EXHIBIT 99.1
--------------------------------------------------------------------------------
XXXXXX XXXXXXX January 21, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Computational Materials
$1,026,871,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-HE1
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shall be deemed superseded, amended and supplemented in its entirety by such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 January 21, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Approximately $1,026,871,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-HE1
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Chase Manhattan Mortgage Corporation
Countrywide Home Loans Inc.
Servicer
Transaction Highlights
Modified
Avg Life to Duration To
Offered Expected Ratings Call / Call /
Classes Description Balance(4) (S&P/Fitch) Mty(1)(2) Mty(1)(2)(3)
===================================================================================
A-1 Not Offered 659,219,000
A-2 Floater 32,354,000 AAA/AAA 5.81 / 6.52 5.58 / 6.18
A-3 Floater 350,000,000 AAA/AAA 0.90 / 0.90 0.90 / 0.90
A-4 Floater 425,712,000 AAA/AAA 4.50 / 4.97 4.35 / 4.76
M-1 Floater 102,967,000 AA/AA 5.30 / 5.81 5.08 / 5.51
M-2 Floater 47,194,000 A/A 5.29 / 5.71 4.96 / 5.30
M-3 Floater 17,161,000 A-/A- 5.28 / 5.62 4.91 / 5.18
B-1 Floater 17,161,000 BBB+/BBB+ 5.28 / 5.55 4.86 / 5.07
B-2 Floater 17,161,000 BBB/BBB 5.28 / 5.43 4.84 / 4.95
B-3 Floater 17,161,000 BBB-/BBB- 5.18 / 5.19 4.48 / 4.49
Initial
Offered Subordination
Classes Payment Window To Call / Mty(1)(2) Level(5) Benchmark
==========================================================================
A-1 *****Not Offered*****
A-2 05/07 - 02/12 / 05/07 - 01/21 [14.50%] 1 Mo. LIBOR
A-3 03/04 - 12/05 / 03/04 - 12/05 [14.50%] 1 Mo. LIBOR
A-4 12/05 - 02/12 / 12/05 - 08/21 [14.50%] 1 Mo. LIBOR
M-1 04/07 - 02/12 / 04/07 - 10/17 [8.50%] 1 Mo. LIBOR
M-2 03/07 - 02/12 / 03/07 - 02/16 [5.75%] 1 Mo. LIBOR
M-3 03/07 - 02/12 / 03/07 - 11/14 [4.75%] 1 Mo. LIBOR
B-1 03/07 - 02/12 / 03/07 - 03/14 [3.75%] 1 Mo. LIBOR
B-2 03/07 - 02/12 / 03/07 - 06/13 [2.75%] 1 Mo. LIBOR
B-3 03/07 - 02/12 / 03/07 - 05/12 [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%.
(5) Subordination levels to be finalized.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-HE1.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originators: Aames Capital Corporation, Accredited Home Lenders, Inc.
and NC Capital Corporation.
Servicer: Chase Manhattan Mortgage Corporation and Countrywide
Home Loans Inc.
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
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Countrywide Securities
Corp. and Xxxxxxxx Capital Partners, L.P.
Rating Agencies: Standard & Poor's and Fitch Ratings.
Offered Certificates: Class A-2, A-3, A-4, M-1, M-2, M-3, B-1, B-2 and B-3
Certificates.
Group I Class A Class A-1 and A-2 Certificates.
Certificates:
Group II Class A Class A-3 and A-4 Certificates.
Certificates:
Expected Closing February 26, 2004 through DTC and Euroclear or
Date: 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 March
25, 2004.
Final Scheduled
Distribution Date: The Distribution Date occurring in February 2034.
Due Period: For any Distribution Date, the period commencing
on the second day of the month preceding the month in
which such Distribution Date occurs and ending on the
first day of the month in which such Distribution Date
occurs.
Interest Accrual The interest accrual period for the Offered Certificates
Period: with respect to any Distribution Date will be the period
beginning with the previous Distribution Date (or, in
the case of the first Distribution Date, the Closing
Date) and ending on the day prior to the current
Distribution Date (on an actual/360 day count basis).
Mortgage Loans: The Trust will consist of two groups of
adjustable and fixed rate sub-prime residential mortgage
loans.
Group I Mortgage Approximately $808.9 million of Mortgage Loans with
Loans: original principal balances that conform to the original
principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase by
Freddie Mac.
Group II Mortgage Approximately $907.3 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%
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
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 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 March
2007; 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 [29.00%].
Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss
Trigger Event.
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
Delinquency Trigger A Delinquency Trigger Event is in effect on any
Event: Distribution Date if on that Distribution Date the 60
Day+ Rolling Average equals or exceeds [50%] of the
prior period's Senior Enhancement Percentage. The 60
Day+ Rolling Average will equal the rolling 3 month
average percentage of Mortgage Loans that are 60 or more
days delinquent.
Cumulative Loss A Cumulative Loss Trigger Event is in effect on any
Trigger Event: Distribution Date if the aggregate amount of Realized
Losses incurred since the cut-off date through the last
day of the related Prepayment Period divided by the
aggregate Stated Principal Balance of the mortgage loans
as of the cut-off date exceeds the applicable
percentages described below with respect to such
distribution date:
Months 37- 48 [4.25] for the first month,
plus an additional 1/12th of
[1.50] for each month
thereafter (e.g., [5.00] in
Month 43)
Months 49- 60 [5.75] for the first month,
plus an additional 1/12th of
[1.25] for each month
thereafter (e.g., [6.375] in
Month 55)
Months 61- 72 [7.00] for the first month,
plus an additional 1/12th of
[0.25] for each month
thereafter (e.g., [7.125] in
Month 67)
Months 72- thereafter [7.25]
Initial Class A: [14.50%]
Subordination Class M-1: [8.50%]
Percentage: Class M-2: [5.75%]
Class M-3: [4.75%]
Class B-1: [3.75%]
Class B-2: [2.75%]
Class B-3: [1.75%]
Optional Clean-up When the current aggregate principal balance of the
Call: Mortgage Loans is less than or equal to 10% of the
aggregate 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. The applicable fixed margin will
increase by 2x on the Class A Certificates and by 1.5x
on all other Certificates after the first distribution
date on which the Optional Clean-up Call is exercisable.
