Exhibit 99.1
--------------------------------------------------------------------------------
XXXXXX XXXXXXX November 15, 2002
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
REVISED COMPUTATIONAL MATERIALS
$428,391,000
APPROXIMATELY
XXXXXX XXXXXXX ABS CAPITAL I INC.
SERIES 2002-NC6
MORTGAGE PASS-THROUGH CERTIFICATES
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 1
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XXXXXX XXXXXXX November 15, 2002
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
APPROXIMATELY $428,391,000
XXXXXX XXXXXXX ABS CAPITAL I INC., SERIES 2002-NC6
XXXXXX XXXXXXX ABS CAPITAL I INC.
DEPOSITOR
OCWEN FEDERAL BANK, F.S.B
SERVICER
TRANSACTION HIGHLIGHTS
----------------------
-----------------------------------------------------------------------------------------------------------
MODIFIED
AVG LIFE TO DURATION TO
OFFERED EXPECTED RATINGS CALL / CALL /
CLASSES DESCRIPTION BALANCE (S&P/FITCH/ XXXXX'X) MTY(1)(2) MTY(1)(2)(3)
===========================================================================================================
A-1 Not Offered $396,845,000 *****Not Offered*****
-----------------------------------------------------------------------------------------------------------
A-2 Floater $176,253,000 AAA/AAA/Aaa 1.29 / 1.29 1.28 / 1.28
-----------------------------------------------------------------------------------------------------------
A-3 Floater $107,250,000 AAA/AAA/Aaa 5.50 / 6.34 5.19 / 5.88
-----------------------------------------------------------------------------------------------------------
M-1 Floater $53,756,000 AA/AA/Aa2 5.35 / 5.92 4.99 / 5.43
-----------------------------------------------------------------------------------------------------------
M-2 Floater $46,196,000 A/A/A2 5.33 / 5.83 4.79 / 5.15
-----------------------------------------------------------------------------------------------------------
B-1 Floater $34,857,000 BBB/BBB/Baa2 5.32 / 5.64 4.61 / 4.83
-----------------------------------------------------------------------------------------------------------
B-2 Floater $10,079,000 BBB-/BBB-/Baa3 5.24 / 5.27 4.49 / 4.50
-----------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------
OFFERED PAYMENT WINDOW TO CALL / INITIAL
CLASSES MTY(1)(2) SUBORDINATION LEVEL BENCHMARK
===========================================================================================
A-1 *****Not Offered*****
-------------------------------------------------------------------------------------------
A-2 12/02 - 07/05 / 12/02 - 7/05 19.00% 1 Mo. LIBOR
-------------------------------------------------------------------------------------------
A-3 07/05 - 11/10 / 07/05 - 7/20 19.00% 1 Mo. LIBOR
-------------------------------------------------------------------------------------------
M-1 2/06 - 11/10 / 2/06 - 7/17 12.60% 1 Mo. LIBOR
-------------------------------------------------------------------------------------------
M-2 1/06 - 11/10 / 1/06 - 3/16 7.10% 1 Mo. LIBOR
-------------------------------------------------------------------------------------------
B-1 12/05 - 11/10 / 12/05 - 5/14 2.95% 1 Mo. LIBOR
-------------------------------------------------------------------------------------------
B-2 12/05 - 11/10 / 12/05 - 6/11 1.75% 1 Mo. LIBOR
-------------------------------------------------------------------------------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
ISSUER: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2002-NC6.
DEPOSITOR: Xxxxxx Xxxxxxx ABS Capital I Inc.
ORIGINATOR: NC Capital Corporation
SERVICER: Ocwen Federal Bank, F.S.B
TRUSTEE: Deutsche Bank National Trust Company.
MANAGERS: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx Capital Partners,
L.P. and The Xxxxxxxx Capital Group, L.P.
RATING AGENCIES: Standard & Poor's, Fitch Ratings and Xxxxx'x Investors
Service.
OFFERED CERTIFICATES: Classes A-2, A-3, M-1, M-2, B-1 and B-2 Certificates.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 2
EXPECTED CLOSING November 26, 2002 through DTC and Euroclear or
DATE: Clearstream, Luxembourg. The Certificates will be sold
without accrued interest.
DISTRIBUTION DATES: The 25th of each month, or if such day is not a business
day, on the next business day, beginning December 26,
2002.
FINAL SCHEDULED
DISTRIBUTION DATE: The Distribution Date occurring in December 2032.
DUE PERIOD: For any Distribution Date, the period commencing on the
second day of the month preceding the month in which such
Distribution Date occurs and ending on the first day of
the month in which such Distribution Date occurs.
INTEREST ACCRUAL The interest accrual period for the Offered Certificates
PERIOD: with respect to any Distribution Date will be the period
beginning with the previous Distribution Date (or, in the
case of the first Distribution Date, the Closing Date) and
ending on the day prior to the current Distribution Date
(on an actual/360 day count basis).
MORTGAGE LOANS: The Trust will consist of two groups of adjustable and
fixed rate sub-prime residential mortgage loans.
GROUP I MORTGAGE Approximately $489.9 million of Mortgage Loans with
LOANS: original principal balances that conform to the original
principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase by
Freddie Mac.
GROUP II MORTGAGE Approximately $350.0 million of Mortgage Loans that
LOANS: predominantly have original principal balances that do not
conform to the original principal balance limits for one-
to four-family residential mortgage loan guidelines for
purchase by Freddie Mac.
