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AAMES
$150,000,000 (APPROXIMATE)
AAMES MORTGAGE TRUST 2001-2
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2001-2
CLASS A-1, CLASS A-2, CLASS A-IO, CLASS M-1, CLASS M-2 AND CLASS B
AAMES CAPITAL CORPORATION
SPONSOR
AAMES CAPITAL ACCEPTANCE CORP.
DEPOSITOR
JUNE 13, 2001
GREENWICH CAPITAL
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This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
PRELIMINARY TERM SHEET DATE PREPARED: JUNE 13, 2001
$150,000,000 (APPROXIMATE)
AAMES MORTGAGE TRUST 2001-2
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2001-2
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APPROX CERTIFICATE WAL (YRS) PYMT WINDOW (3) TRANCHE EXPECTED RATINGS
CLASS (1) CLASS SIZE COUPON (2) CALL/MAT (3) CALL/MAT (MOS) TYPE MOODY'S/S&P
- --------- ---------- ----------- ------------ -------------- ---- -----------
A-1 $[105,818,000] TBD 3.27/3.39 1-132/1-223 Fixed-Senior Aaa/AAA
A-2 $[20,932,000] TBD 2.47/2.47 1-124/1-124 Fixed-Senior Aaa/AAA
A-IO (5) Fixed-Senior Aaa/AAA
M-1 $[10,500,000] TBD 6.07/6.29 37-132/37-184 Fixed-Sub Aa2/AA
M-2 $[7,125,000] TBD 6.07/6.22 37-132/37-165 Fixed-Sub A2/A
B $[5,625,000] TBD 6.02/6.04 37-132/37-144 Fixed-Sub Baa2/BBB
TOTAL $150,000,000
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(1) The Class A-1 Certificates are backed primarily by the cash flows from a
pool of conforming fixed rate mortgage loans (the "GROUP I MORTGAGE
LOANS"). The Class A-2 Certificates are backed primarily by the cash flows
from a pool of nonconforming fixed rate and adjustable rate Mortgage Loans
(the "GROUP II MORTGAGE LOANS"). The Class M-1, Class M-2 and Class B
Certificates are backed by the cash flows from both the Loan Group I and
the Loan Group II Mortgage Loans. The class sizes are subject to a +/- 10%
variance.
(2) The Certificates are subject to a [5%] Clean-up Call (as described herein).
The coupon on the Class A-1, Class A-2, Class M-1, Class M-2 and Class B
Certificates will increase by [0.50%] after the first date on which the
Clean-up Call is exercisable.
(3) See "Pricing Prepayment Speed" herein.
(4) All Certificates, other than the Class A-IO Certificates, are subject to
the Net WAC Cap.
(5) The Class A-IO Certificates will not receive any principal payments, but
will accrue interest on its notional balance, which initially equals
$[26,125,000] and reduces to $0.00 from month 4 through month 37 and
remains at $0.00 thereafter pursuant to the IO Notional Balance Schedule.
2
GREENWICH CAPITAL
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This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
Issuer: Aames Mortgage Trust 2001-2.
Sponsor: Aames Capital Corporation, a California corporation and a wholly-owned subsidiary of Aames Financial
Corporation.
Depositor: Aames Capital Acceptance Corp., a Delaware corporation and a wholly-owned subsidiary of Aames Financial
Corporation.
Servicer: Countrywide Home Loans, Inc. ("COUNTRYWIDE")
Underwriters: Greenwich Capital Markets, Inc. (Lead and Book Manager), Lehman Brothers (Co), Morgan Stanley (Co) and
Countrywide Securities Corporation (Co).
Trustee: Bankers Trust Company of California, N.A.
Rating Agencies: S&P and Moody's.
Statistical Calculation
Date: May 1, 2001
Cut-Off Date: The close of business on June 1, 2001 or for Mortgage Loans originated after the Cut-Off Date, the
origination date of such Mortgage Loans.
Pricing Date: Week of June 11, 2001.
Closing Date: On or about June 28, 2001.
Settlement Date: On or about June 28, 2001.
Distribution Date: The 25th of each month (or next succeeding business day), beginning July 25, 2001.
Certificates Offered: The "SENIOR CERTIFICATES" will consist of (i) the Class A-1, Class A-2 (the "CLASS A CERTIFICATES") and
Class A-IO Certificates. The "SUBORDINATE CERTIFICATES" will consist of the Class M-1, Class M-2 and
Class B Certificates. The Senior Certificates and the Subordinate Certificates are collectively referred
to herein as the "CERTIFICATES".
Registration: The Certificates will be available in book-entry form through DTC and upon request through Euroclear or
Clearstream, Luxembourg.
Accrued Interest: The Certificates will settle with accrued interest. The price to be paid by investors for the
Certificates will include accrued interest from June 1, 2001 up to, but not including the Settlement Date
(27 days).
Interest Accrual Period: The interest accrual period for the Certificates with respect to any Distribution Date will be the
calendar month preceding such Distribution Date (based on a 360-day year consisting of twelve 30-day
months).
Cleanup Call: On the Distribution Date on which the aggregate principal balance of the Mortgage Loans is
3
GREENWICH CAPITAL
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This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
equal to or less than [5%] of the sum of the aggregate principal balance of the Mortgage Loans as of the
Cut-off Date (the "CLEAN-UP CALL DATE"), the Servicer will have the right to call all outstanding
Certificates by depositing an amount not less than the sum of (x) 100% of the principal balance of each
such Mortgage Loan (other than any REO property whose market value is included pursuant to clause (y) as
of the final distribution date), and (y) the fair market value of each REO property (as determined by the
Servicer as of the close of business on the third Business Day next preceding the date upon which notice
of any such repurchase is furnished to certificateholders), plus one month's interest at the interest
rate on each such Mortgage Loan including any Mortgage Loan as to which title to the underlying mortgage
property has been acquired by the Trust and any unreimbursed servicing advances made in respect of such
mortgage loan less any payments of principal and interest received during the related collection period
in respect of such Mortgage Loans.
Denominations: $25,000 minimum; increments of $1,000.
Federal Tax Status: The Certificates will be treated as REMIC regular interest for Federal income tax purposes.
ERISA: The Certificates are expected to be "ERISA" eligible.
SMMEA: The Certificates are expected to constitute "mortgage related securities" for purposes of SMMEA.
Pricing Prepayment
Speed: Fixed rate Mortgage Loans: 115% of PPC (100% PPC is equal to 4% - 20% CPR over 12 months)
Adjustable rate Mortgage Loans: 27% CPR
Mortgage Loans: As of the Statistical Calculation Date, the aggregate principal balance of the Mortgage Loans described
herein was approximately $121,139,998 (the "STATISTICAL CALCULATION MORTGAGE LOANS") of which
approximately $14,958,757 represented adjustable rate Mortgage Loans (the "STATISTICAL CALCULATION
ADJUSTABLE RATE MORTGAGE LOANS"). On or prior to the Closing Date, a like amount of adjustable rate
Mortgage Loans (the "ADJUSTABLE RATE MORTGAGE LOANS") expected to have similar characteristics to the
Statistical Calculation Adjustable Rate Mortgage Loans will be substituted for the Statistical
Calculation Adjustable Rate Mortgage Loans.
