EXHIBIT 99.1
--------------------------------------------------------------------------------
Xxxxxx Xxxxxxx May 25, 2004
Securitized Products Group [Xxxxxx Xxxxxxx Logo]
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Computational Materials
$219,976,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-SD2
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shall be deemed superseded, amended and supplemented in its entirety by such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 supersedes 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.
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Page 1
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Xxxxxx Xxxxxxx May 25, 2004
Securitized Products Group [Xxxxxx Xxxxxxx Logo]
--------------------------------------------------------------------------------
Approximately $219,976,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-SD2
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Bank of America, N.A., Washington Mutual Bank FA, Wilshire Credit Corporation
Servicers
Transaction Highlights
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Modified
Expected Avg Life Duration Initial
Offered Ratings to Call / To Call / Payment Window To Call / Subordination
Classes Description Balance ($) (S&P/ Moody's) Mty(1)(2) Mty(1)(2)(3) Mty(1)(2) Level (%) Benchmark
======== =========== =========== ============== ========== =========== =========================== ============== ==========
A-1 Floater 191,210,000 AAA/Aaa 3.02/3.28 2.93/3.15 06/04-01/13 / 06/04-02/23 15.25 1 Mo. LIBOR
-------- ----------- ----------- -------------- ---------- ----------- --------------------------- -------------- -----------
M-1 Floater 10,152,000 AA/Aa2 5.67/6.23 5.38/5.84 07/07-01/13 / 07/07-04/19 10.75 1 Mo. LIBOR
-------- ----------- ----------- -------------- ---------- ----------- --------------------------- -------------- -----------
M-2 Floater 9,025,000 A/A2 5.67/6.16 5.20/5.58 06/07-01/13 / 06/07-02/18 6.75 1 Mo. LIBOR
-------- ----------- ----------- -------------- ---------- ----------- --------------------------- -------------- -----------
B-1 Floater 7,332,000 BBB/Baa2 5.67/6.01 5.00/5.24 06/07-01/13 / 06/07-07/16 3.50 1 Mo. LIBOR
-------- ----------- ----------- -------------- ---------- ----------- --------------------------- -------------- -----------
B-2 Floater 2,257,000 BBB-/Baa3 5.67/5.77 4.98/5.05 06/07-01/13 / 06/07-03/14 2.50 1 Mo. LIBOR
-------- ----------- ----------- -------------- ---------- ----------- --------------------------- -------------- -----------
Notes: (1) Certificates are priced to the 10% Optional Clean-up Call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
-------------------------------------------------------------------------------
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 supersedes 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.
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Page 2
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Xxxxxx Xxxxxxx May 25, 2004
Securitized Products Group [Xxxxxx Xxxxxxx Logo]
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Description of the Collateral Pool
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Bank of America (approximately 29%): Scratch & Dent loans from Prime and Alt-A
(including agency) origination channels.
o Prior delinquencies
o Program exceptions (LTV, FICO, DTI, or multiple factors)
o Documentation exceptions
o 705 current FICO, 65.8% current combined LTV for the Bank of America
portion
o Servicing retained
Washington Mutual (approximately 19%): Scratch & Dent loans from Prime and Alt-A
(including agency) origination channels.
o Current or prior delinquencies
o Program exceptions (LTV, FICO, DTI, or multiple factors)
o Documentation exceptions
o 668 current FICO, 68.0% current combined LTV for the Washington Mutual
portion
o 95% of population Servicing retained
WMC (approximately 18%): Scratch & Dent loans from subprime origination:
o Underwriting, appraisal and documentation exceptions
o Compliance exceptions (cured prior to purchase)
o Current or prior delinquencies
o 609 current FICO, 82.9% current combined LTV for the WMC portion
Option One (approximately 11%): Scratch & Dent loans from subprime origination:
o Underwriting, appraisal and documentation exceptions
o Compliance exceptions (cured prior to purchase)
o Current or prior delinquencies
o Program exceptions (LTV, FICO, DTI, or multiple factors)
o 591 current FICO, 82.2% current combined LTV for the Option One portion
All Other (approximately 23%):
o Loans originated by 12 originators acquired in approximately 20+
separate transactions
o Prime, Alt-A and subprime loans with program exceptions: LTV, DTI, FICO,
missing or incorrect documentation, compliance exceptions cured prior to
funding
o Delinquency issues (including sub- and re-performing 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 supersedes 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.
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Page 3
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Xxxxxx Xxxxxxx May 25, 2004
Securitized Products Group [Xxxxxx Xxxxxxx Logo]
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Summary of Terms
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Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-SD2.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Servicers: Bank of America, N.A., Washington Mutual Bank FA, Wilshire Credit Corporation.
Trustee: Deutsche Bank National Trust Company.
Custodian: Deutsche Bank National Trust Company.
Underwriters: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx Capital Partners, L.P. and Xxxxxxxx & Partners, L.P.
Rating Agencies: Xxxxx'x Investors Service and Standard & Poor's.
Class B Certificates: The Class B-1 and B-2 Certificates.
Class M Certificates: The Class M-1 and M-2 Certificates.
Offered Certificates: Classes A-1, M-1, M-2, B-1 and B-2 Certificates.
Cut-off Date: May 1, 2004.
Expected Closing Date: On or around June 4, 2004 through DTC and Euroclear or Clearstream. The Certificates will be sold
without accrued interest.
Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day, beginning
June 25, 2004.
Final Scheduled Distribution The Distribution Date occurring in April 2034.
Date:
Due Period: For any Distribution Date, the calendar month preceding the month in which such Distribution Date
occurs.
Interest Accrual Period: The interest accrual period for the Offered Certificates with respect to any Distribution Date will
be the period beginning with the previous Distribution Date (or, in the case of the first
Distribution Date, the Closing Date) and ending on the day prior to the current Distribution Date
(on an actual/360 day count basis).
-------------------------------------------------------------------------------
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 supersedes 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.
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Page 4
Mortgage Loans: Approximately $225,616,575 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 91.15%
Performing Mortgage Loans, 7.20% Sub-Performing Mortgage Loans and 1.66% Re-Performing Mortgage
Loans with aggregate principal balances as of the Cut-off Date of approximately $205,647,434,
$16,234,750, and $3,734,392, respectively. The Mortgage Loans consist of approximately 38.99%
fixed rate mortgage loans and 61.01% adjustable rate mortgage loans with aggregate principal
balances as of the Cut-off Date of approximately $87,966,143 and $137,650,432, respectively.
Performing Mortgage A "Performing Mortgage Loan" is a Mortgage Loan (which may be a Payment Plan Mortgage Loan or a
Loans: 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 May 1, 2004 will be reported as Delinquent as of the beginning of business on
June 2, 2004, if the Monthly Payment is not made by such time.
Re-Performing Mortgage A "Re-Performing Mortgage Loan" is a Mortgage Loan (which may be a Payment Plan Mortgage Loan
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 February 1, 2004), 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 January 1, 2004), 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 December 1, 2003).