PRICING PREPAYMENT o Fixed Rate Mortgage Loans: CPR starting at
SPEED: approximately 1.5333% CPR in month 1 and increasing to
23% CPR in month 15 (23%/15 CPR increase for each
month), and remaining at 23% CPR thereafter
o ARM Mortgage Loans: CPR of 25%
CREDIT ENHANCEMENT: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage Loans,
2) 1.75% overcollateralization (funded upfront). After
the Step-down Date, so long as a Trigger Event is not
in effect, the required overcollateralization will
equal 3.50% of the aggregate principal balance of the
Mortgage Loans as of the last day of the applicable
Due Period, subject to a 0.50% floor, based on the
initial balance of the Mortgage Loans, and
3) Subordination of distributions on the more subordinate
classes of certificates (if applicable) to the
required distributions on the more senior classes of
certificates.
SENIOR ENHANCEMENT For any Distribution Date, the percentage obtained by
PERCENTAGE: dividing (x) the aggregate Certificate Principal Balance
of the subordinate certificates (together with any
overcollateralization and taking into account the
distributions of the Principal Distribution Amount for
such Distribution Date) by (y) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 3
STEP-DOWN DATE: The later to occur of:
(x) The earlier of:
(a) the Distribution Date occurring in December
2005; 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 Senior
Enhancement Percentage (calculated for this purpose
only after taking into account payments of principal
on the Mortgage Loans on the last day of the related
Due Period but prior to principal distributions to
the certificates on the applicable Distribution Date)
is greater than or equal to approximately 38.00%
TRIGGER EVENT: A Trigger Event is in effect on any Distribution Date if
(i) on that Distribution Date the 60 Day+ Rolling Average
equals or exceeds 40% of the prior period's Senior
Enhancement Percentage and (ii) may include other trigger
events related to the performance of the Mortgage Loans.
The 60 Day+ Rolling Average will equal the rolling 3 month
average percentage of Mortgage Loans that are 60 or more
days delinquent.
INITIAL Class A: 19.00%
SUBORDINATION Class M-1: 12.60%
PERCENTAGE: Class M-2: 7.10%
Class B-1: 2.95%
Class B-2: 1.75%
OPTIONAL CLEAN-UP When the current aggregate principal balance of the
CALL: Mortgage Loans is less than or equal to 10% of the total
initial principal balance of the Mortgage Loans as of the
Cut-off Date. The applicable fixed margin will increase by
2x on the Class A Certificates and by 1.5x on all other
Certificates after the first distribution date on which
the Optional Clean-up Call is exercisable.
STEP-UP COUPONS: For all Offered Certificates the coupon will increase
after the optional clean-up call date, should the call not
be exercised.
CLASS A-1 The Class A-1 Certificates will accrue interest at a
PASS-THROUGH RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date on
which the Optional Clean-up Call is exercisable), (ii) the
Loan Group I Cap and (iii) the WAC Cap.
CLASS A-2 The Class A-2 Certificates will accrue interest at a
PASS-THROUGH RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date on
which the Optional Clean-up Call is exercisable), (ii) the
Loan Group II Cap and (iii) the WAC Cap.
CLASS A-3 The Class A-3 Certificates will accrue interest at a
PASS-THROUGH RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date on
which the Optional Clean-up Call is exercisable), (ii) the
Loan Group II Cap and (iii) the WAC Cap.
CLASS M-1 The Class M-1 Certificates will accrue interest at a
PASS-THROUGH RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
CLASS M-2 The Class M-2 Certificates will accrue interest at a
PASS-THROUGH RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
CLASS B-1 The Class B-1 Certificates will accrue interest at a
PASS-THROUGH RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 4
CLASS B-2 The Class B-2 Certificates will accrue interest at a
PASS-THROUGH RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
WAC CAP: As to any Distribution Date a per annum rate equal to the
product of (i) the weighted average gross rate of the
Mortgage Loans in effect on the beginning of the related
Due Period less servicing, trustee and other fee rates,
and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the
related Interest Accrual Period.
LOAN GROUP I CAP: As to any Distribution Date, a per annum rate equal to the
product of (i) weighted average gross rate of the Group I
Mortgage Loans in effect on the beginning of the related
Due Period less servicing, trustee and other fee rates,
and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the
related Interest Accrual Period.
LOAN GROUP II CAP: As to any Distribution Date, a per annum rate equal to the
product of (i) weighted average gross rate of the Group II
Mortgage Loans in effect on the beginning of the related
Due Period less servicing, trustee and other fee rates,
and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the
related Interest Accrual Period.
CLASS A-1 BASIS RISK As to any Distribution Date, the supplemental interest
CARRY FORWARD AMOUNT: amount for the Class A-1 Certificates will equal the sum
of:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the Class
A-1 Pass-Through Rate (without regard to the Loan
Group I Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the
Loan Group I Cap or WAC Cap;
(ii) any Class A-1 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at the
related Class A-1 Pass-Through Rate (without regard
to the Loan Group I Cap or WAC Cap).
CLASS A-2 BASIS RISK As to any Distribution Date, the supplemental interest
CARRY FORWARD AMOUNT: amount for the Class A-2 Certificates will equal the sum
of:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the Class
A-2 Pass-Through Rate (without regard to the Loan
Group II Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the
Loan Group II Cap or WAC Cap;
(ii) any Class A-2 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at the
related Class A-2 Pass-Through Rate (without regard
to the Loan Group II Cap or WAC Cap).
CLASS A-3 BASIS RISK As to any Distribution Date, the supplemental interest
CARRY FORWARD AMOUNT: amount for the Class A-3 Certificates will equal the sum
of:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the Class
A-3 Pass-Through Rate (without regard to the Loan
Group II Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the
Loan Group II Cap or WAC Cap;
(ii) any Class A-3 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at the
related Class A-3 Pass-Through Rate (without regard
to the Loan Group II Cap or WAC Cap).
