EX-99 2 exhibit991.htm EXHIBIT 99.1 Exhibit 99.1


MORGAN STANLEY
Securitized Products Group


[exhibit991002.jpg]

November 15, 2005



Computational Materials



$279,635,000

Approximate


Morgan Stanley Mortgage Loan Trust
2005-8SL




Mortgage Pass-Through Certificates,

Series 2005-8SL







$279,635,000

(Approximately)

Morgan Stanley Mortgage Capital Series 2005-8SL


Morgan Stanley Capital I Inc.

Depositor


HomEq Servicing Corp.

Servicer


Transaction Highlights


Offered Classes

Description

Balance ($) (3)

Expected Ratings
(S&P / Moody’s)

Avg Life to Call / Mty(1)(2)

Payment Window To Call / Mty(1)(2)

Initial Subordination Level

Benchmark

A-1

Floater

[97,949,000]

AAA/Aaa

1.13 / 1.13

1 - 31 / 1 - 31

34.50%

1 Mo. LIBOR

A-2a

Floater

[59,746,000]

AAA/Aaa

0.65 / 0.65

1 - 16 / 1 - 16

34.50%

1 Mo. LIBOR

A-2b

Floater

[38,203,000]

AAA/Aaa

1.87 / 1.87

16 - 31 / 16 - 31

34.50%

1 Mo. LIBOR

M-1

Floater

14,505,000

AA+/Aa1

4.98 / 6.71

31 - 65 / 31 - 145

29.65%

1 Mo. LIBOR

M-2

Floater

16,000,000

AA/Aa2

4.76 / 5.16

48 - 65 / 48 - 131

24.30%

1 Mo. LIBOR

M-3

Floater

7,776,000

AA-/Aa3

4.27 / 4.66

44 - 65 / 44 - 126

21.70%

1 Mo. LIBOR

M-4

Floater

5,832,000

A+/A1

4.12 / 4.51

42 - 65 / 42 - 123

19.75%

1 Mo. LIBOR

M-5

Floater

5,981,000

A/A2

4.03 / 4.41

40 - 65 / 40 - 120

17.75%

1 Mo. LIBOR

M-6

Floater

5,532,000

A-/A3

3.96 / 4.34

38 - 65 / 38 - 117

15.90%

1 Mo. LIBOR

B-1

Floater

7,477,000

BBB+/Baa1

3.89 / 4.26

37 - 65 / 37 - 114

13.40%

1 Mo. LIBOR

B-2

Floater

4,934,000

BBB/Baa2

3.85 / 4.2

36 - 65 / 36 - 110

11.75%

1 Mo. LIBOR

B-3

Floater

4,635,000

BBB-/Baa3

3.82 / 4.16

35 - 65 / 35 - 106

10.20%

1 Mo. LIBOR

B-4

Fixed

6,131,000

BB+/Ba1

***Not Offered Hereby***

Fixed Rate

B-5

Fixed

4,934,000

BB/Ba2

***Not Offered Hereby***

Fixed Rate

Notes:

(1)

Certificates are priced to the first 10% Optional Clean-up Call Date.

(2)

Based on the pricing prepayment speed.  See details below.

(3)

Bond sizes subject to a variance of plus or minus 10%.


Issuer:

Morgan Stanley Mortgage Loan Trust Series 2005-8SL

  

Depositor:

Morgan Stanley Capital I Inc.

  

Top Contributors:

Fremont Investment and Loan, Inc.

46.41%

 

American Home Mortgage Corp.

34.83%

 

Morgan Stanley Mortgage Capital.

12.65%

 

Aegis Mortgage Corporation

6.11%

  

Servicer:

HomEq Servicing Corp.; provided, however, that GMAC Mortgage Corporation will be Servicer of the Mortgage Loans until the servicing transfer date (expected to occur in December 2005)

  

Trustee:

Wells Fargo Bank, National Association

  

Managers:

Morgan Stanley (lead manager)

  

Auction Administrator:

Wells Fargo Bank, National Association

  

Rating Agencies:

Standard & Poor’s and Moody’s Investors Service

  

Class A Certificates:

The Class A-1, A-2a and A-2b Certificates

  

Class A-2 Certificates:

The Class A-2a and A-2b Certificates

  

Class M Certificates:

The Class M-1, M-2, M-3, M-4, M-5 and M-6 Certificates

  

Class B Certificates:

The Class B-1, B-2, B-3, B-4 and B-5 Certificates

  

Subordinate Certificates:

The Class M and B Certificates

  

Offered Certificates:

The Class A, M and B Certificates (except the Class B-4 and B-5 Certificates)

  

LIBOR Certificates:

The Offered Certificates

  

Fixed Rate Certificates:

The Class B-4 and B-5 Certificates

  

Expected Closing Date:

November 30, 2005 through DTC and, upon request, Euroclear or Clearstream.  The Offered Certificates will be sold without accrued interest.

  

Cut-off Date:

November 1, 2005

  

Distribution Dates:

The 25th of each month, or if such day is not a business day, on the next business day, beginning December 27, 2005.

  

Final Scheduled Distribution Date:

The Distribution Date occurring in November 2035.

  

Optional Clean-up Call Date:

Each Distribution Date when the current aggregate principal balance of the Mortgage Loans and any related REO Properties is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date.

