EX-99.1 3 mo072602-ex99_1.txt COLLATERAL AND STRUCTURAL TERM SHEETS EXHIBIT 99.1 -------------------------------------------------------------------------------- MORGAN STANLEY July 25, 2002 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- COMPUTATIONAL MATERIALS $213,480,800 APPROXIMATELY MORGAN STANLEY DEAN WITTER CAPITAL I INC. SERIES 2002-WL1 RESIDENTIAL MORTGAGE PASS-THROUGH CERTIFICATES This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. 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 transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. 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. -------------------------------------------------------------------------------- Page 1 -------------------------------------------------------------------------------- MORGAN STANLEY July 25, 2002 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- APPROXIMATELY $213,480,800 MORGAN STANLEY DEAN WITTER CAPITAL I INC., SERIES 2002-WL1 MORGAN STANLEY DEAN WITTER CAPITAL I INC. DEPOSITOR WELLS FARGO MASTER SERVICER Publicly Offered Certificates - Fixed Rate Residential Mortgage Loans
PRINCIPAL (1) PMT WINDOW PASS THROUGH EXPECTED RATINGS CLASS AMOUNT (APPROX.) WAL (YRS) (MONTHS) RATE TRANCHE TYPE [FITCH/MOODY'S] ---------------------------------------------------------------------------------------------------------------------- Senior Combination 1 3A-1 (2) $206,437,000 5.01 346 WAC Senior [AAA/Aaa] 3B-1 $2,925,890 10.56 346 WAC Subordinate [AA/Aa2] 3B-2 $2,384,050 10.56 346 WAC Subordinate [A/A2] 3B-3 $1,733,860 10.56 346 WAC Subordinate [BBB/Baa2] 3R $[50] -- -- -- Residual [AAA/Aaa] ---------------------------------------------------------------------------------------------------------------------- 3B-4 $1,083,660 Privately Offered Certificates Subordinate [BB/Ba2] 3B-5 $758,560 Subordinate [B/B2] 3B-6 $1,409,605 Subordinate [UR] ---------------------------------------------------------------------------------------------------------------------- Group 1 ***NOT OFFERED HEREIN*** ---------------------------------------------------------------------------------------------------------------------- Group 2 ***NOT OFFERED HEREIN***
(1) The Certificates (as described herein) are backed by a pool of 30 year fixed rate mortgages. Class sizes are subject to final loan pool size and rating agency approval and may increase or decrease by up to 5%. (2) Multiple separate senior classes may be created after further structuring discussions. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. 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 transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. 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. -------------------------------------------------------------------------------- Page 2 Depositor: Morgan Stanley Dean Witter Capital I Inc. ("MSDWCI"). Master Servicer: Wells Fargo Servicers: Third Federal Savings and Loan Association of Cleveland Lead Manager: Morgan Stanley Co-Managers: Blaylock & Partners, L.P and Utendahl Capital Partners, L.P. Trustee: Bank One Rating Agencies: Fitch and Moody's will rate the Offered Certificates. Expected Pricing Date: [TBD] Closing Date: [August 30, 2002] Distribution Date: The 25th of each month (or if such day is not a business day, the next succeeding business day), commencing in September 2002. Certificates: The "SENIOR OFFERED CERTIFICATES" will consist of the Class 3A-1, (the "CLASS A OFFERED CERTIFICATES"), and the Class 3R Certificate. The "SUBORDINATE OFFERED CERTIFICATES" will consist of the Class 3B-1, Class 3B-2, and Class 3B-3. The "NON-OFFERED SUBORDINATE CERTIFICATES" will consist of the Class 3B-4, Class 3B-5 and Class 3B-6 Certificates. The Senior