Filed pursuant to Rule 433
Registration Number 333-131712-06
August 3, 2007
SUBJECT TO REVISION
FREE WRITING PROSPECTUS DATED [July 25, 2007]
$[1,318,465,000] (Approximate)
SAXON ASSET SECURITIES TRUST 2007-3
MORTGAGE LOAN ASSET BACKED CERTIFICATES, SERIES 2007-3
SAXON ASSET SECURITIES COMPANY
Depositor
SAXON FUNDING MANAGEMENT, LLC
Seller
SAXON MORTGAGE SERVICES, INC.
Servicer
July 25, 2007
IMPORTANT NOTICE REGARDING THE CONDITIONS
FOR THIS OFFERING OF ASSET-BACKED SECURITIES
The asset-backed securities referred to in these materials are being offered when, as and if issued. In particular, you are advised that asset-backed securities, and the asset pools backing them, are subject to modification or revision (including, among other things, the possibility that one or more classes of securities may be split, combined or eliminated), at any time prior to issuance or availability of a final prospectus. As a result, you may commit to purchase securities that have characteristics that may change, and you are advised that all or a portion of the securities may not be issued that have the characteristics described in these materials. Our obligation to sell securities to you is conditioned on the securities and the underlying transaction having the characteristics described in these materials. If we determine that condition is not satisfied in any material respect, we will notify you, and neither the issuing entity nor the underwriter will have any obligation to you to deliver all or any portion of the securities which you have committed to purchase, and there will be no liability between us as a consequence of the non-delivery.
IMPORTANT INFORMATION AND IRS CIRCULAR 230 NOTICE
This material has been prepared for information purposes to support the promotion or marketing of the transaction or matters addressed herein. This is not a research report and was not prepared by the Morgan Stanley research department. It was prepared by Morgan Stanley sales, trading, banking or other non-research personnel. This material was not intended or written to be used, and it cannot be used by any taxpayer, for the purpose of avoiding penalties that may be imposed on the taxpayer under U.S. federal tax laws. Each taxpayer should seek advice based on the taxpayer’s particular circumstances from an independent tax advisor. Past performance is not necessarily a guide to future performance. Please see additional important information and qualifications at the end of this material.
STATEMENT REGARDING THIS FREE WRITING PROSPECTUS
The depositor has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the depositor has filed with the SEC for more complete information about the depositor, issuing trust and this offering. You may get these documents for free by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, the depositor or any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling toll-free 1-866-718-1649.
The registration statement referred to above (including the prospectus) is incorporated in this free writing prospectus by reference and may be accessed by clicking on the following hyperlink: http://www.sec.gov/Archives/edgar/data/1014299/000114420406012322/v038904_s3-a.htm
IMPORTANT NOTICE RELATING TO AUTOMATICALLY GENERATED EMAIL DISCLAIMERS
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Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 |  |
$[1,318,465,000] (Approximate)
Saxon Asset Securities Trust 2007-3
Subject to a +/- 10% Variance
Class(1, 3, 4) | Certificate Principal Balance ($) (1) | Certificate Type | Expected Rating (Moody’s/S&P/Fitch) | WAL (Yrs) Call/Mat (2) (3) | Prin Window (Mths) to Call/Mat (2) (3) | Initial Subordination Level(6) | Stated Final Maturity (5) |
| Class 1-A | 574,830,000 | SEN-FLT | Aaa/AAA/AAA | Not Offered Hereby | 30.10% | 9/2037 | |
| Class 2-A1 | 241,270,000 | SEN-FLT | Aaa/AAA/AAA | 0.80 / 0.80 | 1 - 21 / 1 - 21 | 30.10% | 9/2037 |
| Class 2-A2 | 64,750,000 | SEN-FLT | Aaa/AAA/AAA | 2.00 / 2.00 | 21 - 28 / 21 - 28 | 30.10% | 9/2037 |
| Class 2-A3 | 85,130,000 | SEN-FLT | Aaa/AAA/AAA | 3.50 / 3.50 | 28 - 76 / 28 - 76 | 30.10% | 9/2037 |
| Class 2-A4 | 26,595,000 | SEN-FLT | Aaa/AAA/AAA | 7.29 / 8.21 | 76 - 91 / 76 - 138 | 30.10% | 9/2037 |
| Class 1-M1 | 37,006,000 | MEZ-FLT | Aa1/AA+/AA+ | Not Offered Hereby | 25.60% | 9/2037 | |
| Class 2-M1 | 26,894,000 | MEZ-FLT | Aa1/AA+/AA+ | 5.40 / 6.21 | 47 - 91 / 47 - 186 | 25.60% | 9/2037 |
| Class 1-M2 | 33,306,000 | MEZ-FLT | Aa2/AA/AA | Not Offered Hereby | 21.55% | 9/2037 | |
| Class 2-M2 | 24,204,000 | MEZ-FLT | Aa2/AA/AA | 5.26 / 6.04 | 44 - 91 / 44 - 180 | 21.55% | 9/2037 |
| Class 1-M3 | 21,381,000 | MEZ-FLT | Aa3/AA-/AA- | Not Offered Hereby | 18.95% | 9/2037 | |
| Class 2-M3 | 15,539,000 | MEZ-FLT | Aa3/AA-/AA- | 5.20 / 5.94 | 42 - 91 / 42 - 174 | 18.95% | 9/2037 |
| Class 1-M4 | 18,092,000 | MEZ-FLT | A1/A+/A+ | Not Offered Hereby | 16.75% | 9/2037 | |
| Class 2-M4 | 13,148,000 | MEZ-FLT | A1/A+/A+ | 5.16 / 5.89 | 41 - 91 / 41 - 169 | 16.75% | 9/2037 |
| Class 1-M5 | 18,092,000 | MEZ-FLT | A2/A/A | Not Offered Hereby | 14.55% | 9/2037 | |
| Class 2-M5 | 13,148,000 | MEZ-FLT | A2/A/A | 5.14 / 5.84 | 40 - 91 / 40 - 164 | 14.55% | 9/2037 |
| Class 1-M6 | 16,858,000 | MEZ-FLT | A3/A-/A- | Not Offered Hereby | 12.50% | 9/2037 | |
| Class 2-M6 | 12,252,000 | MEZ-FLT | A3/A-/A- | 5.13 / 5.79 | 40 - 91 / 40 - 159 | 12.50% | 9/2037 |
| Class B1 | 27,690,000 | SUB-FLT | Baa1/BBB+/BBB+ | 5.05 / 5.56 | 39 - 91 / 39 - 153 | 10.55% | 9/2037 |
| Class B2 | 24,140,000 | SUB-FLT | Baa2/BBB/BBB | 5.05 / 5.53 | 38 - 91 / 38 - 147 | 8.85% | 9/2037 |
| Class B3 | 24,140,000 | SUB-FLT | Baa3/BBB-/BBB- | 5.03 / 5.48 | 38 - 91 / 38 - 140 | 7.15% | 9/2037 |
Total: | 1,318,465,000 | ||||||
(1) | Class sizes are subject to a permitted variance in the aggregate of +/-10%. Class sizes are also subject to change based upon the final pool and rating agency evaluation of subordination and overcollateralization levels and excess spread. |
(2) | See “Pricing Prepayment Speed” herein. |
(3) | The Certificates are subject to a 10% Clean-up Call (as described herein). After the first Distribution Date on which the Clean-up Call is exercisable, the margins on the Class 1-A, Class 2-A1, Class 2-A2, Class 2-A3 and Class 2-A4 Certificates will increase to 2.0 times their respective initial margins and the margins on the Class 1-M1, Class 2-M1, Class 1-M2, Class 2-M2, Class 1-M3, Class 2-M3, Class 1-M4, Class 2-M4, Class 1-M5, Class 2-M5, Class 1-M6, Class 2-M6, Class B1, Class B2 and Class B3 Certificates will increase to 1.5 times their respective initial margins. |
(4) | All Certificates are subject to the available funds cap rate (as described herein). |
(5) | The Stated Final Maturity is calculated as one month past the latest maturing thirty-year mortgage loan. |
(6) | Subject to final rating agency approval. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 2
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Summary of Terms
Issuing Entity or the Trust: | Saxon Asset Securities Trust 2007-3, a New York common law trust |
Sponsor and Seller: | Saxon Funding Management, LLC |
Depositor: | Saxon Asset Securities Company |
Servicer: | Saxon Mortgage Services, Inc. |
Trustee: | Deutsche Bank National Trust Company |
Swap Counterparty: | Morgan Stanley Capital Services Inc. |
Manager: | Morgan Stanley & Co. Incorporated |
The Offered Certificates: | The Group 2 and Class B Certificates |
The Non-Offered Certificates: | The Group 1, Class OC, Class P and Class R Certificates |
Group 1 Certificates: | The Class 1-A, Class 1-M1, Class 1-M2, Class 1-M3, Class 1-M4, Class 1-M5, and Class 1-M6 Certificates |
Group 2 Certificates: | The Class 2-A1, Class 2-A2, Class 2-A3, Class 2-A4, Class 2-M1, Class 2-M2, Class 2-M3, Class 2-M4, Class 2-M5, and Class 2-M6 Certificates |
Class A Certificates: | The Class 1-A and Class 2-A Certificates (“Senior Certificates”) |
Class 1-A Certificates: | The Class 1-A Certificates |
Class 2-A Certificates: | The Class 2-A1, Class 2-A2, Class 2-A3 and Class 2-A4 Certificates |
LIBOR Certificates: | The Class A, Class M and Class B Certificates |
Class M Certificates: | The Class M1, Class M2, Class M3, Class M4, Class M5 and Class M6 Certificates |
Class M1 Certificates: | The Class 1-M1 and Class 2-M1 Certificates |
Class M2 Certificates: | The Class 1-M2 and Class 2-M2 Certificates |
Class M3 Certificates: | The Class 1-M3 and Class 2-M3 Certificates |
Class M4 Certificates: | The Class 1-M4 and Class 2-M4 Certificates |
Class M5 Certificates: | The Class 1-M5 and Class 2-M5 Certificates |
Class M6 Certificates: | The Class 1-M6 and Class 2-M6 Certificates |
Class B Certificates: | The Class B1, Class B2 and Class B3 Certificates |
Subordinate Certificates: | The Class M and Class B Certificates |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 3
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Rating Agencies: | Fitch, Inc. (“Fitch”), Moody's Investor Services, Inc. ("Moody's") and Standard and Poor's Ratings Services ("S&P"), a division of The McGraw-Hill Companies, Inc. |
Registration: | The Certificates will be available in book-entry form through DTC and upon request through Clearstream, Luxembourg and the Euroclear System. |
Cut-off Date: | The later of July 1, 2007 or the date of origination of such mortgage loan. |
Expected Closing Date: | On or about August 3, 2007 |
Distribution Dates: | Payment of principal and interest on the Certificates will be made on the 25th day of each month or, if such day is not a business day, on the first business day thereafter, commencing in August 2007. |
Interest Accrual Period: | The "Interest Accrual Period" for the Certificates with respect to any Distribution Date will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to such Distribution Date (on an actual/360 basis). |
Due Date: | The “Due Date” related to substantially all of the Mortgage Loans and each Distribution Date will be the first day of the month in which such Distribution Date occurs. |
Record Date: | For the LIBOR Certificates and any Distribution Date, the business day immediately preceding that Distribution Date, or if the LIBOR Certificates are no longer book-entry certificates, the last business day of the calendar month preceding the month of that Distribution Date. |
Due Period: | A “Due Period” with respect to any Distribution Date is the period commencing on the second day of the month preceding the month in which such Distribution Date occurs and ending on the first day of the month in which such Distribution Date occurs. |
The Mortgage Loans: | As of the Closing Date, the Mortgage Loans will consist of approximately $[1,420,000,000] of fixed-rate and adjustable-rate residential, first and second lien mortgage loans. The information on the Mortgage Loans described herein is based on a statistical pool of Mortgage Loans with an aggregate principal balance of approximately $[1,344,621,691] as of the Cut-off Date. The characteristics of the final mortgage pool as of the Closing Date will be materially similar to the statistical pool. |
Group 1 Mortgage Loans: | As of the Closing Date, the Group 1 Mortgage Loans will consist of approximately $[822,361,360] of fixed-rate and adjustable-rate residential, first lien, conforming balance mortgage loans. The information on the Group 1 Mortgage Loans described herein is based on a statistical pool of Mortgage Loans with an aggregate principal balance of approximately $[822,361,360] as of the Cut-off Date. The characteristics of the final Group 1 mortgage pool as of the Closing Date will be materially similar to the statistical pool. |
Group 2 Mortgage Loans: | As of the Closing Date, the Group 2 Mortgage Loans will consist of approximately $[597,638,641] of fixed-rate and adjustable-rate residential, first and second lien, conforming and non-conforming balance mortgage loans. The information on the Group 2 Mortgage Loans described herein is based on a statistical pool of Mortgage Loans with an aggregate principal balance of approximately $[522,260,332] as of the Cut-off Date. The characteristics of the final Group 2 mortgage pool as of the Closing Date will be materially similar to the statistical pool. |
Pricing Prepayment Speed: | The Certificates were priced based on the following collateral prepayment assumptions: |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 4
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
100% PPC for the Fixed Rate Mortgage Loans (100% PPC for the Fixed Rate Mortgage Loans assumes 4% CPR in the first month of life of the mortgage loan increasing to 23% CPR over 15 months (19%/15 increase for each month) and remaining constant at 23% CPR from month 16 and thereafter) 100% PPC for the Adjustable Rate Mortgage Loans (100% PPC for the Adjustable Rate Mortgage Loans assumes 28% CPR) | |
Optional Purchase Date: | At its option, the Servicer may, on any Distribution Date when the aggregate principal balance of the Mortgage Loans is an amount less than or equal to 10% of the stated principal balance of the Mortgage Loans as of the Cut-off Date, purchase from the trust fund all remaining Mortgage Loans, in whole only, and other property acquired by foreclosure, deed in lieu of foreclosure or otherwise then constituting the Mortgage Loans at a price generally equal to 100% of the aggregate principal balance. |
Servicing Fee: | The "Servicing Fee" applicable to each mortgage loan, and with respect to each Distribution Date, equals the scheduled principal balance of such mortgage loan, on the first day of the month preceding such Distribution Date, multiplied by one-twelfth of approximately 0.50% per annum. |
Available Distribution Amount: | The “Available Distribution Amount” for any Distribution Date will equal the sum of the following amounts: (1) the total amount of all cash received by or on behalf of the Servicer with respect to the Mortgage Loans serviced by it and received by the Trustee by the related servicer remittance date and not previously distributed (including Liquidation Proceeds, condemnation proceeds and insurance proceeds), except: • all scheduled payments of principal and related interest collected but due on a date after the related Due Date; • all partial principal prepayments received after the related Prepayment Period, together with all related interest accrued on such Mortgage Loans; • all prepayment penalties received; • all prepayments in full received after the related Prepayment Period, together with all related interest accrued on such Mortgage Loans; • Liquidation Proceeds, condemnation proceeds and insurance proceeds received on such Mortgage Loans after the previous calendar month; • all amounts reimbursable to the Servicer pursuant to the terms of the Pooling and Servicing Agreement, or to the Trustee and/or the Custodian pursuant to the terms of the Pooling and Servicing Agreement or the custody agreement, in each case; • reinvestment income on the balance of funds, if any, in the custodial account or distribution account; and • any fees payable to the Servicer, in each case with respect to the Mortgage Loans (2) all Monthly Advances on the Mortgage Loans made by the Servicer for that Distribution Date; (3) any amounts paid as Compensating Interest with respect to the Mortgage Loans by the Servicer for that Distribution Date; (4) the total amount of any cash deposited in the distribution account in connection with the repurchase of any Mortgage Loans by the Seller or the Depositor pursuant to the Pooling and Servicing Agreement or the Sales Agreement; and (5) all Subsequent Recoveries received with respect to the Mortgage Loans during the related Prepayment Period. |
Interest Remittance Amount: | For any Distribution Date, the portion of the Available Distribution Amount for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 5
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Unpaid Interest Shortfall Amount: | For any class of certificates and Distribution Date the sum of interest shortfalls as a result of the Relief Act and Net Prepayment Interest Shortfalls on the Mortgage Loans allocated to such class of certificates on that Distribution Date and such amounts from any prior Distribution Date remaining unpaid and interest on such amount. |
Compensating Interest: | As of any Distribution Date, an amount payable by the Servicer, as the case may be, equal to the lesser of (i) Prepayment Interest Shortfalls for such date in respect of any prepayments in full and (ii) the Servicing Fee for such date. |
Prepayment Period: | The “Prepayment Period” for any Distribution Date is the period beginning on the day after the Determination Date in the month immediately preceding the month in which the Distribution Date occurs (or in the case of the first Distribution Date, the Cut-off Date) and ending on the Determination Date of the month in which such Distribution Date occurs. |
Determination Date: | For each Distribution Date, the seventeenth day of the month, or if such day is not a business day, the immediately preceding business day. |
Liquidated Mortgage Loan: | A “Liquidated Mortgage Loan” is a mortgage loan as to which the Servicer has determined that all amounts which it expects to recover from or on account of such mortgage loan, whether from insurance proceeds, Liquidation Proceeds or otherwise, have been recovered. |
Liquidation Proceeds: | Amounts received by the Servicer in connection with the liquidation of a defaulted Mortgage Loan whether through foreclosure or otherwise, other than insurance proceeds or any Subsequent Recoveries. |
Realized Loss: | “Realized Loss” with respect to any Distribution Date and any Mortgage Loan that became a Liquidated Mortgage Loan during the related Prepayment Period will be the sum of (i) the principal balance of such Mortgage Loan remaining outstanding (after all recoveries of principal have been applied thereto) and the principal portion of Advances made by the Servicer with respect to such Mortgage Loan which have been reimbursed from Liquidation Proceeds and (ii) the accrued interest on such Mortgage Loan remaining unpaid and the interest portion of Advances made by the Servicer with respect to such Mortgage Loan which have been reimbursed from Liquidation Proceeds. The amounts set forth in clause (i) are the principal portion of Realized Losses and the amounts set forth in clause (ii) are the interest portion of Realized Losses. With respect to any Mortgage Loan that is not a Liquidated Mortgage Loan, the amount of any Debt Service Reduction or Deficient Valuation incurred with respect to such Mortgage Loan as of the related Due Date will be treated as a Realized Loss. |
Class Principal Balance: | The “Class Principal Balance” of any class of certificates as of any Distribution Date is the initial Class Principal Balance of the class listed on page 2 of this preliminary termsheet reduced by the sum of (i) all amounts previously distributed to holders of certificates on the class as payments of principal, and (ii) with respect to the Subordinate Certificates, the amount of Realized Losses on the Mortgage Loans allocated to the class. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 6
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Credit Enhancement: | The LIBOR Certificates are credit enhanced by: 1) Net Monthly Excess Cashflow from the Mortgage Loans after taking into account certain payments received or paid by the trust pursuant to the interest rate swap agreement, 2) [7.15]% overcollateralization (funded upfront). On and after the Stepdown Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal [14.30]% of the aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due Period, subject to an Overcollateralization Floor, and 3) Subordination of distributions on the more subordinate classes of certificates (if applicable) and the Class OC Certificates to the required distributions on the more senior classes of certificates. The amount by which the aggregate stated principal balance of the Mortgage Loans is greater than the aggregate Class Principal Balance of the LIBOR Certificates is referred to as “overcollateralization.” On the closing date the aggregate stated principal balance of the Mortgage Loans is expected to exceed the aggregate Class Principal Balance of the LIBOR Certificates by approximately $[101,535,001]. In other words, it is expected that there will be approximately [7.15]% overcollateralization as of the Closing Date. In addition, the Mortgage Loans are expected to generate more interest than is needed to pay interest on the LIBOR Certificates and related expenses of the trust fund because the weighted average interest rate of the Mortgage Loans is expected to be higher than the weighted average pass-through rate on the LIBOR Certificates, plus the related weighted average expense fee rate and any net swap payments owed to the Swap Counterparty. Net Monthly Excess Cashflow, as described below, will be used to reduce the total Class Principal Balance of the LIBOR Certificates thus creating and/or maintaining overcollateralization at the level of overcollateralization required by the Pooling and Servicing Agreement. |