  

Optional Termination of the Trust Fund by Purchaser or Auction:

Commencing with the first Optional Clean-up Call Date, the Auction Administrator shall solicit bids for the purchase of the Mortgage Loans from at least three institutions that are regular purchasers and/or sellers in the secondary market of residential whole mortgage loans similar to the Mortgage Loans.  If the Auction Administrator receives at least three bids for the Mortgage Loans, any related REO Property and any other property related to Mortgage Loans remaining in the trust fund (collectively, the “Assets”), and one of those bids is at least equal to the Minimum Auction Price, the Auction Administrator shall sell the Assets to the highest bidder (the “Auction Purchaser”) at the price offered by the Auction Purchaser (the “Mortgage Loan Auction Price”).  If the Auction Administrator receives less than three bids, or does not receive any bid that is at least equal to the Minimum Auction Price, the Auction Administrator shall, on each six-month anniversary of the initial Optional Clean-up Call Date, repeat these auction procedures until the Auction Administrator receives a bid that is at least equal to the Minimum Auction Price, at which time the Auction Administrator shall sell the Assets to the Auction Purchaser at that Mortgage Loan Auction Price; provided, however, that the Auction Administrator shall not be required to repeat these auction procedures on any Distribution Date for any six-month anniversary of the initial Optional Clean-up Call Date unless the Auction Administrator reasonably believes that there is a reasonable likelihood of receiving a bid of at least the Minimum Auction Price.


Commencing with the first Distribution Date following the first Optional Clean-up Call Date, if an auction is held but the Auction Administrator does not receive the Minimum Auction Price, then the Master Servicer will have the option, subject to the provisions of the pooling and servicing agreement, to purchase the Assets for a price equal to the sum of (a) 100% of the aggregate Stated Principal Balance of the Mortgage Loans, plus accrued interest thereon, (b) the fair market value of any related REO Property and (c) any related unreimbursed servicing advances.

  

Minimum Auction Price:

For any Distribution Date on which an auction is being held, the sum of (a) 100% of the current aggregate principal balance of the Mortgage Loans, plus accrued interest thereon, (b) the fair market value of any related REO Property in the trust fund and all other property related to in the trust fund being purchased, (c) any related unreimbursed servicing advances and (d) any expenses incurred by the Auction Administrator relating to the Auction process.

  

Due Period:

For any Distribution Date, the period beginning the second day of the calendar month preceding and ending the first day of the month in which the Distribution Date occurs.

  

Interest Accrual Period:

For the LIBOR Certificates and any Distribution Date, the one-month period commencing on the 25th day of the month prior to the month in which that Distribution Date occurs and ending on the 24th day of the month in which that Distribution Date occurs (on an Actual/360 day count basis).

  

Mortgage Loans:

The Trust will consist of a single group of collateral.  The LIBOR Certificates herein represent interest in the “Mortgage Loans.”  As of the Cut-off Date, the “Mortgage Loans” consist of fixed rate residential, second-lien mortgage loans with a principal balance of approximately $299,081,029.

  

Pricing Prepayment Speed:

·

Fixed Rate Mortgage Loans: CPR starting at approximately 20% CPR in month 1 and increasing to 35% CPR in month 12 (15%/11 increase for each month), and remaining at 35% CPR thereafter

  

Credit Enhancement:

The Offered Certificates and Fixed Rate Certificates are credit enhanced by:

1)

Net monthly excess cashflow from the Mortgage Loans,

2)

Approximately 6.50% overcollateralization (funded upfront).  On and after the Step-down Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 13.00% of the aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due Period, subject to a 0.50% floor, based on the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, and

3)

Subordination of distributions on the more subordinate classes of certificates (if applicable) to the required distributions on the more senior classes of certificates.

  

Senior Enhancement Percentage:

For any Distribution Date, the percentage obtained by dividing (x) the aggregate Class Principal Balance of the Subordinate Certificates (together with any overcollateralization and taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period.

  

Step-down Date:

The later to occur of:

(x)

The earlier of:

(a)

The Distribution Date occurring in December 2008; and

(b)

The Distribution Date on which the Aggregate Class Principal Balance of the Class A Certificates is zero; and

(y)

The first Distribution Date on which the Senior Enhancement Percentage (calculated for this purpose only after taking into account payments of principal on the Mortgage Loans on the last day of the related Due Period but prior to principal distributions to the Offered Certificates and the Fixed Rate Certificates on the applicable Distribution Date) is greater than or equal to approximately 69.00%.

  

Trigger Event:

Either a Delinquency Trigger Event or a Cumulative Loss Trigger Event.

  

Delinquency Trigger Event:

A Delinquency Trigger Event is in effect on any Distribution Date if on that Distribution Date the 60 Day+ Rolling Average equals or exceeds [11.55]% of the prior period’s Senior Enhancement Percentage.  The 60 Day+ Rolling Average will equal the rolling 3 month average percentage of Mortgage Loans that are 60 or more days delinquent.

  

Cumulative Loss Trigger Event:

A Cumulative Loss Trigger Event is in effect on any Distribution Date if the aggregate amount of Realized Losses  incurred on the Mortgage Loans since the Cut-off Date through the last day of the related prepayment period divided by the aggregate Stated Principal Balance of the Mortgage Loans as of the Cut-off Date exceeds the applicable percentages described below with respect to such distribution date:


Months 25 – 36

[2.30]% for the first month, plus an additional [0.23750]% for each month thereafter

Months 37 – 48

[5.15]% for the first month, plus an additional [0.23333]% for each month thereafter

Months 49 – 60

[7.95]% for the first month, plus an additional [0.18750]% for each month thereafter

Months 61 – 72

[10.20]% for the first month, plus an additional [0.04167]% for each month thereafter

Months 73 – thereafter

[10.70]%

  

Initial Subordination Percentage:

Class A:

34.50%

Class M-1:

29.65%

Class M-2:

24.30%

Class M-3:

21.70%

Class M-4:

19.75%

Class M-5:

17.75%

Class M-6:

15.90%

Class B-1:

13.40%

Class B-2:

11.75%

Class B-3:

10.20%

Class B-4:

  8.15%

Class B-5:

  6.50%

  

Step-up Coupons:

For all Offered Certificates the coupon will increase after the first Optional Clean-up Call Date, should the call not be exercised.  The applicable fixed margin will increase by 2x on the Class A Certificates and by 1.5x on all other Classes of LIBOR Certificates after the first Optional Clean-up Call Date and increase 50bps for the Fixed Rate Certificates.

