Pre-Funding Account as of the end of the related due period and (b) the balance of the Mortgage Loans and amounts in the Pre-Funding Account as of the last day of the related Due Period minus the OC Floor. Priority of Class A Principal Distribution: The Senior Principal Distribution Amount for any applicable Distribution Date, excluding any Subordination Increase Amount included in that amount, distributed as follows: The Senior Certificates will be paid in the following order of priority: (i) first, the Class A-4 Certificates will receive the Class A-4 Principal Distribution Amount, (ii) then, the Class A-1 through Class A-3 Certificates will receive principal sequentially. The Class A-4 Principal Distribution Amount is equal to the Class A-4 Lockout Percentage multiplied by the Class A-4 pro-rata allocation of the Principal Distribution Amount. The Class A-4 Lockout Percentage is equal to the following: Distribution Dates Class A-4 Lockout Percentage ------------------ ---------------------------- 1 - 36 0% 37 - 60 45% 61 - 72 80% 73 - 84 100% 85 and thereafter 300%
9 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Class M-1 Principal Distribution Amount: As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the balance of the Senior Certificates has been reduced to zero and a Delinquency Event or a Cumulative Loss Event exists, or (y) if neither a Delinquency Event nor a Cumulative Loss Event is in effect, the excess of (1) the sum of (A) the aggregate class principal balance of the Senior Certificates, after taking into account distributions of the Senior Principal Distribution Amount for the applicable Distribution Date, and (B) the class principal balance of the Class M-1 Certificates immediately prior to the applicable Distribution Date Over (2) the lesser of (A) 76.70% of the Mortgage Loan Balance and amounts in the Pre-Funding Account as of the last day of the related Due Period, and (B) the balance of the Mortgage Loans and amounts in the Pre-Funding Account as of the last day of the related Due Period minus the OC Floor. Class M-2 Principal Distribution Amount: As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the aggregate balance of the Senior Certificates and Class M-1 Certificates has been reduced to zero and a Delinquency Event or a Cumulative Loss Event exists, or (y) if neither a Delinquency Event nor a Cumulative Loss Event is in effect, the excess of (1) the sum of (A) the aggregate class principal balance of the Senior Certificates, after taking into account distributions of the Senior Principal Distribution Amount for the applicable Distribution Date, (B) the aggregate class principal balance of the Class M-1 Certificates, after taking into account distributions of the Class M-1 Principal Distribution Amount for the applicable Distribution Date, and (C) the class principal balance of the Class M-2 Certificates immediately prior to the applicable Distribution Date Over (2) the lesser of (A) 85.70% of the Mortgage Loan Balance and amounts in the Pre-Funding Account as of the last day of the related Due Period, and (B) the balance of the Mortgage Loans and amounts in the Pre-Funding Account as of the last day of the related Due Period minus the OC Floor.
10 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Class B Principal Distribution Amount: As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the aggregate balance of the Class A and Class M Certificates has been reduced to zero and a Delinquency Event or a Cumulative Loss Event exists, or (y) if neither a Delinquency Event nor a Cumulative Loss Event is in effect, the excess of (1) the sum of (A) the aggregate class principal balance of the Senior Certificates, after taking into account distributions of the Senior Principal Distribution Amount for the applicable Distribution Date, (B) the aggregate class principal balance of the Class M-1 Certificates, after taking into account distributions of the Class M-1 Principal Distribution Amount for the applicable Distribution Date, and (C) the aggregate class principal balance of the Class M-2 Certificates, after taking into account distributions of the Class M-2 Principal Distribution Amount for the applicable Distribution Date (D) the class principal balance of the Class B Certificates immediately prior to the applicable Distribution Date Over (2) the lesser of (A) 93.70% of the Mortgage Loan Balance and amounts in the Pre-Funding Account as of the last day of the related Due Period, and (B) the balance of the Mortgage Loans and amounts in the Pre-Funding Account as of the last day of the related Due Period minus the OC Floor. Allocation of Losses: Losses not covered by the available credit enhancement will be allocated in the reverse order of payment priority (first to the Class B, then the Class M-2 and then the Class M-1 Certificates).