Offered Certificates and the Subordinate Offered Certificates are collectively referred to as the "OFFERED CERTIFICATES" and with the Non-Offered Subordinate Certificates are collectively referred to herein as the "CERTIFICATES." The Subordinated Offered Certificates and the Non-Offered Subordinate Certificates are collectively referred to as the "SUBORDINATE CERTIFICATES." Accrued Interest: The Offered Certificates will settle with accrued interest from the Cut-off Date up to, but not including, the Closing Date (29 days). Interest Accrual Period: The interest accrual period with respect to the Offered Certificates for a given Distribution Date will be the calendar month preceding the month in which such Distribution Date occurs (with interest accruing on a 30/360 basis). Registration: The Offered Certificates will be made available in book-entry form through DTC. Federal Tax Treatment: It is anticipated that the Offered Certificates (other than the Class R Certificates) will be treated as REMIC regular interests for federal tax income purposes. The Class R Certificates will be treated as a REMIC residual interest for tax purposes. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. 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 transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. 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. -------------------------------------------------------------------------------- Page 3 ERISA Eligibility: The Offered Certificates (other than the Class R Certificates) are expected to be ERISA eligible. Prospective investors should review with their legal advisors whether the purchase and holding of such Offered Certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA, the Internal Revenue Code or other similar laws. The Class R Certificates are not expected to be ERISA eligible. SMMEA Treatment: The Class 3A-1 and 3B-1 Certificates are expected to constitute "mortgage related securities" for purposes of SMMEA. Pricing Prepayment Speed: The Offered Certificates will be priced to a prepayment speed of 275% PSA. Mortgage Loans: As of the Cut-off Date, the aggregate principal balance of the mortgage loans for Group 3 described herein is approximately $218,638,214 (the "Mortgage Loans"). The Mortgage Loans are non-convertible, mortgage loans with terms generally of 30 years. The Mortgage Loans are secured by first liens on single-family residential properties. These loans have a weighted average seasoning of 20 months. The information related to the Group 3 Mortgage Loans described herein reflects information as of the Cut-off Date. It is expected that prior to or on the Closing Date, scheduled and unscheduled principal payments will reduce the principal balance of the Mortgage Loans as of the Cut-off Date. CONSEQUENTLY, THE INITIAL PRINCIPAL BALANCE OF ANY OF THE OFFERED CERTIFICATES BY THE CLOSING DATE IS SUBJECT TO AN INCREASE OR DECREASE OF 5% FROM AMOUNTS SHOWN ON THE FRONT COVER HEREOF. Credit Enhancement: Senior/subordinate, shifting interest structure. The credit enhancement information shown below is subject to final rating agency approval. Credit enhancement for the Senior Certificates will consist of the subordination of the Subordinate Certificates, initially 4.75% total subordination. Credit enhancement for the Subordinate Offered Certificates is 3.40% for the Class 3B-1, 2.30% for the Class 3B-2, and 1.50% for the Class 3B-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 Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. 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 transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. 