In addition to the substitution of Adjustable Rate Mortgage Loans for the Statistical Calculation
Adjustable Rate Mortgage Loans described above, on or prior to the Closing Date additional mortgage loans
of approximately $28,860,002 having similar characteristics to the Statistical Calculation Mortgage Loans
will be added to the Trust (the "ADDITIONAL MORTGAGE LOANS"). The Statistical Calculation Mortgage Loans
other than the Statistical Calculation Adjustable Rate Mortgage Loans together with the Adjustable Rate
Mortgage Loans and the Additional Mortgage Loans are collectively referred to herein as the "MORTGAGE
LOANS".
Group I
Mortgage Loans: Group I consists primarily of 1,316 conforming fixed rate Statistical Calculation Mortgage Loans with
an aggregate balance of approximately $98,466,454. Approximately $26,763,127 of Additional Mortgage Loans
will be added to Group I on or prior to the Closing Date.
Group II
Mortgage Loans: Group II consists primarily of 179 non-conforming fixed rate and adjustable rate Statistical Calculation
Mortgage Loans with an aggregate balance of approximately $22,673,544 (including the
4
GREENWICH CAPITAL
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This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
Statistical Calculation Adjustable Rate Mortgage Loans). Approximately $2,096,874 of Additional Mortgage
Loans will be added to Group II on or prior to the Closing Date.
Collateral Description: For further information, please see the attached collateral term sheet.
Net WAC Cap: As to any Distribution Date, a per annum rate equal to:
(i) the weighted average gross rate of the Mortgage Loans less servicing and trustee fee rates; minus
(ii) the certificate rate on the Class A-IO Certificates multiplied by a fraction equal to:
(a) the notional balance of the Class A-IO Certificates prior to such Distribution Date divided by
(b) the balance of the Mortgage Loans.
Net Rate Cap Carryover: As to any Distribution Date and the Senior (other than the Class A-IO) and Subordinate Certificates, the
sum of
(i) the excess, if any, of interest due such Certificates (without regard to the Net WAC Cap) over
interest due such Certificates at a rate equal to the Net WAC Cap;
(ii) any Net Rate Cap Carryover remaining unpaid from prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at the related certificate rate (without regard to the Net
WAC Cap);
Credit Enhancement: Credit enhancement for the Certificates will consist of (i) Excess Interest Collections, (ii)
Overcollateralization and (iii) the subordination of Certificates with lower payment priorities.
Excess
Interest Collections: For each Distribution Date, the interest collections from the Mortgage Loans minus the sum of (i) the
interest paid on the Certificates and (ii) the servicing and trustee paid in respect of the Mortgage
Loans paid on the related Distribution Date.
Overcollateralization: The Certificateholders will be entitled to receive distributions of Excess Interest Collections as
principal until the overcollateralization amount equals the Required Overcollateralization Amount. This
distribution of interest as principal will have the effect of accelerating the amortization of the
Certificates relative to the underlying Mortgage Loans. On any Distribution Date, the
Overcollateralization Amount will be the amount by which the balance of the Mortgage Loans (the "MORTGAGE
LOAN BALANCE") exceeds the balance of the Certificates (the "Certificate Principal Balance"). On any
Distribution Date on which the Mortgage Loan Balance does not exceed the Certificate Principal Balance by
the Required Overcollateralization Amount, Excess Interest Collections will be distributed as principal
to the Certificateholders to increase the overcollateralization amount to the Required
Overcollateralization Amount.
5
GREENWICH CAPITAL
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This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
Credit Enhancement
Percentage:
Initial Credit Target Credit Enhancement
Enhancement After Stepdown Date
----------- -------------------
Rating Percent Rating Percent
------ ------- ------ -------
AAA [15.50%] AAA [37.00%]
AA [8.50%] AA [23.00%]
A [3.75%] A [13.50%]
BBB [0.00%] BBB [6.00%]
Required
Overcollateralization
Amount: On any Distribution Date on which a Delinquency Event or a Cumulative Loss Event has not occurred, the
Required Overcollateralization Amount is equal to:
(i) prior to the Stepdown Date, [3.00%] of the initial Mortgage Loan Balance;
(ii) on or after the Stepdown Date, the greater of:
(a) the lesser of:
(x) [3.00%] of the initial Mortgage Loan Balance; and
(y) [6.00%] of the current balance of the Mortgage Loans;
(b) 0.50% of the initial balance of the Certificates (the "OC FLOOR").
On any Distribution Date on which a Delinquency Event or a Cumulative Loss Event has occurred, the
Required Overcollateralization Amount is equal to the Required Overcollateralization Amount as of the
preceding Distribution Date.
Subordination
Required
Overcollateralization
Amount: On any Distribution Date on which a Delinquency Event or a Cumulative Loss Event has not occurred, the
Subordination Required Overcollateralization Amount is equal to the Required Overcollateralization Amount
exclusive of the OC Floor calculation, otherwise the Subordination Required Overcollateralization Amount
is equal to the Required Overcollateralization Amount.
Delinquency Event: The three-month rolling average of the percentage of Mortgage Loans 60+ days delinquent exceeds [50%] of
the percentage equal to the credit enhancement provided to the Senior Certificates.
Cumulative Loss Event: For any Distribution Date in the applicable period below, if cumulative losses on the Mortgage Loans
exceed the applicable percentage of the aggregate initial balance of the Mortgage Loans:
Distribution Periods Percentage
-------------------- ----------
37-48 [3.50]%
49-60 [4.00]%
After 60 [4.50]%
Stepdown Date: The later to occur of
(x) the earlier of:
(a) the Distribution Date occurring in July 2004; and
(b) the Distribution Date on which the aggregate balance of the Class A Certificates is reduced to
zero; and
(y) the first Distribution Date on which the Mortgage Loan balance has been reduced to 50% of the
Mortgage Loan Balance as of the Cut-off Date.
6
GREENWICH CAPITAL
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This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
Subordination Increase
Amount: As to any Distribution Date the lesser of the Subordination Deficiency and Excess Interest
Collections.
Subordination
Deficiency: As to any Distribution Date, the excess, if any, of the Required Overcollateralization Amount over
the Overcollateralization Amount after giving effect to the distribution of principal from the
Mortgage Loans (but prior to the distribution of any Subordination Increase Amount).
Excess OC Amount: As to any Distribution Date, the lesser of (i) the principal payments received on the Mortgage Loans
and (ii) the excess, if any, of the Overcollateralization Amount over the Required
Overcollateralization Amount (assuming 100% of the distribution of principal payments received on the
Mortgage Loans is distributed to the Certificates).
