EXHIBIT 99.1
------------
--------------------------------------------------------------------------------
XXXXXX XXXXXXX Xxxx 19, 2003
Securitized Products Group Xxxxxx Xxxxxxx
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COMPUTATIONAL MATERIALS
$171,457,000
APPROXIMATELY
XXXXXX XXXXXXX ABS CAPITAL I INC.
SERIES 2003-SD1
MORTGAGE PASS-THROUGH CERTIFICATES
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This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained 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 Xxxx 19, 2003
Securitized Products Group Xxxxxx Xxxxxxx
--------------------------------------------------------------------------------
APPROXIMATELY $171,457,000
XXXXXX XXXXXXX ABS CAPITAL I INC., SERIES 2003-SD1
XXXXXX XXXXXXX ABS CAPITAL I INC.
DEPOSITOR
COUNTRYWIDE HOME LOANS SERVICING LP, OCWEN FEDERAL BANK, FSB,
WILSHIRE CREDIT CORPORATION
SERVICERS
TRANSACTION HIGHLIGHTS
----------------------
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EXPECTED MODIFIED
RATINGS AVG LIFE DURATION INITIAL
OFFERED (S&P/FITCH/ TO CALL/ TO CALL/ PAYMENT WINDOW TO SUBORDINATION
CLASSES DESCRIPTION BALANCE MOODY'S) MTY(1)(2) MTY(1)(2)(3) CALL/MTY(1)(2) LEVEL (%) BENCHMARK
====================================================================================================================================
A-1 Floater $107,325,000 AAA/AAA/Aaa 2.96/3.21 2.85/3.06 07/03 - 02/12/ 18.00 1 Mo. LIBOR
07/03 - 03/22
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A-2 Floater $35,775,000(5) AAA/AAA/Aaa 2.96/3.21 2.85/3.06 07/03 - 02/12/ 18.00 1 Mo. LIBOR
07/03 - 03/22
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M-1 Floater $10,470,000 AA/AA/Aa2 5.70/6.28 5.30/5.76 08/06 - 02/12/ 12.00 1 Mo. LIBOR
08/06 - 11/18
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M-2 Floater $9,162,000 A/A/A2 5.69/6.20 5.09/5.45 07/06 - 02/12/ 6.75 1 Mo. LIBOR
07/06 - 07/17
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B-1 Floater $6,457,000 BBB/BBB/Baa2 5.69/6.01 4.79/5.00 07/06 - 02/12/ 3.05 1 Mo. LIBOR
07/06 - 07/15
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B-2 Floater $2,268,000 BBB-/BBB-/Baa3 5.61/5.63 4.74/4.76 07/06 - 02/12/ 1.75 1 Mo. LIBOR
07/06 - 10/12
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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) Class A-2 is a senior mezzanine bond
ISSUER: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2003-SD1.
DEPOSITOR: Xxxxxx Xxxxxxx ABS Capital I Inc.
SERVICERS: Countrywide Home Loans Servicing LP, Ocwen Federal
Bank, FSB and Wilshire Credit Corporation.
MASTER REPORTING AGENT: The Murrayhill Company.
TRUSTEE: Xxxxx Fargo Bank Minnesota, National Association.
--------------------------------------------------------------------------------
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
CUSTODIAN: Deutsche Bank National Trust Company.
UNDERWRITERS: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx Capital
Partners, L.P. and The Xxxxxxxx Capital Group, L.P.
RATING AGENCIES: Fitch Ratings, Xxxxx'x Investors Service, and Standard &
Poor's.
OFFERED CERTIFICATES: Classes A-1, A-2, M-1, M-2, B-1, and B-2 Certificates.
CLASS A CERTIFICATES: Class A-1 and Class A-2 Certificates
CUT-OFF DATE: June 1, 2003.
EXPECTED CLOSING DATE: June [30], 2003 through DTC and Euroclear or
Clearstream. The Certificates will be sold without
accrued interest.
DISTRIBUTION DATES: The 25th of each month, or if such day is not a business
day, on the next business day, beginning July 25, 2003.
FINAL SCHEDULED The Distribution Date occurring in March 2033.
DISTRIBUTION DATE:
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
PERIOD: Certificates with respect to any Distribution Date will
be the period beginning with the previous Distribution
Date (or, in the case of the first Distribution Date,
the Closing Date) and ending on the day prior to the
current Distribution Date (on an actual/360 day count
basis).
MORTGAGE LOANS: Approximately $174,511,813 of Mortgage Loans as of
Cut-off Date. The Mortgage Loans consist of fixed and
adjustable rate, conventional closed-end mortgage loans,
secured by 1st and 2nd lien and balloon mortgages on
primarily 1-4 family properties. The Mortgage Loans
consist of 86.96% Performing Mortgage Loans, 7.67%
Sub-Performing Mortgage Loans and 5.37% Re-Performing
Mortgage Loans with aggregate principal balances as of
the Cut-off Date of approximately $151,755,726,
$13,383,590, and $9,372,497, respectively. The Mortgage
Loans consist of approximately 38.46% fixed rate
mortgage loans and 61.54% adjustable rate mortgage loans
with aggregate principal balances as of the Cut-off Date
of approximately $67,125,856 and $107,385,957,
respectively.