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. -------------------------------------------------------------------------------- Page 4 Shifting Interest: Until the first Distribution Date occurring after Aug 2007, the Subordinate Offered Certificates will be locked out from receipt of unscheduled principal (unless the principal balances of the Senior Offered Certificates are paid down to zero or the credit enhancement percentage represented by the Subordinate Certificates has doubled prior to such date as described below). After such time and subject to standard loan performance triggers (as described in the prospectus supplement), the Subordinate Offered Certificates will receive an increasing percentage of their pro rata share of unscheduled principal. The prepayment percentages on the Subordinate Certificates are as follows: UNSCHEDULED PERIODS: PRINCIPAL PAYMENTS (%) -------- ---------------------- Sept 2002 - Aug 2007 0% of Pro Rata Share Sept 2007 - Aug 2008 30% of Pro Rata Share Sept 2008 - Aug 2009 40% of Pro Rata Share Sept 2009 - Aug 2010 60% of Pro Rata Share Sept 2010 - Aug 2011 80% of Pro Rata Share Sept 2011 and after 100% of Pro Rata Share Any principal not allocated to the Subordinate Certificates will be allocated to the Senior Offered Certificates entitled to principal. In the event the current Senior Percentage (aggregate principal balance of the Senior Offered Certificates, divided by the aggregate principal balance of the Mortgage Loans) exceeds the applicable initial senior percentage (aggregate principal balance of the Senior Offered Certificates as of the Closing Date, divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date), the Senior Offered Certificates will receive all unscheduled prepayments on the Mortgage Loans, regardless of any prepayment percentages. Allocation of Realized Losses: Any realized losses, other than excess losses, on the Mortgage Loans will be allocated as follows: to the Subordinate Certificates in reverse order of their numerical Class designations, in each case until the respective class principal balance has been reduced to zero; and thereafter pro rata to the Senior Offered Certificates until each respective class principal balance has been reduced to zero. Excess losses (bankruptcy, special hazard and fraud losses in excess of the amounts established by the rating agencies) will be allocated to the Certificates on a pro rata basis. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. 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 transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. 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. -------------------------------------------------------------------------------- Page 5 Certificates Priority of Distributions: Available funds from the Mortgage Loans will be distributed in the following order of priority: 1) Senior Offered Certificates, accrued and unpaid interest, at the related Certificate Interest Rate; 2) Class R Certificates, principal, until its balance is reduced to zero; 3) Senior Offered Certificates, Senior Principal Distribution Amount; 4) Class 3B-1, Class 3B-2 and Class 3B-3 Certificates, in sequential order, accrued and unpaid interest at the respective Pass-Through Rate and the respective share of principal allocable to such Classes; 5) Class 3B-4, Class 3B-5 and Class 3B-6 Certificates, in sequential order, accrued and unpaid interest at the respective Pass-Through Rate and the respective share of principal allocable to such Classes; and 6) Class 3R Certificates, any remaining amount. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. 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 transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. 