Priority of Distributions: Available Funds will be distributed in the following order of priority, in each case, to the extent
of funds remaining:
1. To the Servicer and the Trustee, the related fees;
2. To the Senior Certificates, concurrently, the related Accrued Certificate Interest and any
Interest Carry Forward Amount for such Class of Certificates for such Distribution Date;
3. Sequentially, to the Class M-1, Class M-2 and Class B Certificates, the Accrued Certificate
Interest;
4. To the Class A Certificates, the Senior Principal Distribution Amount for such Distribution Date,
excluding any Subordination Increase Amount;
5. Sequentially, to the Class M-1, Class M-2 and Class B Certificates, the related principal
distribution amount due (until the related required credit enhancement level is met), excluding
any Subordination Increase Amounts;
6. To the Certificates, the related Subordination Increase Amount, distributed in the order of
priorities set forth in 4 and 5 above;
7. To the holders of the Class M-1 Certificates, in an amount equal to the Interest Carry Forward
Amount for such class; 8. To the holders of the Class M-1 Certificates, in an amount equal to the
Realized Loss Amount allocable to the Class M-1 Certificates:
9. To the holders of the Class M-2 Certificates, in an amount equal to the Interest Carry Forward
Amount for such class; 10. To the holders of the Class M-2 Certificates, in an amount equal to
the Realized Loss Amount allocable to the Class M-2 Certificates:
11. To the holders of the Class B Certificates, in an amount equal to the Interest Carry Forward
Amount for such class;
12. To the holders of the Class B Certificates, in an amount equal to the Realized Loss Amount
allocable to the Class B Certificates:
13. Sequentially, (a) concurrently to the Class A-1 and Class A-2 Certificates, pro rata, and (b)
sequentially to the Class M-1, Class M-2 and Class B Certificates, in that order, the related Net
Rate Cap Carryover;
14. To the Class C Certificates, the amounts required by the pooling and servicing agreement;
15. To the residual certificates, any remaining amounts.
On any Distribution Date, any shortfalls resulting from the application of the Relief Act and any
Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the
7
GREENWICH CAPITAL
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This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
Servicer will be allocated, first, to the interest distribution amount with respect to the Class C
Certificates, and thereafter, to the Accrued Certificate Interest with respect to the Senior
Certificates and Subordinate Certificates on a pro rata basis based on the respective amounts of
interest accrued on such Certificates for such Distribution Date. THE HOLDERS OF THE OFFERED
CERTIFICATES WILL NOT BE ENTITLED TO REIMBURSEMENT FOR ANY SUCH INTEREST SHORTFALLS.
Interest Shortfall As to any Class of Certificates and any Distribution Date, is the amount equal to the sum of Relief
Act Shortfalls and Prepayment Interest Shortfalls.
Accrued Certificate
Interest: As to any Distribution Date and for any Class of Certificates, the amount of interest due thereon in
respect of any Interest Period at the applicable pass-through rate, less the related pro rata share
of Interest Shortfalls.
Interest Carry Forward
Amount: As to any Distribution Date and for any Class of Certificates, the amount, if any, by which (i) the
Accrued Certificate Interest on such Class for the preceding Distribution Date plus any outstanding
Interest Carry Forward Amount with respect to such Class from the second preceding Distribution Date
(together with interest on such outstanding Interest Carry Forward Amount at the related pass-through
rate for the related Interest Period to the extent lawful) exceeds (ii) the amount of interest
actually distributed to the holders of such Certificates on such preceding Distribution Date.
Principal Distribution
Amount: As to any Distribution Date, the lesser of: (i) the balance of the Certificates prior to such
Distribution Date and (ii) the sum of (a) principal from the Mortgage Loans less any Excess OC Amount
and (b) the Subordination Increase Amount.
Senior Principal
Distribution Amount: As to any Distribution Date prior to the Stepdown Date or during the continuation of a Delinquency
Event, the lesser of (i) 100% of the Principal Distribution Amount and (ii) the balance of the
Class A Certificates.
As to any other Distribution Date, an amount equal to the excess, if any, of (i) the balance of the
Class A Certificates prior to such Distribution Date over (ii) the lesser of (a) [69.00%] of the
balance of the Mortgage Loans as of the end of the related due period less the Subordination Required
Overcollateralization Amount for that Distribution Date and (b) the balance of the Mortgage Loans as
of the last day of the related Due Period minus the OC Floor.
Class A Principal
Allocation Percentage: The "Class A Principal Allocation Percentage" for any Class of Class A Certificates for any
Distribution Date is the percentage equivalent of a fraction, the numerator of which is (x) the
portion of principal received for such Distribution Date that is related to the related Mortgage
Loans, and the denominator of which is (y) the total principal received for such Distribution Date.
Priority of Class A
Principal Distribution: The Senior Principal Distribution Amount for any applicable Distribution Date, excluding any
Subordination Increase Amount included in that amount, distributed as follows:
8
GREENWICH CAPITAL
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This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
A. To the Class A-1 Certificates, payable solely from the principal received from the Group I
Mortgage Loans, an amount equal to the product of (a) the Senior Principal Distribution Amount,
excluding any Subordination Increase Amount included in that amount, and (b) the Class A Principal
Allocation Percentage applicable to the Class A-1 Certificates, until the certificate principal
balance is reduced to zero;
B. To the Class A-2 Certificates, payable solely from the principal received from the Group II
Mortgage Loans, an amount equal to the product of (a) the Senior Principal Distribution Amount,
excluding any Subordination Increase Amount included in that amount, and (b) the Class A Principal
Allocation Percentage applicable to the Class A-2 Certificates, until the certificate principal
balance is reduced to zero;
If the certificate principal balance of either class of Class A Certificates is reduced to zero, then
the remaining amount of principal distributions distributable to the holders of the Class A
Certificates on such Distribution Date, and the amount of principal distributions distributable to
the holders of the Class A Certificates on all subsequent distribution dates, will be distributed to
the holders of the Class A Certificates remaining outstanding, until the certificate principal
balance of such class of Class A Certificates remaining outstanding has been reduced to zero.
Class M-1 Principal
Distribution Amount: As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution
Amount if the balance of the Class A Certificates has been reduced to zero and a Delinquency Event
exists, or (y) if a Delinquency Event is not in effect, the excess of
(1) the sum of
(A) the aggregate class principal balance of the Class A Certificates, after taking into account
distributions of the Senior Principal Distribution Amount for the applicable Distribution
Date, and
(B) the class principal balance of the Class M-1 Certificates immediately prior to the applicable
Distribution Date
Over (2) the lesser of
(A) [83.00%] of the Mortgage Loan Balance as of the last day of the related Due Period less the
Subordination Required Overcollateralization Amount for that Distribution Date, and
(B) the balance of the Mortgage Loans as of the last day of the related Due Period minus the OC
Floor.
Class M-2 Principal
Distribution Amount: As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution
Amount if the aggregate balance of the Class A Certificates and Class M-1 Certificates has been
reduced to zero and a Delinquency Event exists, or (y) if a Delinquency Event is not in effect, the
excess of
(1) the sum of
(A) the aggregate class principal balance of the Class A Certificates, after taking into account
distributions of the Senior Principal Distribution Amount for the applicable
9
GREENWICH CAPITAL
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This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
Distribution Date,
(B) the aggregate class principal balance of the Class M-1 Certificates, after taking into account
distributions of the Class M-1 Principal Distribution Amount for the applicable Distribution Date,
and
(C) the class principal balance of the Class M-2 Certificates immediately prior to the applicable
Distribution Date
Over (2) the lesser of
(A) [92.5%] of the Mortgage Loan Balance as of the last day of the related Due Period less the
Subordination Required Overcollateralization Amount for that Distribution Date, and
(B) the balance of the Mortgage Loans as of the last day of the related Due Period minus the OC Floor.