11 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction. This Preliminary Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
Monthly Advance and Compensating Interest: Each month the Servicer will determine the amount of any unpaid interest due on the Mortgage Loans. If the Servicer believes that unpaid interest can be recovered from the related Mortgage Loan, then the Servicer will either: o Advance the unpaid interest to the trust out of its own funds; or o Advance the unpaid interest to the Trust out of collections on the Mortgage Loans that are not required to be distributed on the related Distribution Date. The Servicer is required to reimburse the Trust for amounts advanced from trust collections on the next deposit date. The Servicer will provide to the Trust the amount of any shortfall in the anticipated collection of interest on a Mortgage Loan that is caused by a full or partial prepayment of any Mortgage Loan generally up to one-half the amount of the Servicer's Monthly Servicing Fee without any right of reimbursement ("COMPENSATING INTEREST"). The Servicer shall be entitled to be reimbursed by the Trust for servicing advances from the related Mortgage Loan in respect of which the servicing advance was made.
12 GREENWICH CAPITAL - -------------------------------------------------------------------------------- COMPUTATIONAL MATERIALS DISCLAIMER The attached tables and other statistical analyses (the "Computational Materials") are privileged and intended for use by the addressee only. These Computational Materials have been prepared by Greenwich Capital Markets, Inc. in reliance upon information furnished by the issuer of the securities and its affiliates. These Computational Materials are furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities. They may not be provided to any third party other than the addressee's legal, tax, financial and/or accounting advisors for the purposes of evaluating said material. Numerous assumptions were used in preparing the Computational Materials which may or may not be reflected therein. As such, no assurance can be given as to the Computational Materials' accuracy, appropriateness or completeness in any particular context; nor as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice. Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayments assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfall. The specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the actual underlying assets and the hypothetical underlying assets used in preparing the Computational Materials. The principal amount and designation of any security described in the Computational Materials are subject to change prior to issuance. Neither Greenwich Capital Markets, Inc. nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. Although a registration statement (including the Prospectus) relating to the securities discussed in this communication has been filed with the Securities and Exchange Commission and is effective, the final prospectus supplement relating to the securities discussed in this communication has not been filed with Securities and Exchange Commission. This communication shall not constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of the securities discussed in this communication in any state in which such offer, solicitation or sale would be unlawful prior to registration or qualification of such securities under the securities laws of any such state. Prospective purchasers are referred to the final prospectus supplement relating to the securities discussed in this communication for definitive Computational Materials and any matter discussed in this communication. Once available, a final prospectus and prospectus supplement may be obtained by contacting the Greenwich Capital Markets, Inc. Trading Desk at (203) 625-6160. Please be advised that the securities described herein may not be appropriate for all investors. Potential investors must be willing to assume, among other things, market price volatility, prepayment, yield curve and interest rate risks. Investors should make every effort to consider the risks of these securities. If you have received this communication in error, please notify the sending party immediately by telephone and return the original to such party by mail. 13 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is provided to you solely by Greenwich Capital Markets, Inc. ("GCM") and not by the issuer of the securities or any of its affiliates. GCM is acting as underwriter and not as agent for its affiliates in connection with the proposed transaction. These Computational Materials should be accompanied by a one page disclaimer which must be read in its entirety by the addressee of this communication. If such disclaimer is not attached hereto, please contact your Greenwich Capital sales representative. AVERAGE LIFE TABLES