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. -------------------------------------------------------------------------------- Page 6 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. SERIES 2002-WL1 GROUP 3 :THIRD FEDERAL SAVINGS AND LOAN ASSOCIATION OF CLEVELAND ALL RECORDS 557 RECORDS BALANCE: 218,638,214 Number of Mortgage Loans: 557 Aggregate Principal Balance: 218,638,214 Maximum Balance: 931,104 Minimum Balance: 141,953 Average Current Balance: 392,528 Weighted Average Current Coupon: 7.107 Maximum Current Coupon: 8.250 Minimum Current Coupon: 6.875 Weighted Average Stated Remaining Term: 338 Weighted Average Seasoning: 20 Weighted Average Current LTV: 75.19 Weighted Average FICO: 731 Weighted Average Months Delinquent: 0.0 Percent Owner Occupied: 99.85 Percent First Lien: 100.00 Percent Balloon: 0.00 Percent Interest Collection in Arrears: 100.00 Percent Documentation Level Full Income No Asset: 100.00 2. PRODUCT
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT PRODUCT LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ Fixed - 20 Year 8 $ 2,969,720.00 1.36 7.072 240 213 74.88 Fixed - 25 Year 4 $ 1,267,431.00 0.58 7.038 300 260 67.56 Fixed - 30 Year 545 $214,401,064.00 98.06 7.108 359 340 75.24 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
3. CURRENT MORTGAGE RATES (%)
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT CURRENT MORTGAGE RATES (%) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ 6.751 - 7.000 284 $110,618,762.00 50.59 6.962 357 335 75.52 7.001 - 7.250 216 $ 85,442,467.00 39.08 7.161 358 343 74.47 7.251 - 7.500 28 $ 11,362,375.00 5.20 7.403 355 333 74.88 7.501 - 7.750 15 $ 5,830,043.00 2.67 7.663 358 330 77.04 7.751 - 8.000 8 $ 3,041,553.00 1.39 7.887 359 332 79.10 8.001 - 8.250 6 $ 2,343,015.00 1.07 8.160 360 337 78.04 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
Minimum: 6.875 Maximum: 8.250 Weighted Average: 7.107 4. CURRENT MORTGAGE LOAN PRINCIPAL BALANCE ($)
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE CURRENT MORTGAGE LOAN MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT PRINCIPAL BALANCE ($) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ 100,001 - 150,000 1 $ 141,953.00 0.06 7.500 344 323 28.91 200,001 - 250,000 3 $ 697,148.00 0.32 6.997 360 320 48.26 250,001 - 300,000 24 $ 6,961,884.00 3.18 7.117 357 320 72.42 300,001 - 350,000 220 $ 71,323,177.00 32.62 7.102 356 337 76.71 350,001 - 400,000 119 $ 44,249,219.00 20.24 7.093 359 339 76.66 400,001 - 450,000 71 $ 30,095,881.00 13.77 7.109 359 342 73.83 450,001 - 500,000 43 $ 20,265,064.00 9.27 7.105 357 338 75.44 500,001 - 550,000 25 $ 13,124,519.00 6.00 7.131 355 338 75.53 550,001 - 600,000 38 $ 22,146,502.00 10.13 7.100 360 345 72.74 600,001 - 650,000 1 $ 638,538.00 0.29 7.500 360 347 50.08 650,001 - 700,000 5 $ 3,400,762.00 1.56 7.200 357 333 72.59 700,001 - 750,000 3 $ 2,167,535.00 0.99 7.043 360 317 75.77 800,001 - 850,000 3 $ 2,494,928.00 1.14 7.208 360 327 71.40 900,001 - 950,000 1 $ 931,104.00 0.43 7.250 347 324 65.34 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
Minimum: 141,953 Maximum: 931,104 Average: 392,528 5. ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE ($)
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT PRINCIPAL BALANCE ($) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ 300,001 - 350,000 223 $ 70,952,148.00 32.45 7.101 356 337 76.31 350,001 - 400,000 136 $ 49,500,219.00 22.64 7.093 358 336 76.44 400,001 - 450,000 66 $ 27,610,318.00 12.63 7.098 360 343 74.64 450,001 - 500,000 50 $ 22,820,508.00 10.44 7.119 357 338 74.12 500,001 - 550,000 27 $ 13,952,879.00 6.38 7.127 360 342 75.44 550,001 - 600,000 42 $ 24,169,275.00 11.05 7.109 357 341 72.61 600,001 - 650,000 1 $ 638,538.00 0.29 7.500 360 347 50.08 650,001 - 700,000 4 $ 2,701,452.00 1.24 7.251 356 337 71.27 700,001 - 750,000 2 $ 1,416,062.00 0.65 7.127 360 313 76.97 750,001 - 800,000 2 $ 1,450,784.00 0.66 6.940 360 320 75.53 800,001 - 850,000 1 $ 830,457.00 0.38 7.250 360 346 69.20 850,001 - 900,000 2 $ 1,664,472.00 0.76 7.187 360 317 72.50 950,001 - 1,000,000 1 $ 931,104.00 0.43 7.250 347 324 65.34 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