PERFORMING MORTGAGE A "Performing Mortgage Loan" is a Mortgage Loan (which
LOANS: may be a Payment Plan Mortgage Loan or a Bankruptcy Plan
Mortgage Loan) pursuant to which no payment due under
the related Mortgage Note (or any modification thereto)
prior to the Cut-off Date, is 30 days Delinquent.
A Mortgage Loan is "Delinquent," if the scheduled
monthly payment of principal and interest on such
Mortgage Loan which is payable by the related mortgagor
under the related Mortgage Note (the "Monthly Payment")
due on a due date is not paid by the close of business
on the next scheduled due date for such Mortgage Loan.
Thus, a Mortgage Loan for which the mortgagor failed to
make the Monthly Payment on June 1, 2003 will be
reported as Delinquent as of the beginning of business
on July 2, 2003, if the Monthly Payment is not made by
such time.
--------------------------------------------------------------------------------
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
RE-PERFORMING A "Re-Performing Mortgage Loan" is a Mortgage Loan
MORTGAGE LOAN: (which may be a Payment Plan Mortgage Loan or a
Bankruptcy Plan Mortgage Loan) which had defaulted in
the past and which is currently at least 90 days
Delinquent with respect to certain Regular Scheduled
Payments but which satisfies one of the following
criteria (the "Re-Performance Test"):
(i) the mortgagor has made in aggregate at least three
Regular Scheduled Payments in the three calendar
months preceding the Cut-off Date (regardless of
either the timing of receipt of such payments or
the payment history of such loans prior to
March 1, 2003), or
(ii) the mortgagor has made in aggregate at least four
Regular Scheduled Payments in the four calendar
months preceding the Cut-off Date (regardless of
either the timing of receipt of such payments or
the payment history of such loans prior to
February 1, 2003), or
(iii) the mortgagor has made in aggregate at least five
Regular Scheduled Payments in the five calendar
months preceding the Cut-off Date (regardless of
either the timing of receipt of such payments or
the payment history of such loans prior to
January 1, 2003).
SUB-PERFORMING A "Sub-Performing Mortgage Loan" is a Mortgage Loan
MORTGAGE LOAN: (which may be a Payment Plan Mortgage Loan or a
Bankruptcy Plan Mortgage Loan) pursuant to which a
payment due prior to the Cut-off Date under the terms of
the related Mortgage Note (or any modification thereto),
is at least 30 but not more than 89 days Delinquent.
PAYMENT PLAN A "Payment Plan Mortgage Loan" is a Mortgage Loan with
MORTGAGE LOAN respect to which the related mortgagor must make monthly
payments in an amount at least equal to the sum of (i)
the amount of the monthly scheduled payment of principal
and interest determined in accordance with such Mortgage
Loan's original amortization schedule ("Regular
Scheduled Payments") plus (ii) an additional amount to
be applied to pay down (a) the total amount of scheduled
monthly payments due thereon on or before the Cut-off
Date but not received prior to the Cut-off Date plus (b)
the aggregate amount of tax and insurance advances made
with respect to such Mortgage Loan to the extent such
advances are outstanding as of the Cut-off Date.
BANKRUPTCY PLAN A "Bankruptcy Plan Mortgage Loan" is a Mortgage Loan
MORTGAGE LOAN with respect to which the related mortgagor defaulted
and, after such default, became the subject of a
bankruptcy case under Title 11 of the United States Code
or a state bankruptcy code and, as of the Cut-off Date,
had a confirmed bankruptcy plan. Each such bankruptcy
plan generally requires the related mortgagor to make
monthly payments in an amount at least equal to (i) the
Regular Scheduled Payment plus (ii) an additional amount
sufficient to pay down overdue amounts resulting from
the period of default, generally over a period of three
to five years from the commencement of such bankruptcy
plan.
ARREARAGES: As of the Cut-off Date, it is expected that there are
approximately $1,885,659 of payments which were
delinquent on or prior to the Cut-off Date (such
amounts, "Arrearages"). The Arrearages will be the
property of the Trust and that portion of payments
received on the Mortgage Loans allocable to such
Arrearages will be paid out of the distribution account
as Extra Principal Distribution Amount and Net Monthly
Excess Cashflow to the 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 4
SERVICING FEE: 50 bps per annum.
TRUST EXPENSE FEE: 3 bps per annum.
PRICING PREPAYMENT o Fixed Rate Mortgage Loans: CPR starting at
SPEED: approximately 1.4667% CPR as of the initial due
date of the Mortgage Loan and increasing to 22%
CPR in month 15 (22%/15 CPR increase for each
month), and remaining at 22% CPR thereafter.
o ARM Mortgage Loans: CPR of 22%.
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,
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on the
more senior classes of certificates, and
4) Approximately $1,885,659 of Arrearages as of the
Cut-off Date.
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 July
2006; and
(b) The Distribution Date on which the aggregate
Certificate Principal 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 36%.