Overcollateralization Floor: | The “Overcollateralization Floor” prior to the Distribution Date in August 2027 will be equal to 0.50% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. On that date and thereafter, the Overcollateralization Floor will be equal to the greater of (i) 0.50% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, and (ii) the sum of (a) 0.10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date and (b) the aggregate principal balance, as of the last day of the related Due Period, of all outstanding Mortgage Loans having original terms to maturity of 40 years. |
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 and all payments of principal from the Swap Account, if any, for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. |
Class M1 Enhancement Percentage: | For any Distribution Date, the percentage obtained by dividing (x) the aggregate Class Principal Balance of the Class M2, Class M3, Class M4, Class M5, Class M6 and Class B Certificates (together with any overcollateralization and taking into account the distributions of the Principal Distribution Amount and all payments of principal from the Swap Account, if any, for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. |
Interest Distribution Amount: | With respect to any class of LIBOR Certificates and any Distribution Date, interest accrued during the related Interest Accrual Period on the related Class Principal Balance of that class immediately prior to the Distribution Date at the Pass-Through Rate for that class reduced (to an amount not less than zero), in the case of such class, by the allocable share, if any, for that class of Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the Servicer and any Relief Act Interest Shortfalls. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 7
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Principal Remittance Amount: | The “Principal Remittance Amount” for the LIBOR Certificates and any Distribution Date will be the sum of: (i) the principal portion of all scheduled monthly payments on the Mortgage Loans due during the related Due Period, whether or not received on or prior to the related Determination Date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Mortgage Loan (or, in the case of a substitution, certain amounts representing a principal adjustment as required by the pooling and servicing agreement) during the related Prepayment Period; and (iii) the principal portion of all other unscheduled collections, including insurance proceeds, condemnation proceeds, liquidation proceeds and all full and partial principal prepayments, received during the related Prepayment Period, to the extent applied as recoveries of principal on the Mortgage Loans. In no event will the Principal Remittance Amount with respect to any Distribution Date be (x) less than zero or (y) greater than the then outstanding aggregate Class Principal Balance of the LIBOR Certificates. |
Stepdown Date: | The later to occur of: (x) The earlier of: (a) The Distribution Date occurring in August 2010; and (b) The Distribution Date following the Distribution Date on which the aggregate Class Principal Balance of the Class A Certificates is reduced to 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 Certificates on the applicable Distribution Date) is greater than or equal to approximately [60.20]%. |
Delinquency Trigger Event: | A Delinquency Trigger Event is in effect on any Distribution Date if on that Distribution Date the Three Month Rolling Average equals or exceeds the applicable percentage set forth below of the prior period’s Senior Enhancement Percentage or Class M1 Enhancement Percentage as applicable. The Three Month Rolling Average will equal the rolling 3 month average percentage of the aggregate stated principal balance of the Mortgage Loans that are 60 or more days delinquent (including Mortgage Loans in foreclosure and REO Properties). For this purpose, any mortgage loan that is modified or repurchased by the servicer shall be treated as delinquent for a period of 12 months from the date of such modification/repurchase. |
Senior Certificates remain outstanding | [26.58]% of the Senior Enhancement Percentage | |
On and after Senior Certificates pay off | [31.25]% of the Class M1 Enhancement Percentage |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 8
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Cumulative Loss Trigger Event: | A Cumulative Loss Trigger Event is in effect on any Distribution Date if the aggregate amount of Realized Losses on the Mortgage Loans incurred since the Cut-off Date through the last day of the related Due 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 | [1.90]% for the first month, plus an additional 1/12th of [2.40]% for each month thereafter | |
Months 37 - 48 | [4.30]% for the first month, plus an additional 1/12th of [2.60]% for each month thereafter | |
Months 49 - 60 | [6.90]% for the first month, plus an additional 1/12th of [2.10]% for each month thereafter | |
Months 61 - 72 | [9.00]% for the first month, plus an additional 1/12th of [0.75]% for each month thereafter | |
Months 73 and thereafter | [9.75]% |
Step-up Coupons: | For all LIBOR Certificates the coupon will increase after the earliest Optional Purchase Date, should the call not be exercised. The applicable fixed margins will increase to 2.0 times their respective initial margins on the Class A Certificates and to 1.5 times their respective initial margins on the Subordinate Certificates after the earliest Optional Purchase Date. |
Class 1-A Pass-Through Rate: | The Class 1-A Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 1 Net WAC Cap and (iii) the Net WAC Cap. |
Class 2-A Pass-Through Rate: | The Class 2-A1, 2-A2, 2-A3 and 2-A4 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 2 Net WAC Cap and (iii) the Net WAC Cap. |
Class 1-M1 Pass-Through Rate: | The Class 1-M1 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 1 Net WAC Cap and (iii) the Net WAC Cap. |
Class 2-M1 Pass-Through Rate: | The Class 2-M1 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 2 Net WAC Cap and (iii) the Net WAC Cap. |
Class 1-M2 Pass-Through Rate: | The Class 1-M2 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 1 Net WAC Cap and (iii) the Net WAC Cap. |
Class 2-M2 Pass-Through Rate: | The Class 2-M2 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 2 Net WAC Cap and (iii) the Net WAC Cap. |
Class 1-M3 Pass-Through Rate: | The Class 1-M3 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 1 Net WAC Cap and (iii) the Net WAC Cap. |
Class 2-M3 Pass-Through Rate: | The Class 2-M3 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 2 Net WAC Cap and (iii) the Net WAC Cap. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
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Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Class 1-M4 Pass-Through Rate: | The Class 1-M4 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 1 Net WAC Cap and (iii) the Net WAC Cap. |
Class 2-M4 Pass-Through Rate: | The Class 2-M4 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 2 Net WAC Cap and (iii) the Net WAC Cap. |
Class 1-M5 Pass-Through Rate: | The Class 1-M5 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 1 Net WAC Cap and (iii) the Net WAC Cap. |
Class 2-M5 Pass-Through Rate: | The Class 2-M5 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 2 Net WAC Cap and (iii) the Net WAC Cap. |
Class 1-M6 Pass-Through Rate: | The Class 1-M6 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 1 Net WAC Cap and (iii) the Net WAC Cap. |
Class 2-M6 Pass-Through Rate: | The Class 2-M6 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date), (ii) the Group 2 Net WAC Cap and (iii) the Net WAC Cap. |
Class B1 Pass-Through Rate: | The Class B1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date) and (ii) the Net WAC Cap. |
Class B2 Pass-Through Rate: | The Class B2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date) and (ii) the Net WAC Cap. |
Class B3 Pass-Through Rate: | The Class B3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the earliest Optional Purchase Date) and (ii) the Net WAC Cap. |
Net WAC Cap: | For any Distribution Date, the weighted average of the interest rates for each Mortgage Loan (in each case, less the applicable expense fee rate) then in effect at the beginning of the related Due Period less the Swap Payment Rate, adjusted, in each case, to accrue on the basis of a 360-day year and the actual number of days in the related Interest Accrual Period. |
Group 1 Net WAC Cap: | For any Distribution Date, the weighted average of the interest rates for each Group 1 Mortgage Loan (in each case, less the applicable expense fee rate) then in effect at the beginning of the related Due Period less the Swap Payment Rate, adjusted, in each case, to accrue on the basis of a 360-day year and the actual number of days in the related Interest Accrual Period. |
Group 2 Net WAC Cap: | For any Distribution Date, the weighted average of the interest rates for each Group 2 Mortgage Loan (in each case, less the applicable expense fee rate) then in effect at the beginning of the related Due Period less the Swap Payment Rate, adjusted, in each case, to accrue on the basis of a 360-day year and the actual number of days in the related Interest Accrual Period. |
Swap Payment Rate: | For any Distribution Date, a fraction, the numerator of which is any Net Swap Payment or Swap Termination Payment owed to the Swap Counterparty (other than any Defaulted Swap Termination Payment) for such Distribution Date and the denominator of which is the stated principal balance of the Mortgage Loans at the beginning of the related due period, multiplied by 12. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
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Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Replacement Swap Counterparty Payment: | Any payments received by the Issuing Entity with respect to the interest rate swap agreement as a result of entering into a replacement interest rate swap agreement following an additional termination event resulting from a ratings downgrade of the Swap Counterparty in accordance with the terms of the interest rate swap agreement. | |
Swap Termination Payment: | A termination payment required to be made by either the Supplemental Interest Trust or the Swap Counterparty pursuant to the interest rate swap agreement as a result of termination of the interest rate swap agreement. | |
Class 1-A, 1-M1, 1-M2, 1-M3, 1-M4, 1-M5, and 1-M6 Basis Risk Carry Forward Amount: | As to any Distribution Date, the Basis Risk Carry Forward Amount for each of the Class 1-A, Class 1-M1, Class 1-M2, Class 1-M3, Class 1-M4, Class 1-M5, and Class 1-M6 Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due to such class at the class’ applicable Pass-Through Rate (without regard to the Net WAC Cap or the Group 1 Net WAC Cap) over interest due to such certificates at a rate equal to the lesser of the Group 1 Net WAC Cap or the Net WAC Cap; (ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the class’ applicable Pass-Through Rate (without regard to the Net WAC Cap or the Group 1 Net WAC Cap). | |
Class 2-A1, 2-A2, 2-A3, 2-A4, 2-M1, 2-M2, 2-M3, 2-M4, 2-M5 and 2-M6 Basis Risk Carry Forward Amounts: | As to any Distribution Date, the Basis Risk Carry Forward Amount for each of the Class 2-A1, Class 2-A2, Class 2-A3, Class 2-A4, Class 2-M1, Class 2-M2, Class 2-M3, Class 2-M4, Class 2-M5, and Class 2-M6 Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due to such class at the class’ applicable Pass-Through Rate (without regard to the Net WAC Cap or the Group 2 Net WAC Cap) over interest due to such certificates at a rate equal to the lesser of the Group 2 Net WAC Cap or the Net WAC Cap; (ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the class’ applicable Pass-Through Rate (without regard to the Net WAC Cap or the Group 2 Net WAC Cap). | |
Class B1, B2 and B3 Basis Risk Carry Forward Amounts: | As to any Distribution Date, the Basis Risk Carry Forward Amount for each of the Class B1, Class B2 and Class B3 Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due to such class at such class’ applicable Pass-Through Rate (without regard to the Net WAC Cap) over interest due to such class at a rate equal to the Net WAC Cap; (ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the class’ applicable Pass-Through Rate (without regard to the Net WAC Cap). | |
Interest Carry Forward Amount: | “Interest Carry Forward Amount” with respect to any class of certificates and any Distribution Date will be equal to the amount, if any, by which the Interest Distribution Amount for that class of certificates for the immediately preceding Distribution Date exceeded the actual amount distributed on such class in respect of interest on the immediately preceding Distribution Date, together with any Interest Carry Forward Amount with respect to such class remaining unpaid from the previous Distribution Date, plus interest accrued thereon at the related Pass-Through Rate for the most recently ended Interest Accrual Period. |
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Interest Distributions on LIBOR Certificates: | On each Distribution Date and after payments of expense fees, if any, and other expenses, including any Net Swap Payments and any swap termination payment owed to the Swap Counterparty, including, without limitation, any Senior Defaulted Swap Termination Payment, but not including any other swap termination payment due to a default on the part of the Swap Counterparty, interest distributions from the Interest Remittance Amount will be allocated as follows: (i) The portion of the Interest Remittance Amount attributable to the Group 1 Mortgage Loans will be allocated according to the related Interest Distribution Amount and any Interest Carry Forward Amount from prior Distribution Dates, first, to the Class 1-A Certificates and second, pro rata, based on their respective entitlements to such amounts, to the Class 2-A Certificates; (ii) The portion of the Interest Remittance Amount attributable to the Group 2 Mortgage Loans will be allocated according to the related Interest Distribution Amount and Interest Carry Forward Amount from prior Distribution Dates, first, pro rata, based on their respective entitlements to such amounts, to the Class 2-A Certificates and second, to the Class 1-A Certificates; (iii) To the Class M1 Certificates, pro rata, their Interest Distribution Amounts; (iv) To the Class M2 Certificates, pro rata, their Interest Distribution Amounts; (v) To the Class M3 Certificates, pro rata, their Interest Distribution Amounts; (vi) To the Class M4 Certificates, pro rata, their Interest Distribution Amounts; (vii) To the Class M5 Certificates, pro rata, their Interest Distribution Amounts; (viii) To the Class M6 Certificates, pro rata, their Interest Distribution Amounts; (ix) To the Class B1 Certificates, its Interest Distribution Amount; (x) To the Class B2 Certificates, its Interest Distribution Amount; (xi) To the Class B3 Certificates, its Interest Distribution Amount; and (xii) Any remaining amounts will be distributed pursuant to the Allocation of Net Monthly Excess Cashflow. | |
Principal Distributions on LIBOR 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 cover any Net Swap Payments and any swap termination payments due to the Swap Counterparty, not previously paid with Interest Remittance Amounts, including, without limitation, any Senior Defaulted Swap Termination Payment, but not including any other swap termination payment due to a default on the part of the Swap Counterparty; (ii) to the Class A Certificates, allocated among the Class A Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (iii) to the Class M1 Certificates, allocated among the Class M1 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (iv) to the Class M2 Certificates, allocated among the Class M2 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (v) to the Class M3 Certificates, allocated among the Class M3 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (vi) to the Class M4 Certificates, allocated among the Class M4 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (vii) to the Class M5 Certificates, allocated among the Class M5 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (viii) to the Class M6 Certificates, allocated among the Class M6 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (ix) to the Class B1 Certificates, until the Class Principal Balance has been reduced to zero; (x) to the Class B2 Certificates, until the Class Principal Balance has been reduced to zero; (xi) to the Class B3 Certificates, until the Class Principal Balance has been reduced to zero; and (xii) any remaining amounts will be distributed pursuant to the Allocation of Net Monthly Excess Cashflow. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
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Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Principal Distributions on LIBOR Certificates (continued): | On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to cover any Net Swap Payments and any swap termination payments due to the Swap Counterparty, not previously paid with Interest Remittance Amounts, including, without limitation, any Senior Defaulted Swap Termination Payment, but not including any other swap termination payment due to a default on the part of the Swap Counterparty; (ii) to the Class A Certificates, in an amount up to the Class A Principal Distribution Amount, allocated among the Class A Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (iii) to the Class M1 Certificates, in an amount up to the Class M1 Principal Distribution Amount, allocated among the Class M1 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (iv) to the Class M2 Certificates, in an amount up to the Class M2 Principal Distribution Amount, allocated among the Class M2 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (v) to the Class M3 Certificates, in an amount up to the Class M3 Principal Distribution Amount, allocated among the Class M3 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (vi) to the Class M4 Certificates, in an amount up to the Class M4 Principal Distribution Amount, allocated among the Class M4 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (vii) to the Class M5 Certificates, in an amount up to the Class M5 Principal Distribution Amount, allocated among the Class M5 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (viii) to the Class M6 Certificates, in an amount up to the Class M6 Principal Distribution Amount, allocated among the Class M6 Certificates as described below, until the Class Principal Balances thereof have been reduced to zero; (ix) to the Class B1 Certificates, in an amount up to the Class B1 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero; (x) to the Class B2 Certificates, in an amount up to the Class B2 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero; (xi) to the Class B3 Certificates, in an amount up to the Class B3 Principal Distribution Amount, until the Class Principal Balance thereof has been reduced to zero; and (xii) any remaining amounts will be distributed pursuant to the Allocation of Net Monthly Excess Cashflow. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
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Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Class A Principal Allocation: | Except as described below, the Class 2-A Certificates will receive principal sequentially: the Class 2-A2 Certificates will not receive principal distributions until the Class Principal Balance of the Class 2-A1 Certificates has been reduced to zero, the Class 2-A3 Certificates will not receive principal distributions until the Class Principal Balance of the Class 2-A2 Certificates has been reduced to zero and the Class 2-A4 Certificates will not receive principal distributions until the Class Principal Balance of the Class 2-A3 Certificates has been reduced to zero. All principal distributions to the holders of the Class A Certificates on any Distribution Date will be allocated concurrently between the Class 1-A Certificates, on the one hand, and the Class 2-A Certificates, on the other hand, based on the Group 1 Principal Allocation Percentage for the Class 1-A Certificates and the Group 2 Principal Allocation Percentage for the Class 2-A Certificates. However, if the aggregate Class Principal Balances of the Class A Certificates in either group are reduced to zero, then the remaining amount of principal distributions distributable to the Class A Certificates on that Distribution Date, and the amount of those principal distributions distributable on all subsequent Distribution Dates, will be distributed to the holders of the other group of Class A Certificates remaining outstanding, in accordance with the principal distribution allocations described herein, until their Class Principal Balances have been reduced to zero. Any payments of principal to the Class 1-A Certificates will be made first from payments relating to the Group 1 Mortgage Loans, and any payments of principal to the Class 2-A Certificates will be made first from payments relating to the Group 2 Mortgage Loans. Notwithstanding the above, in the event that all subordinate classes, including the Class OC certificates, have been reduced to zero, principal distributions to the Class 2-A Certificates will be distributed pro rata, based upon their respective Class Principal Balances, to the Class 2-A1, Class 2-A2, Class 2-A3 and Class 2-A4 Certificates. | |
