EXHIBIT 99.1
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XXXXXX XXXXXXX January 14, 2003
Securitized Products Group [GRAPHIC OMITTED]
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COMPUTATIONAL MATERIALS
$421,683,000
APPROXIMATELY
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
SERIES 2003-NC1
MORTGAGE PASS-THROUGH CERTIFICATES
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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shall be deemed superseded, amended and supplemented in its entirety by such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 herein 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 herein. 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.
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XXXXXX XXXXXXX January 14, 2003
Securitized Products Group [GRAPHIC OMITTED]
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APPROXIMATELY $421,683,000
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC., SERIES 2003-NC1
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
DEPOSITOR
OCWEN FEDERAL BANK, F.S.B
SERVICER
TRANSACTION HIGHLIGHTS
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AVG LIFE TO MODIFIED DURATION
OFFERED EXPECTED RATINGS CALL / TO CALL /
CLASSES DESCRIPTION BALANCE(4) (S&P/FITCH/ XXXXX'X) MTY(1)(2) MTY(1)(2)(3) PAYMENT WINDOW TO CALL / MTY(1)(2)
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A-1 Not Offered 544,733,000 *****Not Offered*****
A-2(5) Floater [125,000,000] (6) AAA/AAA/Aaa 2.84 / 3.16 2.74 / 3.00 02/03 - 01/11 / 02/03 - 08/20
A-3 Floater [127,007,000] (6) AAA/AAA/Aaa 2.84 / 3.16 2.73 / 2.99 02/03 - 01/11 / 02/03 - 08/20
M-1 Floater 60,493,000 AA/AA/Aa2 5.33 / 5.88 4.97 / 5.41 04/06 - 01/11 / 04/06 - 08/17
M-2 Floater 51,641,000 A/A/A2 5.30 / 5.79 4.79 / 5.15 03/06 - 01/11 / 03/06 - 05/16
M-3 Floater 8,361,000 A-/A/A3 5.30 / 5.73 4.77 / 5.09 03/06 - 01/11 / 03/06 - 09/14
B-1 Floater 32,952,000 BBB/BBB/Baa2 5.28 / 5.61 4.53 / 4.74 02/06 - 01/11 / 02/06 - 04/14
B-2 Floater 16,229,000 BBB-/BBB-/Baa3 5.22 / 5.27 4.58 / 4.62 02/06 - 01/11 / 02/06 - 01/12
[TABLE CONTINUED]
INITIAL
OFFERED SUBORDINATION
CLASSES LEVEL BENCHMARK
------------------------------------
A-1
A-2(5) 19.00% 1 Mo. LIBOR
A-3 19.00% 1 Mo. LIBOR
M-1 12.85% 1 Mo. LIBOR
M-2 7.60% 1 Mo. LIBOR
M-3 6.75% 1 Mo. LIBOR
B-1 3.40% 1 Mo. LIBOR
B-2 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 for Classes A-2 through B-2.
(4) Bond sizes subject to a variance of plus or minus 5%.
(5) Class A-2 wrapped by FSA
(6) Final size of Class A-2 and A-3 subject to change
ISSUER: Xxxxxx Xxxxxxx Xxxx Xxxxxx Capital I Inc. Trust
2003-NC1.
DEPOSITOR: Xxxxxx Xxxxxxx Xxxx Xxxxxx Capital I Inc.
CLASS A-2 INSURER: Financial Security Assurance Inc.
LOAN SELLER: NC Capital Corporation
SERVICER: Ocwen Federal Bank, F.S.B
TRUSTEE: Deutsche Bank National Trust Company
MANAGERS: Xxxxxx Xxxxxxx (lead manager); Xxxxxxxx Capital
Partners, L.P. and Xxxxxxxx & Partners, L.P. L.P.
RATING AGENCIES: Standard & Poor's, Fitch Ratings and Xxxxx'x Investors
Service.
OFFERED CERTIFICATES: Classes A-2, A-3, M-1, M-2, M-3, B-1 and B-2
Certificates.
EXPECTED PRICING DATE: January 17, 2003
EXPECTED CLOSING DATE: January 28, 2003 through DTC and Euroclear or
Clearstream, Luxembourg. The Certificates will be sold
without accrued interest.
DISTRIBUTION DATES: The 25th of each month, or if such day is not a business
day, on the next business day, beginning February 25,
2003.
FINAL SCHEDULED
DISTRIBUTION DATE: The Distribution Date occurring in November 2032.
CLASS A-2 INSURANCE: Financial Security Assurance Inc., a AAA/Aaa/AAA rated
surety bond provider, guarantees timely interest and
ultimate principal to the Class A-2 Certificate holders.
DUE PERIOD: For any Distribution Date, the period commencing on the
second day of the month preceding the month in which
such Distribution Date occurs and ending on the first
day of the month in which such Distribution Date occurs.
INTEREST ACCRUAL The interest accrual period for the Offered Certificates
PERIOD: with respect to any Distribution Date will be the period
beginning with the previous Distribution Date (or, in
the case of the first Distribution Date, the Closing
Date) and ending on the day prior to the current
Distribution Date (on an actual/360 day count basis).