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 5
CLASS M-1, M-2, B-1 As to any Distribution Date, the supplemental interest
AND B-2 BASIS RISK amount for each of the Class M-1, M-2, B-1 and B-2
CARRY FORWARD Certificates will equal the sum of:
AMOUNTS:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at such
Certificates' applicable Pass-Through Rate (without
regard to the WAC Cap) over interest due such
Certificates at a rate equal to the WAC Cap;
(ii) any Basis Risk Carry Forward Amount for such class
remaining unpaid for such Certificate from prior
Distribution Dates; and
(iii) interest on the amount in clause (ii) at the
Certificates' applicable Pass-Through Rate (without
regard to the WAC Cap).
INTEREST On each Distribution Date and after payments of servicing
DISTRIBUTIONS ON and trustee fees and other expenses, interest distributions
OFFERED from the Interest Remittance Amount will be allocated as
CERTIFICATES: follows:
(i) the portion of the Interest Remittance Amount
attributable to the Group I Mortgage Loans will be
allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, to the Class A-1 Certificates and second,
pro-rata to the Class A-2 and Class A-3
Certificates;
(ii) the portion of the Interest Remittance Amount
attributable to the Group II Mortgage Loans will be
allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, pro-rata to the Class A-2 and Class A-3
Certificates and second, to the Class A-1
Certificates;
(iii) to the Class M-1 Certificates, its Accrued
Certificate Interest;
(iv) to the Class M-2 Certificates, its Accrued
Certificate Interest;
(v) to the Class B-1 Certificates, its Accrued
Certificate Interest; and
(vi) to the Class B-2 Certificates, its Accrued
Certificate Interest.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 6
PRINCIPAL On each Distribution Date (a) prior to the Stepdown Date
DISTRIBUTIONS ON or (b) on which a Trigger Event is in effect, principal
OFFERED distributions from the Principal Distribution Amount will
CERTIFICATES: be allocated as follows:
(i) to the Class A Certificates, allocated between the
Class A Certificates as described below, until the
Certificate Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero;
(iv) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero; and
(v) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero.
On each Distribution Date (a) on or after the Stepdown
Date and (b) on which a Trigger Event is not in effect,
the principal distributions from the Principal
Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, the lesser of the
Principal Distribution Amount and the Class A
Principal Distribution Amount, allocated between
the Class A Certificates as described below, until
the Certificate Principal Balances thereof have
been reduced to zero;
(ii) to the Class M-1 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class M-1 Principal Distribution Amount, until the
Certificate Principal Balance thereof have been
reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class M-2 Principal Distribution Amount, until the
Certificate Principal Balance thereof have been
reduced to zero;
(iv) to the Class B-1 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class B-1 Principal Distribution Amount, until the
Certificate Principal Balance thereof have been
reduced to zero; and
(v) to the Class B-2 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class B-2 Principal Distribution Amount, until the
Certificate Principal Balance thereof have been
reduced to zero.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 7
Except as described below, the Class A-2 and Class A-3
Certificates will pay principal sequentially, and the
Class A-3 Certificates will not receive principal
distributions until the Certificate Principal Balance of
the Class A-2 has been reduced to zero.
For any Distribution Date on which the Class A-2
Certificate Balance has not been reduced to zero, all
principal distributions to the Class A Certificates on any
Distribution Date will be allocated between the Class A-1
Certificates and the Class A-2 Certificates on a pro rata
basis based on the Class A Principal Allocation Percentage
for each such class on such Distribution Date; provided,
however, that if the Certificate Principal Balance of the
Class A-1 Certificates is reduced to zero, then the
remaining amount of principal distributions distributable
to the Class A-1 Certificates on such Distribution Date
and all subsequent Distribution Dates will be distributed
to the Class A-2 Certificates until the Certificate
Principal Balance thereof has been reduced to zero, and
then to the Class A-3 Certificates until the Certificate
Principal Balance thereof has been reduced to zero; and
provided further that if the Certificate Principal Balance
of the Class A-2 Certificates is reduced to zero, then the
remaining amount of principal distributions distributable
to the Class A-2 Certificates on such Distribution Date
and all subsequent Distribution Dates will be distributed
to the Class A-3 Certificates until the Certificate
Principal Balance thereof has been reduced to zero, and
then will be distributed to the Class A-1 Certificates
until the Certificate Principal Balance thereof has been
reduced to zero.
For any Distribution Date on which the Class A-2
Certificate Balance has been reduced to zero, all
principal distributions to the Class A Certificates on any
Distribution Date will be allocated between the Class A-1
Certificates and the Class A-3 Certificates on a pro rata
basis based on the Class A Principal Allocation Percentage
for each such class on such Distribution Date; provided,
however, that if the Certificate Principal Balance of
either the Class A-1 or Class A-3 Certificates is reduced
to zero, then the remaining amount of principal
distributions distributable to the class of Class A
Certificates on such Distribution Date and all subsequent
Distribution Dates, will be distributed to the remaining
outstanding Class A Certificates until the Certificate
Principal Balance thereof has been reduced to zero.
Notwithstanding the above, in the event that all
subordinate classes have been reduced to zero, all Group
II principal distributions to the Class A Certificates
will be distributed pro rata between the Class A-2 and
Class A-3 Certificates.
INTEREST RATE CAP: Beginning on the first Distribution Date, and for a period
of 35 months thereafter, an Interest Rate Cap will be
pledged to the Trust for the benefit of the Class A-2 and
Class A-3 Certificates.
If the 1-month LIBOR rate exceeds 7.00%, the Interest Rate
Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate and 7.00% (on
an Actual/360 day count basis) up to a maximum of 155bps
and (ii) the Interest Rate Cap notional balance.