Class M Principal Allocation: | Amounts distributed to the Class M1, Class M2, Class M3, Class M4, Class M5 and Class M6 Certificates will be paid as follows: (i) The Group 1 Principal Allocation Percentage of amounts distributable to the Class M1, Class M2, Class M3, Class M4, Class M5 and Class M6 Certificates will be paid to the Class 1-M1, Class 1-M2, Class 1-M3, Class 1-M4, Class 1-M5, and Class 1-M6 Certificates respectively. (ii) The Group 2 Principal Allocation Percentage of amounts distributable to the Class M1, Class M2, Class M3, Class M4, Class M5 and Class M6 Certificates will be paid to the Class 2-M1, Class 2-M2, Class 2-M3, Class 2-M4, Class 2-M5, and Class 2-M6 Certificates respectively. Notwithstanding the foregoing, in the event that the Class Principal Balance of any class of the Class M1, Class M2, Class M3, Class M4, Class M5 and Class M6 Certificates is reduced to zero while the other class of Class M Certificates of equivalent priority remains outstanding (e.g., the Class 1-M4 and Class 2-M4 Certificates are of equivalent priority), the amounts referred to in (i) and (ii) immediately above will be distributed to whichever class of Class M Certificates of equivalent priority remains outstanding until such class' Class Principal Balance has been reduced to zero. | |
Group 1 Principal Allocation Percentage: | For any Distribution Date, the percentage equivalent of a fraction, the numerator of which is (x) the portion of the Principal Remittance Amount for such Distribution Date that is attributable to principal received or advanced on the Group 1 Mortgage Loans and the denominator of which is (y) the Principal Remittance Amount for such Distribution Date. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
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Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Group 2 Principal Allocation Percentage: | For any Distribution Date, the percentage equivalent of a fraction, the numerator of which is (x) the portion of the Principal Remittance Amount for such Distribution Date that is attributable to principal received or advanced on the Group 2 Mortgage Loans and the denominator of which is (y) the Principal Remittance Amount for such Distribution Date. | |
Allocation of Net Monthly Excess Cashflow: | For any Distribution Date, any Net Monthly Excess Cashflow shall be distributed as follows: (i) to the Class M1 Certificates, pro rata, the related Interest Carry Forward Amount; (ii) to the Class M1 Certificates, pro rata, the allocated Unpaid Realized Loss Amount; (iii) to the Class M2 Certificates, pro rata, the related Interest Carry Forward Amount; (iv) to the Class M2 Certificates, pro rata, the allocated Unpaid Realized Loss Amount; (v) to the Class M3 Certificates, pro rata, the related Interest Carry Forward Amount; (vi) to the Class M3 Certificates, pro rata, the allocated Unpaid Realized Loss Amount; (vii) to the Class M4 Certificates, pro rata, the related Interest Carry Forward Amount; (viii) to the Class M4 Certificates, pro rata, the allocated Unpaid Realized Loss Amount; (ix) to the Class M5 Certificates, pro rata, the related Interest Carry Forward Amount; (x) to the Class M5 Certificates, pro rata, the allocated Unpaid Realized Loss Amount; (xi) to the Class M6 Certificates, pro rata, the related Interest Carry Forward Amount; (xii) to the Class M6 Certificates, pro rata, the allocated Unpaid Realized Loss Amount; (xiii) to the Class B1 Certificates, the related Interest Carry Forward Amount; (xiv) to the Class B1 Certificates, the allocated Unpaid Realized Loss Amount; (xv) to the Class B2 Certificates, the related Interest Carry Forward Amount; (xvi) to the Class B2 Certificates, the allocated Unpaid Realized Loss Amount; (xvii) to the Class B3 Certificates, the related Interest Carry Forward Amount; (xviii) to the Class B3 Certificates, the allocated Unpaid Realized Loss Amount; (xix) concurrently, to the Class 1-A Certificates, any Basis Risk Carry Forward Amount for the Class 1-A Certificates and to the Class 2-A Certificates, any Basis Risk Carry Forward Amount for the Class 2-A Certificates; (xx) sequentially, to the Class M1, Class M2, Class M3, Class M4, Class M5 and Class M6 Certificates, in each case pro rata between Certificates of equivalent priority and then sequentially to the Class B1, Class B2 and Class B3 Certificates, in such order, any Basis Risk Carry Forward Amount for such classes; (xxi) sequentially, first (i) concurrently, to the Class A Certificates, first, pro rata, based on their respective Class Principal Balances to the extent needed to pay any Unpaid Interest Shortfall Amount for each such class and then, pro rata, based on any Unpaid Interest Shortfall Amount for each such Class, in an amount up to the amount of any Unpaid Interest Shortfall Amount remaining unpaid for such classes of certificates and then (ii) sequentially, to the Class M1, Class M2, Class M3, Class M4, Class M5 and Class M6 Certificates, in each case pro rata between Certificates of equivalent priority and then sequentially to the Class B1, Class B2 and Class B3 Certificates, in that order, in an amount up to the amount of any Unpaid Interest Shortfall Amount for such classes of certificates; and (xxii) all remaining amounts to the holders of the Class OC Certificates. | |
Unpaid Realized Loss Amount: | For any Class of Subordinate Certificates, the portion of any Realized Losses on the Mortgage Loans previously allocated to that class remaining unpaid from prior Distribution Dates. | |
Swap Account: | On or prior to each Distribution Date during which the interest rate swap agreement is in effect, the Swap Termination Payments, Net Swap Payments owed to the Swap Counterparty, and Net Swap Receipts for that Distribution Date will be deposited into a trust account (“the Swap Account”) established by the Trustee as part of the trust fund. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
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Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Swap Payment Priority: | All payments due under the swap agreement and any Swap Termination Payment pursuant to the swap agreement will be deposited into the Swap Account, and allocated in the following order of priority, after giving effect to the Allocation of Net Monthly Excess Cashflow above: (i) to pay any Net Swap Payment owed to the Swap Counterparty pursuant to the swap agreement not previously paid; (ii) to pay any swap termination payment to the Swap Counterparty, including, without limitation, any Senior Defaulted Swap Termination Payment but not including any other swap termination payment due to a default on the part of the Swap Counterparty not previously paid; (iii) concurrently, to the Senior Certificates, the Interest Distribution Amount and Interest Carry Forward Amount, on a pro rata basis, to the extent not yet paid; (iv) sequentially, to the Class M1, Class M2, Class M3, Class M4, Class M5 and Class M6 Certificates, in each case pro rata between Certificates of equivalent priority and then sequentially to the Class B1, Class B2 and Class B3 Certificates, the Interest Distribution Amount and Interest Carry Forward Amount, sequentially and in that order, to the extent not yet paid; (v) to the LIBOR Certificates in accordance with the principal distribution rules in effect for such Distribution Date, in an amount equal to the amount necessary to meet the required overcollateralization for that Distribution Date; (vi) concurrently, to the Senior Certificates, any Basis Risk Carry Forward Amount for such Class up to the respective Swap Payment Allocation, to the extent not yet paid; (vii) sequentially, to the Class M1, Class M2, Class M3, Class M4, Class M5 and Class M6 Certificates, in each case pro rata between Certificates of equivalent priority and then sequentially to the Class B1, Class B2 and Class B3 Certificates, any Basis Risk Carry Forward Amount for such Class up to the respective Swap Payment Allocation, to the extent not yet paid; (viii) concurrently to the Senior Certificates, Class M Certificates and Class B Certificates, any unpaid Basis Risk Carry Forward Amount, pro rata based on need; (ix) sequentially to the Class M1, Class M2, Class M3, Class M4, Class M5 and Class M6 Certificates, in each case pro rata between Certificates of equivalent priority and then sequentially to the Class B1, Class B2 and Class B3 Certificates the allocated Unpaid Realized Loss Amount, to the extent not yet paid; (x) to pay any swap termination payment to the Swap Counterparty, to the extent the termination is due to a default on the part of the Swap Counterparty; and (xi) all remaining amounts to the holder of the Class OC Certificates. In the event that the trust enters into a replacement interest rate swap agreement and the trust is entitled to receive a Replacement Swap Counterparty Payment, the trustee will be required to direct the replacement swap counterparty (or its guarantor) to make such Replacement Swap Counterparty Payment to the Swap Account. Notwithstanding the foregoing, any Replacement Swap Counterparty Payment will be made from the Swap Account to the Swap Counterparty (or its guarantor) immediately upon receipt of such payment, regardless of whether the date of receipt is a Distribution Date. If any Replacement Swap Counterparty Payment is made to an account other than the Swap Account, then any Replacement Swap Counterparty Payment will be required to be paid to the Swap Counterparty (or its guarantor) immediately upon receipt of such Replacement Swap Counterparty Payment by the trust, regardless of whether the date of receipt is a Distribution Date. The Swap Counterparty (or its guarantor) will have first priority to any Replacement Swap Counterparty Payment over the payment by the trust to certificateholders, the servicer, any responsible party, the trustee, the custodian or any other person. If any such amount received from a replacement swap counterparty and paid to the Swap Counterparty is less than the full amount of a Swap Termination Payment owed to the Swap Counterparty, the remaining amount of the Swap Termination Payment will remain payable to the Swap Counterparty in accordance with the priority of payment described above. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
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Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Swap Payment Priority (continued): | Notwithstanding the foregoing, in the event that the Trust receives a Swap Termination Payment, and a successor Swap Counterparty cannot be obtained, then the Trustee will be required to deposit the Swap Termination Payment into the reserve account that is a sub-account of the Swap Account. On each subsequent Distribution Date (so long as funds are available in the reserve account), the Trustee will be required to withdraw from the reserve account and deposit into the Swap Account an amount equal to the amount of any Net Swap Receipt due the trust (calculated in accordance with the terms of the original interest rate swap agreement) and treat such amount as a Net Swap Receipt for purposes of determining the distributions from the Swap Account. The remaining amount in the reserve account will remain in that account and not treated as a Swap Termination Payment for purposes of determining the distributions from the Swap Account until the final Distribution Date. | |
Swap Payment Allocation: | For a given class of certificates outstanding, a pro rata share of the Net Swap Payment owed by the Swap Counterparty (if any), based on the outstanding Class Principal Balance of that class prior to the distributions of principal for that Distribution Date. Distributions will be determined in part based on the performance of individual loan groups and for such purpose any Net Swap Payments or Swap Termination Payments owed to the Swap Counterparty will be allocated between the loan groups based on the respective aggregate stated principal balance of the Mortgage Loans in each loan group. | |
Senior Defaulted Swap Termination Payment: | As of any date, the lesser of (i) any payments received by the trust as a result of entering into a replacement interest rate swap agreement following an additional termination event resulting from a downgrade of the Swap Counterparty in accordance with the swap agreement and (ii) any swap termination payment owed to the Swap Counterparty. | |
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, if any, of (i) the Principal Remittance Amount over (ii) the Excess Subordinate Amount, if any. | |
Extra Principal Distribution Amount: | For any Distribution Date, 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 fees and expenses), over (y) the sum of interest payable on the Certificates and any Net Swap Payment and any Swap Termination Payment owed to the Swap Counterparty on such Distribution Date and (ii) the Overcollateralization Increase Amount for such Distribution Date. | |
Net Monthly Excess Cashflow: | For any Distribution Date is the amount of funds available for distribution on such Distribution Date remaining after making the distributions under “Interest Distributions on LIBOR Certificates” and “Principal Distributions on LIBOR Certificates” above. | |
Excess Subordinate Amount: | For any Distribution Date, means the excess, if any of (i) the amount of overcollateralization on that Distribution Date over (ii) the required overcollateralization for such Distribution Date. | |
Overcollateralization Increase Amount: | For any Distribution Date will be the amount, if any, by which the required overcollateralization exceeds the overcollateralized amount for such Distribution Date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such Distribution Date has been distributed). | |
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 [39.80]% and (ii) the aggregate stated 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 the Overcollateralization Floor. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
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Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Class M1 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 aggregate Class Principal Balance of the Class M1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately [48.80]% and (ii) the aggregate stated 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 the Overcollateralization Floor. | |
Class M2 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 aggregate Class Principal Balance of the Class M1 Certificates (after taking into account the payment of the Class M1 Principal Distribution Amount on such Distribution Date) and (iii) the aggregate Class Principal Balance of the Class M2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately [56.90]% and (ii) the aggregate stated 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 the Overcollateralization Floor. | |
Class M3 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 aggregate Class Principal Balance of the Class M1 Certificates (after taking into account the payment of the Class M1 Principal Distribution Amount on such Distribution Date), (iii) the aggregate Class Principal Balance of the Class M2 Certificates (after taking into account the payment of the Class M2 Principal Distribution Amount on such Distribution Date) and (iv) the aggregate Class Principal Balance of the Class M3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately [62.10]% and (ii) the aggregate stated 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 the Overcollateralization Floor. | |
Class M4 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 aggregate Class Principal Balance of the Class M1 Certificates (after taking into account the payment of the Class M1 Principal Distribution Amount on such Distribution Date), (iii) the aggregate Class Principal Balance of the Class M2 Certificates (after taking into account the payment of the Class M2 Principal Distribution Amount on such Distribution Date), (iv) the aggregate Class Principal Balance of the Class M3 Certificates (after taking into account the payment of the Class M3 Principal Distribution Amount on such Distribution Date) and (v) the aggregate Class Principal Balance of the Class M4 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately [66.50]% and (ii) the aggregate stated 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 the Overcollateralization Floor. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 18
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Class M5 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 aggregate Class Principal Balance of the Class M1 Certificates (after taking into account the payment of the Class M1 Principal Distribution Amount on such Distribution Date), (iii) the aggregate Class Principal Balance of the Class M2 Certificates (after taking into account the payment of the Class M2 Principal Distribution Amount on such Distribution Date), (iv) the aggregate Class Principal Balance of the Class M3 Certificates (after taking into account the payment of the Class M3 Principal Distribution Amount on such Distribution Date), (v) the aggregate Class Principal Balance of the Class M4 Certificates (after taking into account the payment of the Class M4 Principal Distribution Amount on such Distribution Date) and (vi) the aggregate Class Principal Balance of the Class M5 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately [70.90]% and (ii) the aggregate stated 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 the Overcollateralization Floor. | |
Class M6 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 aggregate Class Principal Balance of the Class M1 Certificates (after taking into account the payment of the Class M1 Principal Distribution Amount on such Distribution Date), (iii) the aggregate Class Principal Balance of the Class M2 Certificates (after taking into account the payment of the Class M2 Principal Distribution Amount on such Distribution Date), (iv) the aggregate Class Principal Balance of the Class M3 Certificates (after taking into account the payment of the Class M3 Principal Distribution Amount on such Distribution Date), (v) the aggregate Class Principal Balance of the Class M4 Certificates (after taking into account the payment of the Class M4 Principal Distribution Amount on such Distribution Date), (vi) the aggregate Class Principal Balance of the Class M5 Certificates (after taking into account the payment of the Class M5 Principal Distribution Amount on such Distribution Date) and (vii) the aggregate Class Principal Balance of the Class M6 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately [75.00]% and (ii) the aggregate stated 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 the Overcollateralization Floor. | |
Class B1 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 aggregate Class Principal Balance of the Class M1 Certificates (after taking into account the payment of the Class M1 Principal Distribution Amount on such Distribution Date), (iii) the aggregate Class Principal Balance of the Class M2 Certificates (after taking into account the payment of the Class M2 Principal Distribution Amount on such Distribution Date), (iv) the aggregate Class Principal Balance of the Class M3 Certificates (after taking into account the payment of the Class M3 Principal Distribution Amount on such Distribution Date), (v) the aggregate Class Principal Balance of the Class M4 Certificates (after taking into account the payment of the Class M4 Principal Distribution Amount on such Distribution Date), (vi) the aggregate Class Principal Balance of the Class M5 Certificates (after taking into account the payment of the Class M5 Principal Distribution Amount on such Distribution Date), (vii) the aggregate Class Principal Balance of the Class M6 Certificates (after taking into account the payment of the Class M6 Principal Distribution Amount on such Distribution Date) and (viii) the Class Principal Balance of the Class B1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately [78.90]% and (ii) the aggregate stated 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 the Overcollateralization Floor. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 19
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Class B2 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 aggregate Class Principal Balance of the Class M1 Certificates (after taking into account the payment of the Class M1 Principal Distribution Amount on such Distribution Date), (iii) the aggregate Class Principal Balance of the Class M2 Certificates (after taking into account the payment of the Class M2 Principal Distribution Amount on such Distribution Date), (iv) the aggregate Class Principal Balance of the Class M3 Certificates (after taking into account the payment of the Class M3 Principal Distribution Amount on such Distribution Date), (v) the aggregate Class Principal Balance of the Class M4 Certificates (after taking into account the payment of the Class M4 Principal Distribution Amount on such Distribution Date), (vi) the aggregate Class Principal Balance of the Class M5 Certificates (after taking into account the payment of the Class M5 Principal Distribution Amount on such Distribution Date), (vii) the aggregate Class Principal Balance of the Class M6 Certificates (after taking into account the payment of the Class M6 Principal Distribution Amount on such Distribution Date), (viii) the Class Principal Balance of the Class B1 Certificates (after taking into account the payment of the Class B1 Principal Distribution Amount on such Distribution Date) and (ix) the Class Principal Balance of the Class B2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately [82.30]% and (ii) the aggregate stated 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 the Overcollateralization Floor. | |