CLASS A-1 TO CALL - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 3.619 3.554 3.507 3.457 3.425 3.395 ======================================================================================================================= WAL (YR) 1.81 1.23 1.00 0.84 0.76 0.69 MDUR (YR) 1.70 1.18 0.97 0.81 0.73 0.67 FIRST PRIN PAY 04/25/02 04/25/02 04/25/02 04/25/02 04/25/02 04/25/02 LAST PRIN PAY 01/25/06 08/25/04 02/25/04 09/25/03 07/25/03 06/25/03 - -----------------------------------------------------------------------------------------------------------------------
CLASS A-2 TO CALL - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 5.230 5.195 5.165 5.122 5.097 5.073 ======================================================================================================================= WAL (YR) 6.87 4.05 3.01 2.21 1.92 1.70 MDUR (YR) 5.53 3.53 2.70 2.03 1.78 1.58 FIRST PRIN PAY 01/25/06 08/25/04 02/25/04 09/25/03 07/25/03 06/25/03 LAST PRIN PAY 09/25/14 04/25/09 03/25/07 11/25/05 10/25/04 07/25/04 - -----------------------------------------------------------------------------------------------------------------------
CLASS A-3 TO CALL - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 6.877 6.864 6.847 6.821 6.786 6.731 ======================================================================================================================= WAL (YR) 17.36 11.31 8.06 5.53 3.94 2.65 MDUR (YR) 9.79 7.56 5.92 4.41 3.31 2.35 FIRST PRIN PAY 09/25/14 04/25/09 03/25/07 11/25/05 10/25/04 07/25/04 LAST PRIN PAY 05/25/23 06/25/16 01/25/13 07/25/10 03/25/09 11/25/06 - -----------------------------------------------------------------------------------------------------------------------
CLASS A-4 TO CALL - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 6.292 6.285 6.282 6.280 6.277 6.272 ======================================================================================================================= WAL (YR) 7.89 6.98 6.58 6.34 6.06 5.65 MDUR (YR) 5.92 5.41 5.18 5.05 4.88 4.62 FIRST PRIN PAY 04/25/05 04/25/05 05/25/05 10/25/05 03/25/06 11/25/06 LAST PRIN PAY 05/25/23 06/25/16 01/25/13 07/25/10 03/25/09 04/25/08 - -----------------------------------------------------------------------------------------------------------------------
14 GREENWICH CAPITAL - -------------------------------------------------------------------------------- This information is provided to you solely by Greenwich Capital Markets, Inc. ("GCM") and not by the issuer of the securities or any of its affiliates. GCM is acting as underwriter and not as agent for its affiliates in connection with the proposed transaction. These Computational Materials should be accompanied by a one page disclaimer which must be read in its entirety by the addressee of this communication. If such disclaimer is not attached hereto, please contact your Greenwich Capital sales representative. AVERAGE LIFE TABLES
CLASS M-1 TO CALL - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 6.942 6.922 6.903 6.886 6.879 6.878 ======================================================================================================================= WAL (YR) 12.17 7.95 6.04 4.87 4.50 4.46 MDUR (YR) 7.68 5.74 4.66 3.94 3.72 3.71 FIRST PRIN PAY 02/25/08 12/25/05 04/25/05 07/25/05 09/25/05 12/25/05 LAST PRIN PAY 05/25/23 06/25/16 01/25/13 07/25/10 03/25/09 04/25/08 - -----------------------------------------------------------------------------------------------------------------------
CLASS M-2 TO CALL - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% CPR 85% CPR 115% CPR 150% CPR 175% CPR 200% CPR PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 7.395 7.374 7.354 7.333 7.322 7.316 ======================================================================================================================= WAL (YR) 12.17 7.95 6.04 4.80 4.32 4.07 MDUR (YR) 7.48 5.63 4.59 3.84 3.54 3.39 FIRST PRIN PAY 02/25/08 12/25/05 04/25/05 05/25/05 06/25/05 08/25/05 LAST PRIN PAY 05/25/23 06/25/16 01/25/13 07/25/10 03/25/09 04/25/08 - -----------------------------------------------------------------------------------------------------------------------
CLASS B TO CALL - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% CPR 85% CPR 115% CPR 150% CPR 175% CPR 200% CPR - ----------------------------------------------------------------------------------------------------------------------- PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR - ----------------------------------------------------------------------------------------------------------------------- 100-00 7.750 7.728 7.707 7.684 7.671 7.662 - ----------------------------------------------------------------------------------------------------------------------- WAL (YR) 12.10 7.90 6.00 4.73 4.21 3.89 - ----------------------------------------------------------------------------------------------------------------------- MDUR (YR) 7.32 5.53 4.51 3.76 3.43 3.22 - ----------------------------------------------------------------------------------------------------------------------- FIRST PRIN PAY 02/25/08 12/25/05 04/25/05 04/25/05 05/25/05 05/25/05 - ----------------------------------------------------------------------------------------------------------------------- LAST PRIN PAY 05/25/23 06/25/16 01/25/13 07/25/10 03/25/09 04/25/08 - -----------------------------------------------------------------------------------------------------------------------