  

Class A-1 Pass-Through Rate:

The Class A-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class A-2a Pass-Through Rate:

The Class A-2a Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class A-2b Pass-Through Rate:

The Class A-2b Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class M-1 Pass-Through Rate:

The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class M-2 Pass-Through Rate:

The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class M-3 Pass-Through Rate:

The Class M-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class M-4 Pass-Through Rate:

The Class M-4 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class M-5 Pass-Through Rate:

The Class M-5 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class M-6 Pass-Through Rate:

The Class M-6 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class B-1 Pass-Through Rate:

The Class B-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class B-2 Pass-Through Rate:

The Class B-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Class B-3 Pass-Through Rate:

The Class B-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net Wac Cap.

  

Net Wac Cap:

As to any Distribution Date a per annum rate equal to the weighted average gross rate of the Mortgage Loans in effect on the beginning of the related Due Period less servicing and other fee rates on an Actual/360 basis for the LIBOR Certificates.

  

Class A-1, A-2a, A-2b, M-1, M-2, M-3, M-4, M-5, M-6, B-1, B-2, and B-3 Basis Risk Carry Forward Amounts:

As to any Distribution Date, the basis risk carry forward amount for each of the Class A-1, A-2a, A-2b, M-1, M-2, M-3, M-4, M-5, M-6, B-1, B-2, and B-3 Certificates will equal the sum of:

(i)

The excess, if any, of interest that would otherwise be due on such Class at such Class’s applicable Pass-Through Rate (without regard to the Net Wac Cap) over interest due such Class at a rate equal to the Net Wac Cap;

(ii)

Any Basis Risk Carry Forward Amount for such Class remaining unpaid from prior Distribution Dates; and

(iii)

Interest on the amount in clause (ii) at the Class’ applicable Pass-Through Rate for that Distribution Date (without regard to the Net Wac Cap).

  

Interest Distributions on Offered Certificates and the Fixed Rate Certificates:

On each Distribution Date and after payments of servicing and other expenses, interest distributions from the Interest Remittance Amount will be allocated as follows:

(i)

To the Class A-1, A-2a and A2b Certificates, pro rata, Accrued Certificate Interest and any unpaid interest shortfall amounts, other than basis risk, for each related Class;

(ii)

To the Class M-1 Certificates, its Accrued Certificate Interest;

(iii)

To the Class M-2 Certificates, its Accrued Certificate Interest;

(iv)

To the Class M-3 Certificates, its Accrued Certificate Interest;

(v)

To the Class M-4 Certificates, its Accrued Certificate Interest;

(vi)

To the Class M-5 Certificates, its Accrued Certificate Interest;

(vii)

To the Class M-6 Certificates, its Accrued Certificate Interest;

(viii)

To the Class B-1 Certificates, its Accrued Certificate Interest;

(ix)

To the Class B-2 Certificates, its Accrued Certificate Interest;

(x)

To the Class B-3 Certificates, its Accrued Certificate Interest;

(xi)

To the Class B-4 Certificates, its Accrued Certificate Interest; and

(xii)

To the Class B-5 Certificates, its Accrued Certificate Interest.

  
  
  

Principal Distributions on Offered Certificates and Fixed Rate Certificates:

On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, principal distributions from the Principal Distribution Amount will be allocated as follows:

(i)

to the Class A Certificates, allocated between the Class A Certificates as described below, until the Class Princpal Balances have been reduced to zero;

(ii)

to the Class M-1 Certificates, until the Class Principal Balance thereof has been reduced to zero;

(iii)

to the Class M-2 Certificates, until the Class Principal Balance thereof has been reduced to zero;

(iv)

to the Class M-3 Certificates, until the Class Principal Balance thereof has been reduced to zero;

(v)

to the Class M-4 Certificates, until the Class Principal Balance thereof has been reduced to zero;

(vi)

to the Class M-5 Certificates, until the Class Principal Balance thereof has been reduced to zero;

(vii)

to the Class M-6 Certificates, until the Class Principal Balance thereof has been reduced to zero;

(viii)

to the Class B-1 Certificates, until the Class Principal Balance thereof has been reduced to zero;

(ix)

to the Class B-2 Certificates, until the Class Principal Balance thereof has been reduced to zero;

(x)

to the Class B-3 Certificates, until the Class Principal Balance thereof has been reduced to zero;

(xi)

to the Class B-4 Certificates, until the Class Principal Balance thereof has been reduced to zero; and

(xii)

to the Class B-5 Certificates, until the Class Principal Balance thereof has been reduced to zero.


