EXHIBIT 99.1
--------------------------------------------------------------------------------
XXXXXX XXXXXXX Xxxxx 24, 2003
Securitized Products Group [GRAPHIC OMITTED]
--------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
$485,081,000
APPROXIMATELY
XXXXXX XXXXXXX ABS CAPITAL I INC.
SERIES 2003-NC5
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shall be deemed superseded, amended and supplemented in its entirety by such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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 1
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XXXXXX XXXXXXX Xxxxx 24, 2003
Securitized Products Group [GRAPHIC OMITTED]
--------------------------------------------------------------------------------
APPROXIMATELY $485,081,000
XXXXXX XXXXXXX ABS CAPITAL I INC., SERIES 2003-NC5
XXXXXX XXXXXXX ABS CAPITAL I INC.
DEPOSITOR
HOMEEQ SERVICING CORP.
SERVICER
TRANSACTION HIGHLIGHTS
MODIFIED
EXPECTED RATINGS AVG LIFE DURATION
OFFERED (S&P/FITCH/ TO CALL TO CALL / PAYMENT WINDOW TO CALL /
CLASSES DESCRIPTION BALANCE MOODY'S) MTY (1)(2) MTY (1)(2)(3) MTY (1)(2)
------------------------------------------------------------------------------------------------------------------------------------
A-1 Not Offered 502,341,000 *****Not Offered*****
A-2 Floater 311,716,000 AAA/AAA/Aaa 2.86 / 3.17 2.76 / 3.03 06/03 - 05/11 / 06/03 - 12/20
M-1 Floater 63,818,000 AA/AA/Aa2 5.33 / 5.88 5.02 / 5.47 08/06 - 05/11 / 08/06 - 12/17
M-2 Floater 55,276,000 A/A/A2 5.30 / 5.79 4.83 / 5.20 07/06 - 05/11 / 07/06 - 09/16
M-3 Floater 17,588,000 A-/A-/A3 5.29 / 5.69 4.76 / 5.05 06/06 - 05/11 / 06/06 - 11/14
B-1 Floater 13,065,000 BBB+/BBB+/Baa1 5.29 / 5.60 4.59 / 4.81 06/06 - 05/11 / 06/06 - 12/13
B-2 Floater 11,055,000 BBB/BBB/Baa2 5.29 / 5.48 4.53 / 4.66 06/06 - 05/11 / 06/06 - 01/13
B-3 Floater 12,563,000 BBB-/BBB-/Baa3 5.21 / 5.23 4.48 / 4.49 06/06 - 05/11 / 06/06 - 12/11
(TABLE CONTINUED)
INITIAL
OFFERED SUBORDINATION
CLASSES LEVEL BENCHMARK
-----------------------------------------
A-1
A-2 19.00% 1 Mo. LIBOR
M-1 12.65% 1 Mo. LIBOR
M-2 7.15% 1 Mo. LIBOR
M-3 5.40% 1 Mo. LIBOR
B-1 4.10% 1 Mo. LIBOR
B-2 3.00% 1 Mo. LIBOR
B-3 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.
(4) Bond sizes subject to a variance of plus or minus 5%.
ISSUER: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2003-NC5.
DEPOSITOR: Xxxxxx Xxxxxxx ABS Capital I Inc.
ORIGINATOR: NC Capital Corporation
SERVICER: HomeEq Servicing Corp.
TRUSTEE: Deutsche Bank National Trust Company.
MANAGERS: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx Capital
Partners, L.P. and Xxxxxxxx & Partners, L.P.
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 2
RATING AGENCIES: Standard & Poor's, Fitch Ratings and Xxxxx'x
Investors Service.
OFFERED
CERTIFICATES: Classes A-2, M-1, M-2, M-3, B-1, B-2 and B-3
Certificates.
EXPECTED CLOSING
DATE: May 29, 2003 through DTC and Euroclear or
Clearstream. 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
June 25, 2003.