15 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any. AVERAGE LIFE TABLES
CLASS A-1 TO MATURITY - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 3.619 3.554 3.507 3.457 3.425 3.395 ======================================================================================================================= WAL (YR) 1.81 1.23 1.00 0.84 0.76 0.69 MDUR (YR) 1.70 1.18 0.97 0.81 0.73 0.67 FIRST PRIN PAY 04/25/02 04/25/02 04/25/02 04/25/02 04/25/02 04/25/02 LAST PRIN PAY 01/25/06 08/25/04 02/25/04 09/25/03 07/25/03 06/25/03 - -----------------------------------------------------------------------------------------------------------------------
CLASS A-2 TO MATURITY - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 5.230 5.195 5.165 5.122 5.097 5.073 ======================================================================================================================= WAL (YR) 6.87 4.05 3.01 2.21 1.92 1.70 MDUR (YR) 5.53 3.53 2.70 2.03 1.78 1.58 FIRST PRIN PAY 01/25/06 08/25/04 02/25/04 09/25/03 07/25/03 06/25/03 LAST PRIN PAY 09/25/14 04/25/09 03/25/07 11/25/05 10/25/04 07/25/04 - -----------------------------------------------------------------------------------------------------------------------
CLASS A-3 TO MATURITY - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 6.888 6.884 6.874 6.853 6.810 6.731 ======================================================================================================================= WAL (YR) 18.27 12.21 8.77 6.03 4.17 2.65 MDUR (YR) 9.98 7.85 6.22 4.66 3.44 2.35 FIRST PRIN PAY 09/25/14 04/25/09 03/25/07 11/25/05 10/25/04 07/25/04 LAST PRIN PAY 10/25/30 08/25/25 07/25/20 04/25/16 03/25/14 11/25/06 - -----------------------------------------------------------------------------------------------------------------------
CLASS A-4 TO MATURITY - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 6.292 6.286 6.283 6.286 6.308 6.326 ======================================================================================================================= WAL (YR) 7.89 6.99 6.60 6.43 6.51 6.38 MDUR (YR) 5.92 5.41 5.19 5.09 5.15 5.07 FIRST PRIN PAY 04/25/05 04/25/05 05/25/05 10/25/05 03/25/06 11/25/06 LAST PRIN PAY 08/25/30 06/25/25 05/25/20 02/25/16 01/25/14 07/25/12 - -----------------------------------------------------------------------------------------------------------------------
16 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any. AVERAGE LIFE TABLES
CLASS M-1 TO MATURITY - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 6.947 6.931 6.915 6.899 6.892 6.890 ======================================================================================================================= WAL (YR) 12.48 8.23 6.26 5.03 4.65 4.58 MDUR (YR) 7.74 5.83 4.75 4.03 3.80 3.78 FIRST PRIN PAY 02/25/08 12/25/05 04/25/05 07/25/05 09/25/05 12/25/05 LAST PRIN PAY 10/25/28 11/25/21 03/25/17 10/25/13 01/25/12 08/25/10 - -----------------------------------------------------------------------------------------------------------------------
CLASS M-2 TO MATURITY - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% CPR 85% CPR 115% CPR 150% CPR 175% CPR 200% CPR PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 7.398 7.380 7.362 7.343 7.333 7.326 ======================================================================================================================= WAL (YR) 12.40 8.15 6.19 4.91 4.42 4.15 MDUR (YR) 7.53 5.69 4.65 3.90 3.60 3.44 FIRST PRIN PAY 02/25/08 12/25/05 04/25/05 05/25/05 06/25/05 08/25/05 LAST PRIN PAY 05/25/27 01/25/20 11/25/15 09/25/12 02/25/11 11/25/09 - -----------------------------------------------------------------------------------------------------------------------
CLASS B TO MATURITY - ----------------------------------------------------------------------------------------------------------------------- FLAT 50% CPR 85% CPR 115% CPR 150% CPR 175% CPR 200% CPR PRICE 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR ======================================================================================================================= 100-00 7.751 7.729 7.709 7.686 7.674 7.664 ======================================================================================================================= WAL (YR) 12.15 7.94 6.03 4.75 4.23 3.90 MDUR (YR) 7.33 5.54 4.53 3.77 3.45 3.23 FIRST PRIN PAY 02/25/08 12/25/05 04/25/05 04/25/05 05/25/05 05/25/05 LAST PRIN PAY 04/25/25 12/25/17 04/25/14 06/25/11 01/25/10 12/25/08 - -----------------------------------------------------------------------------------------------------------------------