Class B3 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 aggregate Class Principal Balance of the Class M1 Certificates (after taking into account the payment of the Class M1 Principal Distribution Amount on such Distribution Date), (iii) the aggregate Class Principal Balance of the Class M2 Certificates (after taking into account the payment of the Class M2 Principal Distribution Amount on such Distribution Date), (iv) the aggregate Class Principal Balance of the Class M3 Certificates (after taking into account the payment of the Class M3 Principal Distribution Amount on such Distribution Date), (v) the aggregate Class Principal Balance of the Class M4 Certificates (after taking into account the payment of the Class M4 Principal Distribution Amount on such Distribution Date), (vi) the aggregate Class Principal Balance of the Class M5 Certificates (after taking into account the payment of the Class M5 Principal Distribution Amount on such Distribution Date), (vii) the aggregate Class Principal Balance of the Class M6 Certificates (after taking into account the payment of the Class M6 Principal Distribution Amount on such Distribution Date), (viii) the Class Principal Balance of the Class B1 Certificates (after taking into account the payment of the Class B1 Principal Distribution Amount on such Distribution Date), (ix) the Class Principal Balance of the Class B2 Certificates (after taking into account the payment of the Class B2 Principal Distribution Amount on such Distribution Date) and (x) the Class Principal Balance of the Class B3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately [85.70]% and (ii) the aggregate stated 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 the Overcollateralization Floor. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 20
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Allocation of Losses: | If on any Distribution Date, after giving effect to all distributions of principal as described above and allocations of payments from the Swap Account to pay principal as described under “—Swap Payment Priority”, the aggregate Class Principal Balances of the LIBOR Certificates exceeds the aggregate stated principal balance of the Mortgage Loans for that Distribution Date, the Class Principal Balance of the applicable Class M or Class B Certificates will be reduced, in inverse order of seniority (beginning with the Class B3 Certificates) by an amount equal to that excess, until that Class Principal Balance is reduced to zero. In the case of Class M Certificates of equivalent priority, losses will be allocated pro rata based on their outstanding Class Principal Balances. The Class Principal Balances of the Senior Certificates will not be reduced by this excess. This reduction of a Class Principal Balance for Realized Losses is referred to as an “Applied Realized Loss Amount.” In the event Applied Realized Loss Amounts are allocated to any class of Subordinate Certificates, its Class Principal Balance will be reduced by the amount so allocated, and no funds will be distributable with respect to interest or Basis Risk Carry Forward Amounts on the amounts written down on that Distribution Date or any future Distribution Dates, even if funds are otherwise available for distribution. Notwithstanding the foregoing, if after an Applied Realized Loss Amount is allocated to reduce the Class Principal Balance of any class of certificates, amounts are received with respect to any mortgage loan or related mortgaged property that had previously been liquidated or otherwise disposed of (any such amount being referred to as a “Subsequent Recovery”), the Class Principal Balance of each Class of Subordinate Certificates that has been previously reduced by Applied Realized Loss Amounts will be increased, in order of seniority, by the amount of the Subsequent Recoveries (but not in excess of the Unpaid Realized Loss Amount for the applicable class of Subordinate Certificates for the related Distribution Date). Any Subsequent Recovery that is received during a Prepayment Period will be treated as Liquidation Proceeds and included as part of the Principal Remittance Amount for the related Distribution Date. | |
ERISA Eligibility: | The Offered Certificates are expected to be ERISA eligible provided that, until the swap agreement is terminated, the investor meets the requirements of certain investor-based or statutory exemptions. | |
SMMEA Eligibility: | The Certificates are not expected to be SMMEA eligible. | |
Risk Factors: | PLEASE SEE “RISK FACTORS” IN THE PROSPECTUS INCLUDED IN THE REGISTRATION STATEMENT AND IN THE FREE WRITING PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES. | |
Federal Tax Status: | The Offered Securities will represent, in part, regular interests in a REMIC for federal income tax purposes. | |
Static Pool Information: | Static pool information with respect to the Sponsor’s prior securitized pools is available online at www.saxonmortgage.com/staticpool. Access to this web address is unrestricted and free of charge. Information available at this web address is deemed to be part of this prospectus supplement, except to the extent provided under "Static Pool Information" in the accompanying prospectus. |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
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Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Registration Statement and Prospectus: | This term sheet does not contain all information that is required to be included in a registration statement, or in a base prospectus and prospectus supplement. The Depositor has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Issuing Entity and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the Depositor or any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling toll-free 1-866-718-1649. The registration statement referred to above (including the prospectus) is incorporated in this term sheet by reference and may be accessed by clicking on the following hyperlink: http://www.sec.gov/Archives/edgar/data/1014299/000114420406012322/v038904_s3-a.htm |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 22
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Weighted Average Life Sensitivity
To CALL
PPC (%) | 50 | 60 | 75 | 100 | 125 | 150 | 175 | |
1-A | WAL (yrs) | 4.59 | 3.86 | 3.10 | 2.23 | 1.45 | 1.12 | 0.94 |
First Payment Date | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 1/25/2010 | 8/25/2009 | |
Window | 1 - 184 | 1 - 155 | 1 - 124 | 1 - 91 | 1 - 71 | 1 - 30 | 1 - 25 | |
2-A1 | WAL (yrs) | 1.65 | 1.37 | 1.09 | 0.80 | 0.63 | 0.51 | 0.42 |
First Payment Date | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | |
Expected Final Maturity | 2/25/2011 | 6/25/2010 | 11/25/2009 | 4/25/2009 | 11/25/2008 | 8/25/2008 | 6/25/2008 | |
Window | 1 - 43 | 1 - 35 | 1 - 28 | 1 - 21 | 1 - 16 | 1 - 13 | 1 - 11 | |
2-A2 | WAL (yrs) | 4.20 | 3.47 | 2.74 | 2.00 | 1.56 | 1.26 | 1.04 |
First Payment Date | 2/25/2011 | 6/25/2010 | 11/25/2009 | 4/25/2009 | 11/25/2008 | 8/25/2008 | 6/25/2008 | |
Expected Final Maturity | 7/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2009 | 5/25/2009 | 1/25/2009 | 10/25/2008 | |
Window | 43 - 60 | 35 - 49 | 28 - 39 | 21 - 28 | 16 - 22 | 13 - 18 | 11 - 15 | |
2-A3 | WAL (yrs) | 8.38 | 6.92 | 5.42 | 3.50 | 2.20 | 1.77 | 1.46 |
First Payment Date | 7/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2009 | 5/25/2009 | 1/25/2009 | 10/25/2008 | |
Expected Final Maturity | 3/25/2021 | 11/25/2018 | 5/25/2016 | 11/25/2013 | 3/25/2010 | 9/25/2009 | 4/25/2009 | |
Window | 60 - 164 | 49 - 136 | 39 - 106 | 28 - 76 | 22 - 32 | 18 - 26 | 15 - 21 | |
2-A4 | WAL (yrs) | 15.07 | 12.64 | 10.04 | 7.29 | 2.80 | 2.25 | 1.85 |
First Payment Date | 3/25/2021 | 11/25/2018 | 5/25/2016 | 11/25/2013 | 3/25/2010 | 9/25/2009 | 4/25/2009 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 7/25/2010 | 12/25/2009 | 7/25/2009 | |
Window | 164 - 184 | 136 - 155 | 106 - 124 | 76 - 91 | 32 - 36 | 26 - 29 | 21 - 24 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 23
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Weighted Average Life Sensitivity
To CALL
PPC (%) | 50 | 60 | 75 | 100 | 125 | 150 | 175 | |
1-M1 | WAL (yrs) | 10.08 | 8.43 | 6.71 | 5.31 | 5.86 | 4.70 | 3.76 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 6/25/2011 | 1/25/2013 | 1/25/2010 | 8/25/2009 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 47 - 91 | 66 - 71 | 30 - 57 | 25 - 47 | |
2-M1 | WAL (yrs) | 10.16 | 8.51 | 6.79 | 5.40 | 5.86 | 4.70 | 3.77 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 6/25/2011 | 1/25/2013 | 1/25/2010 | 8/25/2009 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 47 - 91 | 66 - 71 | 30 - 57 | 25 - 47 | |
1-M2 | WAL (yrs) | 10.08 | 8.43 | 6.71 | 5.17 | 5.17 | 4.42 | 3.69 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 3/25/2011 | 2/25/2012 | 6/25/2011 | 11/25/2010 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 44 - 91 | 55 - 71 | 47 - 57 | 40 - 47 | |
2-M2 | WAL (yrs) | 10.16 | 8.51 | 6.79 | 5.26 | 5.22 | 4.45 | 3.71 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 3/25/2011 | 2/25/2012 | 6/25/2011 | 11/25/2010 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 44 - 91 | 55 - 71 | 47 - 57 | 40 - 47 | |
1-M3 | WAL (yrs) | 10.08 | 8.43 | 6.71 | 5.11 | 4.73 | 3.96 | 3.30 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 1/25/2011 | 9/25/2011 | 2/25/2011 | 7/25/2010 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 42 - 91 | 50 - 71 | 43 - 57 | 36 - 47 | |
2-M3 | WAL (yrs) | 10.16 | 8.51 | 6.79 | 5.20 | 4.81 | 4.03 | 3.36 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 1/25/2011 | 9/25/2011 | 2/25/2011 | 7/25/2010 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 42 - 91 | 50 - 71 | 43 - 57 | 36 - 47 | |
1-M4 | WAL (yrs) | 10.08 | 8.43 | 6.71 | 5.07 | 4.55 | 3.77 | 3.13 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 12/25/2010 | 6/25/2011 | 11/25/2010 | 5/25/2010 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 41 - 91 | 47 - 71 | 40 - 57 | 34 - 47 | |
2-M4 | WAL (yrs) | 10.16 | 8.51 | 6.79 | 5.16 | 4.63 | 3.85 | 3.21 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 12/25/2010 | 6/25/2011 | 11/25/2010 | 5/25/2010 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 41 - 91 | 47 - 71 | 40 - 57 | 34 - 47 | |
1-M5 | WAL (yrs) | 10.08 | 8.43 | 6.71 | 5.05 | 4.42 | 3.65 | 3.02 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2010 | 4/25/2011 | 9/25/2010 | 3/25/2010 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 40 - 91 | 45 - 71 | 38 - 57 | 32 - 47 | |
2-M5 | WAL (yrs) | 10.16 | 8.51 | 6.79 | 5.14 | 4.51 | 3.73 | 3.10 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2010 | 4/25/2011 | 9/25/2010 | 3/25/2010 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 40 - 91 | 45 - 71 | 38 - 57 | 32 - 47 | |
1-M6 | WAL (yrs) | 10.08 | 8.43 | 6.71 | 5.04 | 4.33 | 3.56 | 2.95 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2010 | 2/25/2011 | 8/25/2010 | 2/25/2010 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 40 - 91 | 43 - 71 | 37 - 57 | 31 - 47 | |
2-M6 | WAL (yrs) | 10.16 | 8.51 | 6.79 | 5.13 | 4.42 | 3.65 | 3.03 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2010 | 2/25/2011 | 8/25/2010 | 2/25/2010 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 40 - 91 | 43 - 71 | 37 - 57 | 31 - 47 | |
B1 | WAL (yrs) | 10.11 | 8.46 | 6.74 | 5.05 | 4.30 | 3.53 | 2.93 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 10/25/2010 | 1/25/2011 | 6/25/2010 | 12/25/2009 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 39 - 91 | 42 - 71 | 35 - 57 | 29 - 47 | |
B2 | WAL (yrs) | 10.11 | 8.46 | 6.74 | 5.05 | 4.25 | 3.48 | 2.88 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 9/25/2010 | 12/25/2010 | 5/25/2010 | 12/25/2009 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 38 - 91 | 41 - 71 | 34 - 57 | 29 - 47 | |
B3 | WAL (yrs) | 10.11 | 8.46 | 6.74 | 5.03 | 4.21 | 3.44 | 2.85 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 9/25/2010 | 11/25/2010 | 4/25/2010 | 11/25/2009 | |
Expected Final Maturity | 11/25/2022 | 6/25/2020 | 11/25/2017 | 2/25/2015 | 6/25/2013 | 4/25/2012 | 6/25/2011 | |
Window | 59 - 184 | 49 - 155 | 39 - 124 | 38 - 91 | 40 - 71 | 33 - 57 | 28 - 47 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 24
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Weighted Average Life Sensitivity
To MATURITY
PPC (%) | 50 | 60 | 75 | 100 | 125 | 150 | 175 | |
1-A | WAL (yrs) | 4.96 | 4.21 | 3.41 | 2.48 | 1.59 | 1.12 | 0.94 |
First Payment Date | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | |
Expected Final Maturity | 7/25/2036 | 1/25/2034 | 1/25/2030 | 8/25/2024 | 12/25/2020 | 1/25/2010 | 8/25/2009 | |
Window | 1 - 348 | 1 - 318 | 1 - 270 | 1 - 205 | 1 - 161 | 1 - 30 | 1 - 25 | |
2-A1 | WAL (yrs) | 1.65 | 1.37 | 1.09 | 0.80 | 0.63 | 0.51 | 0.42 |
First Payment Date | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | 8/25/2007 | |
Expected Final Maturity | 2/25/2011 | 6/25/2010 | 11/25/2009 | 4/25/2009 | 11/25/2008 | 8/25/2008 | 6/25/2008 | |
Window | 1 - 43 | 1 - 35 | 1 - 28 | 1 - 21 | 1 - 16 | 1 - 13 | 1 - 11 | |
2-A2 | WAL (yrs) | 4.20 | 3.47 | 2.74 | 2.00 | 1.56 | 1.26 | 1.04 |
First Payment Date | 2/25/2011 | 6/25/2010 | 11/25/2009 | 4/25/2009 | 11/25/2008 | 8/25/2008 | 6/25/2008 | |
Expected Final Maturity | 7/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2009 | 5/25/2009 | 1/25/2009 | 10/25/2008 | |
Window | 43 - 60 | 35 - 49 | 28 - 39 | 21 - 28 | 16 - 22 | 13 - 18 | 11 - 15 | |
2-A3 | WAL (yrs) | 8.38 | 6.92 | 5.42 | 3.50 | 2.20 | 1.77 | 1.46 |
First Payment Date | 7/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2009 | 5/25/2009 | 1/25/2009 | 10/25/2008 | |
Expected Final Maturity | 3/25/2021 | 11/25/2018 | 5/25/2016 | 11/25/2013 | 3/25/2010 | 9/25/2009 | 4/25/2009 | |
Window | 60 - 164 | 49 - 136 | 39 - 106 | 28 - 76 | 22 - 32 | 18 - 26 | 15 - 21 | |
2-A4 | WAL (yrs) | 17.82 | 14.86 | 11.64 | 8.21 | 2.80 | 2.25 | 1.85 |
First Payment Date | 3/25/2021 | 11/25/2018 | 5/25/2016 | 11/25/2013 | 3/25/2010 | 9/25/2009 | 4/25/2009 | |
Expected Final Maturity | 11/25/2032 | 12/25/2028 | 4/25/2024 | 1/25/2019 | 7/25/2010 | 12/25/2009 | 7/25/2009 | |
Window | 164 - 304 | 136 - 257 | 106 - 201 | 76 - 138 | 32 - 36 | 26 - 29 | 21 - 24 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 25
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Weighted Average Life Sensitivity
To MATURITY
PPC (%) | 50 | 60 | 75 | 100 | 125 | 150 | 175 | |
1-M1 | WAL (yrs) | 10.94 | 9.19 | 7.32 | 5.73 | 6.88 | 6.52 | 5.23 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 6/25/2011 | 1/25/2013 | 1/25/2010 | 8/25/2009 | |
Expected Final Maturity | 9/25/2034 | 9/25/2031 | 8/25/2027 | 11/25/2021 | 1/25/2017 | 6/25/2017 | 8/25/2015 | |
Window | 59 - 326 | 49 - 290 | 39 - 241 | 47 - 172 | 66 - 114 | 30 - 119 | 25 - 97 | |
2-M1 | WAL (yrs) | 11.32 | 9.62 | 7.76 | 6.21 | 7.34 | 7.07 | 5.74 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 6/25/2011 | 1/25/2013 | 1/25/2010 | 8/25/2009 | |
Expected Final Maturity | 1/25/2035 | 3/25/2032 | 2/25/2028 | 1/25/2023 | 9/25/2019 | 6/25/2018 | 7/25/2016 | |
Window | 59 - 330 | 49 - 296 | 39 - 247 | 47 - 186 | 66 - 146 | 30 - 131 | 25 - 108 | |
1-M2 | WAL (yrs) | 10.93 | 9.19 | 7.32 | 5.60 | 5.43 | 4.62 | 3.85 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 3/25/2011 | 2/25/2012 | 6/25/2011 | 11/25/2010 | |
Expected Final Maturity | 2/25/2034 | 2/25/2031 | 1/25/2027 | 12/25/2021 | 9/25/2017 | 4/25/2015 | 8/25/2013 | |
Window | 59 - 319 | 49 - 283 | 39 - 234 | 44 - 173 | 55 - 122 | 47 - 93 | 40 - 73 | |
2-M2 | WAL (yrs) | 11.30 | 9.59 | 7.73 | 6.04 | 5.92 | 5.06 | 4.26 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 3/25/2011 | 2/25/2012 | 6/25/2011 | 11/25/2010 | |
Expected Final Maturity | 7/25/2034 | 8/25/2031 | 7/25/2027 | 7/25/2022 | 4/25/2019 | 1/25/2017 | 5/25/2015 | |
Window | 59 - 324 | 49 - 289 | 39 - 240 | 44 - 180 | 55 - 141 | 47 - 114 | 40 - 94 | |
1-M3 | WAL (yrs) | 10.93 | 9.18 | 7.32 | 5.54 | 5.01 | 4.16 | 3.45 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 1/25/2011 | 9/25/2011 | 2/25/2011 | 7/25/2010 | |
Expected Final Maturity | 8/25/2033 | 8/25/2030 | 7/25/2026 | 8/25/2021 | 12/25/2017 | 7/25/2015 | 11/25/2013 | |
Window | 59 - 313 | 49 - 277 | 39 - 228 | 42 - 169 | 50 - 125 | 43 - 96 | 36 - 76 | |
2-M3 | WAL (yrs) | 11.28 | 9.56 | 7.71 | 5.94 | 5.47 | 4.59 | 3.85 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 1/25/2011 | 9/25/2011 | 2/25/2011 | 7/25/2010 | |
Expected Final Maturity | 11/25/2033 | 11/25/2030 | 11/25/2026 | 1/25/2022 | 11/25/2018 | 9/25/2016 | 2/25/2015 | |
Window | 59 - 316 | 49 - 280 | 39 - 232 | 42 - 174 | 50 - 136 | 43 - 110 | 36 - 91 | |
1-M4 | WAL (yrs) | 10.92 | 9.18 | 7.31 | 5.50 | 4.83 | 3.98 | 3.29 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 12/25/2010 | 6/25/2011 | 11/25/2010 | 5/25/2010 | |
Expected Final Maturity | 3/25/2033 | 1/25/2030 | 1/25/2026 | 4/25/2021 | 1/25/2018 | 8/25/2015 | 12/25/2013 | |
Window | 59 - 308 | 49 - 270 | 39 - 222 | 41 - 165 | 47 - 126 | 40 - 97 | 34 - 77 | |
2-M4 | WAL (yrs) | 11.25 | 9.54 | 7.68 | 5.89 | 5.26 | 4.39 | 3.68 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 12/25/2010 | 6/25/2011 | 11/25/2010 | 5/25/2010 | |
Expected Final Maturity | 5/25/2033 | 5/25/2030 | 5/25/2026 | 8/25/2021 | 7/25/2018 | 6/25/2016 | 11/25/2014 | |
Window | 59 - 310 | 49 - 274 | 39 - 226 | 41 - 169 | 47 - 132 | 40 - 107 | 34 - 88 | |
1-M5 | WAL (yrs) | 10.91 | 9.17 | 7.30 | 5.48 | 4.71 | 3.86 | 3.18 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2010 | 4/25/2011 | 9/25/2010 | 3/25/2010 | |
Expected Final Maturity | 8/25/2032 | 7/25/2029 | 7/25/2025 | 12/25/2020 | 11/25/2017 | 9/25/2015 | 12/25/2013 | |
Window | 59 - 301 | 49 - 264 | 39 - 216 | 40 - 161 | 45 - 124 | 38 - 98 | 32 - 77 | |
2-M5 | WAL (yrs) | 11.23 | 9.51 | 7.65 | 5.84 | 5.10 | 4.24 | 3.55 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2010 | 4/25/2011 | 9/25/2010 | 3/25/2010 | |
Expected Final Maturity | 11/25/2032 | 10/25/2029 | 11/25/2025 | 3/25/2021 | 3/25/2018 | 2/25/2016 | 8/25/2014 | |
Window | 59 - 304 | 49 - 267 | 39 - 220 | 40 - 164 | 45 - 128 | 38 - 103 | 32 - 85 | |
1-M6 | WAL (yrs) | 10.90 | 9.15 | 7.29 | 5.46 | 4.63 | 3.78 | 3.11 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2010 | 2/25/2011 | 8/25/2010 | 2/25/2010 | |
Expected Final Maturity | 1/25/2032 | 12/25/2028 | 1/25/2025 | 6/25/2020 | 7/25/2017 | 8/25/2015 | 1/25/2014 | |
Window | 59 - 294 | 49 - 257 | 39 - 210 | 40 - 155 | 43 - 120 | 37 - 97 | 31 - 78 | |
2-M6 | WAL (yrs) | 11.20 | 9.48 | 7.62 | 5.79 | 4.99 | 4.13 | 3.46 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 11/25/2010 | 2/25/2011 | 8/25/2010 | 2/25/2010 | |
Expected Final Maturity | 4/25/2032 | 3/25/2029 | 4/25/2025 | 10/25/2020 | 11/25/2017 | 11/25/2015 | 6/25/2014 | |
Window | 59 - 297 | 49 - 260 | 39 - 213 | 40 - 159 | 43 - 124 | 37 - 100 | 31 - 83 | |
B1 | WAL (yrs) | 10.99 | 9.26 | 7.40 | 5.56 | 4.69 | 3.84 | 3.19 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 10/25/2010 | 1/25/2011 | 6/25/2010 | 12/25/2009 | |
Expected Final Maturity | 8/25/2031 | 7/25/2028 | 9/25/2024 | 4/25/2020 | 6/25/2017 | 7/25/2015 | 2/25/2014 | |
Window | 59 - 289 | 49 - 252 | 39 - 206 | 39 - 153 | 42 - 119 | 35 - 96 | 29 - 79 | |
B2 | WAL (yrs) | 10.95 | 9.22 | 7.37 | 5.53 | 4.62 | 3.78 | 3.13 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 9/25/2010 | 12/25/2010 | 5/25/2010 | 12/25/2009 | |
Expected Final Maturity | 10/25/2030 | 9/25/2027 | 12/25/2023 | 10/25/2019 | 1/25/2017 | 3/25/2015 | 11/25/2013 | |
Window | 59 - 279 | 49 - 242 | 39 - 197 | 38 - 147 | 41 - 114 | 34 - 92 | 29 - 76 | |
B3 | WAL (yrs) | 10.90 | 9.17 | 7.32 | 5.48 | 4.55 | 3.72 | 3.08 |
First Payment Date | 6/25/2012 | 8/25/2011 | 10/25/2010 | 9/25/2010 | 11/25/2010 | 4/25/2010 | 11/25/2009 | |
Expected Final Maturity | 12/25/2029 | 11/25/2026 | 3/25/2023 | 3/25/2019 | 8/25/2016 | 11/25/2014 | 7/25/2013 | |
Window | 59 - 269 | 49 - 232 | 39 - 188 | 38 - 140 | 40 - 109 | 33 - 88 | 28 - 72 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 26
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
CPR Sensitivity
To CALL
CPR (%) | 20 | 25 | 30 | |
1-A | WAL (yrs) | 2.83 | 2.15 | 1.52 |
First Payment Date | 8/25/2007 | 8/25/2007 | 8/25/2007 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 1 - 121 | 1 - 95 | 1 - 77 | |
2-A1 | WAL (yrs) | 1.06 | 0.83 | 0.68 |
First Payment Date | 8/25/2007 | 8/25/2007 | 8/25/2007 | |
Expected Final Maturity | 11/25/2009 | 5/25/2009 | 1/25/2009 | |
Window | 1 - 28 | 1 - 22 | 1 - 18 | |
2-A2 | WAL (yrs) | 2.74 | 2.13 | 1.72 |
First Payment Date | 11/25/2009 | 5/25/2009 | 1/25/2009 | |
Expected Final Maturity | 12/25/2010 | 1/25/2010 | 7/25/2009 | |
Window | 28 - 41 | 22 - 30 | 18 - 24 | |
2-A3 | WAL (yrs) | 5.81 | 4.22 | 2.46 |
First Payment Date | 12/25/2010 | 1/25/2010 | 7/25/2009 | |