TRIGGER EVENT: A "Trigger Event" will be in effect on a Distribution
Date if any one of the following conditions exist as of
the last day of the immediately preceding collection
period:
(a) The "Rolling Six Month 60+ Delinquency Percentage"
equals or exceeds 45% of the Senior Enhancement
Percentage; or
(b) The aggregate amount of realized losses incurred
since the Cut-off Date through the last day of such
preceding collection period divided by the aggregate
principal balance of the Mortgage Loans as of the
Cut-off Date exceeds the applicable percentages set
forth below with respect to such Distribution Date:
Distribution Date Percentage
----------------- ----------
Months 37-48 4.00% [(for the first month,
plus 1/12th of 2.00% for each
month thereafter)]
Months 49-60 6.00% [(for the first month,
plus 1/12th of 1.50% for each
month thereafter)]
Months 61-72 7.50% [(for the first month,
plus 1/12th of 0.25% for each
month thereafter)]
Month 73 and thereafter 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
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
60+ DAY DELINQUENT Each Mortgage Loan with respect to which any portion of
LOAN: a monthly payment is 60 days or more delinquent, each
Mortgage Loan in foreclosure, and all REO Property.
ROLLING SIX MONTH With respect to any Distribution Date, the average of
60+ DAY DELINQUENT the percentage equivalents of the fractions determined
PERCENTAGE: for each of the six immediately preceding collection
periods, the numerator of each of which is equal to the
aggregate Principal Balance of Mortgage Loans that are
60+ Day Delinquent Loans (other than Re-Performing 60+
Day Delinquent Loans), and the denominator of which is
the aggregate Mortgage Loan balance as of the end of the
related collection period.
RE-PERFORMING 60+ DAY Each Mortgage Loan with respect to which (x) any portion
DELINQUENT LOAN: of a monthly payment is 60 days or more delinquent and
(y) the mortgagor has made an aggregate of three monthly
payments within the preceding three calendar months.
INITIAL SUBORDINATION Class A: 18.00%
PERCENTAGE: Class M-1: 12.00%
Class M-2: 6.75%
Class B-1: 3.05%
Class B-2: 1.75%
ADVANCES: The Servicer will advance scheduled principal and
interest, but only to the extent that the Servicer
believes such advances to be recoverable from
liquidation proceeds. Such advances have not and will
not be made with respect to Arrearages. No advancing
will be made with respect to simple interest Mortgage
Loans, which comprise approximately 0.33% of the
Mortgage Loans.
OPTIONAL CLEAN-UP CALL: Exercisable when the current aggregate principal balance
of the Mortgage Loans is less than or equal to 10% of
the aggregate principal balance of the Mortgage Loans as
of the Cut-off Date.
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 on and after the first
Distribution Date on which the Optional Clean-up Call is
exercisable.
CLASS A-1 PASS- The Class A-1 Certificates will accrue interest at a
THROUGH RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [ ] bps ([ ] bps on and after the first
Distribution Date on which the Optional Clean-up Call is
exercisable), and (ii) the WAC Cap.
CLASS A-2 PASS- The Class A-2 Certificates will accrue interest at a
THROUGH RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [ ] bps ([ ] bps on and after the first
Distribution Date on which the Optional Clean-up Call is
exercisable), and (ii) the WAC Cap.
CLASS M-1 PASS- The Class M-1 Certificates will accrue interest at a
THROUGH RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [ ] bps ([ ] bps on and after the first
Distribution Date on which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
CLASS M-2 PASS- The Class M-2 Certificates will accrue interest at a
THROUGH RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [ ] bps ([ ] bps on and after the first
Distribution Date on which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
CLASS B-1 PASS- The Class B-1 Certificates will accrue interest at a
THROUGH RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [ ] bps ([ ] bps on and 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 6
CLASS B-2 PASS- The Class B-2 Certificates will accrue interest at a
THROUGH RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [ ] bps ([ ] bps on and 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 interest
rate of the Mortgage Loans in effect on the beginning of
the related Due Period less the Servicing Fees and Trust
Expense Fees, 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.
BASIS RISK CARRY As to any Distribution Date, the supplemental interest
FORWARD AMOUNTS: amount for each of the Class A, M-1, M-2, B-1, and B-2
Certificates will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at such
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap) over interest due
such Certificates at a rate equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such class
remaining unpaid for such Certificate from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap).
INTEREST On each Distribution Date and after payments of
DISTRIBUTIONS ON Servicing and Trust Expense Fees, interest distributions
OFFERED CERTIFICATES: from the Interest Remittance Amount will be allocated as
follows:
(i) To the Class A Certificates, on a pro rata basis
its Accrued Certificate Interest and unpaid
interest amounts;
(ii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iii) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(iv) To the Class B-1 Certificates, its Accrued
Certificate Interest; and
(v) To the Class B-2 Certificates, its Accrued
Certificate Interest.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. 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 On each Distribution Date (a) prior to the Step-down
DISTRIBUTIONS ON Date or (b) on which a Trigger Event is in effect,
OFFERED CERTIFICATES: principal distributions from the Principal Distribution
Amount will be allocated as follows:
(i) to the Class A Certificates, on a pro rata basis,
until the Certificate Principal Balance thereof
has 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 B-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero; and
(v) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero.