17 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any. AAMES MORTGAGE TRUST, SERIES 2002-1 STATISTICAL CALCULATION MORTGAGE LOANS ACTUAL 03/01/02 BALANCES
PRODUCT Adjustable & Fixed Rate TOTAL ORIGINAL BALANCE 118,129,089 TOTAL CURRENT BALANCE 118,044,387 NUMBER OF LOANS 1,323 MINIMUM MAXIMUM AVERAGE CURRENT BALANCE $89,224.78 $9,956.50 $632,000.00 AVERAGE ORIGINAL BALANCE $89,288.80 $10,000.00 $632,000.00 WEIGHTED AVERAGE GROSS COUPON 9.2942 % 6.7500 14.9900 % WEIGHTED AVERAGE GROSS MARGIN 6.7635 % 5.1250 9.7000 % WEIGHTED AVERAGE MAXIMUM INTEREST RATE 14.9432 % 12.7500 20.8500 % WEIGHTED AVERAGE MINIMUM INTEREST RATE 8.9432 % 6.7500 14.8500 % WEIGHTED AVERAGE FIRST PERIOD CAP 3.0000 % 3.0000 3.0000 % WEIGHTED AVERAGE PERIODIC RATE CAP 1.0000 % 1.0000 1.0000 % WEIGHTED AVERAGE COMBINED ORIGINAL LTV 73.76 % 8.88 99.46 % WEIGHTED AVERAGE FICO SCORE 603.61 492.00 797.00 WEIGHTED AVERAGE ORIGINAL TERM 328.03 months 120.00 360.00 months WEIGHTED AVERAGE REMAINING TERM 326.87 months 118.00 360.00 months WEIGHTED AVERAGE SEASONING 1.16 months 0.00 10.00 months WEIGHTED AVERAGE RATE ADJUSTMENT FREQUENCY 6.00 months 6.00 6.00 months WEIGHTED AVERAGE 1ST RATE ADJUSTMENT DATE 36.00 months 36.00 36.00 months WEIGHTED AVERAGE MONTHS TO ROLL 35.24 months 27.00 37.00 months TOP STATE CONCENTRATIONS ($) 21.57% California, 17.07% Texas, 6.30% New York MAXIMUM ZIP CODE CONCENTRATION ($) 0.59% 60643 (Chicago, IL) FIRST PAY DATE Jun 01, 2001 May 01, 2002 NEXT DUE DATE Mar 01, 2002 May 01, 2002 RATE CHANGE DATE Jun 01, 2004 Apr 01, 2005 MATURITY DATE Jan 01, 2012 Apr 01, 2032
18 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF PRODUCT MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------- -------------- --------------- --------------- 3/27 6 Month Libor Arm 143 $14,960,928.68 12.67% Fixed Rate 1,180 103,083,458.00 87.33 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL 1,323 $118,044,386.68 100.00% ==============================================================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF CURRENT BALANCE MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - --------------- -------------- --------------- --------------- 9,956 - 50,000 398 $15,196,713.90 12.87% 50,001 - 100,000 550 39,203,025.31 33.21 100,001 - 150,000 206 25,103,833.92 21.27 150,001 - 200,000 85 14,907,238.04 12.63 200,001 - 250,000 42 9,404,188.92 7.97 250,001 - 300,000 21 5,781,631.49 4.90 300,001 - 350,000 8 2,605,973.54 2.21 350,001 - 400,000 7 2,621,178.99 2.22 450,001 - 500,000 2 955,395.44 0.81 500,001 - 550,000 2 1,058,207.13 0.90 550,001 - 600,000 1 575,000.00 0.49 600,001 - 632,000 1 632,000.00 0.54 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL 1,323 $118,044,386.68 100.00% ==============================================================================================================================
19 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF GROSS COUPON MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------------ -------------- --------------- --------------- 6.750 - 7.000 14 $1,882,668.04 1.59% 7.001 - 7.500 38 3,960,123.23 3.35 7.501 - 8.000 143 18,649,922.94 15.80 8.001 - 8.500 129 15,709,159.36 13.31 8.501 - 9.000 184 20,987,603.89 17.78 9.001 - 9.500 180 15,670,333.26 13.27 9.501 - 10.000 182 14,593,982.97 12.36 10.001 - 10.500 103 7,786,314.20 6.60 10.501 - 11.000 110 6,937,624.03 5.88 11.001 - 11.500 48 2,735,997.77 2.32 11.501 - 12.000 77 4,109,949.09 3.48 12.001 - 12.500 46 2,218,567.23 1.88 12.501 - 13.000 35 1,534,626.02 1.30 13.001 - 13.500 19 673,961.74 0.57 13.501 - 14.000 8 308,710.90 0.26 14.001 - 14.500 3 113,095.94 0.10 14.501 - 14.990 4 171,746.07 0.15 - ------------------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% =================================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF GROSS MARGIN MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------------ -------------- --------------- --------------- 0.000 - 5.500 4 $331,948.89 2.22% 5.501 - 6.000 40 4,711,108.95 31.49 6.001 - 6.500 36 3,578,551.37 23.92 6.501 - 7.000 22 2,936,258.64 19.63 7.001 - 7.500 2 260,981.30 1.74 7.501 - 8.000 10 661,047.29 4.42 8.001 - 8.500 10 933,089.56 6.24 8.501 - 9.000 10 820,362.73 5.48 9.501 - 9.700 9 727,579.95 4.86 - ------------------------------------------------------------------------------------------------- TOTAL 143 $14,960,928.68 100.00% =================================================================================================