Sub-Performing A "Sub-Performing Mortgage Loan" is a Mortgage Loan (which may be a Payment Plan Mortgage Loan or a
Mortgage Loan: 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 Mortgage A "Payment Plan Mortgage Loan" is a Mortgage Loan with respect to which the related mortgagor must
Loan 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.
-------------------------------------------------------------------------------
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 supersedes 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
Bankruptcy Plan A "Bankruptcy Plan Mortgage Loan" is a Mortgage Loan with respect to which the related mortgagor
Mortgage Loan 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.
Servicing Fee: 37.54 bps per annum (weighted average).
Trust Expense Fee: [2.00] bps per annum.
Pricing Prepayment o Fixed Rate Mortgage Loans: CPR starting at approximately 1.4667 CPR as of the initial due
Speed: 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) 2.50% 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 5.00% of the
aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due
Period, subject to a 0.50% floor, based on the aggregate principal balance of the Mortgage
Loans as of the Cut-off Date, and
3) Subordination of distributions on the more subordinate classes of certificates (if applicable)
to the required distributions on the more senior classes of certificates.
Senior Enhancement For any Distribution Date, the percentage obtained by dividing (x) the aggregate Certificate
Percentage: 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 June 2007; and
(b) The Distribution Date on which the aggregate Certificate Principal Balance of the
Class A-1 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 30.50%.
-------------------------------------------------------------------------------
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 supersedes 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
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 [ ]% 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] [3.00]% (for the first month, plus 1/12th of [0.75]% for each month
thereafter)
Months [49-60] [3.75]% (for the first month, plus 1/12th of [0.75]% for each month
thereafter)
Months [61-72] [4.50]% (for the first month, plus 1/12th of [0.75]% for each month
thereafter)
Months [73-84] [5.25]% (for the first month, plus 1/12th of [0.40]% for each month
thereafter)
Month [85] and thereafter [5.65]%
60+ Day Delinquent Without duplication, (i) each Mortgage Loan with respect to which any portion of a Monthly Payment
Loan: is, as of the last calendar day of the prior Collection Period, two months or more past due (other
than a Re-Performing 60+ Day Delinquent Loan), (ii) each Mortgage Loan in foreclosure (other than
a Re-Performing 60+ Day Delinquent Loan), (iii) each Mortgage Loan for which the Mortgagor has
filed for bankruptcy after the Closing Date (other than a Re-Performing 60+ Day Delinquent Loan)
and (iv) all REO Property.
Rolling Six Month 60+ With respect to any Distribution Date, the average of the percentage equivalents of the fractions
Day Delinquent Percentage: determined 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, as of any date of determination, (x) any portion of a
Delinquent Loan: Monthly Payment is, as of the last calendar day of the prior Collection Period, two months or more
past due and (y) with respect to which the Mortgagor has made three aggregate Monthly Payments
within the three calendar months preceding such date of determination.
Initial Subordination Class A-1: 15.25%
Percentage: Class M-1: 10.75%
Class M-2: 6.75%
Class B-1: 3.50%
Class B-2: 2.50%
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. No advancing will be made with
respect to simple interest Mortgage Loans, which comprise approximately 0.04% of 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 supersedes 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
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-1
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-Through Rate: The Class A-1 Certificates will accrue interest at a 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-Through Rate: The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps 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-Through Rate: The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps 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-Through Rate: The Class B-1 Certificates will accrue interest at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps on and after the first Distribution Date on which the
Optional Clean-up Call is exercisable) and (ii) the WAC Cap.
Class B-2 Pass-Through Rate: The Class B-2 Certificates will accrue interest at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps 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 amount for each of the Class A-1, M-1, M-2,
Forward Amounts: B-1 and B-2 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).
-------------------------------------------------------------------------------
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 supersedes 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
Interest Distributions on On each Distribution Date and after payments of Servicing and Trust Expense Fees, interest
Offered Certificates: distributions from the Interest Remittance Amount will be allocated as follows:
(i) To the Class A-1 Certificates, 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.
Principal Distributions on On each Distribution Date (a) prior to the Step-down Date or (b) on which a Trigger Event is in
Offered Certificates: effect, principal distributions from the Principal Distribution Amount will be allocated as
follows:
(i) to the Class A-1 Certificates, 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-1 Certificates, the lesser of the Principal Distribution Amount and the Class
A-1 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.
-------------------------------------------------------------------------------
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 supersedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
-------------------------------------------------------------------------------
Page 9
Class A-1 Certificates Beginning on the first Distribution Date, and for a period of [35] months thereafter, an Interest
Interest Rate Cap: Rate Cap will be pledged to the Trust for the benefit of the Class A-1 Certificates. For its
duration, the Class A-1 Interest Rate Cap pays the Trust the product of (i) the difference between
the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on an
actual/360 day count basis) and (ii) the Class A-1 Interest Rate Cap Notional Balance (the "Class
A-1 Interest Rate Cap Payment") as described on the schedule herein.
Class A-1 Certificates The Class A-1 Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward
Interest Rate Cap Amount due to the Class A-1 Certificates.
Allocation:
Class M-1 Certificates Beginning on the first Distribution Date, and for a period of [103] months thereafter, an Interest
Interest Rate Cap: Rate Cap will be pledged to the Trust for the benefit of the Class M-1 Certificates. For its
duration, the Class M-1 Interest Rate Cap pays the Trust the product of (i) the difference between
the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on an
actual/360 day count basis) and (ii) the Class M-1 Interest Rate Cap Notional Balance (the "Class
M-1 Interest Rate Cap Payment") as described on the schedule herein.
Class M-1 Certificates The Class M-1 Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward
Interest Rate Cap Amount due to the Class M-1 Certificates.
Allocation:
Class M-2 Certificates Beginning on the first Distribution Date, and for a period of [103] months thereafter, an Interest
Interest Rate Cap: Rate Cap will be pledged to the Trust for the benefit of the Class M-2 Certificates.
For its duration, the Class M-2 Interest Rate Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on
an actual/360 day count basis) and (ii) the Class M-2 Interest Rate Cap Notional Balance (the
"Class M-2 Interest Rate Cap Payment") as described on the schedule herein.
Class M-2 Certificates The Class M-2 Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward
Interest Rate Cap Amount due to the Class M-2 Certificates.
Allocation:
Class B-1 Certificates Beginning on the first Distribution Date, and for a period of [103] months thereafter, an
Interest Rate Cap: Interest Rate Cap will be pledged to the Trust for the benefit of the Class B-1 Certificates. For
its duration, the Class B-1 Interest Rate Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on
an actual/360 day count basis) and (ii) the Class B-1 Interest Rate Cap Notional Balance (the
"Class B-1 Interest Rate Cap Payment") as described on the schedule herein.
Class B-1 Certificates The Class B-1 Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward
Interest Rate Cap Amount due to the Class B-1 Certificates.
Allocation:
Class B-2 Certificates Beginning on the first Distribution Date, and for a period of [103] months thereafter, an Interest
Interest Rate Cap: Rate Cap will be pledged to the Trust for the benefit of the Class B-2 Certificates. For its
duration, the Class B-2 Interest Rate Cap pays the Trust the product of (i) the difference between
the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on an
actual/360 day count basis) and (ii) the Class B-2 Interest Rate Cap Notional Balance (the "Class
B-2 Interest Rate Cap Payment") as described on the schedule herein.