FINAL SCHEDULED
DISTRIBUTION DATE: The Distribution Date occurring in May 2033.
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
PERIOD: The interest accrual period for the Offered
Certificates with respect to any Distribution Date
will be the period beginning with the previous
Distribution Date (or, in the case of the first
Distribution Date, the Closing Date) and ending on
the day prior to 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
LOANS: Approximately $620.2 million of Mortgage Loans with
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
LOANS: Approximately $384.8 million of Mortgage Loans that
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
SPEED: o Fixed Rate Mortgage Loans: CPR starting at
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). On
and 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 aggregate
principal balance of the Mortgage Loans as of the
cut-off date, and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on the
more senior classes of certificates.
SENIOR ENHANCEMENT
PERCENTAGE: For any Distribution Date, the percentage obtained by
dividing (x) the aggregate 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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 3
STEP-DOWN DATE: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in June
2006; 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: 12.65%
PERCENTAGE: Class M-2: 7.15%
Class M-3: 5.40%
Class B-1: 4.10%
Class B-2: 3.00%
Class B-3: 1.75%
OPTIONAL CLEAN-UP
CALL: When the current aggregate principal balance of the
Mortgage Loans is less than or equal to 10% of the
aggregate 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 on and 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
PASS-THROUGH RATE: The Class A-1 Certificates will accrue interest at a
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
PASS-THROUGH RATE: The Class A-2 Certificates will accrue interest at a
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
PASS-THROUGH RATE: The Class M-1 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the WAC Cap.
CLASS M-2
PASS-THROUGH RATE: The Class M-2 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the 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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 4
CLASS M-3
PASS-THROUGH RATE: The Class M-3 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the WAC Cap.
CLASS B-1
PASS-THROUGH RATE: The Class B-1 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the WAC Cap.
CLASS B-2
PASS-THROUGH RATE: The Class B-2 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the WAC Cap.
CLASS B-3
PASS-THROUGH RATE: The Class B-3 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the 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 CARRY FORWARD
AMOUNT: As to any Distribution Date, the supplemental
interest 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 CARRY FORWARD
AMOUNT: As to any Distribution Date, the supplemental
interest 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).
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 5
CLASS M-1, M-2, M-3,
B-1, B-2 AND B-3
BASIS RISK CARRY
FORWARD AMOUNTS: As to any Distribution Date, the supplemental
interest amount for each of the Class M-1, M-2, M-3,
B-1, B-2 and B-3 Certificates will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such 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
DISTRIBUTIONS ON
OFFERED
CERTIFICATES: On each Distribution Date and after payments of
servicing and trustee fees and other expenses,
interest distributions from the Interest Remittance
Amount will be allocated as 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, to the Class A-2
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, to the Class A-2
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 M-3 Certificates, its Accrued
Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued
Certificate Interest, and
(viii) To the Class B-3 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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 6
PRINCIPAL
DISTRIBUTIONS ON
OFFERED
CERTIFICATES: On each Distribution Date (a) prior to the Stepdown
Date or (b) on which a Trigger Event is in effect,
principal distributions from the Principal
Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, allocated between
the Class A Certificates as described below,
until the Certificate Principal Balances
thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(v) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero; and
(vii) to the Class B-3 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger Event is not
in effect, the principal distributions from the
Principal Distribution Amount will be allocated as
follows:
(i) to the Class A Certificates, 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 has been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class M-2 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class M-3 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
(v) 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 has been reduced to zero;
(vi) 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 has been reduced to zero; and
(vii) to the Class B-3 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class B-3 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has 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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 7
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
either class of Class A 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.
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 Certificates.
For the first 24 months if the 1-month LIBOR rate
exceeds 6.80%, the Interest Rate Cap pays the Trust
the product of (i) the difference between the then
current 1-month LIBOR rate and 6.80% (on an
Actual/360 day count basis) up to a maximum of
137.5bps and (ii) the Interest Rate Cap Notional
Balance ("the Interest Rate Cap Payment") as
described herein. For the next 12 months if the
1-month LIBOR rate exceeds 7.175%, the Interest Rate
Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate and
7.175% (on an Actual/360 day count basis) up to a
maximum of 100bps and (ii) the Interest Rate Cap
Notional Balance ("the Interest Rate Cap Payment") as
described herein.