Expected Final Maturity | 4/25/2017 | 2/25/2015 | 7/25/2010 | |
Window | 41 - 117 | 30 - 91 | 24 - 36 | |
2-A4 | WAL (yrs) | 10.05 | 7.88 | 5.93 |
First Payment Date | 4/25/2017 | 2/25/2015 | 7/25/2010 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 117 - 121 | 91 - 95 | 36 - 77 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 27
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
CPR Sensitivity
To CALL
CPR (%) | 20 | 25 | 30 | |
1-M1 | WAL (yrs) | 6.55 | 5.46 | 5.80 |
First Payment Date | 8/25/2010 | 5/25/2011 | 7/25/2012 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 46 - 95 | 60 - 77 | |
2-M1 | WAL (yrs) | 6.55 | 5.46 | 5.80 |
First Payment Date | 8/25/2010 | 5/25/2011 | 7/25/2012 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 46 - 95 | 60 - 77 | |
1-M2 | WAL (yrs) | 6.55 | 5.35 | 5.09 |
First Payment Date | 8/25/2010 | 2/25/2011 | 10/25/2011 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 43 - 95 | 51 - 77 | |
2-M2 | WAL (yrs) | 6.55 | 5.35 | 5.09 |
First Payment Date | 8/25/2010 | 2/25/2011 | 10/25/2011 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 43 - 95 | 51 - 77 | |
1-M3 | WAL (yrs) | 6.55 | 5.29 | 4.82 |
First Payment Date | 8/25/2010 | 1/25/2011 | 7/25/2011 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 42 - 95 | 48 - 77 | |
2-M3 | WAL (yrs) | 6.55 | 5.29 | 4.82 |
First Payment Date | 8/25/2010 | 1/25/2011 | 7/25/2011 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 42 - 95 | 48 - 77 | |
1-M4 | WAL (yrs) | 6.55 | 5.27 | 4.70 |
First Payment Date | 8/25/2010 | 12/25/2010 | 5/25/2011 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 41 - 95 | 46 - 77 | |
2-M4 | WAL (yrs) | 6.55 | 5.27 | 4.70 |
First Payment Date | 8/25/2010 | 12/25/2010 | 5/25/2011 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 41 - 95 | 46 - 77 | |
1-M5 | WAL (yrs) | 6.55 | 5.25 | 4.61 |
First Payment Date | 8/25/2010 | 11/25/2010 | 3/25/2011 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 40 - 95 | 44 - 77 | |
2-M5 | WAL (yrs) | 6.55 | 5.25 | 4.61 |
First Payment Date | 8/25/2010 | 11/25/2010 | 3/25/2011 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 40 - 95 | 44 - 77 | |
1-M6 | WAL (yrs) | 6.55 | 5.23 | 4.55 |
First Payment Date | 8/25/2010 | 10/25/2010 | 1/25/2011 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 39 - 95 | 42 - 77 | |
2-M6 | WAL (yrs) | 6.55 | 5.23 | 4.55 |
First Payment Date | 8/25/2010 | 10/25/2010 | 1/25/2011 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 39 - 95 | 42 - 77 | |
B1 | WAL (yrs) | 6.55 | 5.22 | 4.50 |
First Payment Date | 8/25/2010 | 10/25/2010 | 12/25/2010 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 39 - 95 | 41 - 77 | |
B2 | WAL (yrs) | 6.55 | 5.21 | 4.46 |
First Payment Date | 8/25/2010 | 9/25/2010 | 11/25/2010 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 38 - 95 | 40 - 77 | |
B3 | WAL (yrs) | 6.55 | 5.20 | 4.43 |
First Payment Date | 8/25/2010 | 9/25/2010 | 10/25/2010 | |
Expected Final Maturity | 8/25/2017 | 6/25/2015 | 12/25/2013 | |
Window | 37 - 121 | 38 - 95 | 39 - 77 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 28
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
CPR Sensitivity
To MATURITY
CPR (%) | 20 | 25 | 30 | |
1-A | WAL (yrs) | 3.03 | 2.32 | 1.66 |
First Payment Date | 8/25/2007 | 8/25/2007 | 8/25/2007 | |
Expected Final Maturity | 2/25/2029 | 11/25/2024 | 10/25/2021 | |
Window | 1 - 259 | 1 - 208 | 1 - 171 | |
2-A1 | WAL (yrs) | 1.06 | 0.83 | 0.68 |
First Payment Date | 8/25/2007 | 8/25/2007 | 8/25/2007 | |
Expected Final Maturity | 11/25/2009 | 5/25/2009 | 1/25/2009 | |
Window | 1 - 28 | 1 - 22 | 1 - 18 | |
2-A2 | WAL (yrs) | 2.74 | 2.13 | 1.72 |
First Payment Date | 11/25/2009 | 5/25/2009 | 1/25/2009 | |
Expected Final Maturity | 12/25/2010 | 1/25/2010 | 7/25/2009 | |
Window | 28 - 41 | 22 - 30 | 18 - 24 | |
2-A3 | WAL (yrs) | 5.81 | 4.22 | 2.46 |
First Payment Date | 12/25/2010 | 1/25/2010 | 7/25/2009 | |
Expected Final Maturity | 4/25/2017 | 2/25/2015 | 7/25/2010 | |
Window | 41 - 117 | 30 - 91 | 24 - 36 | |
2-A4 | WAL (yrs) | 13.79 | 10.83 | 8.36 |
First Payment Date | 4/25/2017 | 2/25/2015 | 7/25/2010 | |
Expected Final Maturity | 7/25/2029 | 3/25/2025 | 1/25/2022 | |
Window | 117 - 264 | 91 - 212 | 36 - 174 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 29
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
CPR Sensitivity
To MATURITY
CPR (%) | 20 | 25 | 30 | |
1-M1 | WAL (yrs) | 7.31 | 6.07 | 6.32 |
First Payment Date | 8/25/2010 | 5/25/2011 | 7/25/2012 | |
Expected Final Maturity | 9/25/2027 | 8/25/2023 | 9/25/2020 | |
Window | 37 - 242 | 46 - 193 | 60 - 158 | |
2-M1 | WAL (yrs) | 7.28 | 6.04 | 6.27 |
First Payment Date | 8/25/2010 | 5/25/2011 | 7/25/2012 | |
Expected Final Maturity | 8/25/2027 | 7/25/2023 | 8/25/2020 | |
Window | 37 - 241 | 46 - 192 | 60 - 157 | |
1-M2 | WAL (yrs) | 7.30 | 5.95 | 5.59 |
First Payment Date | 8/25/2010 | 2/25/2011 | 10/25/2011 | |
Expected Final Maturity | 1/25/2027 | 2/25/2023 | 4/25/2020 | |
Window | 37 - 234 | 43 - 187 | 51 - 153 | |
2-M2 | WAL (yrs) | 7.27 | 5.92 | 5.56 |
First Payment Date | 8/25/2010 | 2/25/2011 | 10/25/2011 | |
Expected Final Maturity | 12/25/2026 | 1/25/2023 | 3/25/2020 | |
Window | 37 - 233 | 43 - 186 | 51 - 152 | |
1-M3 | WAL (yrs) | 7.28 | 5.88 | 5.30 |
First Payment Date | 8/25/2010 | 1/25/2011 | 7/25/2011 | |
Expected Final Maturity | 6/25/2026 | 7/25/2022 | 10/25/2019 | |
Window | 37 - 227 | 42 - 180 | 48 - 147 | |
2-M3 | WAL (yrs) | 7.25 | 5.86 | 5.28 |
First Payment Date | 8/25/2010 | 1/25/2011 | 7/25/2011 | |
Expected Final Maturity | 5/25/2026 | 7/25/2022 | 10/25/2019 | |
Window | 37 - 226 | 42 - 180 | 48 - 147 | |
1-M4 | WAL (yrs) | 7.27 | 5.84 | 5.17 |
First Payment Date | 8/25/2010 | 12/25/2010 | 5/25/2011 | |
Expected Final Maturity | 12/25/2025 | 2/25/2022 | 6/25/2019 | |
Window | 37 - 221 | 41 - 175 | 46 - 143 | |
2-M4 | WAL (yrs) | 7.24 | 5.82 | 5.15 |
First Payment Date | 8/25/2010 | 12/25/2010 | 5/25/2011 | |
Expected Final Maturity | 11/25/2025 | 2/25/2022 | 6/25/2019 | |
Window | 37 - 220 | 41 - 175 | 46 - 143 | |
1-M5 | WAL (yrs) | 7.25 | 5.81 | 5.07 |
First Payment Date | 8/25/2010 | 11/25/2010 | 3/25/2011 | |
Expected Final Maturity | 6/25/2025 | 9/25/2021 | 2/25/2019 | |
Window | 37 - 215 | 40 - 170 | 44 - 139 | |
2-M5 | WAL (yrs) | 7.23 | 5.79 | 5.06 |
First Payment Date | 8/25/2010 | 11/25/2010 | 3/25/2011 | |
Expected Final Maturity | 5/25/2025 | 9/25/2021 | 2/25/2019 | |
Window | 37 - 214 | 40 - 170 | 44 - 139 | |
1-M6 | WAL (yrs) | 7.23 | 5.78 | 5.00 |
First Payment Date | 8/25/2010 | 10/25/2010 | 1/25/2011 | |
Expected Final Maturity | 11/25/2024 | 4/25/2021 | 9/25/2018 | |
Window | 37 - 208 | 39 - 165 | 42 - 134 | |
2-M6 | WAL (yrs) | 7.21 | 5.76 | 4.98 |
First Payment Date | 8/25/2010 | 10/25/2010 | 1/25/2011 | |
Expected Final Maturity | 10/25/2024 | 4/25/2021 | 9/25/2018 | |
Window | 37 - 207 | 39 - 165 | 42 - 134 | |
B1 | WAL (yrs) | 7.20 | 5.74 | 4.92 |
First Payment Date | 8/25/2010 | 10/25/2010 | 12/25/2010 | |
Expected Final Maturity | 4/25/2024 | 10/25/2020 | 4/25/2018 | |
Window | 37 - 201 | 39 - 159 | 41 - 129 | |
B2 | WAL (yrs) | 7.16 | 5.70 | 4.86 |
First Payment Date | 8/25/2010 | 9/25/2010 | 11/25/2010 | |
Expected Final Maturity | 7/25/2023 | 3/25/2020 | 11/25/2017 | |
Window | 37 - 192 | 38 - 152 | 40 - 124 | |
B3 | WAL (yrs) | 7.12 | 5.66 | 4.81 |
First Payment Date | 8/25/2010 | 9/25/2010 | 10/25/2010 | |
Expected Final Maturity | 11/25/2022 | 8/25/2019 | 5/25/2017 | |
Window | 37 - 184 | 38 - 145 | 39 - 118 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 30
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-A Cap (%) | 2-A1 Cap (%) | 2-A2 Cap (%) | 2-A3 Cap (%) | 2-A4 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 0 | - | - | - | - | - |
| 1 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 2 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 3 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 4 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 5 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 6 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 7 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 8 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 9 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 10 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 11 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 12 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 13 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 14 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 15 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 16 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 17 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 18 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 19 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 20 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 21 | 20.31 | 20.16 | 20.22 | 20.32 | 20.45 |
| 22 | 20.31 | - | 20.22 | 20.32 | 20.45 |
| 23 | 20.31 | - | 20.22 | 20.32 | 20.45 |
| 24 | 20.31 | - | 20.22 | 20.32 | 20.45 |
| 25 | 20.18 | - | 20.22 | 20.32 | 20.37 |
| 26 | 20.22 | - | 20.22 | 20.32 | 20.41 |
| 27 | 20.56 | - | 20.22 | 20.32 | 20.58 |
| 28 | 20.31 | - | 20.22 | 20.32 | 20.45 |
| 29 | 20.31 | - | - | 20.32 | 20.45 |
| 30 | 19.83 | - | - | 20.11 | 20.11 |
| 31 | 20.00 | - | - | 20.28 | 20.28 |
| 32 | 21.32 | - | - | 20.67 | 21.03 |
| 33 | 20.31 | - | - | 20.32 | 20.45 |
| 34 | 20.31 | - | - | 20.32 | 20.45 |
| 35 | 20.31 | - | - | 20.32 | 20.45 |
| 36 | 20.31 | - | - | 20.32 | 20.45 |
| 37 | 20.31 | - | - | 20.32 | 20.45 |
| 38 | 20.31 | - | - | 20.32 | 20.45 |
| 39 | 20.31 | - | - | 20.32 | 20.45 |
| 40 | 20.31 | - | - | 20.32 | 20.45 |
| 41 | 20.31 | - | - | 20.32 | 20.45 |
| 42 | 20.31 | - | - | 20.32 | 20.45 |
| 43 | 20.31 | - | - | 20.32 | 20.45 |
| 44 | 20.31 | - | - | 20.32 | 20.45 |
| 45 | 20.31 | - | - | 20.32 | 20.45 |
| 46 | 20.31 | - | - | 20.32 | 20.45 |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 31
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-A Cap (%) | 2-A1 Cap (%) | 2-A2 Cap (%) | 2-A3 Cap (%) | 2-A4 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 47 | 20.31 | - | - | 20.32 | 20.45 |
| 48 | 20.31 | - | - | 20.32 | 20.45 |
| 49 | 20.31 | - | - | 20.32 | 20.45 |
| 50 | 20.31 | - | - | 20.32 | 20.45 |
| 51 | 20.31 | - | - | 20.32 | 20.45 |
| 52 | 20.31 | - | - | 20.32 | 20.45 |
| 53 | 20.31 | - | - | 20.32 | 20.45 |
| 54 | 20.31 | - | - | 20.32 | 20.45 |
| 55 | 20.31 | - | - | 20.32 | 20.45 |
| 56 | 20.31 | - | - | 20.32 | 20.45 |
| 57 | 20.31 | - | - | 20.32 | 20.45 |
| 58 | 20.31 | - | - | 20.32 | 20.45 |
| 59 | 20.31 | - | - | 20.32 | 20.45 |
| 60 | 20.31 | - | - | 20.32 | 20.45 |
| 61 | 20.31 | - | - | 20.32 | 20.45 |
| 62 | 20.31 | - | - | 20.32 | 20.45 |
| 63 | 20.31 | - | - | 20.32 | 20.45 |
| 64 | 20.31 | - | - | 20.32 | 20.45 |
| 65 | 20.31 | - | - | 20.32 | 20.45 |
| 66 | 20.31 | - | - | 20.32 | 20.45 |
| 67 | 20.31 | - | - | 20.32 | 20.45 |
| 68 | 20.31 | - | - | 20.32 | 20.45 |
| 69 | 20.31 | - | - | 20.32 | 20.45 |
| 70 | 20.31 | - | - | 20.32 | 20.45 |
| 71 | 20.31 | - | - | 20.32 | 20.45 |
| 72 | 20.31 | - | - | 20.32 | 20.45 |
| 73 | 20.31 | - | - | 20.32 | 20.45 |
| 74 | 20.31 | - | - | 20.32 | 20.45 |
| 75 | 20.31 | - | - | 20.32 | 20.45 |
| 76 | 20.31 | - | - | 20.32 | 20.45 |
| 77 | 20.31 | - | - | - | 20.45 |
| 78 | 20.31 | - | - | - | 20.45 |
| 79 | 20.31 | - | - | - | 20.45 |
| 80 | 20.31 | - | - | - | 20.45 |
| 81 | 20.31 | - | - | - | 20.45 |
| 82 | 20.31 | - | - | - | 20.45 |
| 83 | 20.31 | - | - | - | 20.45 |
| 84 | 20.31 | - | - | - | 20.45 |
| 85 | 20.31 | - | - | - | 20.45 |
| 86 | 20.31 | - | - | - | 20.45 |
| 87 | 20.31 | - | - | - | 20.45 |
| 88 | 20.31 | - | - | - | 20.45 |
| 89 | 20.31 | - | - | - | 20.45 |
| 90 | 20.31 | - | - | - | 20.45 |
| 91 | 20.31 | - | - | - | 20.45 |
| 92 | 20.62 | - | - | - | 20.90 |
| 93 | 20.62 | - | - | - | 20.90 |
| 94 | 20.62 | - | - | - | 20.90 |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 32
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-A Cap (%) | 2-A1 Cap (%) | 2-A2 Cap (%) | 2-A3 Cap (%) | 2-A4 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 95 | 20.62 | - | - | - | 20.90 |
| 96 | 20.62 | - | - | - | 20.90 |
| 97 | 20.62 | - | - | - | 20.90 |
| 98 | 20.62 | - | - | - | 20.90 |
| 99 | 20.62 | - | - | - | 20.90 |
| 100 | 20.62 | - | - | - | 20.90 |
| 101 | 20.62 | - | - | - | 20.90 |
| 102 | 20.62 | - | - | - | 20.90 |
| 103 | 20.62 | - | - | - | 20.90 |
| 104 | 20.62 | - | - | - | 20.90 |
| 105 | 20.62 | - | - | - | 20.90 |
| 106 | 20.62 | - | - | - | 20.90 |
| 107 | 20.62 | - | - | - | 20.90 |
| 108 | 20.62 | - | - | - | 20.90 |
| 109 | 20.62 | - | - | - | 20.90 |
| 110 | 20.62 | - | - | - | 20.90 |
| 111 | 20.62 | - | - | - | 20.90 |
| 112 | 20.62 | - | - | - | 20.90 |
| 113 | 20.62 | - | - | - | 20.90 |
| 114 | 20.62 | - | - | - | 20.90 |
| 115 | 20.62 | - | - | - | 20.90 |
| 116 | 20.62 | - | - | - | 20.90 |
| 117 | 20.62 | - | - | - | 20.90 |
| 118 | 20.62 | - | - | - | 20.90 |
| 119 | 20.62 | - | - | - | 20.90 |
| 120 | 20.62 | - | - | - | 20.90 |
| 121 | 20.62 | - | - | - | 20.90 |
| 122 | 20.62 | - | - | - | 20.90 |
| 123 | 20.62 | - | - | - | 20.90 |
| 124 | 20.62 | - | - | - | 20.90 |
| 125 | 20.62 | - | - | - | 20.90 |
| 126 | 20.62 | - | - | - | 20.90 |
| 127 | 20.62 | - | - | - | 20.90 |
| 128 | 20.62 | - | - | - | 20.90 |
| 129 | 20.62 | - | - | - | 20.90 |
| 130 | 20.62 | - | - | - | 20.90 |
| 131 | 20.62 | - | - | - | 20.90 |
| 132 | 20.59 | - | - | - | 20.90 |
| 133 | 14.80 | - | - | - | 15.44 |
| 134 | 14.89 | - | - | - | 15.54 |
| 135 | 15.49 | - | - | - | 16.15 |
| 136 | 15.09 | - | - | - | 15.73 |
| 137 | 15.70 | - | - | - | 16.36 |
| 138 | 15.30 | - | - | - | 15.94 |
| 139 | 15.40 | - | - | - | 16.05 |
| 140 | 17.17 | - | - | - | - |
| 141 | 15.62 | - | - | - | - |
| 142 | 16.25 | - | - | - | - |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 33
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-A Cap (%) | 2-A1 Cap (%) | 2-A2 Cap (%) | 2-A3 Cap (%) | 2-A4 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 143 | 15.84 | - | - | - | - |
| 144 | 16.49 | - | - | - | - |
| 145 | 16.08 | - | - | - | - |
| 146 | 16.20 | - | - | - | - |
| 147 | 16.88 | - | - | - | - |
| 148 | 16.46 | - | - | - | - |
| 149 | 17.15 | - | - | - | - |
| 150 | 16.73 | - | - | - | - |
| 151 | 16.87 | - | - | - | - |
| 152 | 18.19 | - | - | - | - |
| 153 | 17.17 | - | - | - | - |
| 154 | 17.90 | - | - | - | - |
| 155 | 17.47 | - | - | - | - |
| 156 | 18.22 | - | - | - | - |
| 157 | 17.79 | - | - | - | - |
| 158 | 17.96 | - | - | - | - |
| 159 | 18.74 | - | - | - | - |
| 160 | 18.32 | - | - | - | - |
| 161 | 19.11 | - | - | - | - |
| 162 | 18.68 | - | - | - | - |
| 163 | 18.88 | - | - | - | - |
| 164 | 21.13 | - | - | - | - |
| 165 | 19.29 | - | - | - | - |
| 166 | 20.15 | - | - | - | - |
| 167 | 19.72 | - | - | - | - |
| 168 | 20.61 | - | - | - | - |
| 169 | 20.17 | - | - | - | - |
| 170 | 20.41 | - | - | - | - |
| 171 | 21.34 | - | - | - | - |
| 172 | 20.91 | - | - | - | - |
| 173 | 21.88 | - | - | - | - |
| 174 | 21.44 | - | - | - | - |
| 175 | 21.72 | - | - | - | - |
| 176 | 24.37 | - | - | - | - |
| 177 | 22.30 | - | - | - | - |
| 178 | 23.36 | - | - | - | - |
| 179 | 22.91 | - | - | - | - |
| 180 | 24.00 | - | - | - | - |
| 181 | 23.55 | - | - | - | - |
| 182 | 23.89 | - | - | - | - |
| 183 | 25.04 | - | - | - | - |
| 184 | 24.59 | - | - | - | - |
| 185 | 25.78 | - | - | - | - |
| 186 | 25.32 | - | - | - | - |
| 187 | 25.70 | - | - | - | - |
| 188 | 29.16 | - | - | - | - |
| 189 | 27.46 | - | - | - | - |
| 190 | 29.67 | - | - | - | - |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 34
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-A Cap (%) | 2-A1 Cap (%) | 2-A2 Cap (%) | 2-A3 Cap (%) | 2-A4 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 191 | 30.13 | - | - | - | - |
| 192 | 32.80 | - | - | - | - |
| 193 | 33.59 | - | - | - | - |
| 194 | 35.74 | - | - | - | - |
| 195 | 39.53 | - | - | - | - |
| 196 | 41.23 | - | - | - | - |
| 197 | 46.33 | - | - | - | - |
| 198 | 49.26 | - | - | - | - |
| 199 | 54.82 | - | - | - | - |
| 200 | 66.32 | - | - | - | - |
| 201 | 71.75 | - | - | - | - |
| 202 | 88.39 | - | - | - | - |
| 203 | 106.63 | - | - | - | - |
| 204 | 147.65 | - | - | - | - |
| 205 | 219.77 | - | - | - | - |
| 206 | 806.18 | - | - | - | - |
| 207 | - | - | - | - | - |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 35
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-M1 Cap (%) | 2-M1 Cap (%) | 1-M2 Cap (%) | 2-M2 Cap (%) | 1-M3 Cap (%) | 2-M3 Cap (%) | 1-M4 Cap (%) | 2-M4 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 0 | - | - | - | - | - | - | - | - |
| 1 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 2 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 3 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 4 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 5 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 6 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 7 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 8 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 9 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 10 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 11 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 12 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 13 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 14 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 15 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 16 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 17 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 18 | 20.31 | 20.33 | 20.51 | 20.53 | 20.75 | 20.77 | 21.03 | 21.05 |
| 19 | 20.10 | 20.13 | 20.26 | 20.29 | 20.45 | 20.48 | 20.67 | 20.71 |
| 20 | 20.62 | 20.62 | 20.88 | 20.88 | 21.20 | 21.19 | 21.56 | 21.56 |
| 21 | 19.66 | 19.71 | 19.77 | 19.82 | 19.90 | 19.95 | 20.05 | 20.10 |
| 22 | 19.70 | 19.75 | 19.82 | 19.87 | 19.97 | 20.01 | 20.13 | 20.18 |
| 23 | 19.21 | 19.26 | 19.28 | 19.33 | 19.37 | 19.42 | 19.47 | 19.52 |
| 24 | 17.99 | 18.18 | 18.01 | 18.20 | 18.04 | 18.22 | 18.06 | 18.25 |
| 25 | 17.59 | 17.77 | 17.59 | 17.77 | 17.59 | 17.78 | 17.60 | 17.78 |
| 26 | 17.49 | 17.67 | 17.49 | 17.67 | 17.49 | 17.68 | 17.50 | 17.68 |
| 27 | 17.65 | 17.83 | 17.66 | 17.85 | 17.68 | 17.86 | 17.69 | 17.88 |
| 28 | 17.32 | 17.50 | 17.33 | 17.51 | 17.34 | 17.52 | 17.35 | 17.53 |
| 29 | 17.61 | 17.78 | 17.64 | 17.81 | 17.68 | 17.85 | 17.72 | 17.89 |
| 30 | 16.06 | 16.34 | 16.06 | 16.34 | 16.06 | 16.34 | 16.06 | 16.34 |
| 31 | 15.97 | 16.25 | 15.97 | 16.25 | 15.97 | 16.25 | 15.97 | 16.25 |
| 32 | 16.77 | 17.09 | 16.78 | 17.10 | 16.81 | 17.13 | 16.83 | 17.15 |
| 33 | 15.93 | 16.22 | 15.94 | 16.23 | 15.95 | 16.24 | 15.97 | 16.26 |
| 34 | 16.33 | 16.62 | 16.37 | 16.65 | 16.41 | 16.69 | 16.46 | 16.74 |
| 35 | 15.96 | 16.33 | 16.00 | 16.36 | 16.04 | 16.40 | 16.09 | 16.45 |
| 36 | 15.76 | 16.10 | 15.82 | 16.15 | 15.88 | 16.22 | 15.96 | 16.29 |
| 37 | 77.55 | 73.76 | 82.01 | 78.21 | 87.38 | 83.58 | 93.68 | 89.86 |
| 38 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 39 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 40 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 41 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 42 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 43 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 44 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 45 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 46 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 47 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 48 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 36
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-M1 Cap (%) | 2-M1 Cap (%) | 1-M2 Cap (%) | 2-M2 Cap (%) | 1-M3 Cap (%) | 2-M3 Cap (%) | 1-M4 Cap (%) | 2-M4 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 49 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 50 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.38 | 21.38 |
| 51 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.42 | 21.42 |
| 52 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.12 | 21.14 |
| 53 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.70 | 21.68 |
| 54 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 55 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 56 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 57 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.40 | 21.40 |
| 58 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.08 | 21.40 |
| 59 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 10.89 | 11.51 |
| 60 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.74 | 22.37 |
| 61 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 12.21 | 12.84 |
| 62 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 12.06 | 12.70 |
| 63 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.95 | 22.61 |
| 64 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 11.78 | 12.42 |
| 65 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.68 | 22.34 |
| 66 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 11.70 | 12.34 |
| 67 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 11.74 | 12.38 |
| 68 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 43.81 | 44.52 |
| 69 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 11.45 | 12.09 |
| 70 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.32 | 21.99 |