On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the principal distributions from the Principal Distribution Amount will be allocated as follows:

(i)

to the Class A Certificates, allocated between the Class A Certificates as described below, the lesser of the Principal Distribution Amount and the Class A Principal Distribution Amount, until the aggregate Class Principal Balance thereof have been reduced to zero;

(ii)

to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-1 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero;

(iii)

to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-2 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero;

(iv)

to the Class M-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-3 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero;

(v)

to the Class M-4 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-4 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero;

(vi)

to the Class M-5 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-5 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero;

(vii)

to the Class M-6 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-6 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero;

(viii)

to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-1 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero;

(ix)

to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-2 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero;

(x)

to the Class B-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-3 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero;

(xi)

to the Class B-4 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-4 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero; and

(xii)

to the Class B-5 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-5 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero.

  

Class A Principal Allocation:

Any principal distributions allocated to the Class A Certificates will be distributed pro rata to the Class A-1 and A-2 Certificates.  Principal distributions allocated to the Class A-2 certificates will be distributed sequentially to the Class A-2a and A-2b Certificates.

  

Allocation of Net Monthly Excess Cashflow:

For any Distribution Date, any Net Monthly Excess Cashflow shall be paid as follows:

(i)

to pay the holders of the Offered Certificates and Fixed Rate Certificates in respect of principal (in the order of priority as described above under “Principal Distributions on the Offered Certificates and Fixed Rate Certificates”), until the target overcollateralization amount has been achieved:

(ii)

to the Class M-1 Certificates, the unpaid interest shortfall amount;

(iii)

to the Class M-1 Certificates, the allocated unreimbursed realized loss amount;

(iv)

to the Class M-2 Certificates, the unpaid interest shortfall amount;

(v)

to the Class M-2 Certificates, the allocated unreimbursed realized loss amount;

(vi)

to the Class M-3 Certificates, the unpaid interest shortfall amount;

(vii)

to the Class M-3 Certificates, the allocated unreimbursed realized loss amount;

(viii)

to the Class M-4 Certificates, the unpaid interest shortfall amount;

(ix)

to the Class M-4 Certificates, the allocated unreimbursed realized loss amount;

(x)

to the Class M-5 Certificates, the unpaid interest shortfall amount;

(xi)

to the Class M-5 Certificates, the allocated unreimbursed realized loss amount;

(xii)

to the Class M-6 Certificates, the unpaid interest shortfall amount;

(xiii)

to the Class M-6 Certificates, the allocated unreimbursed realized loss amount;

(xiv)

to the Class B-1 Certificates, the unpaid interest shortfall amount;

(xv)

to the Class B-1 Certificates, the allocated unreimbursed realized loss amount;

(xvi)

to the Class B-2 Certificates, the unpaid interest shortfall amount;

(xvii)

to the Class B-2 Certificates, the allocated unreimbursed realized loss amount;

(xviii)

to the Class B-3 Certificates, the unpaid interest shortfall amount;

(xix)

to the Class B-3 Certificates, the allocated unreimbursed realized loss amount;

(xx)

to the Class B-4 Certificates, the unpaid interest shortfall amount;

(xxi)

to the Class B-4 Certificates, the allocated unreimbursed realized loss amount;

(xxii)

to the Class B-5 Certificates, the unpaid interest shortfall amount;

(xxiii)

to the Class B-5 Certificates, the allocated unreimbursed realized loss amount;

(xxiv)

concurrently, any Class A Basis Risk Carry Forward Amount to the Class A-1 and A-2 Certificates, pro rata; and

(xxv)

sequentially, to Classes M-1, M-2, M-3, M-4, M-5, M-6, B-1, B-2 and B-3 Certificates, in such order, in each case an amount up to the amount of the Basis Risk Carry Forward Amount for such Class.

  

Interest Remittance Amount:

For any Distribution Date, the portion of available funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans.

  

Accrued Certificate Interest:

For any Distribution Date and each Class of the Offered Certificates and Fixed Rate Certificates, the amount of interest accrued during the related interest accrual period at the related Pass-Through Rate, reduced by any prepayment interest shortfalls and shortfalls resulting from the application of the Servicemembers’ Civil Relief Act or similar state law allocated to such Class.

  

Principal Distribution Amount:

On any Distribution Date, the sum of (i) the Basic Principal Distribution Amount and (ii) the Extra Principal Distribution Amount.

  

Basic Principal Distribution Amount:

On any Distribution Date, the excess of (i) the aggregate principal remittance amount over (ii) the Excess Subordinated Amount, if any.

  

Net Monthly Excess Cashflow:

For any Distribution Date is the amount of funds available from the Mortgage Loans for distribution on such Distribution Date remaining after making all distributions of interest and principal on the Offered Certificates and Fixed Rate Certificates Certificates.

  

Extra Principal Distribution Amount:

For any Distribution Date and the Offered Certificates and Fixed Rate Certificates the lesser of (i) the excess of (x) interest collected or advanced with respect to the Mortgage Loans with due dates in the related Due Period (less servicing and other fees and expenses), over (y) the sum of interest payable on the Offered Certificates and Fixed Rate Certificates on such Distribution Date and (ii) the Overcollateralization Deficiency Amount for such Distribution Date.

  

Overcollateralization Deficiency Amount:

The excess of the (i) target overcollateralization amount and (ii) the current overcollateralization amount for such Distribution Date.

  

Excess Subordinated Amount:

For any Distribution Date, means the excess, if any of (i) the overcollateralization amount and (ii) the target overcollateralization amount for such Distribution Date.