INTEREST RATE CAP The Interest Rate Cap Payment shall be available to pay
PAYMENT ALLOCATION: any Basis Risk Carry Forward Amount due the Class A-2 and
Class A-3 Certificates.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 8
ALLOCATION OF NET For any Distribution Date, any Net Monthly Excess Cashflow
MONTHLY EXCESS shall be paid as follows:
CASHFLOW:
(i) to the Class M-1 Certificates, the unpaid interest
shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid interest
shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class B-1 Certificates, the unpaid interest
shortfall amount;
(vi) to the Class B-1 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class B-2 Certificates, the unpaid interest
shortfall amount;
(viii) to the Class B-2 Certificates, the allocated
unreimbursed realized loss amount;
(ix) concurrently, any Class A-1 Basis Risk Carry
Forward Amount to the Class A-1 Certificates, any
Class A-2 Basis Risk Carry Forward Amount to the
Class A-2 Certificates and any Class A-3 Basis Risk
Carry Forward Amount to the Class A-3 Certificates;
and
(x) sequentially, to Classes M-1, M-2, B-1 and B-2
Certificates, in such order, any Basis Risk Carry
Forward Amount for such classes.
INTEREST REMITTANCE For any Distribution Date, the portion of available funds
AMOUNT: for such Distribution Date attributable to interest
received or advanced on the Mortgage Loans.
ACCRUED CERTIFICATE For any Distribution Date and each class of Offered
INTEREST: Certificates, equals the amount of interest accrued during
the related interest accrual period at the related
Pass-through Rate, reduced by any prepayment interest
shortfalls and shortfalls resulting from the application
of the Soldiers' and Sailors' Civil Relief Act of 1940 or
similar state law allocated to such class.
PRINCIPAL On any Distribution Date, the sum of (i) the Basic
DISTRIBUTION AMOUNT: Principal Distribution Amount and (ii) the Extra Principal
Distribution Amount.
BASIC PRINCIPAL On any Distribution Date, the excess of (i) the aggregate
DISTRIBUTION AMOUNT: Principal Remittance Amount over (ii) the Excess
Subordinated Amount, if any.
PRINCIPAL REMITTANCE On any Distribution Date, the sum of (i) all scheduled
AMOUNT: payments of principal collected or advanced on the
Mortgage Loans during the Due Period, (ii) the principal
portion of all partial and full prepayments received
during the month prior to the month during which such
Distribution Date occurs, (iii) the principal portion of
all net liquidation proceeds, net condemnation proceeds
and net insurance proceeds received during the month prior
to the month during which such Distribution Date occurs,
(iv) the principal portion of repurchased Mortgage Loans,
the repurchase obligation for which arose during the month
prior to the month during which such Distribution Date
occurs and that were repurchased during the period from
the prior Distribution Date through the business day prior
to such Distribution Date, (v) the principal portion of
substitution adjustments received in connection with the
substitution of a Mortgage Loan as of such Distribution
Date, and (vi) the principal portion of the termination
price if the Optional Clean-Up Call is exercised.
NET MONTHLY EXCESS For any Distribution Date is the amount of funds available
CASHFLOW: for distribution on such Distribution Date remaining after
making all distributions of interest and principal on the
certificates.
EXTRA PRINCIPAL For any Distribution Date, the lesser of (i) the excess of
DISTRIBUTION AMOUNT: (x) interest collected or advanced with respect to the
Mortgage Loans with due dates in the related Due Period
(less servicing and trustee fees and expenses), over (y)
the sum of interest payable on the Certificates on such
Distribution Date and (ii) the overcollateralization
deficiency amount for such Distribution Date.
EXCESS SUBORDINATED For any Distribution Date, means the excess, if any of (i)
AMOUNT: the overcollateralization and (ii) the required
overcollateralization for such Distribution Date.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 9
CLASS A PRINCIPAL For any Distribution Date on which the Class A-2
ALLOCATION Certificate balance has not been reduced to zero, the
PERCENTAGE: percentage equivalent of a fraction, determined as
follows: (i) in the case of the Class A-1 Certificates the
numerator of which is (x) the portion of the Principal
Remittance Amount for such Distribution Date that is
attributable to principal received or advanced on the
Group I Mortgage Loans and the denominator of which is (y)
the Principal Remittance Amount for such Distribution Date
and (ii) in the case of the Class A-2 Certificates, the
numerator of which is (x) the portion of the Principal
Remittance Amount for such Distribution Date that is
attributable to principal received or advanced on the
Group II Mortgage Loans and the denominator of which is
(y) the Principal Remittance Amount for such Distribution
Date. The Class A-3 Certificates will not receive
principal distributions until the Certificate Principal
Balance of the Class A-2 has been reduced to zero.
For any Distribution Date on which the Class A-2
Certificate balance has been reduced to zero, the
percentage equivalent of a fraction, determined as
follows: (i) in the case of the Class A-1 Certificates the
numerator of which is (x) the portion of the Principal
Remittance Amount for such Distribution Date that is
attributable to principal received or advanced on the
Group I Mortgage Loans and the denominator of which is (y)
the Principal Remittance Amount for such Distribution Date
and (ii) in the case of the Class A-3 Certificates, the
numerator of which is (x) the portion of the Principal
Remittance Amount for such Distribution Date that is
attributable to principal received or advanced on the
Group II Mortgage Loans and the denominator of which is
(y) the Principal Remittance Amount for such Distribution
Date.
CLASS A PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the aggregate Certificate Principal Balance of the
Class A Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the product
of (i) approximately 62.00% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last day
of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period over $4,199,678.