| 71 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 11.18 | 11.82 |
| 72 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 21.24 | 21.90 |
| 73 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 11.26 | 11.90 |
| 74 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 11.11 | 11.76 |
| 75 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 20.97 | 21.64 |
| 76 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 10.82 | 11.47 |
| 77 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 20.69 | 21.36 |
| 78 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 10.75 | 11.40 |
| 79 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 10.79 | 11.45 |
| 80 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 42.78 | 43.50 |
| 81 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 10.53 | 11.18 |
| 82 | 20.50 | 20.50 | 20.75 | 20.75 | 21.05 | 21.05 | 20.38 | 21.06 |
| 83 | 20.50 | 20.50 | 20.75 | 20.75 | 20.83 | 21.05 | 10.41 | 11.06 |
| 84 | 20.50 | 20.50 | 20.75 | 20.75 | 21.29 | 21.05 | 19.96 | 20.63 |
| 85 | 20.50 | 20.50 | 20.75 | 20.75 | 20.44 | 21.05 | 10.40 | 11.05 |
| 86 | 20.50 | 20.50 | 20.75 | 20.75 | 20.32 | 20.97 | 10.39 | 11.04 |
| 87 | 20.50 | 20.50 | 20.75 | 20.75 | 22.53 | 21.14 | 18.71 | 19.38 |
| 88 | 20.50 | 20.50 | 20.75 | 20.75 | 20.11 | 20.76 | 10.37 | 11.03 |
| 89 | 20.50 | 20.50 | 20.75 | 20.75 | 22.07 | 21.36 | 18.62 | 19.29 |
| 90 | 20.50 | 20.50 | 20.75 | 20.75 | 19.90 | 20.55 | 10.36 | 11.01 |
| 91 | 20.50 | 20.50 | 20.75 | 20.75 | 19.80 | 20.45 | 10.35 | 11.00 |
| 92 | 20.75 | 20.75 | 21.13 | 21.13 | 24.42 | 22.86 | 33.56 | 34.28 |
| 93 | 20.75 | 20.75 | 21.13 | 21.13 | 15.91 | 16.56 | 10.34 | 10.99 |
| 94 | 20.75 | 20.75 | 21.13 | 21.13 | 23.91 | 24.58 | 10.68 | 11.35 |
| 95 | 20.75 | 20.75 | 21.13 | 21.13 | 15.71 | 16.36 | 10.32 | 10.98 |
| 96 | 20.75 | 20.75 | 21.13 | 21.13 | 23.70 | 24.37 | 10.66 | 11.33 |
| 97 | 20.75 | 20.75 | 21.13 | 21.13 | 15.51 | 16.16 | 10.31 | 10.96 |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 37
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-M1 Cap (%) | 2-M1 Cap (%) | 1-M2 Cap (%) | 2-M2 Cap (%) | 1-M3 Cap (%) | 2-M3 Cap (%) | 1-M4 Cap (%) | 2-M4 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 98 | 20.75 | 20.75 | 21.13 | 21.13 | 15.41 | 16.06 | 10.30 | 10.95 |
| 99 | 20.75 | 20.75 | 21.13 | 21.13 | 23.40 | 24.07 | 10.64 | 11.31 |
| 100 | 20.75 | 20.75 | 21.13 | 21.13 | 15.21 | 15.87 | 10.29 | 10.94 |
| 101 | 20.75 | 20.75 | 21.13 | 21.13 | 23.19 | 23.87 | 10.62 | 11.30 |
| 102 | 20.75 | 20.75 | 21.13 | 21.13 | 15.02 | 15.67 | 10.27 | 10.93 |
| 103 | 20.75 | 20.75 | 21.13 | 21.13 | 14.92 | 15.58 | 10.27 | 10.92 |
| 104 | 20.75 | 20.75 | 21.13 | 21.13 | 31.52 | 32.21 | 10.97 | 11.66 |
| 105 | 20.75 | 20.75 | 21.13 | 21.13 | 14.73 | 15.38 | 10.25 | 10.90 |
| 106 | 20.75 | 20.75 | 21.13 | 21.13 | 22.70 | 23.37 | 10.59 | 11.26 |
| 107 | 20.75 | 20.75 | 21.13 | 21.13 | 14.54 | 15.19 | 10.24 | 10.89 |
| 108 | 20.75 | 20.75 | 21.13 | 21.13 | 22.50 | 23.17 | 10.57 | 11.24 |
| 109 | 20.75 | 20.75 | 21.13 | 21.13 | 14.35 | 15.00 | 10.22 | 10.87 |
| 110 | 20.75 | 20.75 | 21.13 | 21.13 | 14.26 | 14.91 | 10.22 | 10.87 |
| 111 | 20.75 | 20.75 | 21.13 | 21.13 | 22.21 | 22.88 | 10.55 | 11.22 |
| 112 | 20.75 | 20.75 | 21.13 | 21.13 | 14.07 | 14.73 | 10.20 | 10.85 |
| 113 | 20.75 | 20.75 | 21.13 | 21.13 | 22.02 | 22.69 | 10.54 | 11.21 |
| 114 | 20.75 | 20.75 | 21.13 | 21.13 | 13.89 | 14.54 | 10.19 | 10.84 |
| 115 | 20.75 | 20.75 | 21.13 | 21.13 | 13.80 | 14.45 | 10.18 | 10.83 |
| 116 | 20.75 | 20.75 | 21.13 | 21.13 | 39.50 | 40.22 | 11.26 | 11.98 |
| 117 | 20.75 | 20.75 | 21.13 | 21.13 | 13.62 | 14.27 | 10.17 | 10.82 |
| 118 | 20.75 | 20.75 | 21.13 | 21.13 | 21.54 | 22.22 | 10.50 | 11.17 |
| 119 | 20.75 | 20.75 | 21.13 | 21.13 | 13.43 | 14.08 | 10.15 | 10.80 |
| 120 | 20.75 | 20.75 | 21.13 | 21.13 | 21.35 | 22.02 | 10.48 | 11.16 |
| 121 | 20.75 | 20.75 | 21.13 | 21.13 | 13.25 | 13.90 | 10.14 | 10.79 |
| 122 | 20.75 | 20.75 | 21.13 | 21.13 | 13.16 | 13.81 | 10.13 | 10.78 |
| 123 | 20.75 | 20.75 | 21.13 | 21.13 | 21.07 | 21.74 | 10.46 | 11.13 |
| 124 | 20.75 | 20.75 | 21.13 | 21.13 | 12.99 | 13.63 | 10.12 | 10.77 |
| 125 | 20.75 | 20.75 | 21.13 | 21.13 | 20.89 | 21.56 | 10.45 | 11.12 |
| 126 | 20.75 | 20.75 | 21.13 | 21.13 | 12.81 | 13.46 | 10.10 | 10.75 |
| 127 | 20.75 | 20.75 | 21.13 | 21.13 | 12.73 | 13.38 | 10.10 | 10.75 |
| 128 | 20.75 | 20.75 | 21.13 | 21.13 | 38.31 | 39.02 | 11.17 | 11.89 |
| 129 | 20.75 | 20.75 | 21.13 | 21.13 | 12.56 | 13.21 | 10.08 | 10.73 |
| 130 | 20.75 | 20.75 | 21.13 | 21.13 | 20.46 | 21.12 | 10.41 | 11.08 |
| 131 | 20.75 | 20.75 | 21.13 | 21.13 | 12.40 | 13.04 | 10.07 | 10.72 |
| 132 | 10.40 | 11.07 | 10.40 | 11.07 | 10.40 | 11.07 | 10.40 | 11.07 |
| 133 | 10.06 | 10.70 | 10.06 | 10.70 | 10.06 | 10.70 | 10.06 | 10.70 |
| 134 | 10.05 | 10.70 | 10.05 | 10.70 | 10.05 | 10.70 | 10.05 | 10.70 |
| 135 | 10.38 | 11.04 | 10.38 | 11.04 | 10.38 | 11.04 | 10.38 | 11.04 |
| 136 | 10.04 | 10.68 | 10.04 | 10.68 | 10.04 | 10.68 | 10.04 | 10.68 |
| 137 | 10.36 | 11.03 | 10.36 | 11.03 | 10.36 | 11.03 | 10.36 | 11.03 |
| 138 | 10.02 | 10.67 | 10.02 | 10.67 | 10.02 | 10.67 | 10.02 | 10.67 |
| 139 | 10.02 | 10.66 | 10.02 | 10.66 | 10.02 | 10.66 | 10.02 | 10.66 |
| 140 | 11.08 | 11.79 | 11.08 | 11.79 | 11.08 | 11.79 | 11.08 | 11.79 |
| 141 | 10.00 | 10.65 | 10.00 | 10.65 | 10.00 | 10.65 | 10.00 | 10.65 |
| 142 | 10.33 | 10.99 | 10.33 | 10.99 | 10.33 | 10.99 | 10.33 | 10.99 |
| 143 | 9.99 | 10.63 | 9.99 | 10.63 | 9.99 | 10.63 | 9.99 | 10.63 |
| 144 | 10.32 | 10.98 | 10.32 | 10.98 | 10.32 | 10.98 | 10.32 | 10.98 |
| 145 | 9.98 | 10.62 | 9.98 | 10.62 | 9.98 | 10.62 | 9.98 | 10.62 |
| 146 | 9.97 | 10.61 | 9.97 | 10.61 | 9.97 | 10.61 | 9.97 | 10.61 |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 38
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-M1 Cap (%) | 2-M1 Cap (%) | 1-M2 Cap (%) | 2-M2 Cap (%) | 1-M3 Cap (%) | 2-M3 Cap (%) | 1-M4 Cap (%) | 2-M4 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 147 | 10.29 | 10.96 | 10.29 | 10.96 | 10.29 | 10.96 | 10.29 | 10.96 |
| 148 | 9.96 | 10.60 | 9.96 | 10.60 | 9.96 | 10.60 | 9.96 | 10.60 |
| 149 | 10.28 | 10.94 | 10.28 | 10.94 | 10.28 | 10.94 | 10.28 | 10.94 |
| 150 | 9.94 | 10.58 | 9.94 | 10.58 | 9.94 | 10.58 | 9.94 | 10.58 |
| 151 | 9.94 | 10.58 | 9.94 | 10.58 | 9.94 | 10.58 | 9.94 | 10.58 |
| 152 | 10.61 | 11.30 | 10.61 | 11.30 | 10.61 | 11.30 | 10.61 | 11.30 |
| 153 | 9.92 | 10.56 | 9.92 | 10.56 | 9.92 | 10.56 | 9.92 | 10.56 |
| 154 | 10.25 | 10.91 | 10.25 | 10.91 | 10.25 | 10.91 | 10.25 | 10.91 |
| 155 | 9.91 | 10.55 | 9.91 | 10.55 | 9.91 | 10.55 | 9.91 | 10.55 |
| 156 | 10.23 | 10.89 | 10.23 | 10.89 | 10.23 | 10.89 | 10.23 | 10.89 |
| 157 | 9.90 | 10.53 | 9.90 | 10.53 | 9.90 | 10.53 | 9.90 | 10.53 |
| 158 | 9.89 | 10.53 | 9.89 | 10.53 | 9.89 | 10.53 | 9.89 | 10.53 |
| 159 | 10.21 | 10.87 | 10.21 | 10.87 | 10.21 | 10.87 | 10.21 | 10.87 |
| 160 | 9.88 | 10.51 | 9.88 | 10.51 | 9.88 | 10.51 | 9.88 | 10.51 |
| 161 | 10.20 | 10.86 | 10.20 | 10.86 | 10.20 | 10.86 | 10.20 | 10.86 |
| 162 | 9.87 | 10.50 | 9.87 | 10.50 | 9.87 | 10.50 | 9.87 | 10.50 |
| 163 | 9.86 | 10.49 | 9.86 | 10.49 | 9.86 | 10.49 | 9.86 | 10.49 |
| 164 | 10.91 | 11.61 | 10.91 | 11.61 | 10.91 | 11.61 | 10.91 | 11.61 |
| 165 | 9.85 | 10.48 | 9.85 | 10.48 | 9.85 | 10.48 | 9.85 | 10.48 |
| 166 | 10.17 | 10.82 | 10.17 | 10.82 | 10.17 | 10.82 | 10.17 | 10.82 |
| 167 | 9.83 | 10.47 | 9.83 | 10.47 | 9.83 | 10.47 | - | 10.47 |
| 168 | 10.15 | 10.81 | 10.15 | 10.81 | 10.15 | 10.81 | - | 10.81 |
| 169 | 9.82 | 10.45 | 9.82 | 10.45 | 9.82 | 10.45 | - | 10.45 |
| 170 | 9.81 | 10.45 | 9.81 | 10.45 | 9.81 | 10.45 | - | 10.45 |
| 171 | 10.14 | 10.79 | 10.14 | 10.79 | - | 10.79 | - | - |
| 172 | 9.80 | 10.43 | 9.80 | 10.43 | - | 10.43 | - | - |
| 173 | - | 10.77 | 10.12 | 10.77 | - | 10.77 | - | - |
| 174 | - | 10.42 | 9.79 | 10.42 | - | 10.42 | - | - |
| 175 | - | 10.41 | - | 10.41 | - | - | - | - |
| 176 | - | 11.52 | - | 11.52 | - | - | - | - |
| 177 | - | 10.40 | - | 10.40 | - | - | - | - |
| 178 | - | 10.74 | - | 10.74 | - | - | - | - |
| 179 | - | 10.39 | - | 10.39 | - | - | - | - |
| 180 | - | 10.72 | - | 10.72 | - | - | - | - |
| 181 | - | 10.37 | - | 10.37 | - | - | - | - |
| 182 | - | 10.36 | - | - | - | - | - | - |
| 183 | - | 10.70 | - | - | - | - | - | - |
| 184 | - | 10.35 | - | - | - | - | - | - |
| 185 | - | 10.69 | - | - | - | - | - | - |
| 186 | - | 10.34 | - | - | - | - | - | - |
| 187 | - | 10.33 | - | - | - | - | - | - |
| 188 | - | - | - | - | - | - | - | - |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 39
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-M5 Cap (%) | 2-M5 Cap (%) | 1-M6 Cap (%) | 2-M6 Cap (%) | B1 Cap (%) | B2 Cap (%) | B3 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 0 | - | - | - | - | - | - | - |
| 1 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 2 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 3 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 4 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 5 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 6 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 7 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 8 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 9 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 10 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 11 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 12 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 13 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 14 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 15 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 16 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 17 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 18 | 21.51 | 21.53 | 21.71 | 21.73 | 21.73 | 21.73 | 21.73 |
| 19 | 21.06 | 21.09 | 21.22 | 21.25 | 21.25 | 21.25 | 21.25 |
| 20 | 22.19 | 22.19 | 22.45 | 22.45 | 22.45 | 22.45 | 22.45 |
| 21 | 20.32 | 20.37 | 20.43 | 20.48 | 20.48 | 20.48 | 20.48 |
| 22 | 20.42 | 20.46 | 20.54 | 20.58 | 20.58 | 20.58 | 20.58 |
| 23 | 19.64 | 19.69 | 19.71 | 19.76 | 19.76 | 19.76 | 19.76 |
| 24 | 18.11 | 18.30 | 18.13 | 18.32 | 18.32 | 18.32 | 18.32 |
| 25 | 17.60 | 17.79 | 17.60 | 17.79 | 17.79 | 17.79 | 17.79 |
| 26 | 17.50 | 17.69 | 17.51 | 17.69 | 17.69 | 17.69 | 17.69 |
| 27 | 17.72 | 17.91 | 17.73 | 17.92 | 17.92 | 17.92 | 17.92 |
| 28 | 17.37 | 17.55 | 17.37 | 17.55 | 17.55 | 17.55 | 17.55 |
| 29 | 17.79 | 17.96 | 17.83 | 18.00 | 18.00 | 18.00 | 18.00 |
| 30 | 16.06 | 16.34 | 16.06 | 16.34 | 16.34 | 16.34 | 16.34 |
| 31 | 15.97 | 16.25 | 15.97 | 16.25 | 16.25 | 16.25 | 16.25 |
| 32 | 16.87 | 17.19 | 16.89 | 17.21 | 17.21 | 17.21 | 17.21 |
| 33 | 15.99 | 16.28 | 16.00 | 16.30 | 16.30 | 16.30 | 16.30 |
| 34 | 16.54 | 16.82 | 16.58 | 16.86 | 16.86 | 16.86 | 16.86 |
| 35 | 16.17 | 16.53 | 16.20 | 16.57 | 16.57 | 16.57 | 16.57 |
| 36 | 16.08 | 16.42 | 16.14 | 16.48 | 16.48 | 16.48 | 16.48 |
| 37 | 104.53 | 100.71 | 35.32 | 34.90 | 33.20 | 33.20 | 33.20 |
| 38 | 22.00 | 22.00 | 97.43 | 93.95 | 95.69 | 93.81 | 86.76 |
| 39 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 24.29 | 34.38 |
| 40 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 41 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 42 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 43 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 44 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 45 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 46 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 47 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 48 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 40
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-M5 Cap (%) | 2-M5 Cap (%) | 1-M6 Cap (%) | 2-M6 Cap (%) | B1 Cap (%) | B2 Cap (%) | B3 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 49 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 50 | 21.98 | 21.98 | 22.23 | 22.23 | 22.23 | 22.23 | 22.23 |
| 51 | 22.02 | 22.02 | 22.27 | 22.27 | 22.27 | 22.27 | 22.27 |
| 52 | 21.70 | 21.72 | 21.94 | 21.96 | 21.96 | 21.96 | 21.96 |
| 53 | 22.33 | 22.30 | 22.59 | 22.56 | 22.56 | 22.56 | 22.56 |
| 54 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 55 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 56 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 57 | 22.00 | 22.00 | 22.25 | 22.25 | 22.25 | 22.25 | 22.25 |
| 58 | 10.84 | 11.48 | 10.84 | 11.48 | 11.48 | 11.48 | 11.48 |
| 59 | 10.48 | 11.10 | 10.48 | 11.10 | 11.10 | 11.10 | 11.10 |
| 60 | 10.87 | 11.51 | 10.87 | 11.51 | 11.51 | 11.51 | 11.51 |
| 61 | 10.52 | 11.16 | 10.52 | 11.16 | 11.16 | 11.16 | 11.16 |
| 62 | 10.51 | 11.15 | 10.51 | 11.15 | 11.15 | 11.15 | 11.15 |
| 63 | 10.86 | 11.52 | 10.86 | 11.52 | 11.52 | 11.52 | 11.52 |
| 64 | 10.50 | 11.14 | 10.50 | 11.14 | 11.14 | 11.14 | 11.14 |
| 65 | 10.84 | 11.50 | 10.84 | 11.50 | 11.50 | 11.50 | 11.50 |
| 66 | 10.50 | 11.13 | 10.50 | 11.13 | 11.13 | 11.13 | 11.13 |
| 67 | 10.49 | 11.14 | 10.49 | 11.14 | 11.14 | 11.14 | 11.14 |
| 68 | 11.61 | 12.32 | 11.61 | 12.32 | 12.32 | 12.32 | 12.32 |
| 69 | 10.48 | 11.12 | 10.48 | 11.12 | 11.12 | 11.12 | 11.12 |
| 70 | 10.82 | 11.49 | 10.82 | 11.49 | 11.49 | 11.49 | 11.49 |
| 71 | 10.47 | 11.11 | 10.47 | 11.11 | 11.11 | 11.11 | 11.11 |
| 72 | 10.82 | 11.48 | 10.82 | 11.48 | 11.48 | 11.48 | 11.48 |
| 73 | 10.47 | 11.11 | 10.47 | 11.11 | 11.11 | 11.11 | 11.11 |
| 74 | 10.46 | 11.11 | 10.46 | 11.11 | 11.11 | 11.11 | 11.11 |
| 75 | 10.80 | 11.47 | 10.80 | 11.47 | 11.47 | 11.47 | 11.47 |
| 76 | 10.45 | 11.09 | 10.45 | 11.09 | 11.09 | 11.09 | 11.09 |
| 77 | 10.79 | 11.46 | 10.79 | 11.46 | 11.46 | 11.46 | 11.46 |
| 78 | 10.45 | 11.09 | 10.45 | 11.09 | 11.09 | 11.09 | 11.09 |
| 79 | 10.44 | 11.09 | 10.44 | 11.09 | 11.09 | 11.09 | 11.09 |
| 80 | 11.55 | 12.27 | 11.55 | 12.27 | 12.27 | 12.27 | 12.27 |
| 81 | 10.43 | 11.08 | 10.43 | 11.08 | 11.08 | 11.08 | 11.08 |
| 82 | 10.77 | 11.44 | 10.77 | 11.44 | 11.44 | 11.44 | 11.44 |
| 83 | 10.41 | 11.06 | 10.41 | 11.06 | 11.06 | 11.06 | 11.06 |
| 84 | 10.75 | 11.42 | 10.75 | 11.42 | 11.42 | 11.42 | 11.42 |
| 85 | 10.40 | 11.05 | 10.40 | 11.05 | 11.05 | 11.05 | 11.05 |
| 86 | 10.39 | 11.04 | 10.39 | 11.04 | 11.04 | 11.04 | 11.04 |
| 87 | 10.73 | 11.40 | 10.73 | 11.40 | 11.40 | 11.40 | 11.40 |
| 88 | 10.37 | 11.03 | 10.37 | 11.03 | 11.03 | 11.03 | 11.03 |
| 89 | 10.71 | 11.39 | 10.71 | 11.39 | 11.39 | 11.39 | 11.39 |
| 90 | 10.36 | 11.01 | 10.36 | 11.01 | 11.01 | 11.01 | 11.01 |
| 91 | 10.35 | 11.00 | 10.35 | 11.00 | 11.00 | 11.00 | 11.00 |
| 92 | 11.45 | 12.18 | 11.45 | 12.18 | 12.18 | 12.18 | 12.18 |
| 93 | 10.34 | 10.99 | 10.34 | 10.99 | 10.99 | 10.99 | 10.99 |
| 94 | 10.68 | 11.35 | 10.68 | 11.35 | 11.35 | 11.35 | 11.35 |
| 95 | 10.32 | 10.98 | 10.32 | 10.98 | 10.98 | 10.98 | 10.98 |
| 96 | 10.66 | 11.33 | 10.66 | 11.33 | 11.33 | 11.33 | 11.33 |
| 97 | 10.31 | 10.96 | 10.31 | 10.96 | 10.96 | 10.96 | 10.96 |
| 98 | 10.30 | 10.95 | 10.30 | 10.95 | 10.95 | 10.95 | 10.95 |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 41
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-M5 Cap (%) | 2-M5 Cap (%) | 1-M6 Cap (%) | 2-M6 Cap (%) | B1 Cap (%) | B2 Cap (%) | B3 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 99 | 10.64 | 11.31 | 10.64 | 11.31 | 11.31 | 11.31 | 11.31 |
| 100 | 10.29 | 10.94 | 10.29 | 10.94 | 10.94 | 10.94 | 10.94 |
| 101 | 10.62 | 11.30 | 10.62 | 11.30 | 11.30 | 11.30 | 11.30 |
| 102 | 10.27 | 10.93 | 10.27 | 10.93 | 10.93 | 10.93 | 10.93 |
| 103 | 10.27 | 10.92 | 10.27 | 10.92 | 10.92 | 10.92 | 10.92 |
| 104 | 10.97 | 11.66 | 10.97 | 11.66 | 11.66 | 11.66 | 11.66 |
| 105 | 10.25 | 10.90 | 10.25 | 10.90 | 10.90 | 10.90 | 10.90 |
| 106 | 10.59 | 11.26 | 10.59 | 11.26 | 11.26 | 11.26 | 11.26 |
| 107 | 10.24 | 10.89 | 10.24 | 10.89 | 10.89 | 10.89 | 10.89 |
| 108 | 10.57 | 11.24 | 10.57 | 11.24 | 11.24 | 11.24 | 11.24 |
| 109 | 10.22 | 10.87 | 10.22 | 10.87 | 10.87 | 10.87 | 10.87 |
| 110 | 10.22 | 10.87 | 10.22 | 10.87 | 10.87 | 10.87 | 10.87 |
| 111 | 10.55 | 11.22 | 10.55 | 11.22 | 11.22 | 11.22 | 11.22 |
| 112 | 10.20 | 10.85 | 10.20 | 10.85 | 10.85 | 10.85 | 10.85 |
| 113 | 10.54 | 11.21 | 10.54 | 11.21 | 11.21 | 11.21 | 11.21 |
| 114 | 10.19 | 10.84 | 10.19 | 10.84 | 10.84 | 10.84 | 10.84 |
| 115 | 10.18 | 10.83 | 10.18 | 10.83 | 10.83 | 10.83 | 10.83 |
| 116 | 11.26 | 11.98 | 11.26 | 11.98 | 11.98 | 11.98 | 11.98 |
| 117 | 10.17 | 10.82 | 10.17 | 10.82 | 10.82 | 10.82 | 10.82 |
| 118 | 10.50 | 11.17 | 10.50 | 11.17 | 11.17 | 11.17 | 11.17 |
| 119 | 10.15 | 10.80 | 10.15 | 10.80 | 10.80 | 10.80 | 10.80 |
| 120 | 10.48 | 11.16 | 10.48 | 11.16 | 11.16 | 11.16 | 11.16 |
| 121 | 10.14 | 10.79 | 10.14 | 10.79 | 10.79 | 10.79 | 10.79 |
| 122 | 10.13 | 10.78 | 10.13 | 10.78 | 10.78 | 10.78 | 10.78 |
| 123 | 10.46 | 11.13 | 10.46 | 11.13 | 11.13 | 11.13 | 11.13 |
| 124 | 10.12 | 10.77 | 10.12 | 10.77 | 10.77 | 10.77 | 10.77 |
| 125 | 10.45 | 11.12 | 10.45 | 11.12 | 11.12 | 11.12 | 11.12 |
| 126 | 10.10 | 10.75 | 10.10 | 10.75 | 10.75 | 10.75 | 10.75 |
| 127 | 10.10 | 10.75 | 10.10 | 10.75 | 10.75 | 10.75 | 10.75 |
| 128 | 11.17 | 11.89 | 11.17 | 11.89 | 11.89 | 11.89 | 11.89 |
| 129 | 10.08 | 10.73 | 10.08 | 10.73 | 10.73 | 10.73 | 10.73 |
| 130 | 10.41 | 11.08 | 10.41 | 11.08 | 11.08 | 11.08 | 11.08 |
| 131 | 10.07 | 10.72 | 10.07 | 10.72 | 10.72 | 10.72 | 10.72 |
| 132 | 10.40 | 11.07 | 10.40 | 11.07 | 11.07 | 11.07 | 11.07 |
| 133 | 10.06 | 10.70 | 10.06 | 10.70 | 10.70 | 10.70 | 10.70 |
| 134 | 10.05 | 10.70 | 10.05 | 10.70 | 10.70 | 10.70 | 10.70 |
| 135 | 10.38 | 11.04 | 10.38 | 11.04 | 11.04 | 11.04 | 11.04 |
| 136 | 10.04 | 10.68 | 10.04 | 10.68 | 10.68 | 10.68 | 10.68 |
| 137 | 10.36 | 11.03 | 10.36 | 11.03 | 11.03 | 11.03 | 11.03 |
| 138 | 10.02 | 10.67 | 10.02 | 10.67 | 10.67 | 10.67 | 10.67 |
| 139 | 10.02 | 10.66 | 10.02 | 10.66 | 10.66 | 10.66 | 10.66 |
| 140 | 11.08 | 11.79 | 11.08 | 11.79 | 11.79 | 11.79 | 11.79 |
| 141 | 10.00 | 10.65 | 10.00 | 10.65 | 10.65 | 10.65 | - |
| 142 | 10.33 | 10.99 | 10.33 | 10.99 | 10.99 | 10.99 | - |
| 143 | 9.99 | 10.63 | 9.99 | 10.63 | 10.63 | 10.63 | - |
| 144 | 10.32 | 10.98 | 10.32 | 10.98 | 10.98 | 10.98 | - |
| 145 | 9.98 | 10.62 | 9.98 | 10.62 | 10.62 | 10.62 | - |
| 146 | 9.97 | 10.61 | 9.97 | 10.61 | 10.61 | 10.61 | - |
| 147 | 10.29 | 10.96 | 10.29 | 10.96 | 10.96 | 10.96 | - |
| 148 | 9.96 | 10.60 | 9.96 | 10.60 | 10.60 | - | - |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 42
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period | 1-M5 Cap (%) | 2-M5 Cap (%) | 1-M6 Cap (%) | 2-M6 Cap (%) | B1 Cap (%) | B2 Cap (%) | B3 Cap (%) |
Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 | Actual/360 |
| 149 | 10.28 | 10.94 | 10.28 | 10.94 | 10.94 | - | - |
| 150 | 9.94 | 10.58 | 9.94 | 10.58 | 10.58 | - | - |
| 151 | 9.94 | 10.58 | 9.94 | 10.58 | 10.58 | - | - |
| 152 | 10.61 | 11.30 | 10.61 | 11.30 | 11.30 | - | - |
| 153 | 9.92 | 10.56 | 9.92 | 10.56 | 10.56 | - | - |
| 154 | 10.25 | 10.91 | 10.25 | 10.91 | 10.91 | - | - |
| 155 | 9.91 | 10.55 | 9.91 | 10.55 | - | - | - |
| 156 | 10.23 | 10.89 | 10.23 | 10.89 | - | - | - |
| 157 | 9.90 | 10.53 | - | 10.53 | - | - | - |
| 158 | 9.89 | 10.53 | - | 10.53 | - | - | - |
| 159 | 10.21 | 10.87 | - | 10.87 | - | - | - |
| 160 | 9.88 | 10.51 | - | - | - | - | - |
| 161 | 10.20 | 10.86 | - | - | - | - | - |
| 162 | - | 10.50 | - | - | - | - | - |
| 163 | - | 10.49 | - | - | - | - | - |
| 164 | - | 11.61 | - | - | - | - | - |
| 165 | - | 10.48 | - | - | - | - | - |
| 166 | - | - | - | - | - | - | - |
(1) Annualized coupon based on total interest paid to the certificates including Interest Distribution Amount, Interest Carry Forward Amounts and Basis Risk Carry Forward Amount, including any Net Swap Payments received from the Swap Counterparty
(2) Run to maturity assuming 100% PPC, no losses and 1 month LIBOR and 6 month LIBOR of 20%
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 43
Saxon Asset Securities Trust Mortgage Loan Asset Backed Certificates, Series 2007-3 | |
Interest Rate Swap Schedule
Swap Rate: [5.35%]
Period | Start Accrual | End Accrual | Swap Notional Balance $ | Period | Start Accrual | End Accrual | Swap Notional Balance $ | |
1 | 8/3/2007 | 8/25/2007 | 1,314,210,000.02 | 41 | 11/25/2010 | 12/25/2010 | 137,405,207.98 | |
2 | 8/25/2007 | 9/25/2007 | 1,269,424,158.38 | 42 | 12/25/2010 | 1/25/2011 | 113,144,253.37 | |
3 | 9/25/2007 | 10/25/2007 | 1,225,818,475.96 | 43 | 1/25/2011 | 2/25/2011 | 108,955,364.10 | |
4 | 10/25/2007 | 11/25/2007 | 1,183,319,186.90 | 44 | 2/25/2011 | 3/25/2011 | 105,004,994.18 | |
5 | 11/25/2007 | 12/25/2007 | 1,141,859,453.53 | 45 | 3/25/2011 | 4/25/2011 | 101,136,425.77 | |
6 | 12/25/2007 | 1/25/2008 | 1,101,379,224.54 | 46 | 4/25/2011 | 5/25/2011 | 97,290,172.73 | |
7 | 1/25/2008 | 2/25/2008 | 1,061,825,074.96 | 47 | 5/25/2011 | 6/25/2011 | 93,166,758.82 | |
8 | 2/25/2008 | 3/25/2008 | 1,023,150,026.51 | 48 | 6/25/2011 | 7/25/2011 | 83,816,308.71 | |
9 | 3/25/2008 | 4/25/2008 | 985,313,464.30 | 49 | 7/25/2011 | 8/25/2011 | 80,860,841.60 | |
10 | 4/25/2008 | 5/25/2008 | 948,282,053.16 | 50 | 8/25/2011 | 9/25/2011 | 78,038,157.68 | |
11 | 5/25/2008 | 6/25/2008 | 912,030,666.49 | 51 | 9/25/2011 | 10/25/2011 | 75,313,169.38 | |
12 | 6/25/2008 | 7/25/2008 | 876,550,054.73 | 52 | 10/25/2011 | 11/25/2011 | 72,682,525.42 | |
13 | 7/25/2008 | 8/25/2008 | 841,827,626.02 | 53 | 11/25/2011 | 12/25/2011 | 70,142,988.32 | |
14 | 8/25/2008 | 9/25/2008 | 807,858,140.55 | 54 | 12/25/2011 | 1/25/2012 | 67,691,430.61 | |