  

Class A Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the aggregate Class Principal Balance of the Class A Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 31.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class M-1 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date) and (ii) the Class Principal Balance of the Class M-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 40.70% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class M-2 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Class Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date) and (iii) the Class Principal Balance of the Class M-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 51.40% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class M-3 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Class Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Class Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) and (iv) the Class Principal Balance of the Class M-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 56.60% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class M-4 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Class Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Class Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Class Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date) and (v) the Class Principal Balance of the Class M-4 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 60.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class M-5 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Class Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Class Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) (iv) the Class Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Class Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date) and (vi) the Class Principal Balance of the Class M-5 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 64.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class M-6 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Class Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Class Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) (iv) the Class Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Class Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date) (vi) the Class Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), and (vii) the Class Principal Balance of the Class M-6 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 68.20% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class B-1 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Class Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Class Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) (iv) the Class Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Class Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date) (vi) the Class Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the Class Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date)  and (viii) the Class Principal Balance of the Class B-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 73.20% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class B-2 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Class Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Class Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) (iv) the Class Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Class Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date) (vi) the Class Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the Class Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (viii) the Class Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date) and (ix) the Class Principal Balance of the Class B-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 76.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class B-3 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Class Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Class Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) (iv) the Class Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Class Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date) (vi) the Class Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the Class Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (viii) the Class Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date), (ix) the Class Principal Balance of the Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such Distribution Date) and (x) the Class Principal Balance of the Class B-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 79.60% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class B-4 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Class Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Class Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) (iv) the Class Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Class Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date) (vi) the Class Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the Class Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (viii) the Class Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date), (ix) the Class Principal Balance of the Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such Distribution Date), (x) the Class Principal Balance of the Class B-3 Certificates (after taking into account the payment of the Class B-3 Principal Distribution Amount on such Distribution Date) and (xi) the Class Principal Balance of the Class B-4 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 83.70% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Class B-5 Principal Distribution Amount:

For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Class Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Class Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Class Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) (iv) the Class Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Class Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date) (vi) the Class Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the Class Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (viii) the Class Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date), (ix) the Class Principal Balance of the Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such Distribution Date), (x) the Class Principal Balance of the Class B-3 Certificates (after taking into account the payment of the Class B-3 Principal Distribution Amount on such Distribution Date), (xi) the Class Principal Balance of the Class B-4 Certificates (after taking into account the payment of the Class B-4 Principal Distribution Amount on such Distribution Date)  and (xii) the Class Principal Balance of the Class B-5 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 87.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,495,405.14.

  

Trust Tax Status:

REMIC.

  

ERISA Eligibility:

Subject to the considerations in the Prospectus, all Offered Certificates are ERISA eligible.

  

SMMEA Eligibility:

It is anticipated that none of the Class A, M or B Certificates will be SMMEA eligible.

  

Prospectus:

The Class A, M and B Certificates (except the Fixed Rate Certificates) are being offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the collateral securing them is contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus.


PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES.






Weighted Average Life Sensitivity

To CALL

 

PPC

25%

50%

75%

100%

125%

150%

175%

A-1

WAL (yrs)

5.32

3.03

1.86

1.13

0.88

0.71

0.59

 

First Payment Date

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

6/25/2008

11/25/2007

6/25/2007

2/25/2007

 

Window

1 - 179

1 - 136

1 - 90

1 - 31

1 - 24

1 - 19

1 - 15

A-2a

WAL (yrs)

2.46

1.29

0.87

0.65

0.52

0.43

0.36

 

First Payment Date

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

 

Expected Final Maturity

2/25/2011

7/25/2008

8/25/2007

3/25/2007

11/25/2006

9/25/2006

7/25/2006

 

Window

1 - 63

1 - 32

1 - 21

1 - 16

1 - 12

1 - 10

1 - 8

A-2b

WAL (yrs)

9.79

5.75

3.42

1.87

1.45

1.16

0.96

 

First Payment Date

2/25/2011

7/25/2008

8/25/2007

3/25/2007

11/25/2006

9/25/2006

7/25/2006

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

6/25/2008

11/25/2007

6/25/2007

2/25/2007

 

Window

63 - 179

32 - 136

21 - 90

16 - 31

12 - 24

10 - 19

8 - 15

M-1

WAL

12.20

7.46

5.65

4.98

3.56

2.84

2.52

 

First Payment Date

11/25/2012

6/25/2009

4/25/2010

6/25/2008

11/25/2007

6/25/2007

2/25/2007

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

4/25/2011

12/25/2009

2/25/2009

6/25/2008

 

Window

84 - 179

43 - 136

53 - 90

31 - 65

24 - 49

19 - 39

15 - 31

M-2

WAL

12.20

7.46

5.29

4.76

3.70

2.92

2.22

 

First Payment Date

11/25/2012

6/25/2009

9/25/2009

11/25/2009

1/25/2009

5/25/2008

10/25/2007

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

4/25/2011

12/25/2009

2/25/2009

6/25/2008

 

Window

84 - 179

43 - 136

46 - 90

48 - 65

38 - 49

30 - 39

23 - 31

M-3

WAL

12.20

7.46

5.16

4.27

3.29

2.60

2.02

 

First Payment Date

11/25/2012

6/25/2009

7/25/2009

7/25/2009

9/25/2008

2/25/2008

8/25/2007

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

4/25/2011

12/25/2009

2/25/2009

6/25/2008

 

Window

84 - 179

43 - 136

44 - 90

44 - 65

34 - 49

27 - 39

21 - 31

M-4

WAL

12.20

7.46

5.12

4.12

3.17

2.50

1.96

 

First Payment Date

11/25/2012

6/25/2009

6/25/2009

5/25/2009

8/25/2008

1/25/2008

7/25/2007

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

4/25/2011

12/25/2009

2/25/2009

6/25/2008

 