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 I 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 A-4 Pass-Through The Class A-4 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.
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 B-3 Pass-Through The Class B-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.
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 and A-2 Basis As to any Distribution Date, the supplemental interest
Risk Carry Forward amount for each of the Class A-1 and Class A-2
Amount: 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 and Class A-2 Pass-Through Rates (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 and 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-1 and Class A-2 Pass-Through Rate
(without regard to the Loan Group I Cap or WAC
Cap).
Class A-3 and A-4 Basis As to any Distribution Date, the supplemental interest
Risk Carry Forward amount for the Class A-3 and Class A-4 Certificates will
Amount: equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the Class
A-3 and Class A-4 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 and Class A-4 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 and Class A-4 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 interest
B-1, B-2 and B-3 Basis amount for each of the Class M-1, M-2, M-3, B-1, B-2 and
Risk Carry Forward B-3 Certificates will equal the sum of:
Amounts:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at such
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap) over interest due
such Certificates at a rate equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such class
remaining unpaid for such Certificate from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap).
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
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 Group I Class A Certificates and
second, to the Group II Class A 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 Group II Class A Certificates and
second, to the Group I Class A 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 7
Principal Distributions On each Distribution Date (a) prior to the Stepdown Date
on Offered or (b) on which a Trigger Event is in effect, principal
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 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 8
Class A Principal All principal distributions to the holders of the Class
Allocation: A Certificates on any Distribution Date will be
allocated concurrently between the Class A-1 and Class
A-2 Certificates (collectively, the "Group I Class A
Certificates"), on the one hand, and the Class A-3 and
Class A-4 Certificates (collectively, the "Group II
Class A Certificates"), on the other hand, based on the
Class A Principal Allocation Percentage for the Group I
Class A Certificates and the Group II Class A
Certificates, as applicable. The Group I Class A
Certificates and the Group II Class A Certificates are
each a "Class A Certificate Group."
However, if the Class Certificate Balances of the Class
A Certificates in either Class A Certificate Group are
reduced to zero, then the remaining amount of principal
distributions distributable to the Class A Certificates
on that Distribution Date, and the amount of those
principal distributions distributable on all subsequent
Distribution Dates, will be distributed to the holders
of the Class A certificates in the other Class A
Certificate Group remaining outstanding, in accordance
with the principal distribution allocations described
herein, until their Class Certificate Balances have been
reduced to zero. Any payments of principal to the Group
I Class A Certificates will be made first from payments
relating to the Group I Mortgage Loans, and any payments
of principal to the Group II Class A Certificates will
be made first from payments relating to the Group II
Mortgage Loans.
For the first 36 Distribution Dates, any principal
distributions allocated to the Group I Class A
Certificates will be distributed sequentially, first to
the Class A-1 Certificates, until their Class
Certificate Balance has been reduced to zero, and then
to the Class A-2 Certificates, until their Class
Certificate Balance has been reduced to zero. Beginning
on the 37th Distribution Date, principal distributions
allocated to the Group I Class A Certificates will be
distributed pro rata between the Class A-1 and Class A-2
Certificates, or if the Certificate Principal Balance of
the Class A-1 Certificates has been reduced to zero,
solely to the Class A-2 Certificates. Notwithstanding
the foregoing, in the event that a Trigger Event is in
effect, principal distributions to the Group I Class A
Certificates will be allocated first to the Class A-1
Certificates, until their Class Certificate Balance has
been reduced to zero, and then to the Class A-2
Certificates, until their Class Certificate Balance has
been reduced to zero.
Any principal distributions allocated to the Group II
Class A Certificates will be allocated sequentially,
first to the Class A-3 Certificates, until their Class
Certificate Balance has been reduced to zero, and then
to the Class A-4 Certificates, until their Class
Certificate Balance has been reduced to zero.
Notwithstanding the above, in the event that all
subordinate classes, including the Class X certificates,
have been reduced to zero, principal distributions to
the Group II Class A Certificates will be distributed
pro rata between the Class A-3 and Class A-4
Certificates.
Class A-2, Class A-3 Beginning on the first Distribution Date, and for a
and Class A-4 Interest period of 35 months thereafter, an Interest Rate Cap
Rate Cap: will be entered into by the Trust for the benefit of the
Class A-2, Class A-3 and Class A-4 Certificates.
For its duration, the Class A-2, Class A-3 and Class A-4
Interest Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month LIBOR rate
(not to exceed the cap ceiling) over the cap strike (on
an Actual/360 day count basis) and (ii) the Class A-2,
Class A-3 and Class A-4 Interest Rate Cap Notional
Balance ("the Class A-2, Class A-3 and Class A-4
Interest Rate Cap Payment") as described on the schedule
herein.
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 A-2, Class A-3 The Class A-2, Class A-3 and Class A-4 Interest Rate Cap
and Class A-4 Interest Payment shall be available to pay any Basis Risk Carry
Rate Cap Payment Forward Amount due to the Class A-2, Class A-3 and Class
Allocation: A-4 Certificates pro rata.
Class M Interest Rate Beginning on the first Distribution Date, and for a
Cap: period of 43 months thereafter, an Interest Rate Cap
will be pledged to the Trust for the benefit of the
Class M Certificates.