Minimum: 301,000 Maximum: 952,000 Average: 402,641 6. CURRENT LOAN-TO-VALUE RATIO (%)
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE CURRENT MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT LOAN-TO-VALUE RATIO (%) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ 25.001 - 30.000 1 $ 141,953.00 0.06 7.500 344 323 28.91 30.001 - 35.000 1 $ 280,228.00 0.13 7.175 360 349 30.29 35.001 - 40.000 5 $ 1,835,601.00 0.84 7.253 356 331 38.08 40.001 - 45.000 2 $ 766,258.00 0.35 7.121 360 340 40.72 45.001 - 50.000 8 $ 3,204,454.00 1.47 7.078 360 344 48.30 50.001 - 55.000 11 $ 4,602,870.00 2.11 7.108 360 335 52.11 55.001 - 60.000 24 $ 10,143,378.00 4.64 7.101 357 338 57.82 60.001 - 65.000 25 $ 9,761,834.00 4.46 7.140 359 343 62.70 65.001 - 70.000 50 $ 22,745,511.00 10.40 7.077 354 333 67.52 70.001 - 75.000 64 $ 24,750,205.00 11.32 7.046 355 333 72.80 75.001 - 80.000 140 $ 53,417,288.00 24.43 7.102 357 336 77.87 80.001 - 85.000 213 $ 82,083,084.00 37.54 7.128 359 341 82.83 85.001 - 90.000 11 $ 4,063,989.00 1.86 7.128 358 344 88.03 90.001 - 95.000 1 $ 514,006.00 0.24 7.175 360 347 90.18 95.001 - 100.000 1 $ 327,557.00 0.15 7.625 360 326 99.26 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
Minimum: 28.91 Maximum: 99.26 Weighted Average: 75.19 7. ORIGINAL LOAN-TO-VALUE RATIO (%)
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE ORIGINAL MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT LOAN-TO-VALUE RATIO (%) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ 35.01 - 40.00 2 $ 829,376.00 0.38 7.119 360 348 38.13 40.01 - 45.00 2 $ 876,593.00 0.40 7.060 360 336 40.22 45.01 - 50.00 7 $ 2,957,591.00 1.35 7.085 360 346 48.51 50.01 - 55.00 11 $ 4,569,092.00 2.09 7.177 359 339 49.22 55.01 - 60.00 20 $ 8,756,191.00 4.00 7.106 359 341 56.71 60.01 - 65.00 25 $ 9,588,067.00 4.39 7.091 358 341 61.17 65.01 - 70.00 45 $ 20,142,914.00 9.21 7.110 356 337 66.41 70.01 - 75.00 50 $ 20,511,146.00 9.38 7.042 358 339 71.72 75.01 - 80.00 133 $ 49,816,162.00 22.78 7.106 357 336 76.51 80.01 - 85.00 245 $ 94,132,333.00 43.05 7.120 358 339 82.20 85.01 - 90.00 13 $ 4,989,183.00 2.28 7.090 348 327 86.02 90.01 - 95.00 3 $ 1,142,010.00 0.52 7.119 354 339 89.51 100.01 >= 1 $ 327,557.00 0.15 7.625 360 326 99.26 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
Minimum: 38.46 Maximum: 102.24 Weighted Average by Original Balance: 76.88 Weighted Average by Current Balance: 76.93 8. SEASONING (MONTHS)
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT SEASONING (MONTHS) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ 12-Jan 171 $ 67,551,568.00 30.90 7.095 358 348 75.55 13 - 24 249 $ 99,204,786.00 45.37 7.118 358 343 75.20 25 - 36 46 $ 17,362,267.00 7.94 7.227 352 319 77.59 37 - 48 70 $ 26,867,822.00 12.29 7.017 357 315 74.74 49 - 60 21 $ 7,651,772.00 3.50 7.119 352 302 68.09 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
Minimum: 5 Maximum: 53 Weighted Average: 20 9. REMAINING TERM TO STATED MATURITY (MONTHS)