INTEREST RATE CAP
PAYMENT ALLOCATION: The Interest Rate Cap Payment shall be available to
pay any Basis Risk Carry Forward Amount due to the
Class A-2 Certificates.
ALLOCATION OF NET
MONTHLY EXCESS
CASHFLOW: For any Distribution Date, any Net Monthly Excess
Cashflow shall be paid as follows:
(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 M-3 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class M-3 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-1 Certificates, the allocated
unreimbursed realized loss amount;
(ix) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(x) to the Class B-2 Certificates, the allocated
unreimbursed realized loss amount;
(xi) to the Class B-3 Certificates, the unpaid
interest shortfall amount;
(xii) to the Class B-3 Certificates, the allocated
unreimbursed realized loss amount;
(xiii) concurrently, any Class A-1 Basis Risk Carry
Forward Amount to the Class A-1 Certificates,
and any Class A-2 Basis Risk Carry Forward
Amount to the Class A-2 Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3, B-1,
B-2 and B-3 Certificates, in such order, any
Basis Risk Carry Forward Amount for such
classes.
INTEREST REMITTANCE
AMOUNT: For any Distribution Date, the portion of available
funds for such Distribution Date attributable to
interest received or advanced on the Mortgage Loans.
ACCRUED CERTIFICATE
INTEREST: For any Distribution Date and each class of Offered
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.
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 8
PRINCIPAL
DISTRIBUTION AMOUNT: On any Distribution Date, the sum of (i) the Basic
Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
BASIC PRINCIPAL
DISTRIBUTION AMOUNT: On any Distribution Date, the excess of (i) the
aggregate principal remittance amount over (ii) the
Excess Subordinated Amount, if any.
NET MONTHLY EXCESS
CASHFLOW: For any Distribution Date is the amount of funds
available for distribution on such Distribution Date
remaining after making all distributions of interest
and principal on the certificates.
EXTRA PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, the lesser of (i) the
excess of (x) interest collected or advanced with
respect to the Mortgage Loans with due dates in the
related Due Period (less servicing 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
AMOUNT: For any Distribution Date, means the excess, if any
of (i) the overcollateralization and (ii) the
required overcollateralization for such Distribution
Date.
CLASS A PRINCIPAL
ALLOCATION
PERCENTAGE: For any Distribution Date, 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-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.
CLASS A PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the
excess 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 $5,025,049.
CLASS M-1 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the
excess 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 74.70% and
(ii) the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period
and (B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over $5,025,049.
CLASS M-2 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the
excess 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 85.70% and (ii) the
aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related
Due Period over $5,025,049.
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 9
CLASS M-3 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the
excess 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 M-3 Certificates
immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately
89.20% and (ii) the aggregate principal balance of
the Mortgage Loans as of the last day of the related
Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as
$5,025,049. of the last day of the related Due Period
over
CLASS B-1 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the
excess 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 M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date) and (v) 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 91.80% 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 $5,025,049.
CLASS B-2 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the
excess 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 M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) 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 over (y) the lesser of (A) the
product of (i) approximately 94.00% 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 $5,025,049.
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 10
CLASS B-3 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the
excess 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 M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) 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), (vi)
the Certificate Principal Balance of the Class B-2
Certificates (after taking into account the payment
of the Class B-2 Principal Distribution Amount on
such Distribution Date) and (vii) the Certificate
Principal Balance of the Class B-3 Certificates
immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately
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
$5,025,049.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
SMMEA ELIGIBILITY: It is not anticipated that any of the Offered
Certificates will be SMMEA eligible.