For its duration, the Class M Interest Rate Cap pays the
Trust the product of (i) the difference between the then
current 1-month LIBOR rate (not to exceed the cap
ceiling) and the cap strike (on an Actual/360 day count
basis) and (ii) the Class M Interest Rate Cap Notional
Balance ("the Class M Interest Rate Cap Payment") as
described on the schedule herein.
Class M Interest Rate The Class M Interest Rate Cap Payment shall be available
Cap Payment Allocation: to pay any Basis Risk Carry Forward Amount due to the
Class M-1, Class M-2 and Class M-3 Certificates on a pro
rata basis.
Class B Interest Rate Beginning on the first Distribution Date, and for a
Cap: period of 43 months thereafter, an Interest Rate Cap
will be pledged to the Trust for the benefit of the
Class B Certificates.
For its duration, the Class B Interest Rate Cap pays the
Trust the product of (i) the difference between the then
current 1-month LIBOR rate (not to exceed the cap
ceiling) and the cap strike (on an Actual/360 day count
basis) and (ii) the Class B Interest Rate Cap Notional
Balance ("the Class B Interest Rate Cap Payment") as
described on the schedule herein.
Class B Interest Rate The Class B Interest Rate Cap Payment shall be available
Cap Payment Allocation: to pay any Basis Risk Carry Forward Amount due to the
Class B-1, Class B-2 and Class B-3 Certificates on a pro
rata basis.
Allocation of Net For any Distribution Date, any Net Monthly Excess
Monthly Excess Cashflow shall be paid as follows:
Cashflow:
(i) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class 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 unpaid Class A-1 and Class A-2
Basis Risk Carry Forward Amount to the Class A-1
and Class A-2 Certificates, and any unpaid Class
A-3 and Class A-4 Basis Risk Carry Forward Amount
to the Class A-3 and Class A-4 Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3, B-1, B-2
and B-3 Certificates, in such order, any unpaid
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.
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
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 Servicemembers Civil Relief Act or
similar state law allocated to such class.
Principal Distribution On 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),
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 Group I Class A 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 Group II Class A Certificates, the
numerator of which is (x) the portion of the principal
remittance amount for such Distribution Date that is
attributable to principal received or advanced on the
Group II Mortgage Loans and the denominator of which is
(y) the principal remittance amount for such
Distribution Date.
Class A Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the aggregate Certificate Principal Balance of
the Class A Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the product
of (i) approximately 71.00% 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
$8,580,617.
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 83.00% 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 $8,580,617.
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
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 88.50% 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 $8,580,617.
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 90.50% 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 $8,580,617.
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 92.50% 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 $8,580,617.
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
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
over (y) the lesser of (A) the product of (i)
approximately 94.50% 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 $8,580,617.
Class B-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), (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 $8,580,617.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
SMMEA Eligibility: None of the Offered Certificates will be SMMEA eligible.
Prospectus: The Class A-2, Class A-3, Class A-4, 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 13
Weighted Average Life Sensitivity
To CALL
PPC (%) 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 8.22 7.46 6.64 5.81 5.28 4.87 4.25
First Payment Date 3/25/2007 3/25/2007 3/25/2007 5/25/2007 10/25/2007 3/25/2008 5/25/2008
Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 37 - 182 37 - 157 37 - 128 39 - 96 44 - 75 49 - 61 51 - 51
------------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 1.71 1.45 1.18 0.90 0.72 0.60 0.52
First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004
Expected Final Maturity 9/25/2007 2/25/2007 7/25/2006 12/25/2005 8/25/2005 4/25/2005 2/25/2005
Window 1 - 43 1 - 36 1 - 29 1 - 22 1 - 18 1 - 14 1 - 12