MORTGAGE LOANS: The Trust will consist of two groups of adjustable and
fixed rate sub-prime residential mortgage loans.
GROUP I MORTGAGE LOANS: Approximately $672.5 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 Approximately $311.1 million of Mortgage Loans that
LOANS: predominantly have original principal balances that do
not conform to the original principal balance limits for
one- to four-family residential mortgage loan guidelines
for purchase by Freddie Mac.
PRICING PREPAYMENT o Fixed Rate Mortgage Loans: CPR starting at
SPEED: approximately 1.5333% CPR in month 1 and increasing to
23% CPR in month 15 (23%/15 CPR increase for each
month), and remaining at 23% CPR thereafter.
o ARM Mortgage Loans: CPR of 25%.
CREDIT ENHANCEMENT: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage Loans,
2) 1.75% overcollateralization (funded upfront). 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 total 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.
4) Insurance policy issued by FSA for the Class A-2
Certificates only.
SENIOR ENHANCEMENT For any Distribution Date, the percentage obtained by
PERCENTAGE: dividing (x) the aggregate Certificate Principal Balance
of the subordinate certificates (together with any
overcollateralization and taking into account the
distributions of the Principal Distribution Amount for
such Distribution Date) by (y) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period.
STEP-DOWN DATE: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in February
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 SUBORDINATION Class A: 19.00%
PERCENTAGE: Class M-1: 12.85%
Class M-2: 7.60%
Class M-3: 6.75%
Class B-1: 3.40%
Class B-2: 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 total
principal balance of the Mortgage Loans as of the
Cut-off Date.
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 The Class A-1 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date
on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group I Cap and (iii) the WAC Cap.
CLASS A-2 PASS-THROUGH The Class A-2 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date
on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group II Cap and (iii) the WAC Cap.
CLASS A-3 PASS-THROUGH The Class A-3 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date
on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group II Cap and (iii) the WAC Cap.
CLASS M-1 PASS-THROUGH The Class M-1 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS M-2 PASS-THROUGH The Class M-2 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS M-3 PASS-THROUGH The Class M-3 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-1 PASS-THROUGH The Class B-1 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-2 PASS-THROUGH The Class B-2 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
WAC CAP: As to any Distribution Date a per annum rate equal to
the product of (i) the weighted average gross rate of
the Mortgage Loans in effect on the beginning of the
related Due Period less servicing, trustee and other fee
rates and in the case of the A-2 certificates, less the
Class A-2 Insurance premium, 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 in the case of the A-2 certificates, less
the Class A-2 Insurance premium and (ii) a fraction, the
numerator of which is 30 and the denominator of which is
the actual number of days in the related Interest
Accrual Period.
CLASS A-1 BASIS RISK As to any Distribution Date, the supplemental interest
CARRY FORWARD AMOUNT: amount for the Class A-1 Certificates will equal the sum
of:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the
Class A-1 Pass-Through Rate (without regard to
the Loan Group I Cap or WAC Cap) over interest
due such Certificates at a rate equal to the
lesser of the Loan Group I Cap or WAC Cap;
(ii) any Class A-1 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) interest on the amount in clause (ii) at the
related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
CLASS A-2 BASIS RISK As to any Distribution Date, the supplemental interest
CARRY FORWARD AMOUNT: amount for the Class A-2 Certificates will equal the sum
of:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the
Class A-2 Pass-Through Rate (without regard to
the Loan Group II Cap or WAC Cap) over interest
due such Certificates at a rate equal to the
lesser of the Loan Group II Cap or WAC Cap;
(ii) any Class A-2 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) interest on the amount in clause (ii) at the
related Class A-2 Pass-Through Rate (without
regard to the Loan Group II Cap or WAC Cap).
CLASS A-3 BASIS RISK As to any Distribution Date, the supplemental interest
CARRY FORWARD AMOUNT: amount for the Class A-3 Certificates will equal the sum
of:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the
Class A-3 Pass-Through Rate (without regard to
the Loan Group II Cap or WAC Cap) over interest
due such Certificates at a rate equal to the
lesser of the Loan Group II Cap or WAC Cap;
(ii) any Class A-3 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) interest on the amount in clause (ii) at the
related Class A-3 Pass-Through Rate (without
regard to the Loan Group II Cap or WAC Cap).
CLASS M-1, M-2, M-3, As to any Distribution Date, the supplemental
B-1 AND B-2 BASIS RISK interest amount for each of the Class M-1, M-2,
CARRY FORWARD AMOUNTS: M-3, B-1 and B-2 Certificates willequal 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 each Distribution Date and after payments of
ON OFFERED servicing and trustee fees and other expenses, interest
CERTIFICATES: 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,
pro rata, to the Class A-2 Certificates, the Class
A-3 Certificates and (according to any unpaid
Class A-2 Insurance premiums and any unreimbursed
Class A-2 Insurance Payment Amounts) the Class A-2
Insurer;
(ii) the portion of the Interest Remittance Amount
attributable to the Group II Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, pro rata, to the Class A-2 Certificates,
the Class A-3 Certificates and (according to any
unpaid Class A-2 Insurance premiums and any
unreimbursed Class A-2 Insurance Payment Amounts)
the Class A-2 Insurer 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; and
(vii) to the Class B-2 Certificates, its Accrued
Certificate Interest.