PROSPECTUS: The Class A-2, Class M-1, Class M-2, Class M-3, Class
B-1, Class B-2 and Class B-3 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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
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
May 2004 99 80 74 68 62
May 2005 97 61 50 40 31
May 2006 96 45 32 20 11
May 2007 95 35 26 20 11
May 2008 93 28 20 14 10
May 2009 91 23 15 10 7
May 2010 89 19 12 7 5
May 2011 87 15 9 5 3
May 2012 85 12 7 4 3
May 2013 82 10 5 3 2
May 2014 80 8 4 2 0
May 2015 77 7 3 2 0
May 2016 74 5 3 1 0
May 2017 70 4 2 0 0
May 2018 66 4 2 0 0
May 2019 63 3 1 0 0
May 2020 59 2 0 0 0
May 2021 54 2 0 0 0
May 2022 50 2 0 0 0
May 2023 45 1 0 0 0
May 2024 40 1 0 0 0
May 2025 35 0 0 0 0
May 2026 32 0 0 0 0
May 2027 28 0 0 0 0
May 2028 24 0 0 0 0
May 2029 19 0 0 0 0
May 2030 15 0 0 0 0
May 2031 9 0 0 0 0
May 2032 4 0 0 0 0
May 2033 0 0 0 0 0
Average Life
to Maturity
(years) 18.09 4.18 3.17 2.48 1.94
Average Life
to Call (1) 18.06 3.80 2.86 2.21 1.71
(years)
(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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 12
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
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 81
May 2008 100 70 48 32 20
May 2009 100 56 36 22 13
May 2010 100 45 27 15 8
May 2011 100 36 20 10 5
May 2012 100 29 15 7 1
May 2013 100 23 11 5 0
May 2014 100 19 8 2 0
May 2015 100 15 6 0 0
May 2016 100 12 4 0 0
May 2017 100 9 2 0 0
May 2018 100 7 0 0 0
May 2019 100 6 0 0 0
May 2020 100 4 0 0 0
May 2021 100 2 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 28 0 0 0 0
May 2032 13 0 0 0 0
May 2033 0 0 0 0 0
Average Life
to Maturity
(years) 26.14 7.75 5.88 5.01 4.82
Average Life
to Call (1) 26.02 7.03 5.33 4.56 4.46
(years)
(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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 13
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
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 33
May 2008 100 70 48 32 20
May 2009 100 56 36 22 13
May 2010 100 45 27 15 8
May 2011 100 36 20 10 2
May 2012 100 29 15 7 0
May 2013 100 23 11 2 0
May 2014 100 19 8 0 0
May 2015 100 15 4 0 0
May 2016 100 12 1 0 0
May 2017 100 9 0 0 0
May 2018 100 7 0 0 0
May 2019 100 4 0 0 0
May 2020 100 1 0 0 0
May 2021 100 0 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 28 0 0 0 0
May 2032 13 0 0 0 0
May 2033 0 0 0 0 0
Average Life
to Maturity
(years) 26.14 7.67 5.79 4.81 4.34
Average Life
to Call (1) 26.02 7.03 5.30 4.41 4.02
(years)
(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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 14
TO MATURITY
-----------
PERCENTAGE OF CLASS M-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
Dates PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
-------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 33