20 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF MAXIMUM INTEREST RATE MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - --------------------- -------------- --------------- --------------- 0.000 - 13.000 6 $886,383.43 5.92% 13.001 - 13.500 9 1,178,500.00 7.88 13.501 - 14.000 18 2,773,068.92 18.54 14.001 - 14.500 16 1,994,127.40 13.33 14.501 - 15.000 21 2,115,406.94 14.14 15.001 - 15.500 15 1,378,041.65 9.21 15.501 - 16.000 16 1,430,992.99 9.56 16.001 - 16.500 16 1,551,805.20 10.37 16.501 - 17.000 12 944,779.64 6.31 17.001 - 17.500 3 200,428.41 1.34 17.501 - 18.000 4 188,132.00 1.26 18.001 - 18.500 1 43,000.00 0.29 18.501 - 19.000 2 118,756.03 0.79 19.001 - 19.500 1 48,750.00 0.33 19.501 - 20.000 2 82,510.00 0.55 20.501 - 20.850 1 26,246.07 0.18 - ------------------------------------------------------------------------------------------------ TOTAL 143 $14,960,928.68 100.00% ================================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF MINIMUM INTEREST RATE MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - --------------------- -------------- --------------- --------------- 0.000 - 7.000 6 $886,383.43 5.92% 7.001 - 7.500 9 1,178,500.00 7.88 7.501 - 8.000 18 2,773,068.92 18.54 8.001 - 8.500 16 1,994,127.40 13.33 8.501 - 9.000 21 2,115,406.94 14.14 9.001 - 9.500 15 1,378,041.65 9.21 9.501 - 10.000 16 1,430,992.99 9.56 10.001 - 10.500 16 1,551,805.20 10.37 10.501 - 11.000 12 944,779.64 6.31 11.001 - 11.500 3 200,428.41 1.34 11.501 - 12.000 4 188,132.00 1.26 12.001 - 12.500 1 43,000.00 0.29 12.501 - 13.000 2 118,756.03 0.79 13.001 - 13.500 1 48,750.00 0.33 13.501 - 14.000 2 82,510.00 0.55 14.501 - 14.850 1 26,246.07 0.18 - ------------------------------------------------------------------------------------------------ TOTAL 143 $14,960,928.68 100.00% ================================================================================================
21 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF INITIAL RATE CAP MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ---------------- -------------- --------------- --------------- 3.000 143 $14,960,928.68 100.00% - ------------------------------------------------------------------------------------------- TOTAL 143 $14,960,928.68 100.00% ===========================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF SUBSEQUENT RATE CAP MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------------------- -------------- --------------- --------------- 1.000 143 $14,960,928.68 100.00% - ------------------------------------------------------------------------------------------- TOTAL 143 $14,960,928.68 100.00% ===========================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF NEXT RATE ADJUSTMENT DATE MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------------------------- -------------- --------------- --------------- March 2005 107 $11,837,600.00 79.12% Nov 2004 17 1,492,863.49 9.98 Dec 2004 12 1,029,387.56 6.88 Apr 2005 2 213,000.00 1.42 Jun 2004 1 182,015.33 1.22 Jan 2005 3 126,287.91 0.84 Aug 2004 1 79,774.39 0.53 - ------------------------------------------------------------------------------------------- TOTAL 143 $14,960,928.68 100.00% ===========================================================================================
22 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF COMBINED ORIGINAL LTV MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - --------------------- -------------- --------------- --------------- 8.88 - 10.00 2 $46,786.04 0.04% 15.01 - 20.00 7 278,881.85 0.24 20.01 - 25.00 13 573,838.90 0.49 25.01 - 30.00 20 1,549,826.13 1.31 30.01 - 35.00 8 332,793.10 0.28 35.01 - 40.00 29 1,545,808.32 1.31 40.01 - 45.00 20 1,434,688.79 1.22 45.01 - 50.00 37 2,343,869.95 1.99 50.01 - 55.00 46 3,048,739.99 2.58 55.01 - 60.00 58 4,953,048.03 4.20 60.01 - 65.00 94 7,703,148.28 6.53 65.01 - 70.00 146 11,669,281.70 9.89 70.01 - 75.00 217 19,033,833.71 16.12 75.01 - 80.00 403 39,666,121.56 33.60 80.01 - 85.00 93 8,860,099.41 7.51 85.01 - 90.00 110 12,744,175.87 10.80 90.01 - 95.00 16 1,775,404.37 1.50 95.01 - 99.46 4 484,040.68 0.41 - -------------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% ============================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF FICO MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ---- -------------- --------------- --------------- 492 - 500 5 $262,153.47 0.22% 501 - 550 211 18,406,994.88 15.59 551 - 600 439 37,697,912.32 31.94 601 - 650 457 42,766,149.15 36.23 651 - 700 161 14,727,989.40 12.48 701 - 750 38 3,277,114.72 2.78 751 - 797 12 906,072.74 0.77 - -------------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% ============================================================================================