PRINCIPAL On each Distribution Date (a) prior to the Stepdown Date
DISTRIBUTIONS ON or (b) on which a Trigger Event is in effect, principal
OFFERED CERTIFICATES: 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 have been
reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero;
(v) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero; and
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero.
On each Distribution Date (a) on or after the Stepdown
Date and (b) on which a Trigger Event is not in effect,
the principal distributions from the Principal
Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, the lesser of the
Principal Distribution Amount and the Class A
Principal Distribution Amount, allocated between
the Class A Certificates as described below,
until the Certificate Principal Balances thereof
have been reduced to zero;
(ii) to the Class M-1 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class M-1 Principal Distribution Amount, until
the Certificate Principal Balance thereof have
been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class M-2 Principal Distribution Amount, until
the Certificate Principal Balance thereof have
been reduced to zero;
(iv) to the Class 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 have
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 have
been reduced to zero; and
(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 have
been reduced to zero.
All principal distributions to the Class A Certificates
on any Distribution Date will be allocated between the
Class A-1 Certificates, the Class A-2 Certificates and
the Class A-3 Certificates on a pro rata basis based on
the Class A Principal Allocation Percentage for each
such class on such Distribution Date; provided, however,
that if the Certificate Principal Balance of any 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, A-3, M-1, M-2, M-3, B-1 and B-2 Certificates.
If the 1-month LIBOR rate exceeds 6.75%, the Interest
Rate Cap pays the Trust the product of (i) the
difference between the then current 1-month LIBOR rate
and 6.75% (on an Actual/360 day count basis) up to a
maximum of 137.5bps for the first 24 months and up to a
maximum of 100bps for the next 12 months and (ii) the
Interest Rate Cap Notional Balance ("the Interest Rate
Cap Payment") as described herein.
INTEREST RATE CAP The Interest Rate Cap Payment shall be available to pay
PAYMENT ALLOCATION: any Basis Risk Carry Forward Amount due Classes A-2,
A-3, M-1, M-2, M-3, B-1 and B-2 pro rata.
ALLOCATION OF NET For any Distribution Date, any Net Monthly Excess
MONTHLY EXCESS Cashflow shall be be paid as follows:
CASHFLOW: (i) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class 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) concurrently, any Class A-1 Basis Risk Carry
Forward Amount to the Class A-1 Certificates, and
any Class A-2 or Class A-3 Basis Risk Carry
Forward Amount to the Class A-2 and Class A-3
Certificates, respectively; and
(xii) sequentially, to Classes M-1, M-2, M-3, B-1 and
B-2 Certificates, in such order, any Basis Risk
Carry Forward Amount for such classes.
INTEREST REMITTANCE For any Distribution Date, the portion of available
AMOUNT: funds for such Distribution Date attributable to
interest received or advanced on the Mortgage Loans.
ACCRUED CERTIFICATE For any Distribution Date and each class of Offered
INTEREST: Certificates, equals the amount of interest accrued
during the related interest accrual period at the
related Pass-through Rate, reduced by any prepayment
interest shortfalls and shortfalls resulting from the
application of the Soldiers' and Sailors' Civil Relief
Act of 1940 or similar state law allocated to such
class.
CLASS A-2 INSURANCE For any Distribution Date, the Class A-2 Insurance
PAYMENT AMOUNT: Payment Amount equals Accrued Certificate Interest and
principal with respect to the Class A-2 Certificates, to
the extent covered by the Class A-2 Insurer.
PRINCIPAL DISTRIBUTION For any Distribution Date, the sum of (i) the Basic
AMOUNT: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
BASIC PRINCIPAL On any Distribution Date, the excess of (i) the
DISTRIBUTION AMOUNT: aggregate principal remittance amount over (ii) the
Excess Subordinated Amount, if any.
NET MONTHLY EXCESS For any Distribution Date is the amount of funds
CASHFLOW: available for distribution on such Distribution Date
remaining after making all distributions of interest and
principal on the certificates.
EXTRA PRINCIPAL For any Distribution Date, the lesser of (i) the excess
DISTRIBUTION AMOUNT: 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 and
the Class A-2 Insurance premium), over (y) the sum of
interest payable on the Certificates on such
Distribution Date and (ii) the overcollateralization
deficiency amount for such Distribution Date.
EXCESS SUBORDINATED For any Distribution Date, means the excess, if any of
AMOUNT: (i) the overcollateralization and (ii) the required
overcollateralization for such Distribution Date.
CLASS A PRINCIPAL For any Distribution Date, the percentage equivalent of
ALLOCATION PERCENTAGE: 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 Loan 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 and Class A-3 Certificates,
the numerator of which is (x) the portion of the
principal remittance amount for such Distribution Date
that is attributable to principal received or advanced
on the Loan Group II Mortgage Loans and the denominator
of which is (y) the principal remittance amount for such
Distribution Date, distributed pro-rata.