Class B Principal
Distribution Amount: As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution
Amount if the aggregate balance of the Class A and Class M Certificates has been reduced to zero and a
Delinquency Event exists, or (y) if a Delinquency Event is not in effect, the excess of
(1) the sum of
(A) the aggregate class principal balance of the Class A Certificates, after taking into account
distributions of the Senior Principal Distribution Amount for the applicable Distribution Date,
(B) the aggregate class principal balance of the Class M-1 Certificates, after taking into account
distributions of the Class M-1 Principal Distribution Amount for the applicable Distribution
Date, and
(C) the aggregate class principal balance of the Class M-2 Certificates, after taking into account
distributions of the Class M-2 Principal Distribution Amount for the applicable Distribution Date
(D) the class principal balance of the Class B Certificates immediately prior to the applicable
Distribution Date
Over (2) the lesser of
(A) [100%] of the Mortgage Loan Balance as of the last day of the related Due Period less the
Subordination Required Overcollateralization Amount for that Distribution Date, and
(B) the balance of the Mortgage Loans as of the last day of the related Due Period minus the OC
Floor.
Allocation of Losses: Losses not covered by the available credit enhancement will be allocated in the reverse order
of payment priority (first to the Class B, then the Class M-2 and then the Class M-1 Certificates).
10
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
Class IO Notional
Balance Schedule: The notional balance of the Class IO Certificates will be equal to the lesser of (a) the balance of the
Mortgage Loans and (b) the balance indicated in the schedule provided below.
DISTRIBUTION MONTH NOTIONAL BALANCE
------------------ ----------------
1 to 3 $26,125,000
4 to 6 23,375,000
7 to 9 22,000,000
10 to 12 19,250,000
13 to 15 16,500,000
16 to 18 14,437,500
19 to 21 13,681,250
22 to 24 12,031,250
25 to 27 10,263,000
28 to 30 9,121,750
31 to 33 7,981,875
34 to 36 7,218,750
37 and after 0
Monthly Advance and
Compensating Interest: Each month the Servicer will determine the amount of any unpaid interest due on the Mortgage Loans. If
the Servicer believes that unpaid interest can be recovered from the related Mortgage Loan, then the
Servicer will either:
o Advance the unpaid interest to the trust out of its own funds; or
o Advance the unpaid interest to the Trust out of collections on the Mortgage Loans that are not
required to be distributed on the related Distribution Date.
The Servicer is required to reimburse the Trust for amounts advanced from trust collections on the next
deposit date.
The Servicer will provide to the Trust the amount of any shortfall in the anticipated collection of
interest on a Mortgage Loan that is caused by a full or partial prepayment of any Mortgage Loan generally
up to the amount of the Servicer's Monthly Servicing Fee without any right of reimbursement
("COMPENSATING INTEREST").
The Servicer shall be entitled to be reimbursed by the Trust for servicing advances from the related
Mortgage Loan in respect of which the servicing advance was made.
11
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS DISCLAIMER
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and intended for use by the addressee only. These
Computational Materials have been prepared by Greenwich Capital Markets, Inc. in
reliance upon information furnished by the issuer of the securities and its
affiliates. These Computational Materials are furnished to you solely by
Greenwich Capital Markets, Inc. and not by the issuer of the securities. They
may not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating said
material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be reflected therein. As such, no assurance can be given as to
the Computational Materials' accuracy, appropriateness or completeness in any
particular context; nor as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any weighted average lives, yields and principal payment periods shown in the
Computational Materials are based on prepayments assumptions, and changes in
such prepayment assumptions may dramatically affect such weighted average lives,
yields and principal payment periods. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates shown in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
securities may differ from those shown in the Computational Materials due to
differences between the actual underlying assets and the hypothetical underlying
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance. Neither Greenwich Capital Markets, Inc. nor any of
its affiliates makes any representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities.
Although a registration statement (including the Prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with Securities and Exchange Commission. This communication shall not constitute
an offer to sell or the solicitation of an offer to buy nor shall there be any
sale of the securities discussed in this communication in any state in which
such offer, solicitation or sale would be unlawful prior to registration or
qualification of such securities under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus supplement relating
to the securities discussed in this communication for definitive Computational
Materials and any matter discussed in this communication. Once available, a
final prospectus and prospectus supplement may be obtained by contacting the
Greenwich Capital Markets, Inc. Trading Desk at (203) 625-6160.
Please be advised that the securities described herein may not be appropriate
for all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayment, yield curve and interest rate
risks. Investors should make every effort to consider the risks of these
securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
12
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
Yield Tables
Class A-1 to Call
Coupon 6.120%
- -------------------------------------------------------------------------------------------------------------------
FLAT 0% PPC 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC
PRICE 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR
- -------------------------------------------------------------------------------------------------------------------
100-00 6.156 6.112 6.078 6.047 6.009 5.977 5.939
- -------------------------------------------------------------------------------------------------------------------
WAL (YR) 17.42 6.69 4.31 3.27 2.50 2.10 1.75
MDUR (YR) 9.63 4.73 3.38 2.70 2.15 1.84 1.57
FIRST PRIN PAY 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01
LAST PRIN PAY 11/25/30 02/25/23 11/25/15 06/25/12 10/25/09 07/25/08 07/25/07