May 2008 100 70 48 32 20
May 2009 100 56 36 22 13
May 2010 100 45 27 15 8
May 2011 100 36 20 10 2
May 2012 100 29 15 7 0
May 2013 100 23 11 2 0
May 2014 100 19 8 0 0
May 2015 100 15 4 0 0
May 2016 100 12 1 0 0
May 2017 100 9 0 0 0
May 2018 100 7 0 0 0
May 2019 100 4 0 0 0
May 2020 100 1 0 0 0
May 2021 100 0 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 28 0 0 0 0
May 2032 13 0 0 0 0
May 2033 0 0 0 0 0
Average Life
to Maturity
(years) 26.14 7.67 5.79 4.81 4.34
Average Life
to Call (1) 26.02 7.03 5.30 4.41 4.02
(years)
(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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
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
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 33
May 2008 100 70 48 32 20
May 2009 100 56 36 22 13
May 2010 100 45 27 15 0
May 2011 100 36 20 4 0
May 2012 100 29 15 0 0
May 2013 100 23 6 0 0
May 2014 100 19 0 0 0
May 2015 100 15 0 0 0
May 2016 100 10 0 0 0
May 2017 100 0 0 0 0
May 2018 100 0 0 0 0
May 2019 100 0 0 0 0
May 2020 100 0 0 0 0
May 2021 100 0 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 28 0 0 0 0
May 2032 13 0 0 0 0
May 2033 0 0 0 0 0
Average Life
to Maturity
(years) 26.11 7.45 5.60 4.58 4.02
Average Life
to Call (1) 26.02 7.03 5.29 4.33 3.82
(years)
(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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
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
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 33
May 2008 100 70 48 32 20
May 2009 100 56 36 22 2
May 2010 100 45 27 10 0
May 2011 100 36 20 0 0
May 2012 100 29 9 0 0
May 2013 100 23 0 0 0
May 2014 100 19 0 0 0
May 2015 100 9 0 0 0
May 2016 100 0 0 0 0
May 2017 100 0 0 0 0
May 2018 100 0 0 0 0
May 2019 100 0 0 0 0
May 2020 100 0 0 0 0
May 2021 100 0 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 28 0 0 0 0
May 2032 2 0 0 0 0
May 2033 0 0 0 0 0
Average Life
to Maturity
(years) 26.08 7.29 5.48 4.49 3.91
Average Life
to Call (1) 26.02 7.03 5.29 4.33 3.79
(years)
(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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 17
TO MATURITY
-----------
PERCENTAGE OF CLASS B-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
-------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 33
May 2008 100 70 48 32 9
May 2009 100 56 36 12 0
May 2010 100 45 24 0 0
May 2011 100 36 7 0 0
May 2012 100 29 0 0 0
May 2013 100 16 0 0 0
May 2014 100 4 0 0 0
May 2015 100 0 0 0 0
May 2016 100 0 0 0 0
May 2017 100 0 0 0 0
May 2018 100 0 0 0 0
May 2019 100 0 0 0 0
May 2020 100 0 0 0 0
May 2021 100 0 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 26 0 0 0 0
May 2032 0 0 0 0 0
May 2033 0 0 0 0 0
Average Life to 25.99 6.97 5.23 4.27 3.74
Maturity (years)
Average Life to 25.98 6.94 5.21 4.25 3.72
Call (1) (years)