------------------------------------------------------------------------------------------------------------------------------------
A-4 WAL 8.74 7.45 6.04 4.50 3.47 2.71 2.11
First Payment Date 9/25/2007 2/25/2007 7/25/2006 12/25/2005 8/25/2005 4/25/2005 2/25/2005
Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 43 - 182 36 - 157 29 - 128 22 - 96 18 - 75 14 - 61 12 - 51
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.16 8.66 7.01 5.30 4.45 4.12 4.12
First Payment Date 2/25/2009 4/25/2008 6/25/2007 4/25/2007 6/25/2007 8/25/2007 11/25/2007
Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 182 50 - 157 40 - 128 38 - 96 40 - 75 42 - 61 45 - 51
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.16 8.66 7.01 5.29 4.37 3.91 3.74
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007
Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 182 50 - 157 40 - 128 37 - 96 39 - 75 40 - 61 41 - 51
------------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.16 8.66 7.01 5.28 4.34 3.85 3.61
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007
Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 182 50 - 157 40 - 128 37 - 96 38 - 75 39 - 61 40 - 51
------------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.16 8.66 7.01 5.28 4.34 3.83 3.56
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 5/25/2007
Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 182 50 - 157 40 - 128 37 - 96 38 - 75 39 - 61 39 - 51
------------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.16 8.66 7.01 5.28 4.33 3.78 3.51
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 182 50 - 157 40 - 128 37 - 96 37 - 75 38 - 61 39 - 51
------------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.00 8.51 6.88 5.18 4.23 3.71 3.40
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 182 50 - 157 40 - 128 37 - 96 37 - 75 37 - 61 38 - 51
--------------------------------------------------------------------------------
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
Weighted Average Life Sensitivity
To MATURITY
PPC (%) 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 8.84 8.10 7.30 6.52 6.11 5.99 6.25
First Payment Date 3/25/2007 3/25/2007 3/25/2007 5/25/2007 10/25/2007 3/25/2008 12/25/2008
Expected Final Maturity 3/25/2031 5/25/2029 1/25/2026 1/25/2021 6/25/2017 11/25/2014 11/25/2012
Window 37 - 325 37 - 303 37 - 263 39 - 203 44 - 160 49 - 129 58 - 105
------------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 1.71 1.45 1.18 0.90 0.72 0.60 0.52
First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004
Expected Final Maturity 9/25/2007 2/25/2007 7/25/2006 12/25/2005 8/25/2005 4/25/2005 2/25/2005
Window 1 - 43 1 - 36 1 - 29 1 - 22 1 - 18 1 - 14 1 - 12
------------------------------------------------------------------------------------------------------------------------------------
A-4 WAL 9.44 8.11 6.63 4.97 3.85 3.03 2.36
First Payment Date 9/25/2007 2/25/2007 7/25/2006 12/25/2005 8/25/2005 4/25/2005 2/25/2005
Expected Final Maturity 6/25/2031 9/25/2029 6/25/2026 8/25/2021 2/25/2018 7/25/2015 8/25/2013
Window 43 - 328 36 - 307 29 - 268 22 - 210 18 - 168 14 - 137 12 - 114
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.98 9.41 7.66 5.81 4.86 4.45 4.48
First Payment Date 2/25/2009 4/25/2008 6/25/2007 4/25/2007 6/25/2007 8/25/2007 11/25/2007
Expected Final Maturity 11/25/2027 5/25/2025 1/25/2022 10/25/2017 12/25/2014 12/25/2012 6/25/2011
Window 60 - 285 50 - 255 40 - 215 38 - 164 40 - 130 42 - 106 45 - 88
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.86 9.29 7.55 5.71 4.71 4.18 3.96
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007
Expected Final Maturity 9/25/2025 2/25/2023 1/25/2019 2/25/2016 7/25/2013 10/25/2011 6/25/2010
Window 60 - 259 50 - 228 40 - 189 37 - 144 39 - 113 40 - 92 41 - 76
------------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.74 9.18 7.45 5.62 4.62 4.07 3.79
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007
Expected Final Maturity 10/25/2023 4/25/2021 4/25/2018 11/25/2014 7/25/2012 12/25/2010 10/25/2009
Window 60 - 236 50 - 206 40 - 170 37 - 129 38 - 101 39 - 82 40 - 68
------------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.62 9.07 7.36 5.55 4.55 4.00 3.70
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 5/25/2007
Expected Final Maturity 11/25/2022 5/25/2020 7/25/2017 3/25/2014 1/25/2012 7/25/2010 6/25/2009
Window 60 - 225 50 - 195 40 - 161 37 - 121 38 - 95 39 - 77 39 - 64
------------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.42 8.88 7.20 5.43 4.45 3.88 3.58
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 8/25/2021 3/25/2019 7/25/2016 6/25/2013 6/25/2011 1/25/2010 1/25/2009
Window 60 - 210 50 - 181 40 - 149 37 - 112 37 - 88 38 - 71 39 - 59
------------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.01 8.52 6.89 5.19 4.24 3.72 3.41