On each Distribution Date (a) on or after the Step-down
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, on a pro rata basis,
the lesser of the Principal Distribution Amount
and the Class A Principal Distribution Amount,
until the Certificate Principal Balance thereof
has 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 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; and
(v) to the Class B-2 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class B-2 Principal Distribution Amount, until
the Certificate Principal Balance thereof has
been reduced to zero.
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 B-1 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class B-1 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-2 Certificates, the allocated
unreimbursed realized loss amount;
(ix) concurrently and on a pro rata basis, to any
Class A Basis Risk Carry Forward Amount to the
Class A Certificates, and
(x) sequentially, to Classes M-1, M-2, B-1, B-2 and
Certificates, in that order, any Basis Risk Carry
Forward Amount for such classes.
INTEREST REMITTANCE For any Distribution Date, the portion of available
AMOUNT: funds for such Distribution Date attributable to
interest received or advanced on the Mortgage Loans.
--------------------------------------------------------------------------------
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
ACCRUED CERTIFICATE For any Distribution Date and each class of Offered
INTEREST: Certificates, equals the amount of interest accrued
during the related Interest Accrual Period at the
related Pass-Through Rate, reduced by any prepayment
interest shortfalls and shortfalls resulting from the
application of the Soldiers' and Sailors' Civil Relief
Act of 1940 or similar state law allocated to such
class.
PRINCIPAL On any Distribution Date, the sum of (i) the Basic
DISTRIBUTION AMOUNT: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
BASIC PRINCIPAL On any Distribution Date, the excess of (i) the
DISTRIBUTION AMOUNT: aggregate principal remittance amount over (ii) the
Excess Subordinated Amount, if any.
NET MONTHLY EXCESS For any Distribution Date, the amount of funds available
CASHFLOW: for distribution on such Distribution Date (including
any amounts in respect of Arrearages) 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 Fees and Trust Expense Fees) plus
any amounts received in respect to Arrearages, 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, the excess, if any, of (i)
AMOUNT: the overcollateralization as of such Distribution Date
over (ii) the required overcollateralization for such
Distribution Date.
ALLOCATION OF LOSSES: For any Distibution Date, any realized losses on the
mortgage loans will be allocated as follows:
(i) to Net Monthly Excess Cashflow,
(ii) in reduction of the overcollateralization
amount,
(iii) to the Class B-2 Certificates,
(iv) to the Class B-1 Certificates,
(v) to the Class M-2 Certificates,
(vi) to the Class M-1 Certificates,
(vii) to the Class A-2 Certificates.
The pooling agreement does not permit allocation of
realized losses to the Class A-1 Certificates.
CLASS A PRINCIPAL For any Distribution Date, on a pro rata basis, an
DISTRIBUTION AMOUNT: amount equal to the excess of (x) the aggregate
Certificate Principal Balance of the Class A
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 64.00% 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 $872,559.
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 76.00% 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 $872,559.
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 86.50% and (ii) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due
Period over $872,559.
--------------------------------------------------------------------------------
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 B-1 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date), and (iv)
the Certificate Principal Balance of the Class B-1
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 93.90% 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 $872,559.
CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the payment of
the Class B-1 Principal Distribution Amount on such
Distribution Date) and (v) 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 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 $872,559.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the Prospectus, all
Offered Certificates are expected to be ERISA eligible.
SMMEA ELIGIBILITY: It is not anticipated that any of the Offered
Certificates will be SMMEA eligible.
PROSPECTUS: The Class A, Class M-1, Class M-2, Class B-1, and Class
B-2 Certificates are being offered pursuant to a
prospectus supplemented by a prospectus supplement
(together, the "Prospectus"). Complete information with
respect to the Offered Certificates and the collateral
securing them is contained in the Prospectus. The
information herein is qualified in its entirety by the
information appearing in the Prospectus. To the extent
that the information herein is inconsistent with the
Prospectus, the Prospectus shall govern in all respects.