(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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 18
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
0 - - - - - - -
1 9.47 7.89 7.89 7.89 7.89 7.89 7.89
2 8.71 7.14 7.14 7.14 7.14 7.14 7.14
3 8.52 6.94 6.94 6.94 6.94 6.94 6.94
4 8.55 6.96 6.96 6.96 6.96 6.96 6.96
5 8.79 7.19 7.19 7.19 7.19 7.19 7.19
6 8.56 6.96 6.96 6.96 6.96 6.96 6.96
7 8.80 7.19 7.19 7.19 7.19 7.19 7.19
8 8.57 6.96 6.96 6.96 6.96 6.96 6.96
9 8.57 6.96 6.96 6.96 6.96 6.96 6.96
10 9.08 7.44 7.44 7.44 7.44 7.44 7.44
11 8.59 6.96 6.96 6.96 6.96 6.96 6.96
12 8.83 7.19 7.19 7.19 7.19 7.19 7.19
13 8.60 6.96 6.96 6.96 6.96 6.96 6.96
14 8.85 7.19 7.19 7.19 7.19 7.19 7.19
15 8.61 6.96 6.96 6.96 6.96 6.96 6.96
16 8.62 6.96 6.96 6.96 6.96 6.96 6.96
17 8.87 7.19 7.19 7.19 7.19 7.19 7.19
18 8.64 6.96 6.96 6.96 6.96 6.96 6.96
19 8.89 7.19 7.19 7.19 7.19 7.19 7.19
20 8.66 6.96 6.96 6.96 6.96 6.96 6.96
21 8.66 6.96 6.96 6.96 6.96 6.96 6.96
22 9.46 7.71 7.71 7.71 7.71 7.71 7.71
23 9.54 7.92 7.92 7.92 7.92 7.92 7.92
24 9.82 8.18 8.18 8.18 8.18 8.18 8.18
25 9.19 7.92 7.92 7.92 7.92 7.92 7.92
26 9.47 8.18 8.18 8.18 8.18 8.18 8.18
27 9.21 7.92 7.92 7.92 7.92 7.92 7.92
28 9.23 7.91 7.91 7.91 7.91 7.91 7.91
29 10.38 9.16 9.16 9.16 9.16 9.16 9.16
30 10.09 8.87 8.87 8.87 8.87 8.87 8.87
31 10.41 9.16 9.16 9.16 9.16 9.16 9.16
32 10.13 8.86 8.86 8.86 8.86 8.86 8.86
33 10.15 8.86 8.86 8.86 8.86 8.86 8.86
34 11.19 9.85 9.85 9.85 9.85 9.85 9.85
35 11.08 9.86 9.86 9.86 9.86 9.86 9.86
36 11.45 10.19 10.19 10.19 10.19 10.19 10.19
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 19
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
37 23.27 9.86 9.86 9.86 9.86 9.86 9.86
38 12.10 10.18 10.18 10.18 10.18 10.18 10.18
39 11.65 9.85 9.85 9.85 9.85 9.85 9.85
40 11.63 9.89 9.89 9.89 9.89 9.89 9.89
41 12.83 11.21 11.21 11.21 11.21 11.21 11.21
42 12.41 10.84 10.84 10.84 10.84 10.84 10.84
43 12.82 11.20 11.20 11.20 11.20 11.20 11.20
44 12.40 10.84 10.84 10.84 10.84 10.84 10.84
45 12.40 10.84 10.84 10.84 10.84 10.84 10.84
46 13.77 12.04 12.04 12.04 12.04 12.04 12.04
47 13.00 11.52 11.52 11.52 11.52 11.52 11.52
48 13.43 11.90 11.90 11.90 11.90 11.90 11.90
49 13.00 11.52 11.52 11.52 11.52 11.52 11.52
50 13.43 11.90 11.90 11.90 11.90 11.90 11.90
51 13.00 11.51 11.51 11.51 11.51 11.51 11.51
52 13.03 11.55 11.55 11.55 11.55 11.55 11.55
53 13.48 11.94 11.94 11.94 11.94 11.94 11.94
54 13.04 11.55 11.55 11.55 11.55 11.55 11.55
55 13.48 11.94 11.94 11.94 11.94 11.94 11.94
56 13.04 11.55 11.55 11.55 11.55 11.55 11.55
57 13.04 11.55 11.55 11.55 11.55 11.55 11.55
58 13.96 12.37 12.37 12.37 12.37 12.37 12.37
59 13.07 11.58 11.58 11.58 11.58 11.58 11.58
60 13.50 11.96 11.96 11.96 11.96 11.96 11.96
61 13.07 11.57 11.57 11.57 11.57 11.57 11.57
62 13.50 11.96 11.96 11.96 11.96 11.96 11.96
63 13.07 11.57 11.57 11.57 11.57 11.57 11.57