- -------------------------------------------------------------------------------------------------------------------
Class A-2 to Call
Coupon 5.905%
- --------------------------------------------------------------------------------------------------------------------
FLAT 0% PPC 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC
PRICE 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR
- --------------------------------------------------------------------------------------------------------------------
100-00 5.942 5.869 5.826 5.793 5.733 5.686 5.627
- --------------------------------------------------------------------------------------------------------------------
WAL (YR) 19.89 4.63 3.10 2.47 1.80 1.48 1.21
MDUR (YR) 10.76 3.61 2.59 2.13 1.61 1.35 1.12
FIRST PRIN PAY 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01
LAST PRIN PAY 11/25/30 07/25/19 02/25/14 10/25/11 10/25/08 07/25/07 06/25/06
- --------------------------------------------------------------------------------------------------------------------
Class M-1 to Call
Coupon 7.085%
- --------------------------------------------------------------------------------------------------------------------
FLAT 0% PPC 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC
PRICE 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR
- --------------------------------------------------------------------------------------------------------------------
100-00 7.150 7.129 7.108 7.089 7.070 7.064 7.064
- --------------------------------------------------------------------------------------------------------------------
WAL (YR) 26.45 12.47 8.04 6.07 4.87 4.53 4.50
MDUR (YR) 11.59 7.71 5.74 4.65 3.93 3.72 3.73
FIRST PRIN PAY 05/25/23 06/25/07 03/25/05 07/25/04 10/25/04 12/25/04 03/25/05
LAST PRIN PAY 11/25/30 02/25/23 11/25/15 06/25/12 10/25/09 07/25/08 07/25/07
- --------------------------------------------------------------------------------------------------------------------
Class M-2 to Call
Coupon 7.530%
- --------------------------------------------------------------------------------------------------------------------
FLAT 0% PPC 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC
PRICE 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR
- --------------------------------------------------------------------------------------------------------------------
100-00 7.604 7.582 7.560 7.540 7.518 7.507 7.500
- --------------------------------------------------------------------------------------------------------------------
WAL (YR) 26.45 12.47 8.04 6.07 4.80 4.32 4.06
MDUR (YR) 11.11 7.51 5.62 4.57 3.82 3.53 3.37
FIRST PRIN PAY 05/25/23 06/25/07 03/25/05 07/25/04 08/25/04 09/25/04 10/25/04
LAST PRIN PAY 11/25/30 02/25/23 11/25/15 06/25/12 10/25/09 07/25/08 07/25/07
- --------------------------------------------------------------------------------------------------------------------
Class B to Call
Coupon 7.530%
- --------------------------------------------------------------------------------------------------------------------
FLAT 0% PPC 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC
PRICE 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR
- --------------------------------------------------------------------------------------------------------------------
97-24 7.809 7.886 7.965 8.039 8.119 8.164 8.198
- --------------------------------------------------------------------------------------------------------------------
WAL (YR) 26.44 12.38 7.98 6.02 4.72 4.20 3.87
MDUR (YR) 10.95 7.41 5.55 4.51 3.74 3.41 3.20
FIRST PRIN PAY 05/25/23 06/25/07 03/25/05 07/25/04 07/25/04 08/25/04 08/25/04
LAST PRIN PAY 11/25/30 02/25/23 11/25/15 06/25/12 10/25/09 07/25/08 07/25/07
- --------------------------------------------------------------------------------------------------------------------
13
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
Yield Tables
Class A-1 to Maturity
Coupon 6.120%
- --------------------------------------------------------------------------------------------------------------------
FLAT 0% PPC 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC
PRICE 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR
- --------------------------------------------------------------------------------------------------------------------
100-00 6.156 6.117 6.088 6.061 6.025 5.995 5.960
- --------------------------------------------------------------------------------------------------------------------
WAL (YR) 17.43 6.84 4.47 3.39 2.60 2.18 1.82
MDUR (YR) 9.63 4.77 3.44 2.76 2.20 1.89 1.62
FIRST PRIN PAY 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01
LAST PRIN PAY 04/25/31 02/25/30 02/25/25 01/25/20 09/25/15 07/25/13 10/25/11
- --------------------------------------------------------------------------------------------------------------------
Class A-2 to
Coupon 5.905%
- --------------------------------------------------------------------------------------------------------------------
FLAT 0% PPC 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC
PRICE 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR
- --------------------------------------------------------------------------------------------------------------------
100-00 5.942 5.869 5.826 5.793 5.733 5.686 5.627
- --------------------------------------------------------------------------------------------------------------------
WAL (YR) 19.92 4.63 3.10 2.47 1.80 1.48 1.21
MDUR (YR) 10.77 3.61 2.59 2.13 1.61 1.35 1.12
FIRST PRIN PAY 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01 07/25/01
LAST PRIN PAY 05/25/31 07/25/19 02/25/14 10/25/11 10/25/08 07/25/07 06/25/06
- --------------------------------------------------------------------------------------------------------------------
Class M-1 to
Coupon 7.085%
- --------------------------------------------------------------------------------------------------------------------
FLAT 0% PPC 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC
PRICE 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR
- --------------------------------------------------------------------------------------------------------------------
100-00 7.150 7.133 7.117 7.100 7.084 7.077 7.076
- --------------------------------------------------------------------------------------------------------------------
WAL (YR) 26.48 12.76 8.33 6.29 5.05 4.67 4.62
MDUR (YR) 11.59 7.76 5.83 4.74 4.02 3.80 3.80
FIRST PRIN PAY 05/25/23 06/25/07 03/25/05 07/25/04 10/25/04 12/25/04 03/25/05
LAST PRIN PAY 04/25/31 04/25/28 06/25/21 10/25/16 03/25/13 05/25/11 12/25/09
- --------------------------------------------------------------------------------------------------------------------
Class M-2 to
Coupon 7.530%
- --------------------------------------------------------------------------------------------------------------------