-------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
-------------------------------------------------------------------------------
Page 10
Class B-2 Certificates The Class B-2 Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward
Interest Rate Cap Allocation: Amount due to the Class B-2 Certificates.
Allocation of Net Monthly For any Distribution Date, any Net Monthly Excess Cashflow shall be paid as follows:
Excess 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) any Class A-1 Basis Risk Carry Forward Amount remaining unpaid to the Class A-1
Certificates, and
(x) sequentially, to Classes M-1, M-2, B-1, B-2 Certificates, in that order, any Basis Risk
Carry Forward Amount remaining unpaid for such classes.
Interest Remittance Amount: For any Distribution Date, the portion of available funds for such Distribution Date attributable
to interest received or advanced on the Mortgage Loans.
Accrued Certificate Interest: For any Distribution Date and each class of Offered Certificates, equals the amount of interest
accrued during the related Interest Accrual Period at the related Pass-Through Rate, reduced by
any prepayment interest shortfalls and shortfalls resulting from the application of the
Servicemembers Civil Relief Act or similar state law allocated to such class.
Principal Distribution Amount: On any Distribution Date, the sum of (i) the Basic Principal Distribution Amount and (ii) the
Extra Principal Distribution Amount.
Basic Principal Distribution On any Distribution Date, the excess of (i) the aggregate principal remittance amount over (ii)
Amount: the Excess Subordinated Amount, if any.
Net Monthly Excess Cashflow: For any Distribution Date, the amount of funds available for distribution on such Distribution
Date remaining after making all distributions of interest and principal on the certificates.
Extra Principal Distribution For any Distribution Date, the lesser of (i) the excess of (x) interest collected or advanced with
Amount: respect to the Mortgage Loans with due dates in the related Due Period (less Servicing Fees and
Trust Expense Fees) over (y) the sum of interest payable on the Certificates on such Distribution
Date, and (ii) the overcollateralization deficiency amount for such Distribution Date.
Excess Subordinated Amount: For any Distribution Date, the excess, if any, of (i) the overcollateralization as of such
Distribution Date over (ii) the required overcollateralization for such Distribution Date.
Allocation of Losses: For any Distribution Date, any realized losses on the mortgage loans will be allocated as follows:
(i) to Net Monthly Excess Cashflow, in reduction of the overcollateralization amount,
(ii) to the Class B-2 Certificates,
(iii) to the Class B-1 Certificates,
(iv) to the Class M-2 Certificates,
(v) to the Class M-1 Certificates.
The pooling agreement does not permit allocation of realized losses to the Class A-1 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 supersedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
-------------------------------------------------------------------------------
Page 11
Class A-1 Principal For any Distribution Date, an amount equal to the excess of (x) the aggregate Certificate Principal
Distribution Amount: Balance of the Class A-1 Certificates immediately prior to such Distribution Date over (y) the
lesser of (A) the product of (i) approximately 69.50% 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 $1,128,083.
Class M-1 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A-1 Certificates (after taking into account the payment
of the Class A-1 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 78.50% 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 $1,128,083.
Class M-2 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A-1 Certificates (after taking into account the payment
of the Class A-1 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 $1,128,083.
Class B-1 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A-1 Certificates (after taking into account the payment
of the Class A-1 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 93.00% 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 $1,128,083.
-------------------------------------------------------------------------------
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 supersedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
-------------------------------------------------------------------------------
Page 12
Class B-2 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate
Distribution Amount: Certificate Principal Balance of the Class A-1 Certificates (after taking into account the payment
of the Class A-1 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 95.00% 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 $1,128,083.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus, the Class M and B Certificates are not 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-1, 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 supersedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
-------------------------------------------------------------------------------
Page 13
Weighted Average Life Sensitivity
To Call
-------
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A-1 WAL (years) 5.74 4.92 4.02 3.02 2.35 1.86 1.47
First Payment Date 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004
Expected Final Maturity 2/25/2020 2/25/2018 9/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009
Window 1 - 189 1 - 165 1 - 136 1 - 104 1 - 82 1 - 67 1 - 56
----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL (years) 10.60 9.14 7.47 5.67 4.71 4.28 4.26
First Payment Date 8/25/2009 10/25/2008 12/25/2007 7/25/2007 9/25/2007 12/25/2007 3/25/2008
Expected Final Maturity 2/25/2020 2/25/2018 9/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009