CLASS A PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the aggregate Certificate Principal Balance of
the Class A Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the product
of (i) approximately 62.00% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last
day of the related Due Period and (B) the excess, if
any, of the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period over
$4,918,152.
CLASS M-1 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date) and (ii)
the Certificate Principal Balance of the Class M-1
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 74.30% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period over $4,918,152.
CLASS M-2 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date) and (iii) the Certificate Principal
Balance of the Class M-2 Certificates immediately prior
to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 84.80% and (ii) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due
Period over $4,918,152.
CLASS M-3 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date), and (iv)
the Certificate Principal Balance of the Class M-3
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 86.50% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period over $4,918,152.
CLASS B-1 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date), (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 93.20% and (ii) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due
Period over $4,918,152.
CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class 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
and over (y) the lesser of (A) the product of (i)
approximately 96.50% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period over $4,918,152.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
SMMEA ELIGIBILITY: It is anticipated that the Class A-2, Class A-3 and
Class M-1 Certificates will be SMMEA eligible.
PROSPECTUS: The Class A-2, Class A-3, Class M-1, Class M-2, Class
M-3, Class B-1 and Class B-2 Certificates are being
offered pursuant to a prospectus supplemented by a
prospectus supplement (together, the "Prospectus").
Complete information with respect to the Offered
Certificates and the collateral securing them is
contained in the Prospectus. The information herein is
qualified in its entirety by the information appearing
in the Prospectus. To the extent that the information
herein is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the
Offered Certificates may not be consummated unless the
purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN
CONNECTION WITH AN INVESTMENT IN THE OFFERED
CERTIFICATES.
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
January 2004 99 80 74 67 61
January 2005 98 60 50 39 30
January 2006 96 45 31 20 10
January 2007 95 35 26 20 10
January 2008 94 28 20 14 10
January 2009 92 23 15 10 7
January 2010 90 19 11 7 5
January 2011 88 15 9 5 3
January 2012 86 12 7 4 3
January 2013 84 10 5 3 2
January 2014 81 8 4 2 0
January 2015 78 7 3 2 0
January 2016 74 5 3 1 0
January 2017 71 4 2 0 0
January 2018 67 4 2 0 0
January 2019 63 3 1 0 0
January 2020 59 2 0 0 0
January 2021 55 2 0 0 0
January 2022 50 2 0 0 0
January 2023 45 1 0 0 0
January 2024 40 1 0 0 0
January 2025 34 0 0 0 0
January 2026 31 0 0 0 0
January 2027 26 0 0 0 0
January 2028 22 0 0 0 0
January 2029 18 0 0 0 0
January 2030 13 0 0 0 0
January 2031 8 0 0 0 0
January 2032 3 0 0 0 0
January 2033 0 0 0 0 0
Average Life
to Maturity (years) 18.14 4.18 3.16 2.46 1.92
Average Life
to Call (1) (years) 18.10 3.80 2.84 2.19 1.69
(1) 10% Optional Clean-Up Call
TO MATURITY
-----------
PERCENTAGE OF CLASS A-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------- ------------- -------------- ------------- ------------- --------------
Initial 100 100 100 100 100
January 2004 99 80 74 67 61