15 | 9/25/2008 | 10/25/2008 | 774,689,617.63 | 55 | 1/25/2012 | 2/25/2012 | 65,324,832.35 | |
16 | 10/25/2008 | 11/25/2008 | 742,823,387.40 | 56 | 2/25/2012 | 3/25/2012 | 63,040,273.75 | |
17 | 11/25/2008 | 12/25/2008 | 712,275,353.79 | 57 | 3/25/2012 | 4/25/2012 | 60,834,935.63 | |
18 | 12/25/2008 | 1/25/2009 | 682,976,136.73 | 58 | 4/25/2012 | 5/25/2012 | - | |
19 | 1/25/2009 | 2/25/2009 | 654,722,095.73 | |||||
20 | 2/25/2009 | 3/25/2009 | 627,531,193.91 | |||||
21 | 3/25/2009 | 4/25/2009 | 601,733,291.61 | |||||
22 | 4/25/2009 | 5/25/2009 | 576,456,806.34 | |||||
23 | 5/25/2009 | 6/25/2009 | 549,873,021.00 | |||||
24 | 6/25/2009 | 7/25/2009 | 441,588,002.68 | |||||
25 | 7/25/2009 | 8/25/2009 | 422,117,776.04 | |||||
26 | 8/25/2009 | 9/25/2009 | 405,004,542.65 | |||||
27 | 9/25/2009 | 10/25/2009 | 388,727,473.90 | |||||
28 | 10/25/2009 | 11/25/2009 | 372,819,387.76 | |||||
29 | 11/25/2009 | 12/25/2009 | 356,124,985.85 | |||||
30 | 12/25/2009 | 1/25/2010 | 292,392,210.88 | |||||
31 | 1/25/2010 | 2/25/2010 | 279,656,021.84 | |||||
32 | 2/25/2010 | 3/25/2010 | 268,247,880.50 | |||||
33 | 3/25/2010 | 4/25/2010 | 256,996,790.61 | |||||
34 | 4/25/2010 | 5/25/2010 | 245,427,956.25 | |||||
35 | 5/25/2010 | 6/25/2010 | 231,430,974.24 | |||||
36 | 6/25/2010 | 7/25/2010 | 170,712,752.79 | |||||
37 | 7/25/2010 | 8/25/2010 | 163,713,382.66 | |||||
38 | 8/25/2010 | 9/25/2010 | 157,421,899.83 | |||||
39 | 9/25/2010 | 10/25/2010 | 151,184,865.55 | |||||
40 | 10/25/2010 | 11/25/2010 | 144,826,247.45 |
Swap schedule is subject to change based on final collateral and final rating agency approval
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Page 44
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Summary Statistics
Number of Mortgage Loans: 5,232
Aggregate Principal Balance ($): 1,344,621,691
Weighted Average Current Mortgage Rate (%): 8.462
Non-Zero Weighted Average Margin (%): 6.184
Non-Zero Weighted Average Maximum Rate (%): 14.592
Weighted Average Stated Original Term (months): 361
Weighted Average Stated Remaining Term (months): 360
Weighted Average Combined Original LTV (%): 81.69
% First Liens: 99.96
% Owner Occupied: 91.08
% Purchase: 18.16
% Full Doc: 74.04
Non-Zero Weighted Average Credit Score: 627
Originator
| Originator | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| SAXON | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Product Type
| Product Type | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed—10 Year | 4 | 331,313 | 0.02 | 7.422 | 118 | 59.40 | 637 |
| Fixed—12 Year | 1 | 50,191 | 0.00 | 8.850 | 140 | 85.00 | 621 |
| Fixed—15 Year | 40 | 4,865,932 | 0.36 | 8.350 | 177 | 72.88 | 622 |
| Fixed—20 Year | 28 | 3,240,885 | 0.24 | 7.874 | 238 | 75.12 | 627 |
| Fixed—25 Year | 18 | 2,886,261 | 0.21 | 8.081 | 295 | 79.31 | 631 |
| Fixed—30 Year | 1,401 | 262,702,302 | 19.54 | 8.309 | 358 | 77.57 | 620 |
| Fixed—40 Year | 69 | 17,045,104 | 1.27 | 8.094 | 479 | 76.40 | 646 |
| Balloon—15/30 | 14 | 564,799 | 0.04 | 11.621 | 172 | 100.00 | 636 |
| Balloon—30/40 | 168 | 40,593,515 | 3.02 | 8.169 | 358 | 80.87 | 626 |
| Balloon—30/50 | 140 | 40,896,223 | 3.04 | 7.644 | 358 | 78.96 | 651 |
| ARM—2 Year/6 Month Balloon 30/40 | 273 | 77,775,045 | 5.78 | 8.781 | 359 | 82.50 | 609 |
| ARM—2 Year/6 Month Balloon 30/50 | 236 | 80,395,922 | 5.98 | 8.530 | 359 | 83.42 | 619 |
| ARM—3 Year/6 Month Balloon 30/40 | 244 | 63,666,841 | 4.73 | 8.874 | 358 | 87.43 | 614 |
| ARM—3 Year/6 Month Balloon 30/50 | 150 | 54,047,932 | 4.02 | 8.273 | 359 | 84.38 | 637 |
| ARM—5 Year/6 Month Balloon 30/40 | 13 | 3,786,258 | 0.28 | 8.383 | 359 | 83.97 | 646 |
| ARM—5 Year/6 Month Balloon 30/50 | 6 | 2,614,438 | 0.19 | 7.702 | 360 | 85.39 | 643 |
| ARM—2 Year/6 Month—40 Years | 22 | 4,884,330 | 0.36 | 8.278 | 480 | 80.31 | 628 |
| ARM—3 Year/6 Month—40 Years | 18 | 4,770,747 | 0.35 | 8.473 | 479 | 82.72 | 625 |
| ARM—2 Year/6 Month | 801 | 191,465,353 | 14.24 | 8.919 | 359 | 82.02 | 613 |
| ARM—3 Year/6 Month | 711 | 160,100,494 | 11.91 | 8.921 | 358 | 84.82 | 612 |
| ARM—5 Year/6 Month | 19 | 6,044,135 | 0.45 | 8.278 | 359 | 77.72 | 613 |
| Interest Only Fixed—20 Year—60 mo. IO term | 1 | 235,000 | 0.02 | 6.950 | 240 | 68.12 | 692 |
| Interest Only Fixed—30 Year—60 mo. IO term | 92 | 27,590,902 | 2.05 | 7.681 | 359 | 76.41 | 661 |
| Interest Only ARM—2 Year/6 Month—60 mo. IO term | 361 | 137,635,294 | 10.24 | 8.380 | 359 | 83.00 | 645 |
| Interest Only ARM—3 Year/6 Month—60 mo. IO term | 347 | 135,168,816 | 10.05 | 8.051 | 359 | 82.65 | 657 |
| Interest Only ARM—5 Year/6 Month—60 mo. IO term | 55 | 21,263,658 | 1.58 | 7.480 | 359 | 79.22 | 672 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Range of Gross Interest Rates (%)
| Range of Gross Interest Rates (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 5.000—5.999 | 4 | 2,255,426 | 0.17 | 5.883 | 359 | 78.32 | 695 |
| 6.000—6.999 | 455 | 141,180,230 | 10.50 | 6.730 | 361 | 74.20 | 655 |
| 7.000—7.999 | 1,323 | 380,379,696 | 28.29 | 7.611 | 360 | 77.49 | 641 |
| 8.000—8.999 | 1,609 | 427,672,520 | 31.81 | 8.568 | 360 | 82.44 | 626 |
| 9.000—9.999 | 1,246 | 286,441,533 | 21.30 | 9.520 | 359 | 86.73 | 610 |
| 10.000—10.999 | 501 | 92,617,073 | 6.89 | 10.458 | 359 | 90.41 | 596 |
| 11.000—11.999 | 85 | 13,713,585 | 1.02 | 11.324 | 352 | 87.88 | 587 |
| 12.000—12.999 | 8 | 355,474 | 0.03 | 12.341 | 278 | 88.61 | 595 |
| 13.000—13.999 | 1 | 6,156 | 0.00 | 13.500 | 59 | 100.00 | 592 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Minimum: 5.750
Maximum: 13.500
Weighted Average: 8.462
Range of Cut-off Date Principal Balances ($)
| Range of Cut-off Date Principal Balances ($) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 1—25,000 | 6 | 99,994 | 0.01 | 10.589 | 179 | 100.00 | 626 |
| 25,001—50,000 | 12 | 484,390 | 0.04 | 10.726 | 247 | 80.33 | 608 |
| 50,001—75,000 | 119 | 8,049,180 | 0.60 | 9.355 | 334 | 75.27 | 606 |
| 75,001—100,000 | 487 | 42,949,386 | 3.19 | 9.196 | 352 | 80.85 | 609 |
| 100,001—125,000 | 539 | 60,892,585 | 4.53 | 8.973 | 356 | 81.16 | 612 |
| 125,001—150,000 | 525 | 72,243,436 | 5.37 | 8.922 | 357 | 80.89 | 612 |
| 150,001—175,000 | 438 | 71,362,010 | 5.31 | 8.679 | 360 | 81.68 | 617 |
| 175,001—200,000 | 403 | 75,798,704 | 5.64 | 8.569 | 361 | 80.83 | 619 |
| 200,001—225,000 | 349 | 74,151,779 | 5.51 | 8.434 | 361 | 81.61 | 621 |
| 225,001—250,000 | 316 | 75,336,347 | 5.60 | 8.452 | 360 | 81.64 | 624 |
| 250,001—275,000 | 274 | 71,942,137 | 5.35 | 8.454 | 362 | 81.16 | 624 |
| 275,001—300,000 | 239 | 68,877,850 | 5.12 | 8.396 | 360 | 80.93 | 622 |
| 300,001—325,000 | 191 | 59,854,065 | 4.45 | 8.283 | 358 | 81.65 | 631 |
| 325,001—350,000 | 148 | 49,983,637 | 3.72 | 8.204 | 363 | 80.99 | 632 |
| 350,001—375,000 | 148 | 53,509,083 | 3.98 | 8.281 | 359 | 82.83 | 634 |
| 375,001—400,000 | 112 | 43,357,602 | 3.22 | 8.199 | 362 | 79.87 | 634 |
| 400,001—425,000 | 119 | 49,266,859 | 3.66 | 8.249 | 362 | 82.21 | 633 |
| 425,001—450,000 | 105 | 46,121,144 | 3.43 | 8.067 | 361 | 81.30 | 636 |
| 450,001—475,000 | 106 | 49,105,693 | 3.65 | 8.204 | 362 | 80.85 | 637 |
| 475,001—500,000 | 98 | 47,920,685 | 3.56 | 8.229 | 360 | 81.30 | 631 |
| 500,001—750,000 | 406 | 239,500,110 | 17.81 | 8.437 | 361 | 83.65 | 634 |
| 750,001—1,000,000 | 81 | 69,886,741 | 5.20 | 8.327 | 361 | 81.87 | 645 |
| 1,000,001 >= | 11 | 13,928,272 | 1.04 | 7.904 | 360 | 79.10 | 664 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Minimum: 6,156
Maximum: 2,000,000
Average: 257,000
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Stated Original Term (months)
| Stated Original Term (months) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 120 | 4 | 331,313 | 0.02 | 7.422 | 118 | 59.40 | 637 |
| 144 | 1 | 50,191 | 0.00 | 8.850 | 140 | 85.00 | 621 |
| 180 | 54 | 5,430,731 | 0.40 | 8.690 | 176 | 75.70 | 623 |
| 240 | 29 | 3,475,885 | 0.26 | 7.811 | 238 | 74.65 | 632 |
| 300 | 18 | 2,886,261 | 0.21 | 8.081 | 295 | 79.31 | 631 |
| 360 | 5,017 | 1,305,747,128 | 97.11 | 8.469 | 359 | 81.81 | 627 |
| 480 | 109 | 26,700,182 | 1.99 | 8.195 | 479 | 78.24 | 639 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Minimum: 120
Maximum: 480
Weighted Average: 361
Range of Stated Remaining Terms (months)
| Range of Stated Remaining Terms (months) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 49—60 | 1 | 6,156 | 0.00 | 13.500 | 59 | 100.00 | 592 |
| 109—120 | 4 | 331,313 | 0.02 | 7.422 | 118 | 59.40 | 637 |
| 133—144 | 1 | 50,191 | 0.00 | 8.850 | 140 | 85.00 | 621 |
| 169—180 | 53 | 5,424,576 | 0.40 | 8.684 | 176 | 75.67 | 623 |
| 229—240 | 29 | 3,475,885 | 0.26 | 7.811 | 238 | 74.65 | 632 |
| 289—300 | 18 | 2,886,261 | 0.21 | 8.081 | 295 | 79.31 | 631 |
| 337—348 | 3 | 333,021 | 0.02 | 8.338 | 345 | 83.01 | 582 |
| 349—360 | 5,014 | 1,305,414,107 | 97.08 | 8.469 | 359 | 81.81 | 627 |
| 469—480 | 109 | 26,700,182 | 1.99 | 8.195 | 479 | 78.24 | 639 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Minimum: 59
Maximum: 480
Weighted Average: 360
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Range of Combined Original LTV Ratios (%)
| �� | |||||||
| Range of Combined Original LTV Ratios (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 10.01—15.00 | 2 | 174,550 | 0.01 | 7.809 | 357 | 13.12 | 590 |
| 15.01—20.00 | 5 | 562,150 | 0.04 | 8.216 | 357 | 18.23 | 596 |
| 20.01—25.00 | 7 | 761,767 | 0.06 | 8.042 | 358 | 23.17 | 598 |
| 25.01—30.00 | 6 | 1,113,701 | 0.08 | 8.030 | 411 | 27.11 | 597 |
| 30.01—35.00 | 17 | 2,892,575 | 0.22 | 7.439 | 359 | 33.03 | 659 |
| 35.01—40.00 | 35 | 6,952,212 | 0.52 | 7.753 | 358 | 37.80 | 640 |
| 40.01—45.00 | 40 | 7,462,893 | 0.56 | 7.693 | 353 | 42.74 | 632 |
| 45.01—50.00 | 59 | 10,629,324 | 0.79 | 8.037 | 354 | 47.44 | 623 |
| 50.01—55.00 | 62 | 12,483,182 | 0.93 | 7.915 | 361 | 52.92 | 618 |
| 55.01—60.00 | 140 | 30,094,463 | 2.24 | 7.874 | 363 | 58.04 | 610 |
| 60.01—65.00 | 233 | 56,416,097 | 4.20 | 7.786 | 360 | 63.31 | 620 |
| 65.01—70.00 | 308 | 77,657,184 | 5.78 | 7.771 | 357 | 68.84 | 625 |
| 70.01—75.00 | 502 | 138,097,019 | 10.27 | 8.044 | 362 | 74.25 | 631 |
| 75.01—80.00 | 1,083 | 295,406,507 | 21.97 | 8.133 | 360 | 79.43 | 632 |
| 80.01—85.00 | 784 | 208,401,915 | 15.50 | 8.616 | 360 | 84.53 | 625 |
| 85.01—90.00 | 940 | 264,775,295 | 19.69 | 8.749 | 359 | 89.75 | 624 |
| 90.01—95.00 | 606 | 174,174,062 | 12.95 | 9.011 | 362 | 94.81 | 641 |
| 95.01—100.00 | 403 | 56,566,797 | 4.21 | 9.990 | 351 | 100.00 | 597 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Minimum: 12.35
Maximum: 100.00
Weighted Average: 81.69
Range of Gross Margins (%)
| Range of Gross Margins (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 1,976 | 401,002,428 | 29.82 | 8.173 | 359 | 77.87 | 628 |
| 3.501—4.000 | 1 | 132,377 | 0.01 | 10.140 | 354 | 100.00 | 593 |
| 4.001—4.500 | 159 | 42,788,468 | 3.18 | 8.869 | 361 | 85.58 | 627 |
| 4.501—5.000 | 2 | 478,107 | 0.04 | 8.436 | 354 | 85.01 | 667 |
| 5.001—5.500 | 389 | 109,415,171 | 8.14 | 8.253 | 362 | 79.16 | 620 |
| 5.501—6.000 | 521 | 156,974,761 | 11.67 | 7.876 | 360 | 72.40 | 630 |
| 6.001—6.500 | 1,276 | 398,778,965 | 29.66 | 8.516 | 360 | 83.05 | 632 |
| 6.501—7.000 | 613 | 188,179,915 | 14.00 | 9.136 | 361 | 91.08 | 625 |
| 7.001—7.500 | 26 | 4,141,671 | 0.31 | 9.161 | 354 | 94.03 | 596 |
| 7.501—8.000 | 251 | 39,502,409 | 2.94 | 9.941 | 353 | 98.74 | 596 |
| 8.001—8.500 | 11 | 2,199,553 | 0.16 | 9.156 | 353 | 100.00 | 601 |
| 8.501—9.000 | 3 | 471,719 | 0.04 | 9.718 | 353 | 99.90 | 591 |
| 9.001—9.500 | 2 | 256,673 | 0.02 | 9.479 | 352 | 100.00 | 600 |
| 9.501—10.000 | 2 | 299,472 | 0.02 | 10.915 | 353 | 100.00 | 591 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Non-Zero Minimum: 4.000
Maximum: 9.990
Non-Zero Weighted Average: 6.184
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Range of Minimum Mortgage Rates (%)
| Range of Minimum Mortgage Rates (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 1,976 | 401,002,428 | 29.82 | 8.173 | 359 | 77.87 | 628 |
| <=5.000 | 157 | 41,834,250 | 3.11 | 8.868 | 361 | 85.37 | 625 |
| 5.001—5.500 | 383 | 108,552,579 | 8.07 | 8.254 | 362 | 79.17 | 620 |
| 5.501—6.000 | 487 | 149,569,309 | 11.12 | 7.843 | 360 | 72.02 | 630 |
| 6.001—6.500 | 1,200 | 381,218,541 | 28.35 | 8.479 | 360 | 83.09 | 632 |
| 6.501—7.000 | 577 | 183,643,060 | 13.66 | 9.092 | 361 | 90.73 | 626 |
| 7.001—7.500 | 13 | 3,691,844 | 0.27 | 8.027 | 358 | 79.69 | 653 |
| 7.501—8.000 | 23 | 5,749,743 | 0.43 | 8.361 | 357 | 80.98 | 634 |
| 8.001—8.500 | 26 | 5,708,712 | 0.42 | 8.847 | 364 | 85.24 | 625 |
| 8.501—9.000 | 48 | 9,431,042 | 0.70 | 9.135 | 357 | 89.13 | 624 |
| 9.001—9.500 | 63 | 13,070,422 | 0.97 | 9.408 | 355 | 94.87 | 616 |
| 9.501—10.000 | 119 | 19,599,669 | 1.46 | 9.835 | 356 | 96.28 | 596 |
| 10.001—10.500 | 75 | 10,888,169 | 0.81 | 10.273 | 353 | 99.17 | 591 |
| 10.501—11.000 | 68 | 8,135,264 | 0.61 | 10.780 | 353 | 99.36 | 592 |
| 11.001—11.500 | 16 | 2,448,935 | 0.18 | 11.212 | 356 | 93.94 | 597 |
| 11.501—12.000 | 1 | 77,724 | 0.01 | 11.590 | 353 | 100.00 | 585 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Non-Zero Minimum: 4.500
Maximum: 11.590
Non-Zero Weighted Average: 6.371
Range of Maximum Mortgage Rates (%)
| Range of Maximum Mortgage Rates (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 1,976 | 401,002,428 | 29.82 | 8.173 | 359 | 77.87 | 628 |
| <= 12.500 | 64 | 23,618,569 | 1.76 | 6.327 | 363 | 74.76 | 660 |
| 12.501—13.000 | 162 | 55,707,501 | 4.14 | 6.900 | 361 | 77.04 | 655 |
| 13.001—13.500 | 241 | 83,071,038 | 6.18 | 7.330 | 360 | 78.32 | 648 |
| 13.501—14.000 | 470 | 158,507,245 | 11.79 | 7.820 | 360 | 79.78 | 639 |
| 14.001—14.500 | 412 | 123,309,184 | 9.17 | 8.311 | 361 | 82.32 | 630 |
| 14.501—15.000 | 643 | 196,304,779 | 14.60 | 8.793 | 361 | 84.11 | 624 |
| 15.001—15.500 | 410 | 113,068,701 | 8.41 | 9.272 | 360 | 86.35 | 613 |
| 15.501—16.000 | 473 | 112,292,993 | 8.35 | 9.786 | 360 | 88.44 | 610 |
| 16.001—16.500 | 189 | 41,407,554 | 3.08 | 10.263 | 358 | 90.70 | 604 |
| 16.501—17.000 | 143 | 26,203,010 | 1.95 | 10.745 | 358 | 91.58 | 589 |
| 17.001—17.500 | 41 | 8,910,753 | 0.66 | 11.172 | 358 | 88.13 | 597 |
| 17.501—18.000 | 8 | 1,217,936 | 0.09 | 11.424 | 359 | 86.94 | 560 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Non-Zero Minimum: 11.750
Maximum: 17.990
Non-Zero Weighted Average: 14.592
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Initial Periodic Cap (%)
| Initial Periodic Cap (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 1,976 | 401,002,428 | 29.82 | 8.173 | 359 | 77.87 | 628 |
| 1.000 | 14 | 4,402,765 | 0.33 | 9.052 | 359 | 80.30 | 647 |
| 1.500 | 13 | 3,769,914 | 0.28 | 8.033 | 357 | 81.88 | 627 |
| 2.000 | 2 | 735,413 | 0.05 | 8.601 | 357 | 90.00 | 697 |
| 2.625 | 1 | 188,262 | 0.01 | 8.325 | 358 | 83.78 | 585 |
| 3.000 | 3,226 | 934,522,909 | 69.50 | 8.584 | 360 | 83.32 | 627 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 2.984
Subsequent Periodic Cap (%)
| Subsequent Periodic Cap (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 1,976 | 401,002,428 | 29.82 | 8.173 | 359 | 77.87 | 628 |
| 1.000 | 3,243 | 939,849,349 | 69.90 | 8.587 | 360 | 83.32 | 627 |
| 1.500 | 13 | 3,769,914 | 0.28 | 8.033 | 357 | 81.88 | 627 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Non-Zero Minimum: 1.000
Maximum: 1.500
Non-Zero Weighted Average: 1.002
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Months to Next Rate Adjustment
| Months to Next Rate Adjustment | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 1,976 | 401,002,428 | 29.82 | 8.173 | 359 | 77.87 | 628 |
| 1 | 1 | 78,472 | 0.01 | 7.850 | 337 | 69.57 | 545 |
| 13 | 1 | 238,000 | 0.02 | 6.640 | 349 | 80.00 | 646 |
| 14 | 1 | 164,414 | 0.01 | 7.840 | 350 | 80.00 | 639 |
| 16 | 5 | 880,774 | 0.07 | 9.084 | 352 | 90.26 | 584 |
| 17 | 2 | 220,526 | 0.02 | 10.617 | 353 | 100.00 | 605 |
| 18 | 12 | 2,072,077 | 0.15 | 9.243 | 354 | 95.47 | 589 |
| 19 | 1 | 284,246 | 0.02 | 9.440 | 355 | 100.00 | 641 |
| 20 | 13 | 3,650,881 | 0.27 | 8.056 | 356 | 84.45 | 623 |
| 21 | 48 | 12,781,950 | 0.95 | 8.378 | 357 | 82.57 | 616 |
| 22 | 332 | 90,789,546 | 6.75 | 8.718 | 359 | 81.64 | 620 |
| 23 | 569 | 165,222,523 | 12.29 | 8.631 | 360 | 82.31 | 619 |
| 24 | 663 | 205,380,065 | 15.27 | 8.714 | 362 | 82.92 | 626 |
| 25 | 46 | 10,536,830 | 0.78 | 8.748 | 360 | 84.32 | 634 |
| 26 | 2 | 286,741 | 0.02 | 9.218 | 350 | 100.00 | 595 |
| 27 | 3 | 377,583 | 0.03 | 9.860 | 351 | 100.00 | 614 |
| 28 | 74 | 11,222,417 | 0.83 | 9.866 | 352 | 99.19 | 594 |
| 29 | 156 | 23,594,027 | 1.75 | 9.971 | 353 | 99.86 | 593 |
| 30 | 63 | 9,494,902 | 0.71 | 9.837 | 354 | 99.04 | 602 |
| 32 | 1 | 187,099 | 0.01 | 8.150 | 356 | 68.22 | 577 |
| 33 | 20 | 5,213,820 | 0.39 | 8.578 | 357 | 84.88 | 630 |
| 34 | 194 | 54,854,673 | 4.08 | 8.557 | 360 | 83.42 | 632 |
| 35 | 367 | 124,445,880 | 9.26 | 8.300 | 361 | 82.55 | 632 |
| 36 | 533 | 170,853,615 | 12.71 | 8.348 | 361 | 82.45 | 636 |
| 37 | 56 | 17,079,712 | 1.27 | 8.624 | 361 | 81.46 | 647 |
| 57 | 1 | 474,397 | 0.04 | 10.250 | 357 | 79.17 | 626 |
| 58 | 8 | 2,130,235 | 0.16 | 8.219 | 358 | 87.45 | 603 |
| 59 | 40 | 14,013,237 | 1.04 | 7.646 | 359 | 81.53 | 654 |
| 60 | 42 | 16,500,620 | 1.23 | 7.698 | 360 | 77.47 | 666 |
| 61 | 2 | 590,000 | 0.04 | 7.475 | 360 | 85.94 | 675 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Non-Zero Minimum: 1
Maximum: 60
Non-Zero Weighted Average: 30
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Geographic Distribution of Mortgaged Properties
| Geographic Distribution of Mortgaged Properties | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| California | 686 | 276,468,120 | 20.56 | 8.045 | 361 | 79.62 | 635 |
| Florida | 615 | 139,605,289 | 10.38 | 8.446 | 361 | 80.57 | 626 |
| Maryland | 468 | 130,827,363 | 9.73 | 8.338 | 360 | 81.61 | 621 |
| New York | 303 | 118,639,208 | 8.82 | 8.256 | 362 | 79.98 | 637 |
| New Jersey | 219 | 73,422,696 | 5.46 | 8.538 | 362 | 81.22 | 627 |
| Virginia | 244 | 64,290,712 | 4.78 | 8.385 | 361 | 80.86 | 626 |
| Massachusetts | 165 | 55,087,034 | 4.10 | 8.253 | 361 | 79.27 | 638 |
| Illinois | 229 | 51,609,437 | 3.84 | 8.969 | 361 | 85.24 | 624 |
| Texas | 254 | 42,236,022 | 3.14 | 8.825 | 356 | 84.76 | 624 |
| Arizona | 169 | 38,059,424 | 2.83 | 8.373 | 357 | 80.01 | 628 |
| Georgia | 161 | 29,361,162 | 2.18 | 9.074 | 357 | 85.89 | 619 |
| Washington | 99 | 25,913,079 | 1.93 | 8.503 | 356 | 81.11 | 622 |
| Pennsylvania | 141 | 22,452,419 | 1.67 | 8.692 | 355 | 83.85 | 614 |
| Ohio | 130 | 17,687,397 | 1.32 | 9.287 | 356 | 90.98 | 617 |
| Connecticut | 71 | 17,420,105 | 1.30 | 8.274 | 364 | 83.16 | 630 |
| Other | 1,278 | 241,542,225 | 17.96 | 8.855 | 357 | 84.02 | 621 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Number of States/District of Columbia Represented: 51
Occupancy
| Occupancy | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Primary | 4,706 | 1,224,616,806 | 91.08 | 8.429 | 360 | 82.23 | 625 |
| Investment | 475 | 103,650,523 | 7.71 | 8.803 | 359 | 76.56 | 656 |
| Second Home | 51 | 16,354,362 | 1.22 | 8.749 | 356 | 73.82 | 655 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Property Type
| Property Type | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Single Family Residence | 4,004 | 977,583,875 | 72.70 | 8.442 | 359 | 81.61 | 626 |
| Planned Unit Development | 601 | 177,409,144 | 13.19 | 8.459 | 360 | 83.89 | 628 |
| 2-4 Family | 418 | 139,533,538 | 10.38 | 8.439 | 362 | 78.71 | 639 |
| Condo | 208 | 49,979,334 | 3.72 | 8.929 | 360 | 83.71 | 629 |
| Manufactured Housing | 1 | 115,800 | 0.01 | 7.500 | 360 | 37.12 | 709 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Loan Purpose
| Loan Purpose | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Refinance—Cashout | 3,852 | 1,019,949,112 | 75.85 | 8.312 | 360 | 79.82 | 625 |
| Purchase | 1,033 | 244,211,823 | 18.16 | 9.159 | 359 | 89.64 | 635 |
| Refinance—Rate Term | 347 | 80,460,757 | 5.98 | 8.250 | 360 | 81.15 | 638 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Documentation Level
| Documentation Level | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Full Documentation | 4,076 | 995,592,971 | 74.04 | 8.462 | 360 | 83.67 | 621 |
| Stated Documentation | 1,091 | 327,006,047 | 24.32 | 8.482 | 360 | 75.79 | 646 |
| Limited Documentation | 65 | 22,022,673 | 1.64 | 8.165 | 361 | 79.46 | 628 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Credit Score
| Credit Score | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Below 500 | 1 | 62,917 | 0.00 | 12.450 | 355 | 49.22 | 489 |
| 500—524 | 29 | 4,616,995 | 0.34 | 9.951 | 348 | 73.62 | 510 |
| 525—549 | 80 | 13,731,483 | 1.02 | 9.277 | 355 | 73.18 | 537 |
| 550—574 | 547 | 123,776,299 | 9.21 | 9.048 | 360 | 79.15 | 560 |
| 575—599 | 982 | 206,536,608 | 15.36 | 8.968 | 358 | 83.62 | 587 |
| 600—624 | 1,302 | 335,344,848 | 24.94 | 8.637 | 359 | 81.67 | 612 |
| 625—649 | 1,026 | 281,247,494 | 20.92 | 8.321 | 359 | 82.30 | 637 |
| 650—674 | 682 | 191,814,968 | 14.27 | 8.041 | 362 | 82.24 | 661 |
| 675—699 | 342 | 107,053,474 | 7.96 | 7.762 | 362 | 81.39 | 686 |
| 700—724 | 132 | 43,797,812 | 3.26 | 7.703 | 361 | 79.44 | 710 |
| 725—749 | 60 | 20,407,193 | 1.52 | 7.664 | 359 | 80.47 | 736 |
| 750—774 | 33 | 10,848,030 | 0.81 | 7.684 | 360 | 79.49 | 760 |
| 775—799 | 12 | 4,133,722 | 0.31 | 7.923 | 352 | 76.26 | 781 |
| 800 + | 4 | 1,249,849 | 0.09 | 9.318 | 359 | 83.18 | 804 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Non-Zero Minimum: 489
Maximum: 806
Non-Zero Weighted Average: 627