Window

84 - 179

43 - 136

43 - 90

42 - 65

33 - 49

26 - 39

20 - 31

M-5

WAL

12.21

7.46

5.09

4.03

3.09

2.45

1.93

 

First Payment Date

11/25/2012

6/25/2009

5/25/2009

3/25/2009

6/25/2008

12/25/2007

6/25/2007

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

4/25/2011

12/25/2009

2/25/2009

6/25/2008

 

Window

84 - 179

43 - 136

42 - 90

40 - 65

31 - 49

25 - 39

19 - 31

M-6

WAL

12.21

7.46

5.06

3.96

3.03

2.40

1.90

 

First Payment Date

11/25/2012

6/25/2009

4/25/2009

1/25/2009

5/25/2008

11/25/2007

5/25/2007

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

4/25/2011

12/25/2009

2/25/2009

6/25/2008

 

Window

84 - 179

43 - 136

41 - 90

38 - 65

30 - 49

24 - 39

18 - 31

B-1

WAL

12.20

7.46

5.04

3.89

2.99

2.36

1.87

 

First Payment Date

11/25/2012

6/25/2009

3/25/2009

12/25/2008

4/25/2008

10/25/2007

5/25/2007

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

4/25/2011

12/25/2009

2/25/2009

6/25/2008

 

Window

84 - 179

43 - 136

40 - 90

37 - 65

29 - 49

23 - 39

18 - 31

B-2

WAL

12.21

7.46

5.03

3.85

2.94

2.33

1.86

 

First Payment Date

11/25/2012

6/25/2009

2/25/2009

11/25/2008

3/25/2008

9/25/2007

4/25/2007

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

4/25/2011

12/25/2009

2/25/2009

6/25/2008

 

Window

84 - 179

43 - 136

39 - 90

36 - 65

28 - 49

22 - 39

17 - 31

B-3

WAL

12.21

7.46

5.01

3.82

2.92

2.32

1.83

 

First Payment Date

11/25/2012

6/25/2009

2/25/2009

10/25/2008

2/25/2008

9/25/2007

4/25/2007

 

Expected Final Maturity

10/25/2020

3/25/2017

5/25/2013

4/25/2011

12/25/2009

2/25/2009

6/25/2008

 

Window

84 - 179

43 - 136

39 - 90

35 - 65

27 - 49

22 - 39

17 - 31








Weighted Average Life Sensitivity

To MATURITY

 

PPC

25%

50%

75%

100%

125%

150%

175%

A-1

WAL (yrs)

5.57

3.17

1.99

1.13

0.88

0.71

0.59

 

First Payment Date

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

 

Expected Final Maturity

1/25/2034

10/25/2026

9/25/2020

6/25/2008

11/25/2007

6/25/2007

2/25/2007

 

Window

1 - 338

1 - 251

1 - 178

1 - 31

1 - 24

1 - 19

1 - 15

A-2a

WAL (yrs)

2.46

1.29

0.87

0.65

0.52

0.43

0.36

 

First Payment Date

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

12/27/2005

 

Expected Final Maturity

2/25/2011

7/25/2008

8/25/2007

3/25/2007

11/25/2006

9/25/2006

7/25/2006

 

Window

1 - 63

1 - 32

1 - 21

1 - 16

1 - 12

1 - 10

1 - 8

A-2b

WAL (yrs)

10.44

6.13

3.75

1.87

1.45

1.16

0.96

 

First Payment Date

2/25/2011

7/25/2008

8/25/2007

3/25/2007

11/25/2006

9/25/2006

7/25/2006

 

Expected Final Maturity

1/25/2034

10/25/2026

9/25/2020

6/25/2008

11/25/2007

6/25/2007

2/25/2007

 

Window

63 - 338

32 - 251

21 - 178

16 - 31

12 - 24

10 - 19

8 - 15

M-1

WAL

13.27

8.07

6.20

6.71

4.90

3.85

3.34

 

First Payment Date

11/25/2012

6/25/2009

4/25/2010

6/25/2008

11/25/2007

6/25/2007

2/25/2007

 

Expected Final Maturity

6/25/2033

4/25/2025

7/25/2020

12/25/2017

1/25/2015

1/25/2013

8/25/2011

 

Window

84 - 331

43 - 233

53 - 176

31 - 145

24 - 110

19 - 86

15 - 69

M-2

WAL

13.27

8.06

5.84

5.16

4.02

3.16

2.41

 

First Payment Date

11/25/2012

6/25/2009

9/25/2009

11/25/2009

1/25/2009

5/25/2008

10/25/2007

 

Expected Final Maturity

2/25/2033

9/25/2024

6/25/2020

10/25/2016

3/25/2014

5/25/2012

1/25/2011

 

Window

84 - 327

43 - 226

46 - 175

48 - 131

38 - 100

30 - 78

23 - 62

M-3

WAL

13.26

8.04

5.71

4.66

3.60

2.83

2.21

 

First Payment Date

11/25/2012

6/25/2009

7/25/2009

7/25/2009

9/25/2008

2/25/2008

8/25/2007

 

Expected Final Maturity

8/25/2032

11/25/2023

4/25/2020

5/25/2016

11/25/2013

2/25/2012

10/25/2010

 

Window

84 - 321

43 - 216

44 - 173

44 - 126

34 - 96

27 - 75

21 - 59

M-4

WAL

13.25

8.03

5.65

4.51

3.47

2.73

2.15

 