CLASS M-1 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date) and (ii) the Certificate
Principal Balance of the Class M-1 Certificates
immediately prior to such Distribution Date over (y) the
lesser of (A) the product of (i) approximately 74.80% and
(ii) the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due
Period over $4,199,678.
CLASS M-2 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date) and (iii)
the Certificate Principal Balance of the Class M-2
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 85.80% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period over $4,199,678.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 10
CLASS B-1 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such
Distribution Date), and (iv) the Certificate Principal
Balance of the Class B-1 Certificates immediately prior to
such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 94.10% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last day
of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period over $4,199,678.
CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such
Distribution Date), (iv) the Certificate Principal Balance
of the Class B-1 Certificates (after taking into account
the payment of the Class B-1 Principal Distribution Amount
on such Distribution Date) and (vi) the Certificate
Principal Balance of the Class B-2 Certificates
immediately prior to such Distribution Date and over (y)
the lesser of (A) the product of (i) approximately 96.50%
and (ii) the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period and (B)
the excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due
Period over $4,199,678.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
SMMEA ELIGIBILITY: It is anticipated that the Class A-2, Class A-3 and Class
M-1 Certificates will be SMMEA eligible.
PROSPECTUS: The Class A-2, Class A-3, Class M-1, Class M-2, Class B-1
and Class B-2 Certificates are being offered pursuant to a
prospectus supplemented by a prospectus supplement
(together, the "Prospectus"). Complete information with
respect to the Offered Certificates and the collateral
securing them is contained in the Prospectus. The
information herein is qualified in its entirety by the
information appearing in the Prospectus. To the extent
that the information herein is inconsistent with the
Prospectus, the Prospectus shall govern in all respects.
Sales of the Offered Certificates may not be consummated
unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN
CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 11
TO MATURITY
-----------
PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------------- ----------- ------------- -------------- ------------- --------------
Initial 100 100 100 100 100
November 2003 98 69 59 49 40
November 2004 96 37 20 4 0
November 2005 94 12 0 0 0
November 2006 92 0 0 0 0
November 2007 90 0 0 0 0
November 2008 87 0 0 0 0
November 2009 84 0 0 0 0
November 2010 81 0 0 0 0
November 2011 77 0 0 0 0
November 2012 74 0 0 0 0
November 2013 70 0 0 0 0
November 2014 65 0 0 0 0
November 2015 60 0 0 0 0
November 2016 55 0 0 0 0
November 2017 49 0 0 0 0
November 2018 43 0 0 0 0
November 2019 37 0 0 0 0
November 2020 31 0 0 0 0
November 2021 23 0 0 0 0
November 2022 16 0 0 0 0
November 2023 7 0 0 0 0
November 2024 0 0 0 0 0
November 2025 0 0 0 0 0
November 2026 0 0 0 0 0
November 2027 0 0 0 0 0
November 2028 0 0 0 0 0
November 2029 0 0 0 0 0
November 2030 0 0 0 0 0
November 2031 0 0 0 0 0
November 2032 0 0 0 0 0
Average Life
to Maturity (years) 13.84 1.69 1.29 1.05 0.88
Average Life
to Call (1)(years) 13.84 1.69 1.29 1.05 0.88
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 12
TO MATURITY
-----------
PERCENTAGE OF CLASS A-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------------- ------------ ------------- ------------- -------------- --------------
Initial 100 100 100 100 100
November 2003 100 100 100 100 100
November 2004 100 100 100 100 82
November 2005 100 100 85 55 29
November 2006 100 93 70 53 29
November 2007 100 75 53 37 26
November 2008 100 61 40 27 18
November 2009 100 50 31 19 13
November 2010 100 40 23 14 9
November 2011 100 33 18 10 7
November 2012 100 27 14 8 4
November 2013 100 22 11 6 1
November 2014 100 18 9 5 0
November 2015 100 14 7 2 0
November 2016 100 12 6 0 0
November 2017 100 9 4 0 0
November 2018 100 8 3 0 0
November 2019 100 6 1 0 0
November 2020 100 5 0 0 0
November 2021 100 5 0 0 0
November 2022 100 4 0 0 0
November 2023 100 2 0 0 0
November 2024 98 1 0 0 0
November 2025 88 0 0 0 0
November 2026 78 0 0 0 0
November 2027 66 0 0 0 0
November 2028 54 0 0 0 0
November 2029 42 0 0 0 0