Sales of the Offered Certificates may not be consummated
unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN
CONNECTION WITH AN INVESTMENT IN THE OFFERED
CERTIFICATES.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. 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
WEIGHTED AVERAGE LIFE SENSITIVITY
TO CALL
-------
-------------------------------------------------------------------------------------------------------------------------
PPC 50 60 75 100 125 150 175
-------------------------------------------------------------------------------------------------------------------------
A-1 WAL 5.59 4.80 3.92 2.96 2.30 1.80 1.39
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 1 - 189 1 - 165 1 - 136 1 - 104 1 - 82 1 - 67 1 - 56
-------------------------------------------------------------------------------------------------------------------------
A-2 WAL 5.59 4.80 3.92 2.96 2.30 1.80 1.39
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 1 - 189 1 - 165 1 - 136 1 - 104 1 - 82 1 - 67 1 - 56
-------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.61 9.15 7.50 5.70 4.76 4.40 4.47
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 8/25/2006 11/25/2006 2/25/2007 6/25/2007
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 63 - 189 54 - 165 43 - 136 38 - 104 41 - 82 44 - 67 48 - 56
-------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.61 9.15 7.50 5.69 4.67 4.14 3.94
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 9/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 39 - 82 40 - 67 41 - 56
-------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.61 9.15 7.50 5.69 4.63 4.03 3.69
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 8/25/2006 8/25/2006
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 37 - 82 38 - 67 38 - 56
-------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.48 9.03 7.40 5.61 4.55 3.93 3.56
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 7/25/2006 8/25/2006
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 37 - 82 37 - 67 38 - 56
-------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
WEIGHTED AVERAGE LIFE SENSITIVITY
TO MATURITY
-----------
------------------------------------------------------------------------------------------------------------------------------
PPC 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------
A-1 WAL 5.94 5.14 4.23 3.21 2.50 1.97 1.53
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 9/25/2030 5/25/2029 8/25/2026 3/25/2022 8/25/2018 12/25/2015 12/25/2013
WINDOW 1 - 327 1 - 311 1 - 278 1 - 225 1 - 182 1 - 150 1 - 126
------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 5.94 5.14 4.23 3.21 2.50 1.97 1.53
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 9/25/2030 5/25/2029 8/25/2026 3/25/2022 8/25/2018 12/25/2015 12/25/2013
WINDOW 1 - 327 1 - 311 1 - 278 1 - 225 1 - 182 1 - 150 1 - 126
------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.45 9.95 8.22 6.28 5.23 4.79 4.87
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 8/25/2006 11/25/2006 2/25/2007 6/25/2007
EXPECTED FINAL MATURITY 4/25/2028 3/25/2026 2/25/2023 11/25/2018 11/25/2015 9/25/2013 12/25/2011
WINDOW 63 - 298 54 - 273 43 - 236 38 - 185 41 - 149 44 - 123 48 - 102
------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.37 9.87 8.13 6.20 5.09 4.49 4.22
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 9/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL MATURITY 11/25/2026 8/25/2024 7/25/2021 7/25/2017 9/25/2014 9/25/2012 3/25/2011
WINDOW 63 - 281 54 - 254 43 - 217 37 - 169 39 - 135 40 - 111 41 - 93
------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 11.12 9.62 7.91 6.01 4.90 4.25 3.88
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 8/25/2006 8/25/2006
EXPECTED FINAL MATURITY 6/25/2024 3/25/2022 2/25/2019 7/25/2015 2/25/2013 5/25/2011 1/25/2010
WINDOW 63 - 252 54 - 225 43 - 188 37 - 145 37 - 116 38 - 95 38 - 79
------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.52 9.07 7.44 5.63 4.57 3.95 3.57
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 7/25/2006 8/25/2006
EXPECTED FINAL MATURITY 4/25/2020 3/25/2018 9/25/2015 10/25/2012 11/25/2010 7/25/2009 7/25/2008
WINDOW 63 - 202 54 - 177 43 - 147 37 - 112 37 - 89 37 - 73 38 - 61
------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
CPR SENSITIVITY
TO CALL
-------
---------------------------------------------------------------------------------------
CPR 20 25 30
---------------------------------------------------------------------------------------
A-1 WAL 3.22 2.53 2.01
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 1 - 114 1 - 91 1 - 74
---------------------------------------------------------------------------------------
A-2 WAL 3.22 2.53 2.01
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 1 - 114 1 - 91 1 - 74
---------------------------------------------------------------------------------------
M-1 WAL 6.21 5.08 4.53
FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 37 - 114 40 - 91 42 - 74
---------------------------------------------------------------------------------------
M-2 WAL 6.21 5.04 4.37
FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 37 - 114 38 - 91 39 - 74
---------------------------------------------------------------------------------------