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Aggregate | 5,232 records Balance: $1,344,621,691 |
Prepayment Penalty Term
| Prepayment Penalty Term | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 0 | 1,756 | 456,441,371 | 33.95 | 8.671 | 359 | 81.64 | 626 |
| 6 | 1 | 175,966 | 0.01 | 9.325 | 359 | 80.00 | 742 |
| 12 | 410 | 150,180,473 | 11.17 | 8.371 | 362 | 80.34 | 634 |
| 24 | 1,120 | 312,234,706 | 23.22 | 8.490 | 360 | 82.38 | 622 |
| 30 | 12 | 2,559,919 | 0.19 | 8.517 | 350 | 87.41 | 634 |
| 36 | 1,932 | 422,901,257 | 31.45 | 8.246 | 359 | 81.66 | 630 |
| 60 | 1 | 128,000 | 0.01 | 9.000 | 360 | 80.00 | 600 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Non-Zero Minimum: 6
Maximum: 60
Non-Zero Weighted Average: 28
Lien Position
Lien Position | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 1st Lien | 5,216 | 1,344,026,449 | 99.96 | 8.460 | 360 | 81.68 | 627 |
| 2nd Lien | 16 | 595,242 | 0.04 | 11.563 | 173 | 100.00 | 636 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
Interest Only Term
| Interest Only Term | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 0 | 4,376 | 1,022,728,021 | 76.06 | 8.569 | 360 | 81.58 | 619 |
| 60 | 856 | 321,893,670 | 23.94 | 8.121 | 359 | 82.03 | 653 |
| Total: | 5,232 | 1,344,621,691 | 100.00 | 8.462 | 360 | 81.69 | 627 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Group 2 | 2,904 records Balance: $616,500,506 |
Summary Statistics
Number of Mortgage Loans: 1,327
Aggregate Principal Balance ($): 522,260,332
Weighted Average Current Mortgage Rate (%): 8.593
Non-Zero Weighted Average Margin (%): 6.329
Non-Zero Weighted Average Maximum Rate (%): 14.683
Weighted Average Stated Original Term (months): 361
Weighted Average Stated Remaining Term (months): 359
Weighted Average Combined Original LTV (%): 84.89
% First Liens: 99.89
% Owner Occupied: 91.71
% Purchase: 33.71
% Full Doc: 73.90
Non-Zero Weighted Average Credit Score: 632
Originator
| Originator | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| SAXON | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Product Type
| Product Type | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed—15 Year | 1 | 6,156 | 0.00 | 13.500 | 59 | 100.00 | 592 |
| Fixed—20 Year | 2 | 113,599 | 0.02 | 9.110 | 234 | 92.14 | 624 |
| Fixed—25 Year | 1 | 486,312 | 0.09 | 6.990 | 294 | 69.50 | 609 |
| Fixed—30 Year | 188 | 55,221,271 | 10.57 | 8.554 | 357 | 82.37 | 624 |
| Fixed—40 Year | 6 | 3,436,206 | 0.66 | 7.413 | 477 | 71.32 | 668 |
| Balloon—15/30 | 14 | 564,799 | 0.11 | 11.621 | 172 | 100.00 | 636 |
| Balloon—30/40 | 26 | 9,582,930 | 1.83 | 7.966 | 357 | 82.23 | 624 |
| Balloon—30/50 | 23 | 12,151,743 | 2.33 | 7.364 | 357 | 79.78 | 667 |
| ARM—2 Year/6 Month Balloon 30/40 | 64 | 28,470,810 | 5.45 | 8.804 | 359 | 85.27 | 614 |
| ARM—2 Year/6 Month Balloon 30/50 | 64 | 35,673,722 | 6.83 | 8.537 | 359 | 85.22 | 620 |
| ARM—3 Year/6 Month Balloon 30/40 | 126 | 35,247,215 | 6.75 | 9.141 | 356 | 91.70 | 613 |
| ARM—3 Year/6 Month Balloon 30/50 | 42 | 23,821,257 | 4.56 | 8.353 | 359 | 85.67 | 635 |
| ARM—5 Year/6 Month Balloon 30/40 | 4 | 1,834,616 | 0.35 | 8.280 | 359 | 80.31 | 647 |
| ARM—5 Year/6 Month Balloon 30/50 | 4 | 2,058,500 | 0.39 | 7.906 | 360 | 85.55 | 641 |
| ARM—2 Year/6 Month—40 Years | 1 | 188,955 | 0.04 | 8.700 | 480 | 95.00 | 660 |
| ARM—3 Year/6 Month—40 Years | 3 | 1,701,504 | 0.33 | 8.532 | 479 | 81.34 | 613 |
| ARM—2 Year/6 Month | 168 | 69,992,480 | 13.40 | 9.063 | 359 | 83.86 | 620 |
| ARM—3 Year/6 Month | 290 | 69,930,109 | 13.39 | 9.240 | 357 | 89.77 | 611 |
| ARM—5 Year/6 Month | 4 | 2,396,332 | 0.46 | 7.365 | 359 | 77.38 | 620 |
| Interest Only Fixed—30 Year—60 mo. IO term | 16 | 7,913,932 | 1.52 | 7.497 | 358 | 75.46 | 659 |
| Interest Only ARM—2 Year/6 Month—60 mo. IO term | 144 | 78,764,966 | 15.08 | 8.507 | 359 | 84.66 | 646 |
| Interest Only ARM—3 Year/6 Month—60 mo. IO term | 121 | 73,320,049 | 14.04 | 8.080 | 359 | 83.13 | 661 |
| Interest Only ARM—5 Year/6 Month—60 mo. IO term | 15 | 9,382,870 | 1.80 | 7.352 | 360 | 82.02 | 677 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Group 2 | 1,327 records Balance: $522,260,332 |
Range of Gross Interest Rates (%)
| Range of Gross Interest Rates (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 5.000—5.999 | 2 | 1,556,119 | 0.30 | 5.851 | 360 | 80.72 | 693 |
| 6.000—6.999 | 96 | 51,851,991 | 9.93 | 6.711 | 360 | 76.90 | 657 |
| 7.000—7.999 | 238 | 134,417,494 | 25.74 | 7.633 | 361 | 79.75 | 648 |
| 8.000—8.999 | 306 | 152,230,556 | 29.15 | 8.606 | 360 | 85.09 | 635 |
| 9.000—9.999 | 406 | 127,212,563 | 24.36 | 9.527 | 358 | 89.52 | 615 |
| 10.000—10.999 | 232 | 47,047,013 | 9.01 | 10.471 | 356 | 94.37 | 599 |
| 11.000—11.999 | 40 | 7,731,384 | 1.48 | 11.299 | 351 | 90.78 | 599 |
| 12.000—12.999 | 6 | 207,058 | 0.04 | 12.221 | 171 | 100.00 | 637 |
| 13.000—13.999 | 1 | 6,156 | 0.00 | 13.500 | 59 | 100.00 | 592 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Minimum: 5.750
Maximum: 13.500
Weighted Average: 8.593
Range of Cut-off Date Principal Balances ($)
| Range of Cut-off Date Principal Balances ($) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 1—25,000 | 6 | 99,994 | 0.02 | 10.589 | 179 | 100.00 | 626 |
| 25,001—50,000 | 8 | 285,651 | 0.05 | 11.450 | 202 | 98.29 | 636 |
| 50,001—75,000 | 21 | 1,438,958 | 0.28 | 10.121 | 346 | 96.14 | 626 |
| 75,001—100,000 | 112 | 9,801,454 | 1.88 | 10.204 | 352 | 96.01 | 609 |
| 100,001—125,000 | 111 | 12,684,379 | 2.43 | 9.978 | 352 | 95.42 | 606 |
| 125,001—150,000 | 92 | 12,623,481 | 2.42 | 9.947 | 354 | 97.46 | 603 |
| 150,001—175,000 | 68 | 11,057,307 | 2.12 | 9.866 | 354 | 96.34 | 610 |
| 175,001—200,000 | 35 | 6,637,812 | 1.27 | 9.492 | 359 | 93.03 | 614 |
| 200,001—225,000 | 35 | 7,414,192 | 1.42 | 9.450 | 355 | 96.03 | 622 |
| 225,001—250,000 | 28 | 6,679,400 | 1.28 | 9.770 | 356 | 92.81 | 606 |
| 250,001—275,000 | 16 | 4,191,596 | 0.80 | 9.259 | 356 | 94.45 | 616 |
| 275,001—300,000 | 14 | 4,008,341 | 0.77 | 9.386 | 356 | 92.25 | 624 |
| 300,001—325,000 | 17 | 5,352,569 | 1.02 | 9.399 | 357 | 93.71 | 616 |
| 325,001—350,000 | 5 | 1,653,846 | 0.32 | 9.517 | 357 | 94.34 | 639 |
| 350,001—375,000 | 6 | 2,145,679 | 0.41 | 9.551 | 357 | 91.70 | 605 |
| 375,001—400,000 | 6 | 2,329,650 | 0.45 | 9.589 | 360 | 84.94 | 668 |
| 400,001—425,000 | 39 | 16,424,973 | 3.14 | 8.480 | 359 | 83.43 | 635 |
| 425,001—450,000 | 85 | 37,326,756 | 7.15 | 8.119 | 362 | 82.32 | 637 |
| 450,001—475,000 | 81 | 37,495,879 | 7.18 | 8.201 | 360 | 81.44 | 636 |
| 475,001—500,000 | 78 | 38,111,189 | 7.30 | 8.269 | 358 | 82.02 | 630 |
| 500,001—750,000 | 373 | 221,459,710 | 42.40 | 8.455 | 361 | 83.83 | 632 |
| 750,001—1,000,000 | 80 | 69,109,243 | 13.23 | 8.338 | 361 | 81.83 | 645 |
| 1,000,001 >= | 11 | 13,928,272 | 2.67 | 7.904 | 360 | 79.10 | 664 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Minimum: 6,156
Maximum: 2,000,000
Average: 393,565
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Group 2 | 1,327 records Balance: $522,260,332 |
Stated Original Term (months)
| Stated Original Term (months) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 180 | 15 | 570,955 | 0.11 | 11.642 | 171 | 100.00 | 636 |
| 240 | 2 | 113,599 | 0.02 | 9.110 | 234 | 92.14 | 624 |
| 300 | 1 | 486,312 | 0.09 | 6.990 | 294 | 69.50 | 609 |
| 360 | 1,299 | 515,762,801 | 98.76 | 8.599 | 358 | 84.99 | 632 |
| 480 | 10 | 5,326,665 | 1.02 | 7.816 | 478 | 75.36 | 650 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Minimum: 180
Maximum: 480
Weighted Average: 361
Range of Stated Remaining Terms (months)
| Range of Stated Remaining Terms (months) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 49—60 | 1 | 6,156 | 0.00 | 13.500 | 59 | 100.00 | 592 |
| 169—180 | 14 | 564,799 | 0.11 | 11.621 | 172 | 100.00 | 636 |
| 229—240 | 2 | 113,599 | 0.02 | 9.110 | 234 | 92.14 | 624 |
| 289—300 | 1 | 486,312 | 0.09 | 6.990 | 294 | 69.50 | 609 |
| 349—360 | 1,299 | 515,762,801 | 98.76 | 8.599 | 358 | 84.99 | 632 |
| 469—480 | 10 | 5,326,665 | 1.02 | 7.816 | 478 | 75.36 | 650 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Minimum: 59
Maximum: 480
Weighted Average: 359
Range of Combined Original LTV Ratios (%)
| Range of Combined Original LTV Ratios (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 25.01—30.00 | 1 | 512,638 | 0.10 | 7.490 | 475 | 25.68 | 615 |
| 35.01—40.00 | 4 | 2,114,281 | 0.40 | 7.535 | 359 | 37.73 | 642 |
| 40.01—45.00 | 2 | 1,298,976 | 0.25 | 7.271 | 358 | 43.00 | 662 |
| 45.01—50.00 | 2 | 975,000 | 0.19 | 7.702 | 359 | 46.92 | 668 |
| 50.01—55.00 | 3 | 1,147,624 | 0.22 | 9.161 | 358 | 53.92 | 633 |
| 55.01—60.00 | 12 | 6,067,329 | 1.16 | 7.618 | 370 | 58.56 | 616 |
| 60.01—65.00 | 27 | 14,776,543 | 2.83 | 7.778 | 359 | 63.19 | 628 |
| 65.01—70.00 | 38 | 22,382,344 | 4.29 | 7.677 | 357 | 68.83 | 626 |
| 70.01—75.00 | 84 | 48,195,980 | 9.23 | 7.965 | 362 | 74.41 | 641 |
| 75.01—80.00 | 209 | 104,225,794 | 19.96 | 8.118 | 361 | 79.52 | 641 |
| 80.01—85.00 | 150 | 72,389,697 | 13.86 | 8.638 | 359 | 84.49 | 634 |
| 85.01—90.00 | 233 | 111,381,442 | 21.33 | 8.661 | 360 | 89.73 | 630 |
| 90.01—95.00 | 159 | 80,225,888 | 15.36 | 9.003 | 360 | 94.84 | 644 |
| 95.01—100.00 | 403 | 56,566,797 | 10.83 | 9.990 | 351 | 100.00 | 597 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Minimum: 25.68
Maximum: 100.00
Weighted Average: 84.89
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Group 2 | 1,327 records Balance: $522,260,332 |
Range of Gross Margins (%)
| Range of Gross Margins (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 277 | 89,476,947 | 17.13 | 8.204 | 360 | 81.02 | 635 |
| 3.501—4.000 | 1 | 132,377 | 0.03 | 10.140 | 354 | 100.00 | 593 |
| 4.001—4.500 | 26 | 13,488,152 | 2.58 | 8.946 | 359 | 87.36 | 640 |
| 4.501—5.000 | 1 | 119,657 | 0.02 | 10.490 | 353 | 100.00 | 592 |
| 5.001—5.500 | 68 | 38,260,859 | 7.33 | 8.357 | 361 | 81.60 | 623 |
| 5.501—6.000 | 118 | 64,525,079 | 12.35 | 7.863 | 359 | 73.89 | 637 |
| 6.001—6.500 | 376 | 181,635,533 | 34.78 | 8.511 | 360 | 84.00 | 639 |
| 6.501—7.000 | 182 | 91,145,141 | 17.45 | 9.069 | 360 | 92.34 | 632 |
| 7.001—7.500 | 22 | 3,296,406 | 0.63 | 9.314 | 354 | 96.76 | 597 |
| 7.501—8.000 | 238 | 36,952,763 | 7.08 | 9.999 | 353 | 99.55 | 595 |
| 8.001—8.500 | 11 | 2,199,553 | 0.42 | 9.156 | 353 | 100.00 | 601 |
| 8.501—9.000 | 3 | 471,719 | 0.09 | 9.718 | 353 | 99.90 | 591 |
| 9.001—9.500 | 2 | 256,673 | 0.05 | 9.479 | 352 | 100.00 | 600 |
| 9.501—10.000 | 2 | 299,472 | 0.06 | 10.915 | 353 | 100.00 | 591 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Non-Zero Minimum: 4.000
Maximum: 9.990
Non-Zero Weighted Average: 6.329
Range of Minimum Mortgage Rates (%)
| Range of Minimum Mortgage Rates (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 277 | 89,476,947 | 17.13 | 8.204 | 360 | 81.02 | 635 |
| <=5.000 | 25 | 12,894,736 | 2.47 | 8.950 | 359 | 87.01 | 635 |
| 5.001—5.500 | 67 | 38,151,247 | 7.31 | 8.353 | 361 | 81.55 | 623 |
| 5.501—6.000 | 105 | 60,972,463 | 11.67 | 7.828 | 359 | 73.29 | 637 |
| 6.001—6.500 | 352 | 173,624,720 | 33.24 | 8.465 | 360 | 84.07 | 639 |
| 6.501—7.000 | 167 | 89,686,363 | 17.17 | 9.039 | 360 | 91.68 | 632 |
| 7.001—7.500 | 3 | 1,799,124 | 0.34 | 8.108 | 358 | 83.25 | 650 |
| 7.501—8.000 | 5 | 2,059,416 | 0.39 | 8.494 | 357 | 83.28 | 652 |
| 8.001—8.500 | 7 | 2,136,378 | 0.41 | 8.801 | 356 | 90.89 | 645 |
| 8.501—9.000 | 21 | 4,296,828 | 0.82 | 8.894 | 355 | 94.55 | 631 |
| 9.001—9.500 | 48 | 10,202,198 | 1.95 | 9.332 | 354 | 97.41 | 616 |
| 9.501—10.000 | 100 | 16,852,051 | 3.23 | 9.798 | 354 | 97.77 | 598 |
| 10.001—10.500 | 71 | 10,338,431 | 1.98 | 10.268 | 353 | 100.00 | 591 |
| 10.501—11.000 | 64 | 7,659,853 | 1.47 | 10.786 | 353 | 100.00 | 591 |
| 11.001—11.500 | 14 | 2,031,853 | 0.39 | 11.188 | 355 | 95.26 | 598 |
| 11.501—12.000 | 1 | 77,724 | 0.01 | 11.590 | 353 | 100.00 | 585 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Non-Zero Minimum: 4.500
Maximum: 11.590
Non-Zero Weighted Average: 6.618
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Group 2 | 1,327 records Balance: $522,260,332 |
Range of Maximum Mortgage Rates (%)
| Range of Maximum Mortgage Rates (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 277 | 89,476,947 | 17.13 | 8.204 | 360 | 81.02 | 635 |
| <= 12.500 | 18 | 10,401,447 | 1.99 | 6.287 | 359 | 76.54 | 658 |
| 12.501—13.000 | 44 | 24,319,586 | 4.66 | 6.846 | 359 | 79.64 | 665 |
| 13.001—13.500 | 62 | 37,149,006 | 7.11 | 7.345 | 361 | 79.47 | 653 |
| 13.501—14.000 | 122 | 71,023,485 | 13.60 | 7.828 | 359 | 81.02 | 644 |
| 14.001—14.500 | 85 | 45,448,207 | 8.70 | 8.308 | 359 | 85.02 | 636 |
| 14.501—15.000 | 174 | 86,023,495 | 16.47 | 8.810 | 360 | 86.38 | 634 |
| 15.001—15.500 | 144 | 56,962,038 | 10.91 | 9.258 | 360 | 88.41 | 619 |
| 15.501—16.000 | 185 | 54,862,501 | 10.50 | 9.791 | 358 | 90.34 | 615 |
| 16.001—16.500 | 101 | 23,620,551 | 4.52 | 10.273 | 357 | 93.99 | 602 |
| 16.501—17.000 | 86 | 16,337,574 | 3.13 | 10.767 | 356 | 95.00 | 594 |
| 17.001—17.500 | 27 | 6,375,770 | 1.22 | 11.177 | 358 | 88.98 | 601 |
| 17.501—18.000 | 2 | 259,724 | 0.05 | 11.702 | 357 | 78.98 | 548 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Non-Zero Minimum: 11.750
Maximum: 17.750
Non-Zero Weighted Average: 14.683
Initial Periodic Cap (%)
| Initial Periodic Cap (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 277 | 89,476,947 | 17.13 | 8.204 | 360 | 81.02 | 635 |
| 1.000 | 4 | 2,433,456 | 0.47 | 8.733 | 359 | 79.53 | 665 |
| 1.500 | 4 | 1,747,043 | 0.33 | 7.832 | 357 | 86.69 | 618 |
| 2.000 | 1 | 584,562 | 0.11 | 8.500 | 357 | 90.00 | 724 |
| 3.000 | 1,041 | 428,018,324 | 81.95 | 8.676 | 359 | 85.72 | 631 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 2.981
Subsequent Periodic Cap (%)
| Subsequent Periodic Cap (%) | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 277 | 89,476,947 | 17.13 | 8.204 | 360 | 81.02 | 635 |
| 1.000 | 1,046 | 431,036,342 | 82.53 | 8.676 | 359 | 85.69 | 632 |
| 1.500 | 4 | 1,747,043 | 0.33 | 7.832 | 357 | 86.69 | 618 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Non-Zero Minimum: 1.000
Maximum: 1.500
Non-Zero Weighted Average: 1.002
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Group 2 | 1,327 records Balance: $522,260,332 |
Months to Next Rate Adjustment
| Months to Next Rate Adjustment | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Fixed Rate Loans | 277 | 89,476,947 | 17.13 | 8.204 | 360 | 81.02 | 635 |
| 16 | 2 | 421,353 | 0.08 | 9.023 | 352 | 96.07 | 591 |
| 17 | 2 | 220,526 | 0.04 | 10.617 | 353 | 100.00 | 605 |
| 18 | 8 | 1,380,874 | 0.26 | 9.295 | 354 | 97.26 | 595 |
| 19 | 1 | 284,246 | 0.05 | 9.440 | 355 | 100.00 | 641 |
| 20 | 3 | 1,565,635 | 0.30 | 7.744 | 356 | 92.24 | 610 |
| 21 | 12 | 4,803,521 | 0.92 | 8.582 | 357 | 85.21 | 606 |
| 22 | 79 | 37,063,457 | 7.10 | 8.606 | 358 | 82.96 | 627 |
| 23 | 137 | 68,403,412 | 13.10 | 8.662 | 359 | 83.95 | 624 |
| 24 | 187 | 95,997,117 | 18.38 | 8.836 | 360 | 85.05 | 635 |
| 25 | 11 | 3,095,153 | 0.59 | 9.003 | 359 | 89.55 | 644 |
| 26 | 2 | 286,741 | 0.05 | 9.218 | 350 | 100.00 | 595 |
| 27 | 3 | 377,583 | 0.07 | 9.860 | 351 | 100.00 | 614 |
| 28 | 72 | 10,781,716 | 2.06 | 9.930 | 352 | 99.79 | 593 |
| 29 | 154 | 23,248,454 | 4.45 | 9.982 | 353 | 99.96 | 593 |
| 30 | 61 | 9,049,077 | 1.73 | 9.920 | 354 | 99.83 | 599 |
| 33 | 4 | 2,031,309 | 0.39 | 8.626 | 357 | 89.31 | 666 |
| 34 | 45 | 22,966,300 | 4.40 | 8.551 | 361 | 84.67 | 634 |
| 35 | 96 | 57,112,448 | 10.94 | 8.230 | 360 | 83.18 | 637 |
| 36 | 133 | 72,031,255 | 13.79 | 8.342 | 361 | 83.68 | 645 |
| 37 | 11 | 5,990,890 | 1.15 | 8.801 | 360 | 82.81 | 681 |
| 58 | 1 | 630,000 | 0.12 | 7.500 | 358 | 90.00 | 616 |
| 59 | 11 | 6,317,799 | 1.21 | 7.582 | 359 | 82.24 | 658 |
| 60 | 15 | 8,724,520 | 1.67 | 7.504 | 360 | 80.48 | 665 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Non-Zero Minimum: 16
Maximum: 60
Non-Zero Weighted Average: 30
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Group 2 | 1,327 records Balance: $522,260,332 |
Geographic Distribution of Mortgaged Properties
| Geographic Distribution of Mortgaged Properties | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| California | 280 | 157,657,550 | 30.19 | 8.135 | 361 | 83.22 | 636 |
| New York | 103 | 55,618,033 | 10.65 | 8.420 | 360 | 83.94 | 644 |
| Maryland | 85 | 43,799,396 | 8.39 | 8.530 | 359 | 84.55 | 625 |
| Florida | 97 | 39,840,630 | 7.63 | 8.613 | 359 | 84.25 | 630 |
| Virginia | 59 | 27,735,420 | 5.31 | 8.552 | 360 | 83.47 | 632 |
| New Jersey | 55 | 27,558,078 | 5.28 | 8.654 | 361 | 83.11 | 627 |
| Massachusetts | 47 | 23,257,641 | 4.45 | 8.177 | 359 | 79.09 | 649 |
| Texas | 76 | 16,078,349 | 3.08 | 9.198 | 356 | 89.44 | 627 |
| Illinois | 40 | 14,167,892 | 2.71 | 9.124 | 358 | 88.92 | 633 |
| Arizona | 27 | 10,595,366 | 2.03 | 8.836 | 358 | 84.97 | 638 |
| Washington | 26 | 9,370,205 | 1.79 | 9.137 | 355 | 81.77 | 615 |
| Georgia | 44 | 9,177,206 | 1.76 | 9.603 | 356 | 93.54 | 620 |
| Colorado | 21 | 7,674,908 | 1.47 | 8.567 | 358 | 85.67 | 625 |
| Nevada | 11 | 5,770,731 | 1.10 | 8.210 | 359 | 87.42 | 654 |
| North Carolina | 34 | 5,595,313 | 1.07 | 9.794 | 354 | 95.33 | 630 |
| Other | 322 | 68,363,611 | 13.09 | 9.387 | 356 | 89.58 | 618 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Number of States/District of Columbia Represented: 47
Occupancy
| Occupancy | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Primary | 1,177 | 478,988,360 | 91.71 | 8.552 | 359 | 85.46 | 629 |
| Investment | 137 | 34,328,201 | 6.57 | 9.091 | 359 | 79.59 | 663 |
| Second Home | 13 | 8,943,771 | 1.71 | 8.836 | 359 | 74.60 | 666 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Property Type
| Property Type | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Single Family Residence | 1,014 | 387,720,518 | 74.24 | 8.553 | 359 | 84.49 | 630 |
| Planned Unit Development | 183 | 83,082,160 | 15.91 | 8.554 | 359 | 86.15 | 633 |
| 2-4 Family | 74 | 32,418,749 | 6.21 | 8.699 | 359 | 86.18 | 648 |
| Condo | 55 | 18,923,106 | 3.62 | 9.392 | 359 | 85.78 | 632 |
| Manufactured Housing | 1 | 115,800 | 0.02 | 7.500 | 360 | 37.12 | 709 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Group 2 | 1,327 records Balance: $522,260,332 |
Loan Purpose
| Loan Purpose | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Refinance—Cashout | 569 | 322,818,050 | 61.81 | 8.261 | 361 | 81.97 | 630 |
| Purchase | 714 | 176,044,647 | 33.71 | 9.291 | 357 | 90.92 | 633 |
| Refinance—Rate Term | 44 | 23,397,634 | 4.48 | 7.912 | 361 | 79.86 | 650 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Documentation Level
| Documentation Level | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| Full Documentation | 1,050 | 385,950,310 | 73.90 | 8.640 | 359 | 87.22 | 625 |
| Stated Documentation | 256 | 124,729,779 | 23.88 | 8.500 | 359 | 78.03 | 653 |
| Limited Documentation | 21 | 11,580,243 | 2.22 | 8.022 | 368 | 81.18 | 631 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Credit Score
| Credit Score | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 500—524 | 2 | 915,752 | 0.18 | 8.851 | 358 | 80.01 | 500 |
| 525—549 | 6 | 2,603,840 | 0.50 | 8.588 | 359 | 72.18 | 536 |
| 550—574 | 59 | 31,412,267 | 6.01 | 9.066 | 361 | 81.72 | 561 |
| 575—599 | 387 | 92,356,153 | 17.68 | 9.390 | 356 | 89.97 | 588 |
| 600—624 | 313 | 126,928,223 | 24.30 | 8.819 | 359 | 84.90 | 612 |
| 625—649 | 227 | 106,043,467 | 20.30 | 8.399 | 358 | 84.45 | 638 |
| 650—674 | 161 | 74,636,635 | 14.29 | 8.174 | 363 | 83.98 | 661 |
| 675—699 | 95 | 48,819,494 | 9.35 | 7.794 | 360 | 82.62 | 687 |
| 700—724 | 40 | 20,606,123 | 3.95 | 7.772 | 363 | 82.36 | 711 |
| 725—749 | 19 | 9,123,563 | 1.75 | 7.886 | 359 | 82.27 | 735 |
| 750—774 | 12 | 6,200,362 | 1.19 | 7.923 | 359 | 80.64 | 759 |
| 775—799 | 4 | 1,788,603 | 0.34 | 8.644 | 359 | 81.18 | 781 |
| 800 + | 2 | 825,850 | 0.16 | 9.516 | 359 | 86.26 | 805 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Non-Zero Minimum: 500
Maximum: 806
Non-Zero Weighted Average: 632
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
SAST 2007-03 | MORGAN STANLEY |
Termsheet Group 2 | 1,327 records Balance: $522,260,332 |
Prepayment Penalty Term
| Prepayment Penalty Term | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 0 | 394 | 167,944,620 | 32.16 | 8.873 | 359 | 83.88 | 632 |
| 12 | 132 | 67,232,955 | 12.87 | 8.620 | 360 | 85.07 | 639 |
| 24 | 281 | 128,948,720 | 24.69 | 8.450 | 359 | 84.36 | 628 |
| 30 | 1 | 249,719 | 0.05 | 9.505 | 354 | 100.00 | 637 |
| 36 | 518 | 157,756,318 | 30.21 | 8.397 | 360 | 86.30 | 633 |
| 60 | 1 | 128,000 | 0.02 | 9.000 | 360 | 80.00 | 600 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Non-Zero Minimum: 12
Maximum: 60
Non-Zero Weighted Average: 27
Lien Position
Lien Position | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 1st Lien | 1,311 | 521,665,090 | 99.89 | 8.589 | 360 | 84.88 | 632 |
| 2nd Lien | 16 | 595,242 | 0.11 | 11.563 | 173 | 100.00 | 636 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
Interest Only Term
| Interest Only Term | Number of Mortgage Loans | Aggregate Cut-off Date Principal Balance ($) | % of Mortgage Pool by Aggregate Cut-off Date Principal Balance | Weighted Average Gross Interest Rate (%) | Weighted Average Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO Score |
| 0 | 1,031 | 352,878,515 | 67.57 | 8.776 | 359 | 85.60 | 621 |
| 60 | 296 | 169,381,817 | 32.43 | 8.211 | 359 | 83.42 | 655 |
| Total: | 1,327 | 522,260,332 | 100.00 | 8.593 | 359 | 84.89 | 632 |
This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
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