November 2030 28 0 0 0 0
November 2031 12 0 0 0 0
November 2032 0 0 0 0 0
Average Life
to Maturity (years) 26.20 8.38 6.34 4.91 3.77
Average Life
to Call (1)(years) 26.10 7.37 5.50 4.21 3.14
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 13
TO MATURITY
-----------
PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------------- ------------ ------------- ------------- -------------- --------------
Initial 100 100 100 100 100
November 2003 100 100 100 100 100
November 2004 100 100 100 100 100
November 2005 100 100 100 100 100
November 2006 100 88 65 47 79
November 2007 100 71 48 32 21
November 2008 100 57 36 22 13
November 2009 100 46 27 15 8
November 2010 100 37 20 10 5
November 2011 100 29 15 7 2
November 2012 100 24 11 5 0
November 2013 100 19 8 2 0
November 2014 100 15 6 0 0
November 2015 100 12 4 0 0
November 2016 100 9 2 0 0
November 2017 100 7 0 0 0
November 2018 100 6 0 0 0
November 2019 100 5 0 0 0
November 2020 100 3 0 0 0
November 2021 100 0 0 0 0
November 2022 100 0 0 0 0
November 2023 100 0 0 0 0
November 2024 99 0 0 0 0
November 2025 90 0 0 0 0
November 2026 79 0 0 0 0
November 2027 68 0 0 0 0
November 2028 56 0 0 0 0
November 2029 43 0 0 0 0
November 2030 29 0 0 0 0
November 2031 14 0 0 0 0
November 2032 0 0 0 0 0
Average Life
to Maturity (years) 26.31 7.81 5.92 5.02 4.81
Average Life
to Call (1)(years) 26.19 7.09 5.35 4.59 4.44
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 14
TO MATURITY
-----------
PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------------- ------------ ------------- ------------- -------------- --------------
Initial 100 100 100 100 100
November 2003 100 100 100 100 100
November 2004 100 100 100 100 100
November 2005 100 100 100 100 100
November 2006 100 88 65 47 33
November 2007 100 71 48 32 21
November 2008 100 57 36 22 13
November 2009 100 46 27 15 8
November 2010 100 37 20 10 3
November 2011 100 29 15 7 0
November 2012 100 24 11 2 0
November 2013 100 19 8 0 0
November 2014 100 15 5 0 0
November 2015 100 12 1 0 0
November 2016 100 9 0 0 0
November 2017 100 7 0 0 0
November 2018 100 4 0 0 0
November 2019 100 1 0 0 0
November 2020 100 0 0 0 0
November 2021 100 0 0 0 0
November 2022 100 0 0 0 0
November 2023 100 0 0 0 0
November 2024 99 0 0 0 0
November 2025 90 0 0 0 0
November 2026 79 0 0 0 0
November 2027 68 0 0 0 0
November 2028 56 0 0 0 0
November 2029 43 0 0 0 0
November 2030 29 0 0 0 0
November 2031 14 0 0 0 0
November 2032 0 0 0 0 0
Average Life
to Maturity (years) 26.30 7.73 5.83 4.83 4.35
Average Life
to Call (1)(years) 26.19 7.09 5.33 4.45 4.03
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 15
TO MATURITY
-----------
PERCENTAGE OF CLASS B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------------- ------------ ------------- ------------- -------------- --------------
Initial 100 100 100 100 100
November 2003 100 100 100 100 100
November 2004 100 100 100 100 100
November 2005 100 100 100 100 100
November 2006 100 88 65 47 33
November 2007 100 71 48 32 21
November 2008 100 57 36 22 10
November 2009 100 46 27 14 2
November 2010 100 37 20 6 0
November 2011 100 29 13 0 0
November 2012 100 24 7 0 0
November 2013 100 19 2 0 0
November 2014 100 14 0 0 0
November 2015 100 8 0 0 0
November 2016 100 4 0 0 0
November 2017 100 1 0 0 0
November 2018 100 0 0 0 0
November 2019 100 0 0 0 0
November 2020 100 0 0 0 0
November 2021 100 0 0 0 0
November 2022 100 0 0 0 0
November 2023 100 0 0 0 0
November 2024 99 0 0 0 0
November 2025 90 0 0 0 0
November 2026 79 0 0 0 0
November 2027 68 0 0 0 0
November 2028 56 0 0 0 0
November 2029 43 0 0 0 0
November 2030 29 0 0 0 0
November 2031 11 0 0 0 0
November 2032 0 0 0 0 0
Average Life
to Maturity (years) 26.27 7.50 5.64 4.62 4.06
Average Life
to Call (1)(years) 26.19 7.09 5.32 4.38 3.85
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 16
TO MATURITY
-----------
PERCENTAGE OF CLASS B-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------------- ------------ ------------- ------------- -------------- --------------
Initial 100 100 100 100 100
November 2003 100 100 100 100 100
November 2004 100 100 100 100 100
November 2005 100 100 100 100 100
November 2006 100 88 65 47 33
November 2007 100 71 48 32 9
November 2008 100 57 36 13 0
November 2009 100 46 24 0 0
November 2010 100 37 7 0 0
November 2011 100 29 0 0 0
November 2012 100 16 0 0 0
November 2013 100 5 0 0 0
November 2014 100 0 0 0 0
November 2015 100 0 0 0 0
November 2016 100 0 0 0 0
November 2017 100 0 0 0 0
November 2018 100 0 0 0 0
November 2019 100 0 0 0 0
November 2020 100 0 0 0 0
November 2021 100 0 0 0 0
November 2022 100 0 0 0 0
November 2023 100 0 0 0 0