64 13.07 11.57 11.57 11.57 11.57 11.57 11.57
65 13.50 11.95 11.95 11.95 11.95 11.95 11.95
66 13.06 11.57 11.57 11.57 11.57 11.57 11.57
67 13.50 11.95 11.95 11.95 11.95 11.95 11.95
68 13.06 11.56 11.56 11.56 11.56 11.56 11.56
69 13.06 11.56 11.56 11.56 11.56 11.56 11.56
70 14.46 12.80 12.80 12.80 12.80 12.80 12.80
71 13.06 11.56 11.56 11.56 11.56 11.56 11.56
72 13.50 11.94 11.94 11.94 11.94 11.94 11.94
73 13.06 11.56 11.56 11.56 11.56 11.56 11.56
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 20
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
74 13.49 11.94 11.94 11.94 11.94 11.94 11.94
75 13.06 11.55 11.55 11.55 11.55 11.55 11.55
76 13.06 11.55 11.55 11.55 11.55 11.55 11.55
77 13.49 11.93 11.93 11.93 11.93 11.93 11.93
78 13.06 11.55 11.55 11.55 11.55 11.55 11.55
79 13.49 11.93 11.93 11.93 11.93 11.93 11.93
80 13.06 11.55 11.55 11.55 11.55 11.55 11.55
81 13.06 11.54 11.54 11.54 11.54 11.54 11.54
82 14.45 12.78 12.78 12.78 12.78 12.78 12.78
83 11.69 11.54 11.54 11.54 11.54 11.54 11.54
84 11.89 11.92 11.92 11.92 11.92 11.92 11.92
85 11.52 11.54 11.54 11.54 11.54 11.54 11.54
86 11.92 11.92 11.92 11.92 11.92 11.92 11.92
87 11.55 11.54 11.54 11.54 11.54 11.54 11.54
88 11.57 11.54 11.54 11.54 11.54 11.54 11.54
89 11.97 11.92 11.92 11.92 11.92 11.92 11.92
90 11.61 11.53 11.53 11.53 11.53 11.53 11.53
91 12.01 11.92 11.92 11.92 11.92 11.92 11.92
92 11.64 11.53 11.53 11.53 11.53 11.53 11.53
93 11.66 11.53 11.53 11.53 11.53 11.53 11.53
94 12.93 12.76 12.76 12.76 12.76 12.76 12.76
95 11.70 11.53 11.53 11.53 11.53 11.53 11.53
96 12.11 11.91 11.91 11.91 11.91 11.91 11.91
97 11.75 11.52 11.52 11.52 11.52 11.52 11.52
98 12.16 11.91 11.91 11.91 11.91 11.91 11.91
99 11.79 11.52 11.52 11.52 11.52 11.52 11.52
100 11.81 11.52 11.52 11.52 11.52 11.52 11.52
101 12.23 11.90 11.90 11.90 11.90 11.90 11.90
102 11.86 11.52 11.52 11.52 11.52 11.52 11.52
103 12.28 11.90 11.90 11.90 11.90 11.90 11.90
104 11.91 11.52 11.52 11.52 11.52 11.52 11.52
105 11.94 11.51 11.51 11.51 11.51 11.51 11.51
106 12.79 12.31 12.31 12.31 12.31 12.31 -
107 12.00 11.51 11.51 11.51 11.51 11.51 -
108 12.42 11.90 11.90 11.90 11.90 11.90 -
109 12.05 11.51 11.51 11.51 11.51 11.51 -
110 12.49 11.89 11.89 11.89 11.89 11.89 -
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 21
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
111 12.12 11.51 11.51 11.51 11.51 11.51 -
112 12.15 11.51 11.51 11.51 11.51 11.51 -
113 12.59 11.89 11.89 11.89 11.89 11.89 -
114 12.21 11.51 11.51 11.51 11.51 11.51 -
115 12.66 11.89 11.89 11.89 11.89 11.89 -
116 12.28 11.50 11.50 11.50 11.50 11.50 -
117 12.32 11.50 11.50 11.50 11.50 11.50 -
118 13.68 12.73 12.73 12.73 12.73 12.73 -
119 12.40 11.50 11.50 11.50 11.50 - -
120 12.85 11.88 11.88 11.88 11.88 - -
121 12.48 11.50 11.50 11.50 11.50 - -
122 12.93 11.88 11.88 11.88 11.88 - -