First Payment Date

11/25/2012

6/25/2009

6/25/2009

5/25/2009

8/25/2008

1/25/2008

7/25/2007

 

Expected Final Maturity

4/25/2032

6/25/2023

12/25/2019

2/25/2016

8/25/2013

12/25/2011

9/25/2010

 

Window

84 - 317

43 - 211

43 - 169

42 - 123

33 - 93

26 - 73

20 - 58

M-5

WAL

13.24

8.02

5.62

4.41

3.39

2.67

2.11

 

First Payment Date

11/25/2012

6/25/2009

5/25/2009

3/25/2009

6/25/2008

12/25/2007

6/25/2007

 

Expected Final Maturity

1/25/2032

1/25/2023

9/25/2019

11/25/2015

6/25/2013

11/25/2011

8/25/2010

 

Window

84 - 314

43 - 206

42 - 166

40 - 120

31 - 91

25 - 72

19 - 57

M-6

WAL

13.23

8.01

5.58

4.34

3.33

2.62

2.08

 

First Payment Date

11/25/2012

6/25/2009

4/25/2009

1/25/2009

5/25/2008

11/25/2007

5/25/2007

 

Expected Final Maturity

9/25/2031

7/25/2022

5/25/2019

8/25/2015

4/25/2013

9/25/2011

7/25/2010

 

Window

84 - 310

43 - 200

41 - 162

38 - 117

30 - 89

24 - 70

18 - 56

B-1

WAL

13.22

7.99

5.55

4.26

3.27

2.58

2.04

 

First Payment Date

11/25/2012

6/25/2009

3/25/2009

12/25/2008

4/25/2008

10/25/2007

5/25/2007

 

Expected Final Maturity

4/25/2031

2/25/2022

1/25/2019

5/25/2015

2/25/2013

7/25/2011

5/25/2010

 

Window

84 - 305

43 - 195

40 - 158

37 - 114

29 - 87

23 - 68

18 - 54

B-2

WAL

13.19

7.97

5.52

4.20

3.22

2.54

2.02

 

First Payment Date

11/25/2012

6/25/2009

2/25/2009

11/25/2008

3/25/2008

9/25/2007

4/25/2007

 

Expected Final Maturity

9/25/2030

5/25/2021

7/25/2018

1/25/2015

11/25/2012

4/25/2011

3/25/2010

 

Window

84 - 298

43 - 186

39 - 152

36 - 110

28 - 84

22 - 65

17 - 52

B-3

WAL

13.17

7.95

5.48

4.16

3.19

2.52

1.99

 

First Payment Date

11/25/2012

6/25/2009

2/25/2009

10/25/2008

2/25/2008

9/25/2007

4/25/2007

 

Expected Final Maturity

2/25/2030

10/25/2020

2/25/2018

9/25/2014

8/25/2012

2/25/2011

1/25/2010

 

Window

84 - 291

43 - 179

39 - 147

35 - 106

27 - 81

22 - 63

17 - 50






Collateral Net WAC Cap Rate (Actual/360) (1)


Month

(%)

Month

(%)

Month

(%)

1

12.015

23

10.012

45

9.687

2

9.690

24

9.689

46

9.687

3

9.690

25

10.012

47

10.009

4

10.728

26

9.689

48

9.686

5

9.690

27

9.689

49

10.009

6

10.013

28

10.357

50

9.686

7

9.690

29

9.689

51

9.686

8

10.013

30

10.011

52

10.723

9

9.690

31

9.688

53

9.686

10

9.690

32

10.011

54

10.008

11

10.013

33

9.688

55

9.685

12

9.690

34

9.688

56

10.008

13

10.013

35

10.011

57

9.685

14

9.690

36

9.688

58

9.685

15

9.690

37

10.011

59

10.007

16

10.728

38

9.688

60

9.685

17

9.690

39

9.687

61

10.007

18

10.013

40

10.725

62

9.684

19

9.690

41

9.687

63

9.684

20

10.013

42

10.010

64

10.722

21

9.689

43

9.687

65

9.684

22

9.689

44

10.010

-

-



Assumes:

(1)

100% PPC







LIBOR Certificates Net WAC Cap Rate (Actual/360) (1,2)


Month

(%)

Month

(%)

Month

(%)

1

4.593

23

12.087

45

18.378

2

10.535

24

11.793

46

18.379

3

10.560

25

12.292

47

18.993

4

11.723

26

12.004

48

18.381

5

10.619

27

12.119

49

18.996

6

11.008

28

13.086

50

18.384

7

10.690

29

12.372

51

18.385

8

11.088

30

12.928

52

20.357

9

10.775

31

12.659

53

18.388

10

10.821

32

75.071

54

19.003

11

11.232

33

70.009

55

18.390

12

10.921

34

20.791

56

19.004

13

11.341

35

19.238

57

18.388

14

11.031

36

18.367

58

18.390

15

11.091

37

18.980

59

19.005

16

12.348

38

18.369

60

18.393

17

11.219

39

18.370

61

19.008

18

11.665

40

20.340

62

18.396

19

11.361

41

18.373

63

18.398

20

11.820

42

18.986

64

20.371

21

11.520

43

18.375

65

18.401

22

11.606

44

18.989

-

-



Assumes:

(1)

100% PPC

(2)

1 Month LIBOR = 20%







Excess Spread Before Losses (%)(1)