23 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF ORIGINAL TERM MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------------- -------------- --------------- --------------- 120 28 $1,491,138.60 1.26% 133 - 144 1 39,841.67 0.03 169 - 180 244 16,472,233.99 13.95 229 - 240 57 3,553,535.88 3.01 289 - 300 3 260,559.11 0.22 349 - 360 990 96,227,077.43 81.52 - ----------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% =========================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF REMAINING TERM MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - -------------- -------------- --------------- --------------- 118 - 120 28 $1,491,138.60 1.26% 139 - 144 1 39,841.67 0.03 175 - 180 244 16,472,233.99 13.95 235 - 240 57 3,553,535.88 3.01 295 - 300 3 260,559.11 0.22 349 - 354 11 882,576.02 0.75 355 - 360 979 95,344,501.41 80.77 - ----------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% =========================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF PREPAYMENT PENALTY FLAG MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ----------------------- -------------- --------------- --------------- No Prepayment Penalty 442 $32,290,650.75 27.35% Prepayment Penalty 881 85,753,735.93 72.65 - ----------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% =========================================================================================
24 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF ORIGINAL PREPAYMENT PENALTY TERM MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - -------------------------------- -------------- --------------- --------------- 0 442 $32,290,650.75 27.35% 6 1 24,981.30 0.02 12 80 7,915,240.63 6.71 24 12 1,526,158.43 1.29 36 242 23,448,015.49 19.86 42 14 1,776,134.77 1.50 60 532 51,063,205.31 43.26 - ------------------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% =================================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF DOCUMENTATION MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------------- -------------- --------------- --------------- Full 1,122 $98,895,693.16 83.78% Light 12 950,303.45 0.81 Stated 189 18,198,390.07 15.42 - ------------------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% =================================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF CREDIT GRADE MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------------ -------------- --------------- --------------- A 239 $25,039,879.13 21.21% A+ 65 5,870,478.71 4.97 A- 413 41,218,283.44 34.92 B 250 20,344,778.64 17.23 B+ 85 7,831,647.27 6.63 B- 41 2,617,996.39 2.22 C 127 9,086,698.71 7.70 C+ 34 1,804,505.14 1.53 C- 28 1,806,822.75 1.53 D 41 2,423,296.50 2.05 - ------------------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% =================================================================================================
25 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF OCCUPANCY MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - --------- -------------- --------------- --------------- Non-Owner 114 $7,778,422.09 6.59% Primary 1,204 109,748,097.30 92.97 Second Home 5 517,867.29 0.44 - ----------------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% ===============================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF CHANNEL MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------- -------------- --------------- --------------- Broker 331 $38,963,761.57 33.00% National Loan Center 155 13,661,117.62 11.57 Retail 837 65,419,507.49 55.42 - ----------------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% ===============================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF PROPERTY TYPE MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------------- -------------- --------------- --------------- Condominium 40 $3,794,886.68 3.21% Manufactured Housing 13 792,859.78 0.67 Single Family 1,197 105,124,259.12 89.05 Two-Four Family 73 8,332,381.10 7.06 - ----------------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% ===============================================================================================
26 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF STATE MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ----- -------------- --------------- --------------- Arizona 19 $1,620,046.70 1.37% Arkansas 1 110,200.00 0.09 California 180 25,463,222.88 21.57 Colorado 11 1,335,995.47 1.13 Connecticut 8 1,229,032.32 1.04 Florida 77 6,968,663.85 5.90 Georgia 24 1,816,183.65 1.54 Hawaii 26 4,667,333.22 3.95 Idaho 4 245,952.84 0.21 Illinois 48 4,030,925.52 3.41 Indiana 25 1,680,829.87 1.42 Iowa 37 2,049,879.27 1.74 Kansas 2 116,481.30 0.10 Kentucky 5 320,843.82 0.27 Louisiana 10 511,518.09 0.43 Maryland 10 1,728,075.72 1.46 Massachusetts 12 1,624,769.09 1.38 Michigan 71 4,657,866.94 3.95 Minnesota 16 1,877,752.06 1.59 Mississippi 6 251,289.64 0.21 Missouri 26 