November 2024 99 0 0 0 0
November 2025 90 0 0 0 0
November 2026 79 0 0 0 0
November 2027 68 0 0 0 0
November 2028 56 0 0 0 0
November 2029 43 0 0 0 0
November 2030 29 0 0 0 0
November 2031 0 0 0 0 0
November 2032 0 0 0 0 0
Average Life to
Maturity (years) 26.16 7.02 5.27 4.29 3.75
Average Life to
Call (1) (years) 26.15 6.99 5.24 4.28 3.74
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 17
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CLASS A-3 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2
CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) CAP (%)
-------- ------------ ------------ ------------ ------------ ------------ ------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
0 - - - - - -
1 9.57 9.57 7.85 7.85 7.85 7.85
2 9.11 9.11 7.39 7.39 7.39 7.39
3 9.18 9.18 7.43 7.43 7.43 7.43
4 10.06 10.06 8.28 8.28 8.28 8.28
5 9.30 9.30 7.52 7.52 7.52 7.52
6 9.56 9.56 7.77 7.77 7.77 7.77
7 9.31 9.31 7.52 7.52 7.52 7.52
8 9.57 9.57 7.77 7.77 7.77 7.77
9 9.31 9.31 7.52 7.52 7.52 7.52
10 9.32 9.32 7.52 7.52 7.52 7.52
11 9.58 9.58 7.77 7.77 7.77 7.77
12 9.33 9.33 7.52 7.52 7.52 7.52
13 9.60 9.60 7.77 7.77 7.77 7.77
14 9.35 9.35 7.52 7.52 7.52 7.52
15 9.35 9.35 7.52 7.52 7.52 7.52
16 9.90 9.90 8.04 8.04 8.04 8.04
17 9.37 9.37 7.52 7.52 7.52 7.52
18 9.64 9.64 7.77 7.77 7.77 7.77
19 9.39 9.39 7.52 7.52 7.52 7.52
20 9.66 9.66 7.77 7.77 7.77 7.77
21 9.41 9.41 7.52 7.52 7.52 7.52
22 9.42 9.42 7.52 7.52 7.52 7.52
23 10.56 10.56 8.75 8.75 8.75 8.75
24 10.28 10.28 8.47 8.47 8.47 8.47
25 10.58 10.58 8.75 8.75 8.75 8.75
26 10.31 10.31 8.46 8.46 8.46 8.46
27 10.32 10.32 8.46 8.46 8.46 8.46
28 11.28 11.28 9.37 9.37 9.37 9.37
29 11.19 11.19 9.41 9.41 9.41 9.41
30 11.52 11.52 9.72 9.72 9.72 9.72
31 11.22 11.22 9.40 9.40 9.40 9.40
32 11.56 11.56 9.72 9.72 9.72 9.72
33 - 11.26 9.40 9.40 9.40 9.40
34 - 11.29 9.41 9.41 9.41 9.41
35 - 12.55 10.73 10.73 10.73 10.73
36 - 12.22 10.38 10.38 10.38 10.38
37 - 23.91 10.72 10.72 10.72 10.72
38 - 12.26 10.38 10.38 10.38 10.38
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 18
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CLASS A-3 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2
CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) CAP (%)
-------- ------------ ------------ ------------ ------------ ------------ ------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
39 - 12.20 10.37 10.37 10.37 10.37
40 - 13.46 11.49 11.49 11.49 11.49
41 - 12.97 11.35 11.35 11.35 11.35
42 - 13.40 11.72 11.72 11.72 11.72
43 - 12.97 11.34 11.34 11.34 11.34
44 - 13.40 11.72 11.72 11.72 11.72
45 - 12.97 11.34 11.34 11.34 11.34
46 - 12.97 11.34 11.34 11.34 11.34
47 - 14.01 12.40 12.40 12.40 12.40
48 - 13.56 12.00 12.00 12.00 12.00
49 - 14.01 12.40 12.40 12.40 12.40
50 - 13.56 12.00 12.00 12.00 12.00
51 - 13.56 11.99 11.99 11.99 11.99
52 - 15.01 13.28 13.28 13.28 13.28
53 - 13.60 12.03 12.03 12.03 12.03
54 - 14.05 12.43 12.43 12.43 12.43
55 - 13.59 12.02 12.02 12.02 12.02
56 - 14.05 12.42 12.42 12.42 12.42
57 - 13.59 12.02 12.02 12.02 12.02
58 - 13.59 12.02 12.02 12.02 12.02
59 - 14.07 12.44 12.44 12.44 12.44
60 - 13.62 12.04 12.04 12.04 12.04
61 - 14.07 12.44 12.44 12.44 12.44
62 - 13.61 12.04 12.04 12.04 12.04
63 - 13.61 12.03 12.03 12.03 12.03
64 - 14.55 12.86 12.86 12.86 12.86
65 - 13.61 12.03 12.03 12.03 12.03
66 - 14.06 12.43 12.43 12.43 12.43
67 - 13.61 12.03 12.03 12.03 12.03
68 - 14.06 12.43 12.43 12.43 12.43
69 - 13.61 12.03 12.03 12.03 12.03
70 - 13.61 12.02 12.02 12.02 12.02
71 - 14.06 12.42 12.42 12.42 12.42
72 - 13.61 12.02 12.02 12.02 12.02
73 - 14.06 12.42 12.42 12.42 12.42
74 - 13.60 12.02 12.02 12.02 12.02
75 - 13.60 12.02 12.02 12.02 12.02
76 - 15.06 13.30 13.30 13.30 13.30
77 - 13.60 12.01 12.01 12.01 12.01
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 19
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CLASS A-3 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2
CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) CAP (%)
-------- ------------ ------------ ------------ ------------ ------------ ------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
78 - 14.06 12.41 12.41 12.41 12.41
79 - 13.60 12.01 12.01 12.01 12.01
80 - 14.06 12.41 12.41 12.41 12.41
81 - 13.60 12.01 12.01 12.01 12.01
82 - 13.60 12.01 12.01 12.01 12.01
83 - 13.29 12.40 12.40 12.40 12.40
84 - 12.05 12.00 12.00 12.00 12.00
85 - 12.47 12.40 12.40 12.40 12.40
86 - 12.08 12.00 12.00 12.00 12.00
87 - 12.10 12.00 12.00 12.00 12.00
88 - 13.41 13.28 13.28 13.28 13.28
89 - 12.13 12.00 12.00 12.00 12.00
90 - 12.56 12.40 12.40 12.40 12.40
91 - 12.17 11.99 11.99 11.99 11.99
92 - 12.60 12.39 12.39 12.39 12.39