B-1 WAL 6.21 5.02 4.29
FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 37 - 114 37 - 91 38 - 74
---------------------------------------------------------------------------------------
B-2 WAL 6.12 4.93 4.20
FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 37 - 114 37 - 91 37 - 74
---------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
CPR SENSITIVITY
TO MATURITY
-----------
---------------------------------------------------------------------------------------
CPR 20 25 30
---------------------------------------------------------------------------------------
A-1 WAL 3.49 2.75 2.20
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017
WINDOW 1 - 243 1 - 199 1 - 166
---------------------------------------------------------------------------------------
A-2 WAL 3.49 2.75 2.20
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017
WINDOW 1 - 243 1 - 199 1 - 166
---------------------------------------------------------------------------------------
M-1 WAL 6.83 5.60 4.96
FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006
EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014
WINDOW 37 - 201 40 - 163 42 - 135
---------------------------------------------------------------------------------------
M-2 WAL 6.75 5.49 4.75
FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006
EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013
WINDOW 37 - 184 38 - 149 39 - 123
---------------------------------------------------------------------------------------
B-1 WAL 6.55 5.30 4.54
FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006
EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012
WINDOW 37 - 159 37 - 128 38 - 105
---------------------------------------------------------------------------------------
B-2 WAL 6.15 4.95 4.22
FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006
EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010
WINDOW 37 - 123 37 - 98 37 - 80
---------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP (%) A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------- --------------- --------------- --------------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
0 - - - - - -
1 10.24 10.24 10.02 10.02 10.02 10.02
2 8.26 8.26 8.08 8.08 8.08 8.08
3 8.27 8.27 8.09 8.09 8.09 8.09
4 8.57 8.57 8.38 8.38 8.38 8.38
5 8.38 8.38 8.18 8.18 8.18 8.18
6 8.66 8.66 8.46 8.46 8.46 8.46
7 8.39 8.39 8.19 8.19 8.19 8.19
-------------
8 8.39 8.39 8.19 8.19 8.19 8.19
9 8.98 8.98 8.75 8.75 8.75 8.75
10 8.46 8.46 8.24 8.24 8.24 8.24
11 8.83 8.83 8.60 8.60 8.60 8.60
12 8.56 8.56 8.32 8.32 8.32 8.32
13 8.87 8.87 8.62 8.62 8.62 8.62
14 8.59 8.59 8.34 8.34 8.34 8.34
15 8.61 8.61 8.35 8.35 8.35 8.35
16 9.37 9.37 9.08 9.08 9.08 9.08
17 9.15 9.15 8.86 8.86 8.86 8.86
18 9.52 9.52 9.20 9.20 9.20 9.20
19 9.23 9.23 8.92 8.92 8.92 8.92
20 9.38 9.38 9.05 9.05 9.05 9.05
21 10.47 10.47 10.09 10.09 10.09 10.09
22 9.75 9.75 9.39 9.39 9.39 9.39
23 10.17 10.17 9.78 9.78 9.78 9.78
24 9.88 9.88 9.49 9.49 9.49 9.49
25 10.24 10.24 9.82 9.82 9.82 9.82
26 10.02 10.02 9.59 9.59 9.59 9.59
27 10.07 10.07 9.63 9.63 9.63 9.63
28 10.72 10.72 10.24 10.24 10.24 10.24
29 10.47 10.47 9.98 9.98 9.98 9.98
30 10.93 10.93 10.41 10.41 10.41 10.41
31 10.61 10.61 10.08 10.08 10.08 10.08
32 10.73 10.73 10.18 10.18 10.18 10.18
33 12.14 12.14 11.49 11.49 11.49 11.49
34 11.28 11.28 10.66 10.66 10.66 10.66
(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 Principal Balance.
(2) Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR
and 1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 15
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP (%) A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------- --------------- --------------- --------------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
35 11.75 11.75 11.09 11.09 11.09 11.09
36 11.45 11.45 10.78 10.78 10.78 10.78
37 19.32 19.32 11.16 11.16 11.16 11.16
38 12.93 12.93 10.89 10.89 10.89 10.89
39 13.11 13.11 11.09 11.09 11.09 11.09
40 13.78 13.78 11.69 11.69 11.69 11.69
41 13.38 13.38 11.36 11.36 11.36 11.36
42 13.86 13.86 11.77 11.77 11.77 11.77
43 13.42 13.42 11.39 11.39 11.39 11.39
44 13.46 13.46 11.43 11.43 11.43 11.43
45 15.12 15.12 12.86 12.86 12.86 12.86
46 13.66 13.66 11.62 11.62 11.62 11.62
47 14.12 14.12 12.01 12.01 12.01 12.01
48 13.69 13.69 11.65 11.65 11.65 11.65
49 14.16 14.16 12.04 12.04 12.04 12.04
50 13.71 13.71 11.66 11.66 11.66 11.66
51 13.90 13.90 11.84 11.84 11.84 11.84
52 14.37 14.37 12.24 12.24 12.24 12.24
53 13.91 13.91 11.85 11.85 11.85 11.85
54 14.44 14.44 12.30 12.30 12.30 12.30
55 13.98 13.98 11.91 11.91 11.91 11.91
56 13.98 13.98 11.91 11.91 11.91 11.91
57 15.08 15.08 12.85 12.85 12.85 12.85
58 14.11 14.11 12.03 12.03 12.03 12.03
59 14.58 14.58 12.43 12.43 12.43 12.43
60 14.13 14.13 12.04 12.04 12.04 12.04
61 14.61 14.61 12.45 12.45 12.45 12.45
62 14.14 14.14 12.05 12.05 12.05 12.05
63 14.15 14.15 12.05 12.05 12.05 12.05
64 14.62 14.62 12.46 12.46 12.46 12.46
65 14.15 14.15 12.06 12.06 12.06 12.06
66 14.64 14.64 12.47 12.47 12.47 12.47
67 14.18 14.18 12.08 12.08 12.08 12.08
68 14.18 14.18 12.08 12.08 12.08 12.08
69 15.71 15.71 13.37 13.37 13.37 13.37
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current Certificate Principal Balance.