January 2005 98 60 50 39 30
January 2006 96 45 31 20 10
January 2007 95 35 26 20 10
January 2008 94 28 20 14 10
January 2009 92 23 15 10 7
January 2010 90 19 11 7 5
January 2011 88 15 9 5 3
January 2012 86 12 7 4 3
January 2013 84 10 5 3 2
January 2014 81 8 4 2 0
January 2015 78 7 3 2 0
January 2016 74 5 3 1 0
January 2017 71 4 2 0 0
January 2018 67 4 2 0 0
January 2019 63 3 1 0 0
January 2020 59 2 0 0 0
January 2021 55 2 0 0 0
January 2022 50 2 0 0 0
January 2023 45 1 0 0 0
January 2024 40 1 0 0 0
January 2025 34 0 0 0 0
January 2026 31 0 0 0 0
January 2027 26 0 0 0 0
January 2028 22 0 0 0 0
January 2029 18 0 0 0 0
January 2030 13 0 0 0 0
January 2031 8 0 0 0 0
January 2032 3 0 0 0 0
January 2033 0 0 0 0 0
Average Life
to Maturity (years) 18.14 4.18 3.16 2.46 1.92
Average Life
to Call (1) (years) 18.10 3.80 2.84 2.19 1.69
(1) 10% Optional Clean-Up Call
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
January 2004 100 100 100 100 100
January 2005 100 100 100 100 100
January 2006 100 100 100 100 100
January 2007 100 87 64 46 85
January 2008 100 70 48 32 20
January 2009 100 56 36 22 13
January 2010 100 45 26 15 8
January 2011 100 36 20 10 5
January 2012 100 29 15 7 1
January 2013 100 23 11 5 0
January 2014 100 19 8 2 0
January 2015 100 15 6 0 0
January 2016 100 12 4 0 0
January 2017 100 9 2 0 0
January 2018 100 7 0 0 0
January 2019 100 6 0 0 0
January 2020 100 4 0 0 0
January 2021 100 3 0 0 0
January 2022 100 0 0 0 0
January 2023 100 0 0 0 0
January 2024 100 0 0 0 0
January 2025 98 0 0 0 0
January 2026 88 0 0 0 0
January 2027 77 0 0 0 0
January 2028 66 0 0 0 0
January 2029 54 0 0 0 0
January 2030 41 0 0 0 0
January 2031 27 0 0 0 0
January 2032 12 0 0 0 0
January 2033 0 0 0 0 0
Average Life
to Maturity (years) 26.17 7.76 5.88 5.01 4.85
Average Life
to Call (1) (years) 26.04 7.05 5.33 4.57 4.49
(1) 10% Optional Clean-Up Call
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
January 2004 100 100 100 100 100
January 2005 100 100 100 100 100
January 2006 100 100 100 100 100
January 2007 100 87 64 46 32
January 2008 100 70 48 32 20
January 2009 100 56 36 22 13
January 2010 100 45 26 15 8
January 2011 100 36 20 10 3
January 2012 100 29 15 7 0
January 2013 100 23 11 2 0
January 2014 100 19 8 0 0
January 2015 100 15 5 0 0
January 2016 100 12 1 0 0
January 2017 100 9 0 0 0
January 2018 100 7 0 0 0
January 2019 100 4 0 0 0
January 2020 100 1 0 0 0
January 2021 100 0 0 0 0
January 2022 100 0 0 0 0
January 2023 100 0 0 0 0
January 2024 100 0 0 0 0
January 2025 98 0 0 0 0
January 2026 88 0 0 0 0
January 2027 77 0 0 0 0
January 2028 66 0 0 0 0
January 2029 54 0 0 0 0
January 2030 41 0 0 0 0
January 2031 27 0 0 0 0
January 2032 12 0 0 0 0
January 2033 0 0 0 0 0
Average Life
to Maturity (years) 26.17 7.68 5.79 4.81 4.36
Average Life
to Call (1) (years) 26.04 7.05 5.30 4.42 4.04
(1) 10% Optional Clean-Up Call
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
January 2004 100 100 100 100 100
January 2005 100 100 100 100 100
January 2006 100 100 100 100 100
January 2007 100 87 64 46 32
January 2008 100 70 48 32 20
January 2009 100 56 36 22 13
January 2010 100 45 26 15 8
January 2011 100 36 20 10 0
January 2012 100 29 15 3 0
January 2013 100 23 11 0 0
January 2014 100 19 8 0 0
January 2015 100 15 0 0 0
January 2016 100 12 0 0 0
January 2017 100 9 0 0 0
January 2018 100 6 0 0 0
January 2019 100 0 0 0 0
January 2020 100 0 0 0 0
January 2021 100 0 0 0 0
January 2022 100 0 0 0 0
January 2023 100 0 0 0 0
January 2024 100 0 0 0 0
January 2025 98 0 0 0 0
January 2026 88 0 0 0 0
January 2027 77 0 0 0 0
January 2028 66 0 0 0 0
January 2029 54 0 0 0 0
January 2030 41 0 0 0 0
January 2031 27 0 0 0 0
January 2032 12 0 0 0 0
January 2033 0 0 0 0 0
Average Life
to Maturity (years) 26.16 7.60 5.73 4.70 4.18
Average Life
to Call (1) (years) 26.04 7.05 5.30 4.36 3.91
(1) 10% Optional Clean-Up Call