Month

Excess Spread(%)2

Excess Spread(%)3

Month

Excess Spread(%)2

Excess Spread(%)3

Month

Excess Spread(%)2

Excess Spread(%)3

1

6.316

6.316

23

5.642

5.133

45

5.440

4.821

2

5.491

5.333

24

5.519

4.996

46

5.440

4.816

3

5.491

5.187

25

5.650

5.145

47

5.571

4.963

4

5.901

5.517

26

5.529

5.008

48

5.441

4.809

5

5.491

5.001

27

5.534

5.016

49

5.572

4.958

6

5.627

5.063

28

5.785

5.306

50

5.441

4.805

7

5.491

4.856

29

5.545

5.040

51

5.441

4.804

8

5.626

5.041

30

5.671

5.188

52

5.833

5.256

9

5.491

4.837

31

5.556

5.061

53

5.441

4.800

10

5.491

4.809

32

5.685

5.209

54

5.572

4.950

11

5.625

5.006

33

5.400

4.885

55

5.441

4.797

12

5.490

4.862

34

5.228

4.692

56

5.572

4.946

13

5.623

5.010

35

5.401

4.860

57

5.441

4.793

14

5.490

4.877

36

5.323

4.747

58

5.442

4.791

15

5.489

4.895

37

5.499

4.934

59

5.572

4.941

16

5.885

5.361

38

5.392

4.798

60

5.442

4.787

17

5.491

4.927

39

5.415

4.816

61

5.573

4.937

18

5.626

5.094

40

5.814

5.272

62

5.442

4.783

19

5.499

4.957

41

5.424

4.824

63

5.442

4.781

20

5.632

5.111

42

5.560

4.978

64

5.834

5.235

21

5.506

4.971

43

5.433

4.827

65

5.443

4.776

22

5.511

4.980

44

5.568

4.975

   


Assumes:

(1)

100% PPC

(2)

1 Month LIBOR = 4.1964

(3)

Forward LIBOR







CDR Table


The tables below describe the Constant Default Rate (“CDR”), and the related cumulative loss on the Mortgage Loans at which the first dollar or more of loss is incurred.  Other assumptions incorporated include the following: (1) 100% of the Prepayment Assumption, (2) 100% P&I advancing (3) 100% loss severity, (4) 6-month lag from default to loss and (5) triggers fail (i.e., no stepdown).


 

Static LIBOR = 4.1964%

 

FWD LIBOR

Class

CDR

Cumulative Loss %

Class

CDR

Cumulative Loss %

M1

21.0

36.45%

M1

20.4

35.69%

M2

17.2

31.43%

M2

16.6

30.59%

M3

15.5

29.01%

M3

14.9

28.13%

M4

14.3

27.23%

M4

13.7

26.31%

M5

13.1

25.39%

M5

12.5

24.44%

M6

12.0

23.64%

M6

11.4

22.66%

B1

10.5

21.16%

B1

9.9

20.14%

B2

9.5

19.44%

B2

8.9

18.39%

B3

8.6

17.85%

B3

8.1

16.95%

B4

7.7

16.22%

B4

7.2

15.29%

B5

7.0

14.91%

B5

6.6

14.15%







Collateral Summary


Aggregate Outstanding Principal Balance

  

$299,081,029

Aggregate Original Principal Balance

   

$300,515,731

Number of Mortgage Loans

   

5,380

     

 

Average

 

Maximum

Minimum

Original Principal Balance

$55,858

 

$490,000

$5,000

Outstanding Principal Balance

$55,591

 

$488,533

$33.66

 

Weighted Average

 

Maximum

Minimum

Original Term (mos)

259

 

360

60

Stated Remaining Term (mos)

255

 

359

54

Loan Age (mos)

4

 

13

0

Current Interest Rate:

10.513%

 

17.625%

6.125%

Combined Original Loan-to-Value

97.53%

 

100.00%

25.53%

Credit Score

678

 

817

541

     

 

 

 

Earliest

Latest

Maturity Date

 

 

05/01/2010

10/01/2035

     

Lien Position

Percent of Mortgage Pool

 

Year of Origination

Percent of Mortgage Pool

2nd Lien

100.00%

 

2003 and before

0.00%

   

2004

0.25%

Occupancy

Percent of Mortgage Pool

 

2005

99.75%

Primary

82.19%

   

Second Home

2.85%

 

Property Type

Percent of Mortgage Pool

Investment

14.96%

 

Single Family Residence

65.92%

   

PUD

15.75%

Loan Purpose

Percent of Mortgage Pool

 

Condominium

6.95%

Purchase

85.28%

 

Two-to-Four Family

11.25%

Refinance - Rate/Term

1.08%

 

Townhouse

0.13%

Refinance - Cashout

13.65%

 

Rowhouse

0.00%

     

Loan Type

Percent of Mortgage Pool

 

Amortization Type

Percent of Mortgage Pool

Fixed Rate

100.00%

 

Fully Amoritizing

48.94%

   

Balloon

51.06%







FOR ADDITIONAL INFORMATION PLEASE CALL:



Morgan Stanley

Structured Finance

 

Valerie Kay

(212) 761-2162

Lydia Foo

(212) 761-1297

Forchi Chen

(212) 761-2154

Emily Garrison

(212) 761-4251

  

Syndicate

 

Dimitri Kavour

(212) 761-1997

Rick Onkey

(212) 761-2122

Nicole Limberg

(212) 761-2084

  

Structuring and Trading

 

Brian Hartmann

(212) 761-1447

  



Rating Agencies

Standard and Poors

 

Rasool Alizadeh

(212) 438-3136

  

Moody’s Investor Service

 

Moni Banerjee

(212) 553-4513

  






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