(2) Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR
and 1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 16
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP (%) A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------- --------------- --------------- --------------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
70 14.19 14.19 12.08 12.08 12.08 12.08
71 14.67 14.67 12.49 12.49 12.49 12.49
72 14.21 14.21 12.10 12.10 12.10 12.10
73 14.69 14.69 12.51 12.51 12.51 12.51
74 14.22 14.22 12.11 12.11 12.11 12.11
75 14.23 14.23 12.11 12.11 12.11 12.11
76 14.70 14.70 12.52 12.52 12.52 12.52
77 14.23 14.23 12.11 12.11 12.11 12.11
78 14.72 14.72 12.52 12.52 12.52 12.52
79 14.25 14.25 12.12 12.12 12.12 12.12
80 14.25 14.25 12.13 12.13 12.13 12.13
81 15.77 15.77 13.43 13.43 13.43 13.43
82 14.25 14.25 12.13 12.13 12.13 12.13
83 14.75 14.75 12.54 12.54 12.54 12.54
84 14.25 14.25 12.14 12.14 12.14 12.14
85 14.73 14.73 12.54 12.54 12.54 12.54
86 14.26 14.26 12.14 12.14 12.14 12.14
87 14.27 14.27 12.14 12.14 12.14 12.14
88 14.74 14.74 12.55 12.55 12.55 12.55
89 14.27 14.27 12.15 12.15 12.15 12.15
90 13.70 13.70 12.55 12.55 12.55 12.55
91 12.91 12.91 12.15 12.15 12.15 12.15
92 12.93 12.93 12.15 12.15 12.15 12.15
93 14.33 14.33 13.46 13.46 13.46 13.46
94 12.97 12.97 12.16 12.16 12.16 12.16
95 13.42 13.42 12.57 12.57 12.57 12.57
96 13.01 13.01 12.16 12.16 12.16 12.16
97 13.46 13.46 12.57 12.57 12.57 12.57
98 13.05 13.05 12.17 12.17 12.17 12.17
99 13.07 13.07 12.17 12.17 12.17 12.17
100 13.53 13.53 12.58 12.58 12.58 12.58
101 13.11 13.11 12.18 12.18 12.18 12.18
102 13.57 13.57 12.58 12.58 12.58 12.58
103 13.16 13.16 12.18 12.18 12.18 12.18
104 13.18 13.18 12.18 12.18 12.18 12.18
(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 Principal Balance.
(2) Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR
and 1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 17
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP (%) A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------- --------------- --------------- --------------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
105 14.12 14.12 13.03 13.03 13.03 13.03
106 13.23 13.23 12.19 12.19 12.19 12.19
107 13.70 13.70 12.60 12.60 12.60 12.60
108 13.29 13.29 12.19 12.19 12.19 12.19
109 13.76 13.76 12.60 12.60 12.60 12.60
110 13.34 13.34 12.20 12.20 12.20 12.20
111 13.37 13.37 12.20 12.20 12.20 12.20
112 13.84 13.84 12.61 12.61 12.61 12.61
113 13.43 13.43 12.21 12.21 12.21 12.21
114 13.90 13.90 12.62 12.62 12.62 12.62
115 13.49 13.49 12.21 12.21 12.21 12.21
116 13.52 13.52 12.22 12.22 12.22 -
117 15.00 15.00 13.53 13.53 13.53 -
118 13.58 13.58 12.22 12.22 12.22 -
119 14.07 14.07 12.63 12.63 12.63 -
120 13.65 13.65 12.23 12.23 12.23 -
121 14.14 14.14 12.64 12.64 12.64 -
122 13.72 13.72 12.23 12.23 12.23 -
123 13.75 13.75 12.23 12.23 12.23 -
124 14.27 14.27 12.65 12.65 12.65 -
125 13.85 13.85 12.25 12.25 12.25 -
126 14.35 14.35 12.66 12.66 12.66 -
127 13.92 13.92 12.26 12.26 12.26 -
128 13.97 13.97 12.26 12.26 12.26 -
129 15.51 15.51 13.57 13.57 13.57 -
130 14.05 14.05 12.26 12.26 12.26 -
131 14.56 14.56 12.68 12.68 12.68 -
132 14.14 14.14 12.27 12.27 12.27 -
133 14.66 14.66 12.68 12.68 12.68 -
134 14.27 14.27 12.29 12.29 12.29 -
135 14.31 14.31 12.30 12.30 12.30 -
136 14.84 14.84 12.71 12.71 12.71 -
137 14.41 14.41 12.30 12.30 12.30 -
138 14.95 14.95 12.72 12.72 12.72 -
139 14.52 14.52 12.31 12.31 12.31 -
(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 Principal Balance.
(2) Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR
and 1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 18
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP (%) A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------- --------------- --------------- --------------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
140 14.57 14.57 12.31 12.31 12.31 -
141 16.19 16.19 13.64 13.64 13.64 -
142 14.68 14.68 12.32 12.32 12.32 -
143 15.23 15.23 12.73 12.73 12.73 -
144 14.80 14.80 12.33 12.33 12.33 -
145 15.36 15.36 12.74 12.74 12.74 -
146 14.92 14.92 12.33 12.33 12.33 -
147 14.98 14.98 12.34 12.34 12.34 -
148 15.55 15.55 12.75 12.75 12.75 -
149 15.12 15.12 12.34 12.34 12.34 -
150 15.69 15.69 12.76 12.76 - -
151 15.25 15.25 12.35 12.35 - -
152 15.32 15.32 12.35 12.35 - -
153 16.46 16.46 13.21 13.21 - -
154 15.47 15.47 12.36 12.36 - -
155 16.06 16.06 12.77 12.77 - -
156 15.62 15.62 12.36 12.36 - -
157 16.22 16.22 12.78 12.78 - -
158 15.78 15.78 12.37 12.37 - -
159 15.86 15.86 12.37 12.37 - -
160 16.47 16.47 12.79 12.79 - -
161 16.03 16.03 12.38 12.38 - -
162 16.65 16.65 12.79 12.79 - -
163 16.21 16.21 12.38 12.38 - -
164 16.30 16.30 12.39 12.39 - -
165 18.15 18.15 13.72 13.72 - -
166 16.49 16.49 12.39 12.39 - -
167 17.14 17.14 12.81 12.81 - -
168 16.69 16.69 12.40 12.40 - -
169 17.35 17.35 12.81 12.81 - -
170 16.90 16.90 12.40 12.40 - -
171 17.01 17.01 12.40 12.40 - -
172 17.69 17.69 12.82 12.82 - -
173 17.23 17.23 12.41 12.41 - -
174 17.93 17.93 12.83 12.83 - -
(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 Principal Balance.