FLAT 0% PPC 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC
PRICE 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR
- --------------------------------------------------------------------------------------------------------------------
100-00 7.604 7.585 7.566 7.547 7.527 7.516 7.509
- --------------------------------------------------------------------------------------------------------------------
WAL (YR) 26.47 12.67 8.23 6.22 4.91 4.41 4.14
MDUR (YR) 11.11 7.54 5.69 4.63 3.88 3.58 3.41
FIRST PRIN PAY 05/25/23 06/25/07 03/25/05 07/25/04 08/25/04 09/25/04 10/25/04
LAST PRIN PAY 02/25/31 11/25/26 07/25/19 03/25/15 12/25/11 04/25/10 01/25/09
- --------------------------------------------------------------------------------------------------------------------
Class B to Maturity
Coupon 7.530%
- --------------------------------------------------------------------------------------------------------------------
FLAT 0% PPC 50% PPC 85% PPC 115% PPC 150% PPC 175% PPC 200% PPC
PRICE 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45% CPR
- --------------------------------------------------------------------------------------------------------------------
97-24 7.809 7.886 7.966 8.039 8.119 8.164 8.198
- --------------------------------------------------------------------------------------------------------------------
WAL (YR) 26.44 12.41 8.01 6.04 4.74 4.21 3.88
MDUR (YR) 10.95 7.41 5.56 4.52 3.75 3.42 3.21
FIRST PRIN PAY 05/25/23 06/25/07 03/25/05 07/25/04 07/25/04 08/25/04 08/25/04
LAST PRIN PAY 12/25/30 08/25/24 03/25/17 06/25/13 07/25/10 02/25/09 01/25/08
- --------------------------------------------------------------------------------------------------------------------
14
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
AAMES MORTGAGE TRUST, SERIES 2001-2
ACTUAL 05/01/01 BALANCES
POOL: Conforming
AMORTIZATION: Fixed Rate
INDEX CODE: Fixed Rate
TOTAL ORIGINAL: 98,480,078.90
TOTAL CURRENT: 98,466,454.09
NUMBER OF LOANS: 1,316
Minimum Maximum
AVG CURRENT BALANCE: $74,822.53 $9,984.95 $427,500.00
AVG ORIGINAL BALANCE: $74,832.89 $10,000.00 $427,500.00
AVG COLLATERAL VALUE: $105,385.66 $24,500.00 $645,000.00
WAVG GROSS COUPON: 10.3547% 7.2000 14.9900%
WAVG COMBINED ORIG. LTV: 74.65% 6.52 100.00%
WAVG FICO SCORE: 602.51 0.00 819.00
WAVG ORIGINAL TERM: 330.62 months 60.00 360.00 months
WAVG REMAINING TERM: 330.23 months 59.00 360.00 months
WAVG SEASONING: 0.39 months 0.00 10.00 months
TOP STATE CONCENTRATIONS ($): 18.52% California, 15.49% Texas, 7.74% Michigan
MAXIMUM ZIP CODE CONCENTRATION ($) 0.57% 14215 (Buffalo, NY)
FIRST PAY DATE: Aug 01, 2000 Jul 01, 2001
NEXT DUE DATE: May 01, 2001 Jul 01, 2001
MATURE DATE: Apr 01, 2006 Jun 01, 2031
15
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
POOL: Mortgage Loans the Cutoff Date the Cutoff Date
CONFORMING 1,316 98,466,454.09 100.00
- -----------------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
PRODUCT: Mortgage Loans the Cutoff Date the Cutoff Date
Fixed Rate 1,316 98,466,454.09 100.00
- -----------------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
CURRENT BALANCE: Mortgage Loans the Cutoff Date the Cutoff Date
9,985 - 50,000 485 17,568,956.43 17.84
50,001 - 100,000 559 39,342,802.07 39.96
100,001 - 150,000 166 20,429,570.54 20.75
150,001 - 200,000 62 10,688,449.90 10.85
200,001 - 250,000 36 8,088,897.02 8.21
250,001 - 300,000 6 1,590,500.00 1.62
300,001 - 350,000 1 329,778.13 0.33
400,001 - 427,500 1 427,500.00 0.43
- -----------------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
GROSS COUPON: Mortgage Loans the Cutoff Date the Cutoff Date
7.200 - 7.500 7 913,492.79 0.93
7.501 - 8.000 44 4,702,858.77 4.78
8.001 - 8.500 32 3,798,853.36 3.86
8.501 - 9.000 80 8,683,644.78 8.82
9.001 - 9.500 142 13,482,919.94 13.69
9.501 - 10.000 226 19,324,876.61 19.63
10.001 - 10.500 131 10,393,186.80 10.56
10.501 - 11.000 154 10,292,776.70 10.45
11.001 - 11.500 103 6,159,626.95 6.26
11.501 - 12.000 133 7,824,032.40 7.95
12.001 - 12.500 85 4,526,288.96 4.60
12.501 - 13.000 71 3,106,068.48 3.15
16
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
13.001 - 13.500 40 1,963,439.92 1.99
13.501 - 14.000 48 2,382,041.84 2.42
14.001 - 14.500 16 736,069.77 0.75
14.501 - 14.990 4 176,276.02 0.18
- -----------------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
COMBINED ORIG. LTV: Mortgage Loans the Cutoff Date the Cutoff Date
6.52 - 10.00 1 36,000.00 0.04
10.01 - 15.00 2 24,984.95 0.03
15.01 - 20.00 13 318,780.35 0.32
20.01 - 25.00 7 238,492.11 0.24
25.01 - 30.00 15 632,568.27 0.64
30.01 - 35.00 14 553,655.83 0.56
35.01 - 40.00 22 1,054,969.06 1.07
40.01 - 45.00 17 824,700.00 0.84
45.01 - 50.00 35 1,383,832.81 1.41
50.01 - 55.00 36 2,638,404.31 2.68
55.01 - 60.00 59 3,252,843.01 3.30
60.01 - 65.00 84 5,394,375.43 5.48
65.01 - 70.00 155 10,682,998.85 10.85
70.01 - 75.00 221 16,413,632.49 16.67
75.01 - 80.00 435 36,164,448.46 36.73
80.01 - 85.00 93 7,848,607.46 7.97
85.01 - 90.00 89 9,046,368.04 9.19
90.01 - 95.00 12 1,227,087.66 1.25
95.01 - 100.00 6 729,705.00 0.74
- -----------------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
=====================================================================================================
17
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
FICO: Mortgage Loans the Cutoff Date the Cutoff Date
<= 0 15 874,200.00 0.89
1 - 50 1 29,250.00 0.03
451 - 500 5 281,741.87 0.29
501 - 550 207 10,954,647.83 11.13
551 - 600 462 36,006,852.02 36.57
601 - 650 483 38,656,048.11 39.26
651 - 700 104 8,944,752.97 9.08
701 - 750 26 1,683,166.86 1.71
751 - 800 12 1,002,885.93 1.02
801 - 819 1 32,908.50 0.03
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
ORIGINAL TERM: Mortgage Loans the Cutoff Date the Cutoff Date
60 - 60 1 29,619.98 0.03
109 - 120 18 663,829.77 0.67
145 - 156 1 42,300.00 0.04
169 - 180 218 12,025,442.41 12.21
193 - 204 1 144,000.00 0.15
229 - 240 59 4,307,425.66 4.37
289 - 300 2 124,000.00 0.13
301 - 312 1 70,400.00 0.07
325 - 336 1 63,400.00 0.06
349 - 360 1,014 80,996,036.27 82.26
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
REMAINING TERM: Mortgage Loans the Cutoff Date the Cutoff Date
59 - 60 1 29,619.98 0.03
115 - 120 18 663,829.77 0.67
151 - 156 1 42,300.00 0.04
175 - 180 218 12,025,442.41 12.21
199 - 204 1 144,000.00 0.15
235 - 240 59 4,307,425.66 4.37
295 - 300 2 124,000.00 0.13
307 - 312 1 70,400.00 0.07
18
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
331 - 336 1 63,400.00 0.06
349 - 354 1 139,226.96 0.14
355 - 360 1,013 80,856,809.31 82.12
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
DOCUMENTATION: Mortgage Loans the Cutoff Date the Cutoff Date
FULL 1,090 80,433,887.97 81.69
LIGHT 72 5,032,811.80 5.11
STATED 154 12,999,754.32 13.20
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
CREDIT GRADE: Mortgage Loans the Cutoff Date the Cutoff Date
A 190 17,351,025.44 17.62