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE REMAINING TERM MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT TO STATED MATURITY (MONTHS) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ 181 - 192 1 $ 334,157.00 0.15 7.000 240 189 69.62 193 - 204 2 $ 872,328.00 0.40 6.969 240 199 76.03 205 - 216 1 $ 323,063.00 0.15 7.500 240 206 79.20 217 - 228 2 $ 656,767.00 0.30 7.058 240 226 79.90 229 - 240 2 $ 783,405.00 0.36 7.051 240 231 69.87 241 - 252 3 $ 937,390.00 0.43 7.078 300 251 68.10 277 - 288 1 $ 330,041.00 0.15 6.925 300 286 66.01 301 - 312 26 $ 9,868,487.00 4.51 7.082 359 310 70.65 313 - 324 86 $ 33,624,251.00 15.38 7.062 358 320 74.18 325 - 336 36 $ 13,006,781.00 5.95 7.354 357 330 77.92 337 - 348 274 $109,041,566.00 49.87 7.116 360 345 75.66 349 - 360 123 $ 48,859,978.00 22.35 7.063 360 351 75.25 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
Minimum: 189 Maximum: 355 Weighted Average: 338 10. MATURITY DATE
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT MATURITY DATE LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ 2018 2 $ 692,457.00 0.32 6.961 240 191 70.68 2019 2 $ 837,090.00 0.38 7.193 240 205 79.13 2021 3 $ 1,110,865.00 0.51 7.085 240 227 74.82 2022 1 $ 329,307.00 0.15 6.950 240 233 73.18 2023 3 $ 937,390.00 0.43 7.078 300 251 68.10 2026 1 $ 330,041.00 0.15 6.925 300 286 66.01 2028 47 $ 18,147,032.00 8.30 7.060 360 312 72.36 2029 82 $ 31,445,086.00 14.38 7.114 358 323 74.49 2030 36 $ 13,263,535.00 6.07 7.492 357 336 77.99 2031 353 $140,554,500.00 64.29 7.080 360 347 75.49 2032 27 $ 10,990,911.00 5.03 7.063 360 354 75.74 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
11. GEOGRAPHIC DISTRIBUTION BY BALANCE
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE GEOGRAPHIC DISTRIBUTION MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT BY BALANCE LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ Ohio 533 $209,115,415.00 95.64 7.107 357 338 75.48 Florida 15 $ 6,010,290.00 2.75 7.134 360 347 65.52 Kentucky 9 $ 3,512,510.00 1.61 7.064 360 345 74.92 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
Number of States Represented: 3 12. PROPERTY TYPE
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT PROPERTY TYPE LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ Single Family Residence 557 $218,638,214.00 100.00 7.107 357 338 75.19 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
13. OCCUPANCY
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT OCCUPANCY LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ Primary 556 $218,306,087.00 99.85 7.107 357 338 75.19 Second Home 1 $ 332,127.00 0.15 7.175 360 346 76.18 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
14. PURPOSE REFINANCE SUMMARY
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT PURPOSE REFINANCE SUMMARY LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ Purchase 290 $110,741,876.00 50.65 7.136 358 337 77.61 Refinance - Rate Term 168 $ 67,870,152.00 31.04 7.073 357 338 72.31 Refinance - Cashout 99 $ 40,026,186.00 18.31 7.086 356 338 73.40 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
15. FICO SCORE
% OF MORTGAGE POOL BY WEIGHTED NUMBER CUT-OFF DATE CUT-OFF DATE AVERAGE WEIGHTED WEIGHTED WEIGHTED OF AGGREGATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING CURRENT FICO SCORE LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) TERM (MONTHS) LTV (%) ------------------------------------------------------------------------------------------------------------------------------ 1 - 540 3 $ 1,205,381.00 0.55 7.054 360 335 70.73 541 - 580 4 $ 1,480,345.00 0.68 7.286 360 341 75.35 581 - 620 11 $ 4,575,498.00 2.09 7.085 360 338 76.05 621 - 660 35 $ 14,735,280.00 6.74 7.165 357 333 74.29 661 - 700 88 $ 36,334,212.00 16.62 7.076 355 334 76.08 701 - 740 135 $ 50,956,285.00 23.31 7.121 358 339 75.20 741 - 780 203 $ 79,094,319.00 36.18 7.103 357 338 74.68 781 - 820 78 $ 30,256,895.00 13.84 7.100 359 341 75.93 -------- --------------- ------------- -------- ------------- ------------- -------- TOTAL: 557 $218,638,214.00 100.00 7.107 357 338 75.19
Minimum: 531 Maximum: 816 Weighted Average: 731