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 11/25/2019 8/25/2017 3/25/2015 5/25/2012 8/25/2010 5/25/2009 7/25/2008
Window 60 - 189 50 - 162 40 - 133 37 - 99 37 - 78 37 - 63 38 - 53
--------------------------------------------------------------------------------
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
CPR Sensitivity
To CALL
CPR (%) 20 25 30
--------------------------------------------------------------------------------------------------------
A-2 WAL 6.38 5.77 5.33
First Payment Date 3/25/2007 6/25/2007 10/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 40 - 92 44 - 75
--------------------------------------------------------------------------------------------------------
A-3 WAL 0.99 0.79 0.65
First Payment Date 3/25/2004 3/25/2004 3/25/2004
Expected Final Maturity 3/25/2006 10/25/2005 6/25/2005
Window 1 - 25 1 - 20 1 - 16
--------------------------------------------------------------------------------------------------------
A-4 WAL 5.40 4.24 3.39
First Payment Date 3/25/2006 10/25/2005 6/25/2005
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 25 - 116 20 - 92 16 - 75
--------------------------------------------------------------------------------------------------------
M-1 WAL 6.32 5.12 4.46
First Payment Date 3/25/2007 4/25/2007 6/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 38 - 92 40 - 75
--------------------------------------------------------------------------------------------------------
M-2 WAL 6.32 5.09 4.37
First Payment Date 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 38 - 92 39 - 75
--------------------------------------------------------------------------------------------------------
M-3 WAL 6.32 5.09 4.34
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 38 - 75
--------------------------------------------------------------------------------------------------------
B-1 WAL 6.32 5.07 4.32
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 38 - 75
--------------------------------------------------------------------------------------------------------
B-2 WAL 6.32 5.07 4.32
First Payment Date 3/25/2007 3/25/2007 3/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 37 - 75
--------------------------------------------------------------------------------------------------------
B-3 WAL 6.21 4.98 4.22
First Payment Date 3/25/2007 3/25/2007 3/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 37 - 75
--------------------------------------------------------------------------------
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
CPR Sensitivity
To MATURITY
CPR (%) 20 25 30
--------------------------------------------------------------------------------------------------------
A-2 WAL 7.11 6.56 6.26
First Payment Date 3/25/2007 6/25/2007 10/25/2007
Expected Final Maturity 11/25/2024 2/25/2021 3/25/2018
Window 37 - 249 40 - 204 44 - 169
--------------------------------------------------------------------------------------------------------
A-3 WAL 0.99 0.79 0.65
First Payment Date 3/25/2004 3/25/2004 3/25/2004
Expected Final Maturity 3/25/2006 10/25/2005 6/25/2005
Window 1 - 25 1 - 20 1 - 16
--------------------------------------------------------------------------------------------------------
A-4 WAL 5.93 4.67 3.75
First Payment Date 3/25/2006 10/25/2005 6/25/2005
Expected Final Maturity 11/25/2024 1/25/2021 2/25/2018
Window 25 - 249 20 - 203 16 - 168
--------------------------------------------------------------------------------------------------------
M-1 WAL 6.93 5.61 4.87
First Payment Date 3/25/2007 4/25/2007 6/25/2007
Expected Final Maturity 7/25/2020 5/25/2017 1/25/2015
Window 37 - 197 38 - 159 40 - 131
--------------------------------------------------------------------------------------------------------
M-2 WAL 6.83 5.50 4.71
First Payment Date 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 7/25/2018 9/25/2015 8/25/2013
Window 37 - 173 38 - 139 39 - 114
--------------------------------------------------------------------------------------------------------
M-3 WAL 6.74 5.42 4.62
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 1/25/2017 6/25/2014 8/25/2012
Window 37 - 155 37 - 124 38 - 102
--------------------------------------------------------------------------------------------------------
B-1 WAL 6.65 5.34 4.54
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 5/25/2016 11/25/2013 2/25/2012
Window 37 - 147 37 - 117 38 - 96
--------------------------------------------------------------------------------------------------------
B-2 WAL 6.50 5.22 4.44
First Payment Date 3/25/2007 3/25/2007 3/25/2007
Expected Final Maturity 5/25/2015 2/25/2013 6/25/2011
Window 37 - 135 37 - 108 37 - 88
--------------------------------------------------------------------------------------------------------
B-3 WAL 6.22 4.99 4.23