A+ 36 2,374,555.14 2.41
A- 388 32,666,846.34 33.18
B 243 18,363,990.56 18.65
B+ 130 9,804,622.25 9.96
B- 46 3,181,206.90 3.23
C 163 8,109,220.62 8.24
C+ 50 2,748,118.28 2.79
C- 37 2,224,086.02 2.26
D 33 1,642,782.54 1.67
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
OCCUPANCY: Mortgage Loans the Cutoff Date the Cutoff Date
NON-OWNER 141 8,642,543.86 8.78
PRIMARY 1,169 89,190,910.23 90.58
SECOND HOME 6 633,000.00 0.64
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
CHANNEL: Mortgage Loans the Cutoff Date the Cutoff Date
BROKER 222 20,182,367.21 20.50
NATIONAL LOAN CENTER 119 9,965,504.15 10.12
19
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
RETAIL 973 68,115,556.19 69.18
UNAFFILIATED ORIGINATOR 2 203,026.54 0.21
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
PROPERTY TYPE: Mortgage Loans the Cutoff Date the Cutoff Date
CONDOMINIUM 30 2,359,916.50 2.40
MANUFACTURED HOUSING 10 584,755.46 0.59
SINGLE FAMILY 1,164 86,930,616.60 88.28
TWO-FOUR FAMILY 112 8,591,165.53 8.72
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
LIEN POSITION: Mortgage Loans the Cutoff Date the Cutoff Date
FIRST LIEN 1,316 98,466,454.09 100.00
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
STATE: Mortgage Loans the Cutoff Date the Cutoff Date
ARIZONA 20 1,463,928.65 1.49
ARKANSAS 4 274,925.00 0.28
CALIFORNIA 144 18,238,893.34 18.52
COLORADO 1 136,000.00 0.14
CONNECTICUT 10 845,550.00 0.86
FLORIDA 65 4,986,480.80 5.06
GEORGIA 16 1,176,920.44 1.20
HAWAII 10 1,442,050.00 1.46
IDAHO 8 709,960.98 0.72
ILLINOIS 59 4,655,452.00 4.73
INDIANA 20 1,149,333.56 1.17
IOWA 52 2,898,832.32 2.94
KANSAS 8 518,750.00 0.53
KENTUCKY 3 169,327.35 0.17
LOUISIANA 15 690,338.05 0.70
MARYLAND 10 1,258,625.00 1.28
MASSACHUSETTS 11 1,077,100.00 1.09
MICHIGAN 120 7,623,430.65 7.74
MINNESOTA 18 1,749,734.05 1.78
MISSISSIPPI 6 303,625.00 0.31
20
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
MISSOURI 41 2,561,329.84 2.60
MONTANA 13 1,125,415.00 1.14
NEBRASKA 3 209,700.00 0.21
NEVADA 20 1,960,108.67 1.99
NEW HAMPSHIRE 1 152,821.48 0.16
NEW JERSEY 10 715,223.93 0.73
NEW MEXICO 3 273,320.00 0.28
NEW YORK 96 5,749,908.31 5.84
NORTH CAROLINA 14 775,445.04 0.79
OHIO 88 4,874,285.35 4.95
OKLAHOMA 30 1,624,430.85 1.65
OREGON 13 1,405,183.54 1.43
PENNSYLVANIA 42 2,279,409.83 2.31
RHODE ISLAND 8 1,095,850.00 1.11
SOUTH CAROLINA 4 221,000.00 0.22
TENNESSEE 38 2,184,978.58 2.22
TEXAS 231 15,251,885.32 15.49
UTAH 6 567,850.83 0.58
VIRGINIA 27 1,551,925.83 1.58
WASHINGTON 13 1,502,406.97 1.53
WISCONSIN 15 1,014,717.53 1.03
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
DELINQUENCY: Mortgage Loans the Cutoff Date the Cutoff Date
CURRENT 1,316 98,466,454.09 100.00
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
21
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
ORIG PREPAY TERM: Mortgage Loans the Cutoff Date the Cutoff Date
0 564 38,610,242.58 39.21
6 1 41,250.00 0.04
12 89 6,234,677.92 6.33
36 122 8,096,629.65 8.22
42 15 1,524,691.55 1.55
60 525 43,958,962.39 44.64
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
PREPAYMENT FLAG: Mortgage Loans the Cutoff Date the Cutoff Date
NO PREPAYMENT PENALTY 564 38,610,242.58 39.21
PREPAYMENT PENALTY 752 59,856,211.51 60.79
- -----------------------------------------------------------------------------------------------
TOTAL 1,316 98,466,454.09 100.00
===============================================================================================
22
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
AAMES MORTGAGE TRUST, SERIES 2001-2
ACTUAL 05/01/01 BALANCES
POOL: Non-Conforming
AMORTIZATION: ARM& Fixed Rate
INDEX CODE: 6 Mo LIBOR& Fixed Rate
TOTAL ORIGINAL BALANCE: 22,674,149.00
TOTAL CURRENT BALANCE: 22,673,543.69
NUMBER OF LOANS: 179
Minimum Maximum
AVG CURRENT BALANCE: $126,667.84 $25,000.00 $738,500.00
AVG ORIGINAL BALANCE $126,671.22 $25,000.00 $738,500.00
AVG COLLATERAL VALUE: $166,343.43 $30,500.00 $1,055,000.00
WAVG GROSS COUPON: 10.0602% 7.8300 13.2670%
WAVG GROSS MARGIN: 6.2843% 4.9600 8.4850%
WAVG MAX INT RATE: 16.3347% 15.2500 17.6250%
WAVG MIN INT RATE: 10.3347% 9.2500 11.6250%
WAVG FIRST PER CAP: 2.9875% 1.0000 3.0000%
WAVG PERIODIC RATE CAP: 1.0000% 1.0000 1.0000%
WAVG COMBINED ORIG. LTV: 77.11% 44.35 90.00%
WAVG FICO SCORE: 591.12 500.00 750.00
WAVG ORIGINAL TERM: 356.87 months 120.00 360.00 months
WAVG REMAINING TERM: 356.70 months 120.00 360.00 months
WAVG SEASONING: 0.17 months 0.00 1.00 months
WAVG RATE ADJ FREQ: 6.00 months 6.00 6.00 months
WAVG 1ST RATE ADJ FREQ: 36.00 months 36.00 36.00 months
WAVG MONTHS TO ROLL: 36.62 months 36.00 37.00 months
TOP STATE CONCENTRATIONS ($): 27.27% California, 13.73% Florida, 6.11% Texas
MAXIMUM ZIP CODE CONCENTRATION ($): 3.26% 94070 (San Carlos, CA)
FIRST PAY DATE: May 01, 2001 Jul 01, 2001
NEXT DUE DATE: May 01, 2001 Jul 01, 2001
RATE CHANGE DATE: May 01, 2004 Jun 01, 2004
MATURE DATE: May 01, 2011 Jun 01, 2031
23
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
POOL: Mortgage Loans the Cutoff Date the Cutoff Date
Non-Conforming 179 22,673,543.69 100.00
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
PRODUCT: Mortgage Loans the Cutoff Date the Cutoff Date
3/27 6 MONTH LIBOR ARM 160 14,958,756.88 65.97
FIXED RATE 19 7,714,786.81 34.03
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
CURRENT BALANCE: Mortgage Loans the Cutoff Date the Cutoff Date
25,000 - 50,000 34 1,393,040.47 6.14
50,001 - 100,000 63 4,659,094.48 20.55
100,001 - 150,000 45 5,524,901.93 24.37
150,001 - 200,000 13 2,190,800.00 9.66
200,001 - 250,000 4 914,420.00 4.03
250,001 - 300,000 4 1,137,500.00 5.02
300,001 - 350,000 4 1,282,891.81 5.66
350,001 - 400,000 4 1,510,900.00 6.66
400,001 - 450,000 4 1,676,500.00 7.39
450,001 - 500,000 2 979,995.00 4.32
650,001 - 700,000 1 665,000.00 2.93
700,001 - 738,500 1 738,500.00 3.26
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
GROSS COUPON: Mortgage Loans the Cutoff Date the Cutoff Date
7.830 - 8.000 1 326,300.00 1.44
8.001 - 8.500 2 561,000.00 2.47
8.501 - 9.000 5 1,949,550.00 8.60
9.001 - 9.500 25 3,847,994.09 16.97
9.501 - 10.000 43 6,151,281.72 27.13
10.001 - 10.500 28 2,836,303.00 12.51
24
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
10.501 - 11.000 40 4,317,127.78 19.04
11.001 - 11.500 29 2,049,822.10 9.04
11.501 - 12.000 5 306,915.00 1.35
13.001 - 13.267 1 327,250.00 1.44
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
GROSS MARGIN: Mortgage Loans the Cutoff Date the Cutoff Date
4.960 - 5.000 2 294,750.00 1.97
5.001 - 5.500 17 1,833,650.00 12.26
5.501 - 6.000 34 3,221,296.57 21.53
6.001 - 6.500 35 3,049,383.00 20.39
6.501 - 7.000 57 5,363,155.21 35.85
7.001 - 7.500 13 996,372.10 6.66
7.501 - 8.000 1 84,150.00 0.56
8.001 - 8.485 1 116,000.00 0.78
- -----------------------------------------------------------------------------------------------------