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
January 2004 100 100 100 100 100
January 2005 100 100 100 100 100
January 2006 100 100 100 100 100
January 2007 100 87 64 46 32
January 2008 100 70 48 32 20
January 2009 100 56 36 22 11
January 2010 100 45 26 15 1
January 2011 100 36 20 5 0
January 2012 100 29 14 0 0
January 2013 100 23 7 0 0
January 2014 100 19 1 0 0
January 2015 100 15 0 0 0
January 2016 100 9 0 0 0
January 2017 100 4 0 0 0
January 2018 100 0 0 0 0
January 2019 100 0 0 0 0
January 2020 100 0 0 0 0
January 2021 100 0 0 0 0
January 2022 100 0 0 0 0
January 2023 100 0 0 0 0
January 2024 100 0 0 0 0
January 2025 98 0 0 0 0
January 2026 88 0 0 0 0
January 2027 77 0 0 0 0
January 2028 66 0 0 0 0
January 2029 54 0 0 0 0
January 2030 41 0 0 0 0
January 2031 27 0 0 0 0
January 2032 9 0 0 0 0
January 2033 0 0 0 0 0
Average Life
to Maturity (years) 26.14 7.47 5.61 4.60 4.04
Average Life
to Call (1) (years) 26.04 7.05 5.28 4.34 3.83
(1) 10% Optional Clean-Up Call
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
January 2004 100 100 100 100 100
January 2005 100 100 100 100 100
January 2006 100 100 100 100 100
January 2007 100 87 64 46 32
January 2008 100 70 48 32 11
January 2009 100 56 36 14 0
January 2010 100 45 24 0 0
January 2011 100 36 10 0 0
January 2012 100 29 0 0 0
January 2013 100 18 0 0 0
January 2014 100 8 0 0 0
January 2015 100 0 0 0 0
January 2016 100 0 0 0 0
January 2017 100 0 0 0 0
January 2018 100 0 0 0 0
January 2019 100 0 0 0 0
January 2020 100 0 0 0 0
January 2021 100 0 0 0 0
January 2022 100 0 0 0 0
January 2023 100 0 0 0 0
January 2024 100 0 0 0 0
January 2025 98 0 0 0 0
January 2026 88 0 0 0 0
January 2027 77 0 0 0 0
January 2028 66 0 0 0 0
January 2029 54 0 0 0 0
January 2030 41 0 0 0 0
January 2031 26 0 0 0 0
January 2032 0 0 0 0 0
January 2033 0 0 0 0 0
Average Life
to Maturity (years) 26.04 7.04 5.27 4.30 3.76
Average Life
to Call (1) (years) 26.02 6.97 5.22 4.26 3.73
(1) 10% Optional Clean-Up Call
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP(%) A-3 CAP(%) M-1 CAP(%) M-2 CAP(%) M-3 CAP(%) B-1 CAP(%) B-2 CAP(%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
0 - - - - - - -
1 9.57 9.58 9.47 9.47 9.47 9.47 9.47
2 9.75 9.76 9.57 9.57 9.57 9.57 9.57
3 9.08 9.09 8.87 8.87 8.87 8.87 8.87
4 9.49 9.50 9.21 9.21 9.21 9.21 9.21
5 9.36 9.37 9.05 9.05 9.05 9.05 9.05
6 9.64 9.65 9.30 9.30 9.30 9.30 9.30
7 9.37 9.38 9.05 9.05 9.05 9.05 9.05
8 9.38 9.39 9.05 9.05 9.05 9.05 9.05
9 9.65 9.66 9.30 9.30 9.30 9.30 9.30
10 9.39 9.40 9.05 9.05 9.05 9.05 9.05
11 9.66 9.67 9.30 9.30 9.30 9.30 9.30
12 9.40 9.41 9.05 9.05 9.05 9.05 9.05
13 9.41 9.42 9.05 9.05 9.05 9.05 9.05
14 9.97 9.98 9.57 9.57 9.57 9.57 9.57
15 9.43 9.44 9.05 9.05 9.05 9.05 9.05
16 9.70 9.71 9.30 9.30 9.30 9.30 9.30
17 9.44 9.45 9.05 9.05 9.05 9.05 9.05
18 9.72 9.73 9.30 9.30 9.30 9.30 9.30
19 9.46 9.47 9.05 9.05 9.05 9.05 9.05
20 9.47 9.48 9.05 9.05 9.05 9.05 9.05
21 9.75 9.76 9.30 9.30 9.30 9.30 9.30
22 10.41 10.42 10.03 10.03 10.03 10.03 10.03
23 10.72 10.73 10.32 10.32 10.32 10.32 10.32
24 10.43 10.44 10.03 10.03 10.03 10.03 10.03
25 10.07 10.08 9.65 9.65 9.65 9.65 9.65
26 11.06 11.07 10.58 10.58 10.58 10.58 10.58
27 10.10 10.11 9.65 9.65 9.65 9.65 9.65
28 11.29 11.30 10.95 10.95 10.95 10.95 10.95
29 10.98 10.99 10.63 10.63 10.63 10.63 10.63
30 11.33 11.34 10.95 10.95 10.95 10.95 10.95
31 11.02 11.02 10.63 10.63 10.63 10.63 10.63
32 11.04 11.05 10.63 10.63 10.63 10.63 10.63
33 11.40 11.40 10.95 10.95 10.95 10.95 10.95
34 11.93 11.94 11.64 11.64 11.64 11.64 11.64
35 12.32 12.33 12.00 12.00 12.00 12.00 12.00
36 11.99 11.99 11.64 11.64 11.64 11.64 11.64
37 24.53 24.53 10.64 10.64 10.64 10.64 10.64
38 13.93 13.93 11.78 11.78 11.78 11.78 11.78
39 12.52 12.53 10.64 10.64 10.64 10.64 10.64
40 13.74 13.75 12.04 12.04 12.04 12.04 12.04
41 13.24 13.25 11.65 11.65 11.65 11.65 11.65