(2) Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR
and 1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 19
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP (%) A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------- --------------- --------------- --------------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
175 17.51 17.51 12.43 - - -
176 17.64 17.64 12.43 - - -
177 19.66 19.66 13.77 - - -
178 17.89 17.89 12.43 - - -
179 18.62 18.62 12.85 - - -
180 18.15 18.15 12.44 - - -
181 18.90 18.90 12.85 - - -
182 18.43 18.43 12.44 - - -
183 18.57 18.57 12.45 - - -
184 19.35 19.35 12.87 - - -
185 18.88 18.88 12.46 - - -
186 19.66 19.66 12.87 - - -
187 19.19 19.19 12.46 - - -
188 19.35 19.35 12.46 - - -
189 21.61 21.61 13.80 - - -
190 19.69 19.69 12.47 - - -
191 20.53 20.53 12.88 - - -
192 20.14 20.14 - - - -
193 21.13 21.13 - - - -
194 20.76 20.76 - - - -
195 21.10 21.10 - - - -
196 22.17 22.17 - - - -
197 21.83 21.83 - - - -
198 22.95 22.95 - - - -
199 22.61 22.61 - - - -
200 23.04 23.04 - - - -
201 25.12 25.12 - - - -
202 23.99 23.99 - - - -
203 25.33 25.33 - - - -
204 25.07 25.07 - - - -
205 26.52 26.52 - - - -
206 26.31 26.31 - - - -
207 27.00 27.00 - - - -
208 28.68 28.68 - - - -
209 28.57 28.57 - - - -
(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 Principal Balance.
(2) Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR
and 1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 20
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP (%) A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------- --------------- --------------- --------------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
210 30.43 30.43 - - - -
211 30.42 30.42 - - - -
212 31.47 31.47 - - - -
213 36.14 36.14 - - - -
214 33.93 33.93 - - - -
215 36.54 36.54 - - - -
216 36.96 36.96 - - - -
217 40.04 40.04 - - - -
218 40.79 40.79 - - - -
219 43.11 43.11 - - - -
220 47.30 47.30 - - - -
221 48.88 48.88 - - - -
222 54.29 54.29 - - - -
223 56.91 56.91 - - - -
224 62.22 62.22 - - - -
225 76.18 76.18 - - - -
226 77.19 77.19 - - - -
227 91.18 91.18 - - - -
228 104.59 104.59 - - - -
229 131.66 131.66 - - - -
230 187.11 187.11 - - - -
231 283.69 283.69 - - - -
232 804.83 804.83 - - - -
(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 Principal Balance.
(2) Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR
and 1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 21
COLLATERAL OVERVIEW
TOTAL POOL
The following summarizes the characteristics of the Mortgage Loans (percentages
are based on the aggregate Principal Balances as of June 1, 2003). The
characteristics of the Mortgage Loans in the Prospectus Supplement will
supercede the descriptions of the characteristics below.
Aggregate Current Principal Balance: $174,511,813
Average Outstanding Principal Balance: $111,580
Range of Outstanding Principal Balances: $135 to $1,099,235
Loans with Current Prepayment Penalties: 58.87%
Fixed Rate / Adjustable Rate: 38.46% / 61.54%
Second Liens: 1.93%
FHA/VA Uninsured Mortgage Loans: 0.90%
Simple Interest Loans: 0.33%
Loans with Insurance: 1.38%
Negative Amortization Loans: 0.42%
Balloon Loans: 1.90%
Performing Loans: 86.96%
Sub-Performing Loans: 7.67%
Sub-Performing Loans that are Payment Plan Loans: 2.67%
Sub-Performing Loans that are Bankruptcy Plan Loans: 0.44%
Re-Performing Loans: 5.37%
Re-Performing Loans that are Payment Plan Loans 0.26%
Re-Performing Loans that are Bankruptcy Plan Loans: 3.83%
Weighted Average Loan Rate: 8.882%
Range of Loan Rates: 3.875% to 21.000%
Weighted Average Combined Amortized LTV(1): 79.10%
Weighted Average Original Term to Maturity: 347
Weighted Average Remaining Term to Stated Maturity: 316
Weighted Average FICO Score: 603.3
Max Zip Code Concentration (%): 0.83%
Max Zip Code Concentration (zip): 10506
Top 5 Geographic Concentrations (State):
California 30.82%
New York 8.31%
Florida 6.32%
Texas 3.86%
Colorado 3.78%
NOTES
-----
(1). The sum of the first and, if any, second amortized liens divided by the
appraised value of the property.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 22