1,306,012.91 1.11 Montana 9 714,653.70 0.61 Nebraska 2 189,179.68 0.16 Nevada 13 1,276,268.22 1.08 New Jersey 16 1,777,712.63 1.51 New Mexico 2 195,180.06 0.17 New York 79 7,431,127.86 6.30 North Carolina 22 1,262,775.69 1.07 North Dakota 1 75,470.00 0.06 Ohio 85 6,035,434.42 5.11 Oklahoma 26 1,219,215.43 1.03 Oregon 18 2,076,472.56 1.76 Pennsylvania 26 1,896,013.93 1.61 Rhode Island 7 1,192,369.41 1.01 South Carolina 7 353,185.25 0.30 Tennessee 35 2,329,391.95 1.97 Texas 286 20,154,372.06 17.07 Utah 6 498,339.74 0.42 Virginia 17 1,942,434.54 1.65 Washington 21 2,170,143.84 1.84 West Virginia 5 236,422.78 0.20 Wisconsin 21 1,362,366.80 1.15 Wyoming 1 42,980.97 0.04 - ------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% ===============================================================================
27 GREENWICH CAPITAL - -------------------------------------------------------------------------------- The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. The information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any.
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF LIEN POSITION MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------------- -------------- --------------- --------------- First Lien 1,323 $118,044,386.68 100.00% - -------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% ======================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF LOAN PURPOSE MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ------------ -------------- --------------- --------------- Cash Out Refinance 842 $75,799,431.38 64.21% Purchase 117 10,285,368.54 8.71 Rate/Term Refinance 364 31,959,586.76 27.07 - -------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% ======================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF MI INSURED MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ---------- -------------- --------------- --------------- Mortgage Insurance 25 $3,015,353.68 2.55% No Mortgage Insurance 1,298 115,029,033.00 97.45 - -------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% ======================================================================================
% OF AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF DELINQUENCY MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE - ----------- -------------- --------------- --------------- Current 1,323 $118,044,386.68 100.00% - -------------------------------------------------------------------------------------- TOTAL 1,323 $118,044,386.68 100.00% ======================================================================================
28 GREENWICH CAPITAL - -------------------------------------------------------------------------------- EX-99.2 4 file003.txt LEGEND OF LEHMAN BROTHERS, INC. EXHIBIT 99.2 - -------------------------------------------------------------------------------- [This information does not constitute either an offer to sell or a solicitation of an offer to buy any of the securities referred to herein. Offers to sell and solicitations of offers to buy the securities are made only by , and this information must be read in conjunction with, the final Prospectus Supplement and the related Prospectus or, if not registered under the securities laws, the final Offering Memorandum (the "Offering Document"). Information contained herein does not purport to be complete and is subject to the same qualifications and assumptions, and should be considered by investors only in the light of the same warnings, lack of assurances and representations and other precautionary matters, as disclosed in the Offering Document. Information regarding the underlying assets has been provided by the issuer of the securities or an affiliate thereof and has not been independently verified by Lehman Brothers Inc. or any affiliate. The analyses contained herein have been prepared on the basis of certain assumptions (including, in certain cases, assumptions specified by the recipient hereof) regarding payments, interest rates, losses and other matters, including, but not limited to, the assumptions described in the Offering Document. Lehman Brothers Inc., and any of its affiliates, make no representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. This information supersedes any prior versions hereof and will be deemed to be superseded by any subsequent versions (including, with respect to any description of the securities or underlying assets, the information contained in the Offering Document)]. LEHMAN BROTHERS ASSET BACKED SECURITIES EX-99.3 5 file004.txt LEGEND OF MORGAN STANLEY & CO. INCORPORATED EXHIBIT 99.3 [This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on assumptions regarding market conditions and other matters as reflected therein and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.] -----END PRIVACY-ENHANCED MESSAGE-----