42 13.66 13.67 12.04 12.04 12.04 12.04 12.04
43 13.22 13.23 11.65 11.65 11.65 11.65 11.65
44 13.22 13.23 11.64 11.64 11.64 11.64 11.64
45 13.66 13.67 12.03 12.03 12.03 12.03 12.03
46 13.79 13.79 12.33 12.33 12.33 12.33 12.33
47 14.24 14.25 12.74 12.74 12.74 12.74 12.74
48 13.78 13.79 12.33 12.33 12.33 12.33 12.33
49 13.78 13.79 12.33 12.33 12.33 12.33 12.33
50 15.26 15.27 13.64 13.64 13.64 13.64 13.64
51 13.78 13.79 12.32 12.32 12.32 12.32 12.32
52 14.28 14.28 12.77 12.77 12.77 12.77 12.77
53 13.81 13.82 12.36 12.36 12.36 12.36 12.36
54 14.27 14.28 12.77 12.77 12.77 12.77 12.77
55 13.81 13.82 12.35 12.35 12.35 12.35 12.35
56 13.81 13.82 12.35 12.35 12.35 12.35 12.35
57 14.27 14.28 12.76 12.76 12.76 12.76 12.76
58 13.83 13.84 12.37 12.37 12.37 12.37 12.37
59 14.29 14.30 12.78 12.78 12.78 12.78 12.78
60 13.83 13.84 12.37 12.37 12.37 12.37 12.37
61 13.83 13.84 12.37 12.37 12.37 12.37 12.37
62 14.78 14.79 13.22 13.22 13.22 13.22 13.22
63 13.83 13.84 12.37 12.37 12.37 12.37 12.37
64 14.29 14.30 12.78 12.78 12.78 12.78 12.78
65 13.83 13.83 12.36 12.36 12.36 12.36 12.36
66 14.29 14.29 12.77 12.77 12.77 12.77 12.77
67 13.82 13.83 12.36 12.36 12.36 12.36 12.36
68 13.82 13.83 12.36 12.36 12.36 12.36 12.36
69 14.28 14.29 12.77 12.77 12.77 12.77 12.77
70 13.82 13.83 12.36 12.36 12.36 12.36 12.36
71 14.28 14.29 12.77 12.77 12.77 12.77 12.77
72 13.82 13.83 12.35 12.35 12.35 12.35 12.35
73 13.82 13.83 12.35 12.35 12.35 12.35 12.35
74 15.30 15.31 13.67 13.67 13.67 13.67 13.67
75 13.82 13.83 12.35 12.35 12.35 12.35 12.35
76 14.28 14.29 12.76 12.76 12.76 12.76 12.76
77 13.82 13.83 12.35 12.35 12.35 12.35 12.35
78 14.28 14.29 12.76 12.76 12.76 12.76 12.76
79 13.82 13.83 12.35 12.35 12.35 12.35 12.35
80 13.82 13.83 12.34 12.34 12.34 12.34 12.34
81 14.28 14.29 12.75 12.75 12.75 12.75 12.75
82 13.75 13.76 12.34 12.34 12.34 12.34 12.34
83 12.66 12.67 12.75 12.75 12.75 12.75 12.75
84 12.27 12.28 12.34 12.34 12.34 12.34 12.34
85 12.29 12.30 12.34 12.34 12.34 12.34 12.34
86 13.62 13.63 13.66 13.66 13.66 13.66 13.66
87 12.32 12.33 12.34 12.34 12.34 12.34 12.34
88 12.75 12.76 12.75 12.75 12.75 12.75 12.75
89 12.36 12.37 12.33 12.33 12.33 12.33 12.33
90 12.79 12.80 12.74 12.74 12.74 12.74 12.74
91 12.40 12.41 12.33 12.33 12.33 12.33 12.33
92 12.42 12.43 12.33 12.33 12.33 12.33 12.33
93 12.85 12.86 12.74 12.74 12.74 12.74 12.74
94 12.46 12.47 12.33 12.33 12.33 12.33 12.33
95 12.90 12.91 12.74 12.74 12.74 12.74 12.74
96 12.50 12.51 12.33 12.33 12.33 12.33 12.33
97 12.53 12.54 12.32 12.32 12.32 12.32 12.32
98 13.90 13.91 13.64 13.64 13.64 13.64 13.64
99 12.58 12.58 12.32 12.32 12.32 12.32 12.32
100 13.02 13.03 12.73 12.73 12.73 12.73 12.73
101 12.63 12.63 12.32 12.32 12.32 12.32 12.32
102 13.07 13.08 12.73 12.73 12.73 12.73 12.73
103 12.68 12.69 12.32 12.32 12.32 12.32 12.32
104 12.71 12.72 12.32 12.32 12.32 12.32 12.32
105 13.16 13.17 12.73 12.73 12.73 12.73 12.73
106 12.77 12.77 12.32 12.32 12.32 12.32 12.32
107 13.22 13.23 12.73 12.73 12.73 12.73 12.73
108 12.83 12.83 12.31 12.31 12.31 12.31 12.31
109 12.86 12.87 12.31 12.31 12.31 12.31 12.31
110 13.78 13.79 13.16 13.16 13.16 13.16 13.16
111 12.92 12.93 12.31 12.31 12.31 12.31 -
112 13.39 13.40 12.72 12.72 12.72 12.72 -
113 12.99 13.00 12.31 12.31 12.31 12.31 -
114 13.46 13.47 12.72 12.72 12.72 12.72 -
115 13.07 13.07 12.31 12.31 12.31 12.31 -
116 13.10 13.11 12.31 12.31 12.31 12.31 -
117 13.58 13.59 12.72 12.72 12.72 12.72 -
118 13.18 13.19 12.31 12.31 12.31 12.31 -
119 13.66 13.67 12.72 12.72 12.72 12.72 -
120 13.26 13.27 12.31 12.31 12.31 12.31 -
121 13.31 13.32 12.30 12.30 12.30 12.30 -
122 14.78 14.79 13.62 13.62 13.62 13.62 -
123 13.40 13.41 12.30 12.30 12.30 12.30 -
124 13.89 13.90 12.71 12.71 12.71 12.71 -
125 13.49 13.50 12.30 12.30 12.30 12.30 -
126 13.99 14.00 12.71 12.71 12.71 12.71 -