TOTAL 160 14,958,756.88 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
MAX INT RATE: Mortgage Loans the Cutoff Date the Cutoff Date
15.250 - 15.500 21 2,008,152.28 13.42
15.501 - 16.000 39 4,247,286.72 28.39
16.001 - 16.500 27 2,460,703.00 16.45
16.501 - 17.000 39 3,885,877.78 25.98
17.001 - 17.500 29 2,049,822.10 13.70
17.501 - 17.625 5 306,915.00 2.05
- -----------------------------------------------------------------------------------------------------
TOTAL 160 14,958,756.88 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
MIN INT RATE: Mortgage Loans the Cutoff Date the Cutoff Date
9.250 - 9.500 21 2,008,152.28 13.42
9.501 - 10.000 39 4,247,286.72 28.39
10.001 - 10.500 27 2,460,703.00 16.45
10.501 - 11.000 39 3,885,877.78 25.98
11.001 - 11.500 29 2,049,822.10 13.70
11.501 - 11.625 5 306,915.00 2.05
- -----------------------------------------------------------------------------------------------------
TOTAL 160 14,958,756.88 100.00
=====================================================================================================
25
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
INITIAL RATE CAP: Mortgage Loans the Cutoff Date the Cutoff Date
1.000 1 93,600.00 0.63
3.000 159 14,865,156.88 99.37
- -----------------------------------------------------------------------------------------------------
TOTAL 160 14,958,756.88 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
SUBSEQUENT RATE CAP: Mortgage Loans the Cutoff Date the Cutoff Date
1.000 160 14,958,756.88 100.00
- -----------------------------------------------------------------------------------------------------
TOTAL 160 14,958,756.88 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
NEXT ADJUSTMENT: Mortgage Loans the Cutoff Date the Cutoff Date
MAY 2004 59 5,646,797.88 37.75
JUN 2004 101 9,311,959.00 62.25
- -----------------------------------------------------------------------------------------------------
TOTAL 160 14,958,756.88 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
COMBINED ORIG. LTV: Mortgage Loans the Cutoff Date the Cutoff Date
44.35 - 45.00 1 37,700.00 0.17
45.01 - 50.00 3 217,250.00 0.96
55.01 - 60.00 5 449,000.00 1.98
60.01 - 65.00 11 1,656,208.00 7.30
65.01 - 70.00 15 2,879,687.90 12.70
70.01 - 75.00 31 4,202,760.21 18.54
75.01 - 80.00 61 8,409,558.38 37.09
80.01 - 85.00 29 2,554,869.20 11.27
85.01 - 90.00 23 2,266,510.00 10.00
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
LIEN POSITION: Mortgage Loans the Cutoff Date the Cutoff Date
FIRST LIEN 179 22,673,543.69 100.00
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
26
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
FICO: Mortgage Loans the Cutoff Date the Cutoff Date
500 - 500 1 50,100.00 0.22
501 - 550 33 3,150,363.21 13.89
551 - 600 74 9,978,646.00 44.01
601 - 650 61 8,421,769.48 37.14
651 - 700 8 956,050.00 4.22
701 - 750 2 116,615.00 0.51
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
ORIGINAL TERM: Mortgage Loans the Cutoff Date the Cutoff Date
120 - 120 1 100,000.00 0.44
169 - 180 1 56,000.00 0.25
229 - 240 1 308,000.00 1.36
349 - 360 176 22,209,543.69 97.95
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
REMAINING TERM: Mortgage Loans the Cutoff Date the Cutoff Date
120 - 120 1 100,000.00 0.44
175 - 180 1 56,000.00 0.25
235 - 240 1 308,000.00 1.36
355 - 360 176 22,209,543.69 97.95
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
DOCUMENTATION: Mortgage Loans the Cutoff Date the Cutoff Date
FULL 151 17,855,342.88 78.75
LIGHT 5 1,942,841.81 8.57
STATED 23 2,875,359.00 12.68
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
27
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
CREDIT GRADE: Mortgage Loans the Cutoff Date the Cutoff Date
A 28 3,977,586.72 17.54
A+ 1 35,615.00 0.16
A- 55 7,004,671.86 30.89
B 45 4,741,579.90 20.91
B+ 8 1,265,495.00 5.58
B- 4 853,250.00 3.76
C 29 3,578,795.21 15.78
C+ 3 357,000.00 1.57
C- 4 509,050.00 2.25
E 2 350,500.00 1.55
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
OCCUPANCY: Mortgage Loans the Cutoff Date the Cutoff Date
NON-OWNER 10 754,450.00 3.33
PRIMARY 169 21,919,093.69 96.67
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
CHANNEL: Mortgage Loans the Cutoff Date the Cutoff Date
BROKER 99 10,620,136.57 46.84
NATIONAL LOAN CENTER 2 839,000.00 3.70
RETAIL 77 11,120,807.12 49.05
UNAFFILIATED ORIGINATOR 1 93,600.00 0.41
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
PROPERTY TYPE: Mortgage Loans the Cutoff Date the Cutoff Date
Condominium 8 689,077.00 3.04
Single Family 160 20,871,378.79 92.05
Two-Four Family 11 1,113,087.90 4.91
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
28
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
STATE: Mortgage Loans the Cutoff Date the Cutoff Date
ARIZONA 5 243,000.00 1.07
ARKANSAS 1 72,900.00 0.32
CALIFORNIA 25 6,182,469.81 27.27
COLORADO 1 140,700.00 0.62
CONNECTICUT 5 616,420.00 2.72
FLORIDA 31 3,114,146.00 13.73
GEORGIA 2 486,950.00 2.15
HAWAII 1 431,250.00 1.90
ILLINOIS 9 862,800.00 3.81
INDIANA 6 1,052,450.00 4.64
IOWA 8 563,257.28 2.48
KANSAS 1 46,700.00 0.21
KENTUCKY 2 70,500.00 0.31
LOUISIANA 3 130,500.00 0.58
MARYLAND 1 375,600.00 1.66
MASSACHUSETTS 2 349,000.00 1.54
MICHIGAN 14 1,010,670.10 4.46
MINNESOTA 7 1,180,648.21 5.21
MISSISSIPPI 1 160,200.00 0.71
MISSOURI 5 276,440.00 1.22
MONTANA 2 160,850.00 0.71
NEBRASKA 4 421,600.00 1.86
NEW MEXICO 1 90,000.00 0.40
NEW YORK 2 553,250.00 2.44
NORTH CAROLINA 1 50,000.00 0.22
OHIO 9 647,465.00 2.86
OKLAHOMA 2 134,880.00 0.59
OREGON 4 458,386.72 2.02
PENNSYLVANIA 4 229,450.00 1.01
SOUTH CAROLINA 1 61,750.00 0.27
TEXAS 13 1,386,260.57 6.11
VIRGINIA 1 300,000.00 1.32
WASHINGTON 4 763,050.00 3.37
WEST VIRGINIA 1 50,000.00 0.22
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
29
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
may be superseded by information contained in term sheets circulated after the
date hereof and is qualified in its entirety by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
DELINQUENCY: Mortgage Loans the Cutoff Date the Cutoff Date
Current 179 22,673,543.69 100.00
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
ORIG PREPAY TERM: Mortgage Loans the Cutoff Date the Cutoff Date
0 145 15,357,908.67 67.73
12 1 406,250.00 1.79
36 19 2,760,350.00 12.17
42 2 565,948.21 2.50
60 12 3,583,086.81 15.80
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
PREPAYMENT FLAG: Mortgage Loans the Cutoff Date the Cutoff Date
NO PREPAYMENT PENALTY 145 15,357,908.67 67.73
PREPAYMENT PENALTY 34 7,315,635.02 32.27
- -----------------------------------------------------------------------------------------------------
TOTAL 179 22,673,543.69 100.00
=====================================================================================================
30
GREENWICH CAPITAL
- --------------------------------------------------------------------------------