First Payment Date 3/25/2007 3/25/2007 3/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 8/25/2010
Window 37 - 120 37 - 96 37 - 78
--------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
0 -- -- -- -- -- -- -- -- --
1 9.94 9.97 9.97 9.81 9.81 9.81 9.81 9.81 9.81
2 9.25 9.29 9.29 9.13 9.13 9.13 9.13 9.13 9.13
3 9.50 9.55 9.55 9.38 9.38 9.38 9.38 9.38 9.38
4 9.29 9.34 9.34 9.17 9.17 9.17 9.17 9.17 9.17
5 9.52 9.57 9.57 9.39 9.39 9.39 9.39 9.39 9.39
6 9.30 9.35 9.35 9.17 9.17 9.17 9.17 9.17 9.17
7 9.30 9.35 9.35 9.17 9.17 9.17 9.17 9.17 9.17
8 9.53 9.58 9.58 9.39 9.39 9.39 9.39 9.39 9.39
9 9.31 9.36 9.36 9.17 9.17 9.17 9.17 9.17 9.17
10 9.54 9.59 9.59 9.39 9.39 9.39 9.39 9.39 9.39
11 9.32 9.37 9.37 9.17 9.17 9.17 9.17 9.17 9.17
12 9.33 9.38 9.38 9.17 9.17 9.17 9.17 9.17 9.17
13 10.06 10.12 10.12 9.89 9.89 9.89 9.89 9.89 9.89
14 9.34 9.39 9.39 9.17 9.17 9.17 9.17 9.17 9.17
15 9.57 9.62 9.62 9.39 9.39 9.39 9.39 9.39 9.39
16 9.35 9.40 9.40 9.17 9.17 9.17 9.17 9.17 9.17
17 9.58 9.64 9.64 9.39 9.39 9.39 9.39 9.39 9.39
18 9.36 9.41 9.41 9.17 9.17 9.17 9.17 9.17 9.17
19 9.37 9.42 9.42 9.17 9.17 9.17 9.17 9.17 9.17
20 9.62 9.68 9.68 9.41 9.41 9.41 9.41 9.41 9.41
21 9.42 9.47 9.47 9.20 9.20 9.20 9.20 9.20 9.20
22 10.54 10.49 10.49 10.21 10.21 10.21 10.21 10.21 10.21
23 10.28 -- 10.23 9.95 9.95 9.95 9.95 9.95 9.95
24 10.29 -- 10.24 9.95 9.95 9.95 9.95 9.95 9.95
25 11.16 -- 11.11 10.79 10.79 10.79 10.79 10.79 10.79
26 10.32 -- 10.27 9.97 9.97 9.97 9.97 9.97 9.97
27 10.61 -- 10.56 10.24 10.24 10.24 10.24 10.24 10.24
28 10.57 -- 10.46 10.14 10.14 10.14 10.14 10.14 10.14
29 10.87 -- 10.77 10.42 10.42 10.42 10.42 10.42 10.42
30 10.59 -- 10.49 10.14 10.14 10.14 10.14 10.14 10.14
31 10.64 -- 10.53 10.16 10.16 10.16 10.16 10.16 10.16
32 10.98 -- 10.87 10.48 10.48 10.48 10.48 10.48 10.48
33 10.87 -- 10.75 10.35 10.35 10.35 10.35 10.35 10.35
34 11.14 -- 10.96 10.53 10.53 10.53 10.53 10.53 10.53
35 10.83 -- 10.66 10.22 10.22 10.22 10.22 10.22 10.22
36 10.85 -- 10.68 10.22 10.22 10.22 10.22 10.22 10.22
37 23.55 -- 23.35 11.24 11.24 11.24 11.24 11.24 11.24
38 11.27 -- 11.09 10.28 10.28 10.28 10.27 10.27 10.27
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
39 11.77 -- 11.56 10.73 10.73 10.73 10.73 10.73 10.73
40 12.02 -- 11.76 10.18 10.18 10.18 10.18 10.18 10.18
41 12.41 -- 12.16 10.51 10.51 10.51 10.51 10.51 10.51
42 12.01 -- 11.76 10.18 10.18 10.18 10.18 10.18 10.18
43 12.05 -- 11.79 10.20 10.20 10.20 10.20 10.20 10.20
44 12.48 -- 12.21 10.57 10.57 10.57 10.57 10.57 10.57
45 12.23 -- 11.95 10.22 10.22 10.22 10.22 10.22 10.22
46 12.93 -- 12.63 10.83 10.83 10.83 10.83 10.83 10.83
47 12.51 -- 12.22 10.48 10.48 10.48 10.48 10.48 10.48
48 12.51 -- 12.22 10.48 10.48 10.48 10.48 10.48 10.48
49 13.41 -- 13.09 11.23 11.23 11.23 11.23 11.23 11.23
50 12.57 -- 12.26 10.53 10.53 10.53 10.53 10.53 10.53
51 13.13 -- 12.80 11.01 11.01 11.01 11.01 11.01 11.01
52 12.72 -- 12.39 10.66 10.66 10.66 10.66 10.66 10.66
53 13.14 -- 12.80 11.01 11.01 11.01 11.01 11.01 11.01
54 12.71 -- 12.39 10.66 10.66 10.66 10.66 10.66 10.66
55 12.74 -- 12.41 10.67 10.67 10.67 10.67 10.67 10.67
56 13.17 -- 12.83 11.04 11.04 11.04 11.04 11.04 11.04
57 12.84 -- 12.50 10.77 10.77 10.77 10.77 10.77 10.77
58 13.31 -- 13.00 11.19 11.19 11.19 11.19 11.19 11.19
59 12.88 -- 12.58 10.82 10.82 10.82 10.82 10.82 10.82
60 12.87 -- 12.58 10.82 10.82 10.82 10.82 10.82 10.82
61 14.25 -- 13.93 11.98 11.98 11.98 11.98 11.98 11.98
62 12.87 -- 12.58 10.82 10.82 10.82 10.82 10.82 10.82
63 13.30 -- 13.00 11.18 11.18 11.18 11.18 11.18 11.18
64 12.87 -- 12.58 10.82 10.82 10.82 10.82 10.82 10.82
65 13.30 -- 13.00 11.18 11.18 11.18 11.18 11.18 11.18
66 12.87 -- 12.58 10.82 10.82 10.82 10.82 10.82 10.82
67 12.87 -- 12.58 10.81 10.81 10.81 10.81 10.81 10.81
68 13.30 -- 12.99 11.17 11.17 11.17 11.17 11.17 11.17
69 12.87 -- 12.57 10.81 10.81 10.81 10.81 10.81 10.81
70 13.30 -- 12.99 11.17 11.17 11.17 11.17 11.17 11.17
71 12.87 -- 12.57 10.81 10.81 10.81 10.81 10.81 10.81
72 12.87 -- 12.57 10.81 10.81 10.81 10.81 10.81 10.81
73 14.24 -- 13.92 11.97 11.97 11.97 11.97 11.97 11.97
74 12.86 -- 12.57 10.81 10.81 10.81 10.81 10.81 10.81
75 13.29 -- 12.99 11.17 11.17 11.17 11.17 11.17 11.17
76 12.86 -- 12.57 10.80 10.80 10.80 10.80 10.80 10.80
77 13.29 -- 12.99 11.16 11.16 11.16 11.16 11.16 11.16
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
78 12.86 -- 12.57 10.80 10.80 10.80 10.80 10.80 10.80
79 12.86 -- 12.57 10.80 10.80 10.80 10.80 10.80 10.80
80 13.29 -- 12.99 11.16 11.16 11.16 11.16 11.16 11.16
81 12.86 -- 12.57 10.80 10.80 10.80 10.80 10.80 10.80
82 12.99 -- 12.69 11.16 11.16 11.16 11.16 11.16 11.16
83 11.49 -- 11.20 10.80 10.80 10.80 10.80 10.80 10.80
84 11.50 -- 11.21 10.80 10.80 10.80 10.80 10.80 10.80
85 12.75 -- 12.42 11.95 11.95 11.95 11.95 11.95 11.95
86 11.53 -- 11.24 10.80 10.80 10.80 10.80 10.80 10.80
87 11.93 -- 11.62 11.15 11.15 11.15 11.15 11.15 11.15