Window 63 - 189 53 - 165 43 - 136 38 - 104 40 - 82 43 - 67 46 - 56
----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL (years) 10.60 9.14 7.47 5.67 4.65 4.11 3.89
First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 8/25/2007 9/25/2007 11/25/2007
Expected Final Maturity 2/25/2020 2/25/2018 9/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009
Window 63 - 189 53 - 165 43 - 136 37 - 104 39 - 82 40 - 67 42 - 56
----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL (years) 10.60 9.14 7.47 5.67 4.61 4.02 3.69
First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 6/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 2/25/2020 2/25/2018 9/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009
Window 63 - 189 53 - 165 43 - 136 37 - 104 37 - 82 38 - 67 39 - 56
----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL (years) 10.60 9.14 7.47 5.67 4.59 3.98 3.61
First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 6/25/2007 7/25/2007 7/25/2007
Expected Final Maturity 2/25/2020 2/25/2018 9/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009
Window 63 - 189 53 - 165 43 - 136 37 - 104 37 - 82 38 - 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 supersedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
-------------------------------------------------------------------------------
Page 14
Weighted Average Life Sensitivity
To Maturity
-----------
------------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A-1 WAL (years) 6.11 5.28 4.34 3.28 2.57 2.04 1.62
First Payment Date 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004
Expected Final Maturity 9/25/2031 5/25/2030 9/25/2027 2/25/2023 7/25/2019 11/25/2016 11/25/2014
Window 1 - 328 1 - 312 1 - 280 1 - 225 1 - 182 1 - 150 1 - 126
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL (years) 11.45 9.93 8.19 6.23 5.17 4.65 4.57
First Payment Date 8/25/2009 10/25/2008 12/25/2007 7/25/2007 9/25/2007 12/25/2007 3/25/2008
Expected Final Maturity 10/25/2028 9/25/2026 7/25/2023 4/25/2019 4/25/2016 3/25/2014 7/25/2012
Window 63 - 293 53 - 268 43 - 230 38 - 179 40 - 143 43 - 118 46 - 98
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL (years) 11.37 9.85 8.10 6.16 5.06 4.44 4.16
First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 8/25/2007 9/25/2007 11/25/2007
Expected Final Maturity 7/25/2027 4/25/2025 2/25/2022 2/25/2018 5/25/2015 5/25/2013 11/25/2011
Window 63 - 278 53 - 251 43 - 213 37 - 165 39 - 132 40 - 108 42 - 90
------------------------------------------------------------------------------------------------------------------------------------
B-1 WAL (years) 11.16 9.64 7.92 6.01 4.90 4.25 3.88
First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 6/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 7/25/2025 2/25/2023 2/25/2020 7/25/2016 1/25/2014 4/25/2012 12/25/2010
Window 63 - 254 53 - 225 43 - 189 37 - 146 37 - 116 38 - 95 39 - 79
------------------------------------------------------------------------------------------------------------------------------------
B-2 WAL (years) 10.79 9.30 7.62 5.77 4.68 4.05 3.67
First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 6/25/2007 7/25/2007 7/25/2007
Expected Final Maturity 2/25/2022 11/25/2019 3/25/2017 3/25/2014 3/25/2012 9/25/2010 9/25/2009
Window 63 - 213 53 - 186 43 - 154 37 - 118 37 - 94 38 - 76 38 - 64
------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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 supersedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
-------------------------------------------------------------------------------
Page 15
CPR Sensitivity
To Call
-------
--------------------------------------------------------------------------------
CPR (%) 20 25 30
--------------------------------------------------------------------------------
A-1 WAL (years) 3.31 2.61 2.08
First Payment Date 6/25/2004 6/25/2004 6/25/2004
Expected Final Maturity 11/25/2013 12/25/2011 7/25/2010
Window 1 - 114 1 - 91 1 - 74
--------------------------------------------------------------------------------
M-1 WAL (years) 6.19 5.06 4.45
First Payment Date 6/25/2007 8/25/2007 10/25/2007
Expected Final Maturity 11/25/2013 12/25/2011 7/25/2010
Window 37 - 114 39 - 91 41 - 74
--------------------------------------------------------------------------------
M-2 WAL (years) 6.19 5.02 4.34
First Payment Date 6/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 11/25/2013 12/25/2011 7/25/2010
Window 37 - 114 38 - 91 39 - 74
--------------------------------------------------------------------------------
B-1 WAL (years) 6.19 5.01 4.28
First Payment Date 6/25/2007 6/25/2007 7/25/2007
Expected Final Maturity 11/25/2013 12/25/2011 7/25/2010
Window 37 - 114 37 - 91 38 - 74
--------------------------------------------------------------------------------
B-2 WAL (years) 6.19 5.00 4.26
First Payment Date 6/25/2007 6/25/2007 6/25/2007
Expected Final Maturity 11/25/2013 12/25/2011 7/25/2010
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 supersedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
-------------------------------------------------------------------------------
Page 16
CPR Sensitivity
To Maturity
-----------
--------------------------------------------------------------------------------
CPR (%) 20 25 30
--------------------------------------------------------------------------------
A-1 WAL (years) 3.59 2.84 2.28
First Payment Date 6/25/2004 6/25/2004 6/25/2004
Expected Final Maturity 9/25/2024 1/25/2021 3/25/2018
Window 1 - 244 1 - 200 1 - 166
--------------------------------------------------------------------------------
M-1 WAL (years) 6.80 5.55 4.87
First Payment Date 6/25/2007 8/25/2007 10/25/2007
Expected Final Maturity 8/25/2020 7/25/2017 3/25/2015
Window 37 - 195 39 - 158 41 - 130
--------------------------------------------------------------------------------
M-2 WAL (years) 6.73 5.46 4.72