123 12.56 11.50 11.50 11.50 11.50 - -
124 12.60 11.50 11.50 11.50 11.50 - -
125 13.07 11.88 11.88 11.88 11.88 - -
126 12.69 11.49 11.49 11.49 11.49 - -
127 13.17 11.88 11.88 11.88 11.88 - -
128 12.79 11.49 11.49 11.49 11.49 - -
129 12.84 11.49 11.49 11.49 11.49 - -
130 14.27 12.72 12.72 12.72 - - -
131 12.94 11.49 11.49 11.49 - - -
132 13.43 11.87 11.87 11.87 - - -
133 13.05 11.49 11.49 11.49 - - -
134 13.54 11.87 11.87 11.87 - - -
135 13.17 11.49 11.49 11.49 - - -
136 13.23 11.49 11.49 11.49 - - -
137 13.73 11.87 11.87 11.87 - - -
138 13.35 11.49 11.49 11.49 - - -
139 13.86 11.87 11.87 11.87 - - -
140 13.48 11.48 11.48 11.48 - - -
141 13.55 11.48 11.48 - - - -
142 15.08 12.71 12.71 - - - -
143 13.69 11.48 11.48 - - - -
144 14.22 11.86 11.86 - - - -
145 13.84 11.48 11.48 - - - -
146 14.38 11.86 11.86 - - - -
147 13.99 11.48 11.48 - - - -
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 22
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
148 14.08 11.48 11.48 - - - -
149 14.63 11.86 11.86 - - - -
150 14.25 11.48 11.48 - - - -
151 14.81 11.86 11.86 - - - -
152 14.42 11.48 11.48 - - - -
153 14.52 11.48 11.48 - - - -
154 15.62 12.27 12.27 - - - -
155 14.71 11.48 11.48 - - - -
156 15.30 11.86 11.86 - - - -
157 14.91 11.48 11.48 - - - -
158 15.52 11.86 11.86 - - - -
159 15.13 11.48 11.48 - - - -
160 15.24 11.48 11.48 - - - -
161 15.87 11.86 11.86 - - - -
162 15.47 11.47 11.47 - - - -
163 16.11 11.86 11.86 - - - -
164 15.72 11.47 - - - - -
165 15.84 11.47 - - - - -
166 17.69 12.70 - - - - -
167 16.11 11.47 - - - - -
168 16.79 11.86 - - - - -
169 16.39 11.47 - - - - -
170 17.09 11.86 - - - - -
171 16.68 11.47 - - - - -
172 16.84 11.47 - - - - -
173 17.56 11.86 - - - - -
174 17.16 11.47 - - - - -
175 17.90 11.86 - - - - -
176 17.50 11.47 - - - - -
177 17.67 11.47 - - - - -
178 19.76 12.70 - - - - -
179 18.03 11.47 - - - - -
180 18.89 - - - - - -
181 18.60 - - - - - -
182 19.57 - - - - - -
183 19.30 - - - - - -
184 19.69 - - - - - -
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 23
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
185 20.77 - - - - - -
186 20.54 - - - - - -
187 21.71 - - - - - -
188 21.52 - - - - - -
189 22.06 - - - - - -
190 25.08 - - - - - -
191 23.28 - - - - - -
192 24.77 - - - - - -
193 24.72 - - - - - -
194 26.39 - - - - - -
195 26.38 - - - - - -
196 27.31 - - - - - -
197 29.29 - - - - - -
198 29.48 - - - - - -
199 31.78 - - - - - -
200 32.19 - - - - - -
201 33.80 - - - - - -
202 38.09 - - - - - -
203 37.74 - - - - - -
204 41.53 - - - - - -
205 43.05 - - - - - -
206 48.01 - - - - - -
207 50.57 - - - - - -
208 55.64 - - - - - -
209 64.10 - - - - - -
210 70.34 - - - - - -
211 84.30 - - - - - -
212 97.62 - - - - - -
213 122.38 - - - - - -
214 183.29 - - - - - -
215 259.88 - - - - - -
216 * - - - - - -
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 24