127 13.59 13.60 12.30 12.30 12.30 12.30 -
128 13.64 13.65 12.30 12.30 12.30 12.30 -
129 14.15 14.16 12.71 12.71 12.71 12.71 -
130 13.75 13.76 12.30 12.30 12.30 12.30 -
131 14.26 14.27 12.71 12.71 12.71 12.71 -
132 13.86 13.87 12.30 12.30 12.30 12.30 -
133 13.92 13.93 12.30 12.30 12.30 12.30 -
134 15.47 15.48 13.61 13.61 13.61 13.61 -
135 14.04 14.05 12.29 12.29 12.29 12.29 -
136 14.57 14.58 12.70 12.70 12.70 12.70 -
137 14.17 14.18 12.29 12.29 12.29 12.29 -
138 14.71 14.72 12.70 12.70 12.70 12.70 -
139 14.30 14.31 12.29 12.29 12.29 - -
140 14.37 14.38 12.29 12.29 12.29 - -
141 14.92 14.93 12.70 12.70 12.70 - -
142 14.52 14.53 12.29 12.29 12.29 - -
143 15.08 15.09 12.70 12.70 12.70 - -
144 14.67 14.68 12.29 12.29 - - -
145 14.75 14.76 12.29 12.29 - - -
146 16.42 16.43 13.61 13.61 - - -
147 14.91 14.93 12.29 12.29 - - -
148 15.50 15.51 12.70 12.70 - - -
149 15.09 15.10 12.29 12.29 - - -
150 15.69 15.70 12.70 12.70 - - -
151 15.27 15.28 12.29 12.29 - - -
152 15.37 15.38 12.29 12.29 - - -
153 15.98 15.99 12.70 12.70 - - -
154 15.57 15.58 12.29 12.29 - - -
155 16.19 16.21 12.70 12.70 - - -
156 15.78 15.79 12.29 12.29 - - -
157 15.89 15.90 12.29 12.29 - - -
158 17.10 17.11 13.13 13.13 - - -
159 16.11 16.13 12.29 12.29 - - -
160 16.77 16.79 12.70 12.70 - - -
161 16.35 16.37 12.29 12.29 - - -
162 17.03 17.04 12.70 12.70 - - -
163 16.61 16.62 12.29 12.29 - - -
164 16.74 16.75 12.29 12.29 - - -
165 17.43 17.45 12.70 - - - -
166 17.01 17.02 12.29 - - - -
167 17.72 17.74 12.70 - - - -
168 17.30 17.31 12.29 - - - -
169 17.45 17.46 12.29 - - - -
170 19.49 19.50 13.60 - - - -
171 17.76 17.77 12.29 - - - -
172 18.52 18.53 12.70 - - - -
173 18.09 18.10 12.29 - - - -
174 18.87 18.88 12.70 - - - -
175 18.44 18.45 12.29 - - - -
176 18.62 18.63 12.29 - - - -
177 19.43 19.44 12.70 - - - -
178 18.99 19.01 12.29 - - - -
179 19.82 19.84 12.70 - - - -
180 19.45 19.47 - - - - -
181 19.79 19.81 - - - - -
182 22.31 22.33 - - - - -
183 20.53 20.55 - - - - -
184 21.64 21.65 - - - - -
185 21.38 21.39 - - - - -
186 22.57 22.58 - - - - -
187 22.34 22.35 - - - - -
188 22.87 22.88 - - - - -
189 24.23 24.24 - - - - -
190 24.06 24.08 - - - - -
191 25.56 25.57 - - - - -
192 25.46 25.47 - - - - -
193 26.24 26.26 - - - - -
194 30.01 30.02 - - - - -
195 28.05 28.06 - - - - -
196 30.05 30.06 - - - - -
197 30.22 30.24 - - - - -
198 32.54 32.55 - - - - -
199 32.90 32.92 - - - - -
200 34.44 34.46 - - - - -
201 37.37 37.39 - - - - -
202 38.13 38.14 - - - - -
203 41.73 41.74 - - - - -
204 42.99 43.00 - - - - -
205 46.05 46.06 - - - - -
206 53.10 53.11 - - - - -
207 54.06 54.07 - - - - -
208 61.44 61.44 - - - - -
209 66.25 66.25 - - - - -
210 77.57 77.58 - - - - -
211 86.97 86.98 - - - - -
212 103.92 103.93 - - - - -
213 134.30 134.30 - - - - -
214 175.09 175.09 - - - - -
215 281.41 281.41 - - - - -
216 * * - - - - -
217 - - - - - - -
* In Period 216 the A-2 Class has a balance of $48,001 and is paid $43,569 in
interest and the A-3 Class has a balance of $48,772 and is paid $44,268 in
interest.
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
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material information not contained herein and to which the prospective
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Memorandum will contain all material information in respect of any securities
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likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
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Changes to the assumptions may have a material impact on any returns detailed.
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Information contained in this material is current as of the date appearing on
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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.
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