88 11.55 -- 11.26 10.79 10.79 10.79 10.79 10.79 10.79
89 11.95 -- 11.65 11.15 11.15 11.15 11.15 11.15 11.15
90 11.58 -- 11.29 10.79 10.79 10.79 10.79 10.79 10.79
91 11.60 -- 11.31 10.79 10.79 10.79 10.79 10.79 10.79
92 12.00 -- 11.70 11.15 11.15 11.15 11.15 11.15 11.15
93 11.63 -- 11.34 10.79 10.79 10.79 10.79 10.79 10.79
94 12.03 -- 11.73 11.15 11.15 11.15 11.15 11.15 11.15
95 11.66 -- 11.37 10.79 10.79 10.79 10.79 10.79 10.79
96 11.68 -- 11.39 10.79 10.79 10.79 10.79 10.79 10.79
97 12.50 -- 12.19 11.53 11.53 11.53 11.53 11.53 11.53
98 11.71 -- 11.42 10.79 10.79 10.79 10.79 10.79 10.79
99 12.12 -- 11.82 11.14 11.14 11.14 11.14 11.14 11.14
100 11.75 -- 11.46 10.78 10.78 10.78 10.78 10.78 10.78
101 12.16 -- 11.86 11.14 11.14 11.14 11.14 11.14 11.14
102 11.79 -- 11.50 10.78 10.78 10.78 10.78 10.78 --
103 11.81 -- 11.52 10.78 10.78 10.78 10.78 10.78 --
104 12.23 -- 11.92 11.14 11.14 11.14 11.14 11.14 --
105 11.85 -- 11.56 10.78 10.78 10.78 10.78 10.78 --
106 12.27 -- 11.97 11.14 11.14 11.14 11.14 11.14 --
107 11.90 -- 11.60 10.78 10.78 10.78 10.78 10.78 --
108 11.92 -- 11.63 10.78 10.78 10.78 10.78 10.78 --
109 13.22 -- 12.90 11.93 11.93 11.93 11.93 11.93 --
110 11.97 -- 11.68 10.78 10.78 10.78 10.78 10.78 --
111 12.39 -- 12.09 11.14 11.14 11.14 11.14 11.14 --
112 12.02 -- 11.73 10.78 10.78 10.78 10.78 10.78 --
113 12.45 -- 12.15 11.14 11.14 11.14 11.14 11.14 --
114 12.07 -- 11.78 10.78 10.78 10.78 10.78 -- --
115 12.10 -- 11.81 10.78 10.78 10.78 10.78 -- --
116 12.53 -- 12.23 11.14 11.14 11.14 11.14 -- --
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
117 12.16 -- 11.87 10.78 10.78 10.78 10.78 -- --
118 12.60 -- 12.29 11.13 11.13 11.13 11.13 -- --
119 12.22 -- 11.93 10.77 10.77 10.77 10.77 -- --
120 12.25 -- 11.96 10.77 10.77 10.77 10.77 -- --
121 13.60 -- 13.28 11.93 11.93 11.93 11.93 -- --
122 12.32 -- 12.03 10.77 10.77 10.77 10.77 -- --
123 12.77 -- 12.46 11.13 11.13 11.13 11.13 -- --
124 12.39 -- 12.10 10.77 10.77 10.77 -- -- --
125 12.84 -- 12.54 11.13 11.13 11.13 -- -- --
126 12.46 -- 12.17 10.77 10.77 10.77 -- -- --
127 12.50 -- 12.21 10.77 10.77 10.77 -- -- --
128 12.96 -- 12.66 11.13 11.13 11.13 -- -- --
129 12.58 -- 12.29 10.77 10.77 10.77 -- -- --
130 13.04 -- 12.74 11.13 11.13 11.13 -- -- --
131 12.66 -- 12.37 10.77 10.77 10.77 -- -- --
132 12.71 -- 12.42 10.77 10.77 -- -- -- --
133 14.12 -- 13.80 11.93 11.93 -- -- -- --
134 12.80 -- 12.51 10.77 10.77 -- -- -- --
135 13.27 -- 12.97 11.13 11.13 -- -- -- --
136 12.89 -- 12.60 10.77 10.77 -- -- -- --
137 13.38 -- 13.07 11.13 11.13 -- -- -- --
138 12.99 -- 12.70 10.77 10.77 -- -- -- --
139 13.05 -- 12.76 10.77 10.77 -- -- -- --
140 13.54 -- 13.24 11.13 11.13 -- -- -- --
141 13.16 -- 12.87 10.77 10.77 -- -- -- --
142 13.65 -- 13.35 11.13 11.13 -- -- -- --
143 13.27 -- 12.98 10.77 10.77 -- -- -- --
144 13.33 -- 13.04 10.77 10.77 -- -- -- --
145 14.32 -- 14.01 11.51 11.51 -- -- -- --
146 13.46 -- 13.16 10.77 10.77 -- -- -- --
147 13.97 -- 13.67 11.13 -- -- -- -- --
148 13.59 -- 13.30 10.77 -- -- -- -- --
149 14.11 -- 13.81 11.13 -- -- -- -- --
150 13.72 -- 13.43 10.77 -- -- -- -- --
151 13.80 -- 13.51 10.77 -- -- -- -- --
152 14.33 -- 14.03 11.13 -- -- -- -- --
153 13.95 -- 13.66 10.77 -- -- -- -- --
154 14.49 -- 14.19 11.13 -- -- -- -- --
155 14.10 -- 13.81 10.78 -- -- -- -- --
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 21
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
156 14.19 -- 13.90 10.78 -- -- -- -- --
157 15.80 -- 15.48 11.93 -- -- -- -- --
158 14.36 -- 14.07 10.78 -- -- -- -- --
159 14.93 -- 14.63 11.14 -- -- -- -- --
160 14.54 -- 14.25 10.78 -- -- -- -- --
161 15.12 -- 14.82 11.14 -- -- -- -- --
162 14.73 -- 14.44 10.78 -- -- -- -- --
163 14.83 -- 14.54 10.78 -- -- -- -- --
164 15.43 -- 15.13 11.14 -- -- -- -- --
165 15.03 -- 14.75 10.78 -- -- -- -- --
166 15.65 -- 15.35 11.14 -- -- -- -- --
167 15.25 -- 14.96 10.78 -- -- -- -- --
168 15.37 -- 15.08 -- -- -- -- -- --
169 17.20 -- 16.88 -- -- -- -- -- --
170 15.71 -- 15.42 -- -- -- -- -- --
171 16.42 -- 16.13 -- -- -- -- -- --
172 16.08 -- 15.80 -- -- -- -- -- --
173 16.83 -- 16.53 -- -- -- -- -- --
174 16.50 -- 16.21 -- -- -- -- -- --
175 16.73 -- 16.44 -- -- -- -- -- --
176 17.54 -- 17.25 -- -- -- -- -- --
177 17.23 -- 16.95 -- -- -- -- -- --
178 18.08 -- 17.78 -- -- -- -- -- --
179 17.77 -- 17.49 -- -- -- -- -- --
180 18.06 -- 17.78 -- -- -- -- -- --
181 20.34 -- 20.03 -- -- -- -- -- --
182 18.70 -- 18.42 -- -- -- -- -- --
183 19.69 -- 19.40 -- -- -- -- -- --
184 19.43 -- 19.15 -- -- -- -- -- --
185 20.50 -- 20.20 -- -- -- -- -- --
186 20.27 -- 19.98 -- -- -- -- -- --
187 20.73 -- 20.45 -- -- -- -- -- --
188 21.94 -- 21.65 -- -- -- -- -- --
189 21.77 -- 21.49 -- -- -- -- -- --
190 23.10 -- 22.80 -- -- -- -- -- --
191 22.99 -- 22.70 -- -- -- -- -- --
192 23.67 -- 23.39 -- -- -- -- -- --