First Payment Date 6/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 4/25/2019 6/25/2016 5/25/2014
Window 37 - 179 38 - 145 39 - 120
--------------------------------------------------------------------------------
B-1 WAL (years) 6.57 5.31 4.54
First Payment Date 6/25/2007 6/25/2007 7/25/2007
Expected Final Maturity 8/25/2017 1/25/2015 2/25/2013
Window 37 - 159 37 - 128 38 - 105
--------------------------------------------------------------------------------
B-2 WAL (years) 6.31 5.09 4.35
First Payment Date 6/25/2007 6/25/2007 6/25/2007
Expected Final Maturity 2/25/2015 12/25/2012 6/25/2011
Window 37 - 129 37 - 103 37 - 85
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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 supersedes 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 (%) M-1 Cap (%) M-2 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ---------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 - - - - -
1 12.08 11.81 11.81 11.81 11.81
2 9.34 9.15 9.15 9.15 9.15
3 9.16 8.97 8.97 8.97 8.97
4 9.20 9.00 9.00 9.00 9.00
5 9.45 9.25 9.25 9.25 9.25
6 9.30 9.09 9.09 9.09 9.09
7 9.53 9.31 9.31 9.31 9.31
8 9.32 9.10 9.10 9.10 9.10
9 9.35 9.12 9.12 9.12 9.12
10 10.06 9.80 9.80 9.80 9.80
11 9.38 9.14 9.14 9.14 9.14
12 9.66 9.41 9.41 9.41 9.41
13 9.46 9.21 9.21 9.21 9.21
14 9.70 9.43 9.43 9.43 9.43
15 9.50 9.23 9.23 9.23 9.23
16 9.60 9.32 9.32 9.32 9.32
17 9.38 9.07 9.07 9.07 9.07
18 9.43 9.11 9.11 9.11 9.11
19 9.69 9.35 9.35 9.35 9.35
20 9.55 9.21 9.21 9.21 9.21
21 9.67 9.31 9.31 9.31 9.31
22 10.56 10.15 10.15 10.15 10.15
23 9.91 9.52 9.52 9.52 9.52
24 10.35 9.93 9.93 9.93 9.93
25 10.11 9.68 9.68 9.68 9.68
26 10.43 9.98 9.98 9.98 9.98
27 10.23 9.78 9.78 9.78 9.78
28 10.37 9.89 9.89 9.89 9.89
29 10.58 10.06 10.06 10.06 10.06
30 10.50 9.97 9.97 9.97 9.97
31 10.83 10.27 10.27 10.27 10.27
32 10.62 10.05 10.05 10.05 10.05
33 10.68 10.10 10.10 10.10 10.10
34 11.72 11.04 11.04 11.04 11.04
35 10.75 10.11 10.11 10.11 10.11
(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 call assuming 100% PPC, no losses, and a 1-month/6-month/12-month
LIBOR, 1-year CMT and 11th district COFI 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 supersedes 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 (%) M-1 Cap (%) M-2 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ---------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
36 11.24 10.54 10.54 10.54 10.54
37 19.20 10.27 10.27 10.27 10.27
38 11.52 10.61 10.61 10.60 10.60
39 11.14 10.35 10.35 10.35 10.35
40 11.23 10.43 10.43 10.43 10.43
41 11.71 10.47 10.47 10.47 10.47
42 11.44 10.27 10.27 10.27 10.27
43 11.83 10.58 10.58 10.58 10.58
44 11.49 10.32 10.32 10.32 10.32
45 11.50 10.33 10.33 10.33 10.33
46 12.33 10.98 10.98 10.98 10.98
47 11.55 10.37 10.37 10.37 10.37
48 11.94 10.69 10.69 10.69 10.69
49 11.58 10.40 10.40 10.40 10.40
50 11.98 10.72 10.72 10.72 10.72
51 11.61 10.42 10.42 10.42 10.42
52 11.80 10.60 10.60 10.60 10.60
53 12.56 10.52 10.52 10.52 10.52
54 12.17 10.21 10.21 10.21 10.21
55 12.58 10.53 10.53 10.53 10.53
56 12.18 10.22 10.22 10.22 10.22
57 12.19 10.22 10.22 10.22 10.22
58 13.51 11.27 11.27 11.27 11.27
59 12.21 10.33 10.33 10.33 10.33
60 12.62 10.66 10.66 10.66 10.66
61 12.22 10.35 10.35 10.35 10.35
62 12.63 10.67 10.67 10.67 10.67
63 12.23 10.35 10.35 10.35 10.35
64 12.24 10.36 10.36 10.36 10.36
65 12.66 10.69 10.69 10.69 10.69
66 12.25 10.37 10.37 10.37 10.37
67 12.67 10.70 10.70 10.70 10.70
68 12.27 10.38 10.38 10.38 10.38
69 12.27 10.38 10.38 10.38 10.38
70 13.60 11.44 11.44 11.44 11.44
71 12.29 10.40 10.40 10.40 10.40
(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 call assuming 100% PPC, no losses, and a 1-month/6-month/12-month
LIBOR, 1-year CMT and 11th district COFI 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 supersedes 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 (%) M-1 Cap (%) M-2 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ---------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
72 12.70 10.73 10.73 10.73 10.73
73 12.30 10.41 10.41 10.41 10.41
74 12.71 10.74 10.74 10.74 10.74
75 12.31 10.41 10.41 10.41 10.41
76 12.32 10.42 10.42 10.42 10.42
77 12.91 10.91 10.91 10.91 10.91
78 12.49 10.59 10.59 10.59 10.59
79 12.92 10.92 10.92 10.92 10.92
80 12.50 10.59 10.59 10.59 10.59
81 12.51 10.60 10.60 10.60 10.60
82 13.86 11.67 11.67 11.67 11.67
83 12.52 10.60 10.60 10.60 10.60
84 12.94 10.94 10.94 10.94 10.94
85 12.53 10.61 10.61 10.61 10.61
86 12.95 10.95 10.95 10.95 10.95
87 12.54 10.62 10.62 10.62 10.62
88 12.55 10.62 10.62 10.62 10.62
89 12.97 10.96 10.96 10.96 10.96
90 12.56 10.63 10.63 10.63 10.63
91 12.98 10.97 10.97 10.97 10.97
92 12.57 10.64 10.64 10.64 10.64
93 12.58 10.64 10.64 10.64 10.64
94 13.45 11.34 11.34 11.34 11.34
95 12.59 10.65 10.65 10.65 10.65
96 13.01 10.99 10.99 10.99 10.99
97 12.60 10.66 10.66 10.66 10.66
98 13.03 11.00 11.00 11.00 11.00
99 12.61 10.67 10.67 10.67 10.67
100 12.62 10.67 10.67 10.67 10.67
101 13.04 11.01 11.01 11.01 11.01
102 12.63 10.68 10.68 10.68 10.68
103 13.06 11.02 11.02 11.02 11.02
104 12.64 10.69 10.69 10.69 10.69
105 12.21 10.06 10.06 10.06 10.06
(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 call assuming 100% PPC, no losses, and a 1-month/6-month/12-month
LIBOR, 1-year CMT and 11th district COFI 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 supersedes 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
Interest Rate Cap Schedules
Class A-1
-------------------------------------------------------------------
Period Balance ($) Strike % Ceiling %
-------------------------------------------------------------------
1 191,210,000.00 6.15 9.00
2 186,800,559.59 6.15 9.00
3 182,389,334.74 6.15 9.00
4 177,978,012.33 6.15 9.00
5 173,568,453.59 6.15 9.00
6 169,164,483.37 6.15 9.00
7 164,822,916.42 6.15 9.00
8 160,544,549.15 6.15 9.00
9 156,328,970.64 6.15 9.00
10 152,195,529.53 6.15 9.00
11 148,148,723.26 6.15 9.00