93 - 12.21 11.99 11.99 11.99 11.99
94 - 12.23 11.99 11.99 11.99 11.99
95 - 12.66 12.39 12.39 12.39 12.39
96 - 12.27 11.99 11.99 11.99 11.99
97 - 12.70 12.39 12.39 12.39 12.39
98 - 12.32 11.99 11.99 11.99 11.99
99 - 12.34 11.98 11.98 11.98 11.98
100 - 13.69 13.27 13.27 13.27 13.27
101 - 12.39 11.98 11.98 11.98 11.98
102 - 12.83 12.38 12.38 12.38 12.38
103 - 12.44 11.98 11.98 11.98 11.98
104 - 12.88 12.38 12.38 12.38 12.38
105 - 12.50 11.98 11.98 11.98 11.98
106 - 12.52 11.98 11.98 11.98 -
107 - 12.97 12.38 12.38 12.38 -
108 - 12.58 11.97 11.97 11.97 -
109 - 13.03 12.37 12.37 12.37 -
110 - 12.64 11.97 11.97 11.97 -
111 - 12.68 11.97 11.97 11.97 -
112 - 13.59 12.80 12.80 12.80 -
113 - 12.74 11.97 11.97 11.97 -
114 - 13.20 12.37 12.37 12.37 -
115 - 12.81 11.97 11.97 11.97 -
116 - 13.28 12.37 12.37 12.37 -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 20
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CLASS A-3 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2
CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) CAP (%)
-------- ------------ ------------ ------------ ------------ ------------ ------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
117 - 12.89 11.97 11.97 11.97 -
118 - 12.93 11.97 11.97 11.97 -
119 - 13.40 12.36 12.36 12.36 -
120 - 13.01 11.96 11.96 11.96 -
121 - 13.48 12.36 12.36 12.36 -
122 - 13.09 11.96 11.96 11.96 -
123 - 13.13 11.96 11.96 11.96 -
124 - 14.59 13.24 13.24 13.24 -
125 - 13.22 11.96 11.96 11.96 -
126 - 13.71 12.36 12.36 12.36 -
127 - 13.32 11.96 11.96 11.96 -
128 - 13.82 12.36 12.36 12.36 -
129 - 13.42 11.96 11.96 11.96 -
130 - 13.47 11.96 11.96 11.96 -
131 - 13.98 12.35 12.35 12.35 -
132 - 13.58 11.95 11.95 11.95 -
133 - 14.09 12.35 12.35 12.35 -
134 - 13.70 11.95 11.95 11.95 -
135 - 13.76 11.95 11.95 11.95 -
136 - 15.30 13.23 13.23 13.23 -
137 - 13.88 11.95 11.95 11.95 -
138 - 14.41 12.35 12.35 12.35 -
139 - 14.01 11.95 11.95 11.95 -
140 - 14.55 12.35 12.35 12.35 -
141 - 14.15 11.95 11.95 - -
142 - 14.22 11.95 11.95 - -
143 - 14.77 12.34 12.34 - -
144 - 14.37 11.95 11.95 - -
145 - 14.93 12.34 12.34 - -
146 - 14.52 11.95 11.95 - -
147 - 14.61 11.94 11.94 - -
148 - 16.26 13.22 13.22 - -
149 - 14.78 11.94 11.94 - -
150 - 15.36 12.34 12.34 - -
151 - 14.95 11.94 11.94 - -
152 - 15.55 12.34 12.34 - -
153 - 15.14 11.94 11.94 - -
154 - 15.24 11.94 11.94 - -
155 - 15.85 12.34 12.34 - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 21
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CLASS A-3 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2
CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) CAP (%)
-------- ------------ ------------ ------------ ------------ ------------ ------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
156 - 15.44 11.94 11.94 - -
157 - 16.07 12.34 12.34 - -
158 - 15.66 11.94 11.94 - -
159 - 15.77 11.94 11.94 - -
160 - 16.98 12.76 12.76 - -
161 - 16.00 11.94 11.94 - -
162 - 16.66 12.34 12.34 - -
163 - 16.25 11.94 11.94 - -
164 - 16.92 12.34 - - -
165 - 16.50 11.94 - - -
166 - 16.64 11.94 - - -
167 - 17.34 12.34 - - -
168 - 16.92 11.94 - - -
169 - 17.63 12.34 - - -
170 - 17.21 11.94 - - -
171 - 17.37 11.94 - - -
172 - 19.40 13.22 - - -
173 - 17.68 11.94 - - -
174 - 18.45 12.34 - - -
175 - 18.02 11.94 - - -
176 - 18.80 12.34 - - -
177 - 18.38 11.94 - - -
178 - 18.56 11.94 - - -
179 - 19.37 12.34 - - -
180 - 18.94 11.94 - - -
181 - 19.89 - - - -
182 - 19.59 - - - -
183 - 19.95 - - - -
184 - 22.51 - - - -
185 - 20.74 - - - -
186 - 21.88 - - - -
187 - 21.64 - - - -
188 - 22.88 - - - -
189 - 22.68 - - - -
190 - 23.26 - - - -
191 - 24.67 - - - -
192 - 24.55 - - - -
193 - 26.10 - - - -
194 - 26.01 - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 22
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CLASS A-3 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2
CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) CAP (%)
-------- ------------ ------------ ------------ ------------ ------------ ------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
195 - 26.83 - - - -
196 - 30.70 - - - -
197 - 28.72 - - - -
198 - 30.81 - - - -
199 - 31.04 - - - -
200 - 33.48 - - - -
201 - 33.92 - - - -
202 - 35.65 - - - -
203 - 38.87 - - - -
204 - 39.87 - - - -
205 - 43.92 - - - -
206 - 45.59 - - - -
207 - 49.26 - - - -
208 - 57.42 - - - -
209 - 59.22 - - - -
210 - 68.41 - - - -
211 - 75.32 - - - -
212 - 90.68 - - - -
213 - 105.71 - - - -
214 - 133.86 - - - -
215 - 190.51 - - - -
216 - 301.27 - - - -
217 - * - - - -
218 - - - - - -
* In Period 217, the A-3 Class has a balance of $58,578 and is paid $96,701 in
interest.
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 23