193 26.11 -- 25.81 -- -- -- -- -- --
194 25.25 -- 24.97 -- -- -- -- -- --
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 22
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
195 27.04 -- 26.74 -- -- -- -- -- --
196 27.17 -- 26.89 -- -- -- -- -- --
197 29.23 -- 28.94 -- -- -- -- -- --
198 29.54 -- 29.25 -- -- -- -- -- --
199 30.95 -- 30.66 -- -- -- -- -- --
200 33.63 -- 33.33 -- -- -- -- -- --
201 34.36 -- 34.08 -- -- -- -- -- --
202 37.68 -- 37.38 -- -- -- -- -- --
203 38.90 -- 38.62 -- -- -- -- -- --
204 41.79 -- 41.50 -- -- -- -- -- --
205 50.08 -- 49.77 -- -- -- -- -- --
206 49.43 -- 49.15 -- -- -- -- -- --
207 56.47 -- 56.17 -- -- -- -- -- --
208 61.30 -- 61.02 -- -- -- -- -- --
209 -- -- 72.13 -- -- -- -- -- --
210 -- -- 81.90 -- -- -- -- -- --
211 -- -- 99.68 -- -- -- -- -- --
212 -- -- 132.61 -- -- -- -- -- --
213 -- -- 182.24 -- -- -- -- -- --
214 -- -- 331.65 -- -- -- -- -- --
215 -- -- * -- -- -- -- -- --
216 -- -- -- -- -- -- -- -- --
217 -- -- -- -- -- -- -- -- --
* In Period 215 the Class A-4 has a balance of $62,999 and is paid $246,995 in
interest.
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
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Interest Rate Cap Schedules
Class A-2, A-3, and A-4 Cap Class M Cap Class B Cap
------------------------------------- ------------------------------------- ------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 808,066,000.00 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
2 791,143,813.58 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
3 774,153,387.00 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
4 757,091,555.78 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
5 739,956,395.56 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
6 722,747,866.81 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
7 705,467,803.47 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
8 688,119,890.63 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
9 670,709,631.17 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
10 653,244,301.02 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
11 635,733,607.74 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
12 618,297,843.74 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
13 601,197,037.26 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
14 584,499,601.95 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
15 568,196,084.14 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
16 552,277,250.85 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
17 536,734,084.65 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
18 521,557,778.66 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
19 506,739,731.65 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
20 492,271,543.20 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
21 478,145,009.08 6.30 8.80 167,322,000.00 5.85 8.35 51,483,000.00 4.25 6.75
22 464,352,179.52 7.75 9.95 167,322,000.00 6.90 9.10 51,483,000.00 5.30 7.50
23 450,885,680.52 7.75 9.95 167,322,000.00 6.90 9.10 51,483,000.00 5.30 7.50
24 437,737,328.29 7.75 9.95 167,322,000.00 6.90 9.10 51,483,000.00 5.30 7.50
25 424,899,659.52 7.75 9.95 167,322,000.00 6.90 9.10 51,483,000.00 5.30 7.50
26 412,365,385.23 7.75 9.95 167,322,000.00 6.90 9.10 51,483,000.00 5.30 7.50
27 400,127,386.71 7.75 9.95 167,322,000.00 6.90 9.10 51,483,000.00 5.30 7.50
28 388,178,711.52 8.50 10.25 167,322,000.00 7.60 9.35 51,483,000.00 6.00 7.75
29 376,512,569.68 8.50 10.25 167,322,000.00 7.60 9.35 51,483,000.00 6.00 7.75
30 365,122,329.82 8.50 10.25 167,322,000.00 7.60 9.35 51,483,000.00 6.00 7.75
31 354,001,515.53 8.50 10.25 167,322,000.00 7.60 9.35 51,483,000.00 6.00 7.75
32 343,143,803.92 8.50 10.25 167,322,000.00 7.60 9.35 51,483,000.00 6.00 7.75
33 332,543,024.45 8.50 10.25 167,322,000.00 7.60 9.35 51,483,000.00 6.00 7.75
34 322,193,134.75 9.25 10.25 167,322,000.00 8.35 9.35 51,483,000.00 6.75 7.75
35 312,088,250.27 9.25 10.25 167,322,000.00 8.35 9.35 51,483,000.00 6.75 7.75
36 302,222,609.11 9.25 10.25 167,322,000.00 8.35 9.35 51,483,000.00 6.75 7.75
37 167,322,000.00 8.35 9.35 51,483,000.00 6.75 7.75
38 162,850,388.68 8.35 9.35 43,108,967.11 6.75 7.75
39 147,185,789.77 8.35 9.35 42,070,445.29 6.75 7.75
40 133,435,822.73 9.20 9.35 41,056,624.12 7.60 7.75
41 130,219,243.81 9.20 9.35 40,066,920.84 7.60 7.75
42 127,079,199.44 9.20 9.35 39,100,766.34 7.60 7.75
43 124,013,883.44 9.20 9.35 38,157,604.86 7.60 7.75
44 121,021,532.03 9.20 9.35 37,236,893.73 7.60 7.75
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
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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
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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.
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