12 144,188,285.34 6.15 9.00
13 140,312,439.46 6.15 9.00
14 136,519,360.30 6.15 9.00
15 132,807,291.31 6.15 9.00
16 129,174,521.51 6.15 9.00
17 125,619,423.56 7.15 9.25
18 122,140,405.96 7.15 9.25
19 118,734,956.76 7.15 9.25
20 115,402,340.05 7.15 9.25
21 112,141,027.65 7.15 9.25
22 108,949,670.72 7.15 9.25
23 105,826,621.79 7.50 9.60
24 102,770,425.78 7.50 9.60
25 99,779,668.10 7.50 9.60
26 96,852,964.24 7.50 9.60
27 93,988,958.76 7.50 9.60
28 91,186,324.65 7.50 9.60
29 88,443,717.69 8.45 10.30
30 85,759,912.99 8.45 10.30
31 83,133,732.53 8.45 10.30
32 80,563,887.44 8.45 10.30
33 78,049,418.14 8.45 10.30
34 75,588,913.88 8.45 10.30
35 73,181,231.06 8.80 10.45
36 70,825,250.12 8.80 10.45
37 -- -- --
-------------------------------------------------------------------------------
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 supersedes 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
Interest Rate Cap Schedules
Class M-1
------------------------------------------ ------------------------------------------ -----------------------------------------
Period Balance ($) Strike % Ceiling % Period Balance ($) Strike % Ceiling % Period Balance ($) Strike % Ceiling %
------------------------------------------ ------------------------------------------ -----------------------------------------
1 10,152,000.00 5.55 8.40 36 10,152,000.00 7.75 9.40 71 4,328,357.70 9.10 9.75
2 10,152,000.00 5.55 8.40 37 10,152,000.00 7.75 9.40 72 4,231,562.00 9.10 9.75
3 10,152,000.00 5.55 8.40 38 10,152,000.00 7.75 9.40 73 4,136,874.62 9.10 9.75
4 10,152,000.00 5.55 8.40 39 8,861,026.79 7.75 9.40 74 4,044,250.42 9.10 9.75
5 10,152,000.00 5.55 8.40 40 8,666,649.53 7.75 9.40 75 3,953,645.23 9.10 9.75
6 10,152,000.00 5.55 8.40 41 8,476,452.19 8.35 9.65 76 3,865,015.80 9.10 9.75
7 10,152,000.00 5.55 8.40 42 8,290,346.10 8.35 9.65 77 3,778,320.09 9.10 9.75
8 10,152,000.00 5.55 8.40 43 8,108,244.41 8.35 9.65 78 3,693,501.64 9.10 9.75
9 10,152,000.00 5.55 8.40 44 7,930,062.12 8.35 9.65 79 3,610,535.24 9.10 9.75
10 10,152,000.00 5.55 8.40 45 7,755,715.18 8.35 9.65 80 3,529,381.16 9.10 9.75
11 10,152,000.00 5.55 8.40 46 7,585,122.99 8.35 9.65 81 3,450,016.47 9.10 9.75
12 10,152,000.00 5.55 8.40 47 7,418,152.69 8.35 9.65 82 3,372,386.58 9.10 9.75
13 10,152,000.00 5.55 8.40 48 7,254,781.30 8.35 9.65 83 3,296,454.25 9.10 9.75
14 10,152,000.00 5.55 8.40 49 7,094,932.33 8.35 9.65 84 3,222,183.06 9.10 9.75
15 10,152,000.00 5.55 8.40 50 6,938,511.81 8.35 9.65 85 3,149,537.32 9.10 9.75
16 10,152,000.00 5.55 8.40 51 6,785,466.24 8.35 9.65 86 3,078,482.13 9.10 9.75
17 10,152,000.00 6.30 8.40 52 6,635,726.15 8.35 9.65 87 3,008,983.31 9.10 9.75
18 10,152,000.00 6.30 8.40 53 6,488,919.44 9.10 9.65 88 2,941,007.41 9.10 9.75
19 10,152,000.00 6.30 8.40 54 6,345,245.82 9.10 9.65 89 2,874,521.69 9.10 9.75
20 10,152,000.00 6.30 8.40 55 6,204,681.58 9.10 9.65 90 2,809,494.11 9.10 9.75
21 10,152,000.00 6.30 8.40 56 6,067,160.41 9.10 9.65 91 2,745,893.31 9.10 9.75
22 10,152,000.00 6.30 8.40 57 5,932,607.00 9.10 9.65 92 2,683,688.59 9.10 9.75
23 10,152,000.00 6.75 8.85 58 5,800,968.65 9.10 9.65 93 2,622,849.91 9.10 9.75
24 10,152,000.00 6.75 8.85 59 5,672,183.17 9.10 9.75 94 2,563,347.85 9.10 9.75
25 10,152,000.00 6.75 8.85 60 5,546,189.69 9.10 9.75 95 2,505,153.63 9.10 9.75
26 10,152,000.00 6.75 8.85 61 5,422,928.63 9.10 9.75 96 2,448,239.08 9.10 9.75
27 10,152,000.00 6.75 8.85 62 5,302,341.64 9.10 9.75 97 2,392,576.63 9.10 9.75
28 10,152,000.00 6.75 8.85 63 5,184,371.64 9.10 9.75 98 2,338,139.30 9.10 9.75
29 10,152,000.00 7.55 9.40 64 5,068,962.72 9.10 9.75 99 2,284,900.66 9.10 9.75
30 10,152,000.00 7.55 9.40 65 4,956,060.19 9.10 9.75 100 2,232,834.87 9.10 9.75
31 10,152,000.00 7.55 9.40 66 4,845,610.47 9.10 9.75 101 2,181,916.62 9.10 9.75
32 10,152,000.00 7.55 9.40 67 4,737,561.16 9.10 9.75 102 2,132,121.15 9.10 9.75
33 10,152,000.00 7.55 9.40 68 4,631,860.93 9.10 9.75 103 2,083,424.24 9.10 9.75
34 10,152,000.00 7.55 9.40 69 4,528,459.55 9.10 9.75 104 2,035,802.14 9.10 9.75
35 10,152,000.00 7.75 9.40 70 4,427,307.85 9.10 9.75 105 - - -
------------------------------------------ ------------------------------------------ -----------------------------------------
-------------------------------------------------------------------------------
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 supersedes 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
Interest Rate Cap Schedules
Class M-2
------------------------------------------ ------------------------------------------ -----------------------------------------
Period Balance ($) Strike % Ceiling % Period Balance ($) Strike % Ceiling % Period Balance ($) Strike % Ceiling %
------------------------------------------ ------------------------------------------ -----------------------------------------
1 9,025,000.00 4.65 7.50 36 9,025,000.00 6.85 8.50 71 3,847,855.42 8.20 8.85
2 9,025,000.00 4.65 7.50 37 9,025,000.00 6.85 8.50 72 3,761,805.26 8.20 8.85
3 9,025,000.00 4.65 7.50 38 8,407,797.95 6.85 8.50 73 3,677,629.37 8.20 8.85
4 9,025,000.00 4.65 7.50 39 7,877,341.10 6.85 8.50 74 3,595,287.64 8.20 8.85
5 9,025,000.00 4.65 7.50 40 7,704,542.16 6.85 8.50 75 3,514,740.76 8.20 8.85
6 9,025,000.00 4.65 7.50 41 7,535,459.13 7.45 8.75 76 3,435,950.31 8.20 8.85
7 9,025,000.00 4.65 7.50 42 7,370,013.16 7.45 8.75 77 3,358,878.92 8.20 8.85
8 9,025,000.00 4.65 7.50 43 7,208,127.05 7.45 8.75 78 3,283,476.39 8.20 8.85
9 9,025,000.00 4.65 7.50 44 7,049,725.24 7.45 8.75 79 3,209,720.30 8.20 8.85
10 9,025,000.00 4.65 7.50 45 6,894,733.01 7.45 8.75 80 3,137,575.35 8.20 8.85
11 9,025,000.00 4.65 7.50 46 6,743,078.70 7.45 8.75 81 3,067,021.14 8.20 8.85
12 9,025,000.00 4.65 7.50 47 6,594,644.21 7.45 8.75 82 2,998,009.15 8.20 8.85
13 9,025,000.00 4.65 7.50 48 6,449,409.10 7.45 8.75 83 2,930,506.27 8.20 8.85
14 9,025,000.00 4.65 7.50 49 6,307,305.38 7.45 8.75 84 2,864,480.11 8.20 8.85
15 9,025,000.00 4.65 7.50 50 6,168,249.52 7.45 8.75 85 2,799,898.97 8.20 8.85
16 9,025,000.00 4.65 7.50 51 6,032,193.94 7.45 8.75 86 2,736,731.80 8.20 8.85
17 9,025,000.00 5.40 7.50 52 5,899,076.88 7.45 8.75 87 2,674,948.22 8.20 8.85
18 9,025,000.00 5.40 7.50 53 5,768,567.57 8.20 8.75 88 2,614,518.50 8.20 8.85
19 9,025,000.00 5.40 7.50 54 5,640,843.53 8.20 8.75 89 2,555,413.54 8.20 8.85
20 9,025,000.00 5.40 7.50 55 5,515,883.69 8.20 8.75 90 2,497,604.84 8.20 8.85
21 9,025,000.00 5.40 7.50 56 5,393,629.11 8.20 8.75 91 2,441,064.54 8.20 8.85
22 9,025,000.00 5.40 7.50 57 5,274,012.82 8.20 8.75 92 2,385,765.32 8.20 8.85
23 9,025,000.00 5.85 7.95 58 5,156,987.99 8.20 8.75 93 2,331,680.50 8.20 8.85
24 9,025,000.00 5.85 7.95 59 5,042,499.32 8.20 8.85 94 2,278,783.92 8.20 8.85
25 9,025,000.00 5.85 7.95 60 4,930,492.71 8.20 8.85 95 2,227,049.99 8.20 8.85
26 9,025,000.00 5.85 7.95 61 4,820,915.17 8.20 8.85 96 2,176,453.68 8.20 8.85
27 9,025,000.00 5.85 7.95 62 4,713,714.86 8.20 8.85 97 2,126,970.46 8.20 8.85
28 9,025,000.00 5.85 7.95 63 4,608,841.02 8.20 8.85 98 2,078,576.35 8.20 8.85
29 9,025,000.00 6.65 8.50 64 4,506,243.95 8.20 8.85 99 2,031,247.88 8.20 8.85
30 9,025,000.00 6.65 8.50 65 4,405,875.02 8.20 8.85 100 1,984,962.04 8.20 8.85
31 9,025,000.00 6.65 8.50 66 4,307,686.62 8.20 8.85 101 1,939,696.36 8.20 8.85
32 9,025,000.00 6.65 8.50 67 4,211,632.14 8.20 8.85 102 1,895,428.82 8.20 8.85
33 9,025,000.00 6.65 8.50 68 4,117,665.96 8.20 8.85 103 1,852,137.88 8.20 8.85
34 9,025,000.00 6.65 8.50 69 4,025,743.44 8.20 8.85 104 1,809,802.44 8.20 8.85
35 9,025,000.00 6.85 8.50 70 3,935,820.86 8.20 8.85 105 - - -
------------------------------------------ ------------------------------------------ -----------------------------------------
-------------------------------------------------------------------------------
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 supersedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
-------------------------------------------------------------------------------
Page 23
Interest Rate Cap Schedules
Class B-1
------------------------------------------ ------------------------------------------ -----------------------------------------
Period Balance ($) Strike % Ceiling % Period Balance ($) Strike % Ceiling % Period Balance ($) Strike % Ceiling %
------------------------------------------ ------------------------------------------ -----------------------------------------
1 7,332,000.00 3.55 6.40 36 7,332,000.00 5.75 7.40 71 3,126,036.12 7.10 7.75
2 7,332,000.00 3.55 6.40 37 7,332,000.00 5.75 7.40 72 3,056,128.11 7.10 7.75
3 7,332,000.00 3.55 6.40 38 6,543,098.32 5.75 7.40 73 2,987,742.78 7.10 7.75
4 7,332,000.00 3.55 6.40 39 6,399,630.46 5.75 7.40 74 2,920,847.53 7.10 7.75
5 7,332,000.00 3.55 6.40 40 6,259,246.88 5.75 7.40 75 2,855,410.45 7.10 7.75
6 7,332,000.00 3.55 6.40 41 6,121,882.14 6.35 7.65 76 2,791,400.30 7.10 7.75
7 7,332,000.00 3.55 6.40 42 5,987,472.18 6.35 7.65 77 2,728,786.73 7.10 7.75
8 7,332,000.00 3.55 6.40 43 5,855,954.30 6.35 7.65 78 2,667,528.96 7.10 7.75
9 7,332,000.00 3.55 6.40 44 5,727,267.08 6.35 7.65 79 2,607,608.78 7.10 7.75
10 7,332,000.00 3.55 6.40 45 5,601,349.85 6.35 7.65 80 2,548,997.50 7.10 7.75
11 7,332,000.00 3.55 6.40 46 5,478,144.38 6.35 7.65 81 2,491,678.56 7.10 7.75
12 7,332,000.00 3.55 6.40 47 5,357,554.72 6.35 7.65 82 2,435,612.53 7.10 7.75
13 7,332,000.00 3.55 6.40 48 5,239,564.27 6.35 7.65 83 2,380,772.52 7.10 7.75
14 7,332,000.00 3.55 6.40 49 5,124,117.79 6.35 7.65 84 2,327,132.21 7.10 7.75
15 7,332,000.00 3.55 6.40 50 5,011,147.42 6.35 7.65 85 2,274,665.84 7.10 7.75
16 7,332,000.00 3.55 6.40 51 4,900,614.51 6.35 7.65 86 2,223,348.20 7.10 7.75
17 7,332,000.00 4.30 6.40 52 4,792,468.89 6.35 7.65 87 2,173,154.61 7.10 7.75
18 7,332,000.00 4.30 6.40 53 4,686,441.82 6.95 7.50 88 2,124,060.90 7.10 7.75
19 7,332,000.00 4.30 6.40 54 4,582,677.54 6.95 7.50 89 2,076,043.44 7.10 7.75
20 7,332,000.00 4.30 6.40 55 4,481,158.92 6.95 7.50 90 2,029,079.08 7.10 7.75
21 7,332,000.00 4.30 6.40 56 4,381,838.08 6.95 7.50 91 1,983,145.17 7.10 7.75
22 7,332,000.00 4.30 6.40 57 4,284,660.61 6.95 7.50 92 1,938,219.54 7.10 7.75
23 7,332,000.00 4.75 6.85 58 4,189,588.47 6.95 7.50 93 1,894,280.49 7.10 7.75
24 7,332,000.00 4.75 6.85 59 4,096,576.73 7.10 7.75 94 1,851,306.78 7.10 7.75
25 7,332,000.00 4.75 6.85 60 4,005,581.44 7.10 7.75 95 1,809,277.62 7.10 7.75
26 7,332,000.00 4.75 6.85 61 3,916,559.56 7.10 7.75 96 1,768,172.67 7.10 7.75
27 7,332,000.00 4.75 6.85 62 3,829,468.96 7.10 7.75 97 1,727,972.01 7.10 7.75
28 7,332,000.00 4.75 6.85 63 3,744,268.40 7.10 7.75 98 1,688,656.16 7.10 7.75
29 7,332,000.00 5.55 7.40 64 3,660,917.52 7.10 7.75 99 1,650,206.03 7.10 7.75
30 7,332,000.00 5.55 7.40 65 3,579,376.80 7.10 7.75 100 1,612,602.96 7.10 7.75
31 7,332,000.00 5.55 7.40 66 3,499,607.56 7.10 7.75 101 1,575,828.67 7.10 7.75
32 7,332,000.00 5.55 7.40 67 3,421,571.95 7.10 7.75 102 1,539,865.28 7.10 7.75
33 7,332,000.00 5.55 7.40 68 3,345,232.89 7.10 7.75 103 1,504,695.28 7.10 7.75
34 7,332,000.00 5.55 7.40 69 3,270,554.12 7.10 7.75 104 1,470,301.55 7.10 7.75
35 7,332,000.00 5.75 7.40 70 3,197,500.11 7.10 7.75 105 - - -
------------------------------------------ ------------------------------------------ -----------------------------------------
-------------------------------------------------------------------------------
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 supersedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
-------------------------------------------------------------------------------
Page 24
Interest Rate Cap Schedules
Class B-2
------------------------------------------ ------------------------------------------ -----------------------------------------
Period Balance ($) Strike % Ceiling % Period Balance ($) Strike % Ceiling % Period Balance ($) Strike % Ceiling %
------------------------------------------ ------------------------------------------ -----------------------------------------
1 2,257,000.00 3.40 6.25 36 2,257,000.00 5.60 7.25 71 962,283.62 6.95 7.60
2 2,257,000.00 3.40 6.25 37 2,257,000.00 5.60 7.25 72 940,763.93 6.95 7.60
3 2,257,000.00 3.40 6.25 38 2,014,153.42 5.60 7.25 73 919,712.96 6.95 7.60
4 2,257,000.00 3.40 6.25 39 1,969,989.90 5.60 7.25 74 899,120.69 6.95 7.60
5 2,257,000.00 3.40 6.25 40 1,926,775.81 5.60 7.25 75 878,977.27 6.95 7.60
6 2,257,000.00 3.40 6.25 41 1,884,491.00 6.20 7.50 76 859,273.11 6.95 7.60
7 2,257,000.00 3.40 6.25 42 1,843,115.76 6.20 7.50 77 839,998.86 6.95 7.60
8 2,257,000.00 3.40 6.25 43 1,802,630.78 6.20 7.50 78 821,141.96 6.95 7.60
9 2,257,000.00 3.40 6.25 44 1,763,017.16 6.20 7.50 79 802,696.81 6.95 7.60
10 2,257,000.00 3.40 6.25 45 1,724,256.22 6.20 7.50 80 784,654.58 6.95 7.60
11 2,257,000.00 3.40 6.25 46 1,686,330.04 6.20 7.50 81 767,010.16 6.95 7.60
12 2,257,000.00 3.40 6.25 47 1,649,209.08 6.20 7.50 82 749,751.43 6.95 7.60
13 2,257,000.00 3.40 6.25 48 1,612,888.24 6.20 7.50 83 732,870.10 6.95 7.60
14 2,257,000.00 3.40 6.25 49 1,577,350.50 6.20 7.50 84 716,358.07 6.95 7.60
15 2,257,000.00 3.40 6.25 50 1,542,574.98 6.20 7.50 85 700,207.42 6.95 7.60
16 2,257,000.00 3.40 6.25 51 1,508,549.77 6.20 7.50 86 684,410.38 6.95 7.60
17 2,257,000.00 4.15 6.25 52 1,475,259.45 6.20 7.50 87 668,959.35 6.95 7.60
18 2,257,000.00 4.15 6.25 53 1,442,621.27 6.95 7.50 88 653,846.90 6.95 7.60
19 2,257,000.00 4.15 6.25 54 1,410,679.65 6.95 7.50 89 639,065.75 6.95 7.60
20 2,257,000.00 4.15 6.25 55 1,379,429.31 6.95 7.50 90 624,608.77 6.95 7.60
21 2,257,000.00 4.15 6.25 56 1,348,855.50 6.95 7.50 91 610,468.99 6.95 7.60
22 2,257,000.00 4.15 6.25 57 1,318,941.49 6.95 7.50 92 596,639.59 6.95 7.60
23 2,257,000.00 4.60 6.70 58 1,289,675.56 6.95 7.50 93 583,113.89 6.95 7.60
24 2,257,000.00 4.60 6.70 59 1,261,043.87 6.95 7.60 94 569,885.35 6.95 7.60
25 2,257,000.00 4.60 6.70 60 1,233,032.91 6.95 7.60 95 556,947.57 6.95 7.60
26 2,257,000.00 4.60 6.70 61 1,205,629.42 6.95 7.60 96 544,294.29 6.95 7.60
27 2,257,000.00 4.60 6.70 62 1,178,820.44 6.95 7.60 97 531,919.37 6.95 7.60
28 2,257,000.00 4.60 6.70 63 1,152,593.26 6.95 7.60 98 519,816.82 6.95 7.60
29 2,257,000.00 5.40 7.25 64 1,126,935.47 6.95 7.60 99 507,980.77 6.95 7.60
30 2,257,000.00 5.40 7.25 65 1,101,834.89 6.95 7.60 100 496,405.47 6.95 7.60
31 2,257,000.00 5.40 7.25 66 1,077,279.63 6.95 7.60 101 485,085.28 6.95 7.60
32 2,257,000.00 5.40 7.25 67 1,053,258.03 6.95 7.60 102 474,014.72 6.95 7.60
33 2,257,000.00 5.40 7.25 68 1,029,758.68 6.95 7.60 103 463,188.39 6.95 7.60
34 2,257,000.00 5.40 7.25 69 1,006,770.41 6.95 7.60 104 452,601.01 6.95 7.60
35 2,257,000.00 5.60 7.25 70 984,282.29 6.95 7.60 105 - - -
------------------------------------------ ------------------------------------------ -----------------------------------------
-------------------------------------------------------------------------------
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 supersedes 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 25
-------------------------------------------------------------------------------
Description of Total Collateral
-------------------------------------------------------------------------------
The following summarizes the characteristics of the Mortgage Loans (percentages
are based on the aggregate Principal Balances as of May 1, 2004). The
characteristics of the Mortgage Loans in the Prospectus Supplement will
supersede the descriptions of the characteristics below.
Aggregate Current Principal Balance: $225,616,575
Average Outstanding Principal Balance: $187,857
Range of Outstanding Principal Balances: $12,517 to $1,200,000
Loans with Current Prepayment Penalties: 36.06%
Fixed Rate / Adjustable Rate: 38.99% / 61.01%
Second Liens: 0.84%
FHA/VA Insured Mortgage Loans: 0.05%
Simple Interest Loans: 0.04%
Loans with Insurance: 6.82%
Negative Amortization Loans: 1.78%
Balloon Loans: 0.76%
Performing Loans: 91.15%
Sub-Performing Loans: 7.20%
Sub-Performing Loans that are Payment Plan Loans: 0.02%
Sub-Performing Loans that are Bankruptcy Plan Loans: 0.14%
Re-Performing Loans: 1.66%
Re-Performing Loans that are Payment Plan Loans: 0.23%
Re-Performing Loans that are Bankruptcy Plan Loans: 0.97%
Weighted Average Loan Rate: 6.668%
Range of Loan Rates: 2.875% to 13.990%
Weighted Average Combined Amortized LTV(1): 74.30%
Weighted Average Original Term to Maturity: 341
Weighted Average Remaining Term to Stated Maturity: 331
Weighted Average FICO Score: 637
Max Zip Code Concentration (%): 0.96%
Max Zip Code Concentration (zip): 94024
Top 5 Geographic Concentrations (State):
California 30.83%
New York 13.13%
Florida 6.75%
New Jersey 4.83%
Texas 3.66%
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 supersedes 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 26
FOR ADDITIONAL INFORMATION PLEASE CALL:
-------------------------------------------------------------------------------
Xxxxxx Xxxxxxx
-------------------------------------------------------------------------------
Structured Finance
Xxxxxxx Xxx (000) 000-0000
Xxxxxx Xxxx (000) 000-0000
Xxxx Xxxxx (000) 000-0000
Capital Markets/Structuring
Xxx Xxxxxx (000) 000-0000
Xxxx Xxxxx (000) 000-0000
Xxxxxxx Xxxxxxxx (000) 000-0000
----------------------------------------------- -------------------------------
-------------------------------------------------------------------------------
Rating Agencies
-------------------------------------------------------------------------------
Standard & Poor's
Xxxxxx Xxxxx (000) 000-0000
Xxxxx'x
Xxxxx Xxxxxxxx (000) 000-0000
------------------------------------------------ ------------------------------
--------------------------------------------------------------------------------
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 supersedes 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 27
