EXHIBIT 99.1
--------------------------------------------------------------------------------
XXXXXX XXXXXXX Xxxx 27, 2002
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
$403,928,632
APPROXIMATELY
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
SERIES 2002-WL1
RESIDENTIAL MORTGAGE PASS-THROUGH CERTIFICATES
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 1
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XXXXXX XXXXXXX Xxxx 27, 2002
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
APPROXIMATELY $403,928,632
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC., SERIES 2002-WL1
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
DEPOSITOR
XXXXX FARGO
MASTER SERVICER
PUBLICLY OFFERED CERTIFICATES
FIXED RATE RESIDENTIAL MORTGAGE LOANS
PRINCIPAL (1)
AMOUNT PMT WINDOW PASS THROUGH EXPECTED RATINGS
CLASS (APPROX.) WAL (YRS) (MONTHS) RATE TRANCHE TYPE [FITCH/S&P]
---------------------------------------------------------------------------------------------------------------------------
1A-1 (2) $137,439,000 4.09 1-177 6.50% Senior Group 1 [AAA/AAA]
2A-1 (2) $255,512,000 3.26 1-171 6.50% Senior Group 2 [AAA/AAA]
B-1 $2,221,600 6.72 1-177 6.50% Subordinate [AA/AA]
B-2 $1,009,820 6.72 1-177 6.50% Subordinate [A/A]
B-3 $605,900 6.72 1-177 6.50% Subordinate [BBB/BBB]
A-X $169,846,508 3.54 1-177 WAC IO Senior IO (3) [AAA/AAA]
A-P $5,928,228 3.68 1-177 0% Senior PO [AAA/AAA]
R $[50] - - - Residual [AAA/AAA]
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B-4 $403,930 Privately Offered Certificates Subordinate [BB/BB]
B-5 $403,930 Subordinate [B/B]
B-6 $404,224 Subordinate [UR]
---------------------------------------------------------------------------------------------------------------------------
Group 3 ***NOT OFFERED HEREIN***
---------------------------------------------------------------------------------------------------------------------------
(1) The Certificates (as described herein) are backed by a pool of 15 year
fixed rate mortgages. Class sizes are subject to final loan pool size and
rating agency approval and may increase or decrease by up to 5%.
(2) Multiple separate senior classes may be created after further structuring
discussions.
(3) The Class A-X Balance is a notional amount. The Class A-X Certificates
will receive no payments of principal.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 2
Depositor: Xxxxxx Xxxxxxx Xxxx Xxxxxx Capital I Inc. ("MSDWCI").
Master Servicer: Xxxxx Fargo
Servicers: Washington Mutual ("WAMU") and Bank of America ("BoA")
Lead Manager: Xxxxxx Xxxxxxx
Co-Managers: Xxxxxxxx & Partners, L.P and Xxxxxxxx Capital Partners,
L.P.
Trustee: Bank One
Rating Agencies: Fitch and S&P will rate the Offered Certificates.
Expected Pricing Date: [TBD]
Closing Date: [July 30, 2002]
Distribution Date: The 25th of each month (or if such day is not a business
day, the next succeeding business day), commencing in
August 2002.
Certificates: The "SENIOR OFFERED CERTIFICATES" will consist of the
Class 1A-1, Class 2A-1, Class A-X, Class A-P (the "CLASS
A OFFERED CERTIFICATES"), and the Class R Certificate.
The "SUBORDINATE OFFERED CERTIFICATES" will consist of
the Class B-1, Class B-2, and Class B-3. The "NON-OFFERED
SUBORDINATE CERTIFICATES" will consist of the Class B-4,
Class B-5 and Class B-6 Certificates. The Senior Offered
Certificates and the Subordinate Offered Certificates are
collectively referred to as the "OFFERED CERTIFICATES"
and with the Non-Offered Subordinate Certificates are
collectively referred to herein as the "CERTIFICATES."
The Subordinated Offered Certificates and the Non-Offered
Subordinate Certificates are collectively referred to as
the "SUBORDINATE CERTIFICATES."
Accrued Interest: The Offered Certificates (other than the Class A-P
Certificates) will settle with accrued interest from the
Cut-off Date up to, but not including, the Closing Date
(29 days).
Interest Accrual The interest accrual period with respect to the Offered
Period: Certificates for a given Distribution Date will be the
calendar month preceding the month in which such
Distribution Date occurs (with interest accruing on a
30/360 basis).
Registration: The Offered Certificates will be made available in
book-entry form through DTC.
Federal Tax Treatment: It is anticipated that the Offered Certificates (other
than the Class R Certificates) will be treated as REMIC
regular interests for federal tax income purposes. The
Class R Certificates will be treated as a REMIC residual
interest for tax purposes.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 3
ERISA Eligibility: The Offered Certificates (other than the Class R
Certificates) are expected to be ERISA eligible.
Prospective investors should review with their legal
advisors whether the purchase and holding of such Offered
Certificates could give rise to a transaction prohibited
or not otherwise permissible under ERISA, the Internal
Revenue Code or other similar laws. The Class R
Certificates are not expected to be ERISA eligible.
SMMEA Treatment: The Class 1A-1, 2A-1, and B-1 are expected to constitute
"mortgage related securities" for purposes of SMMEA.
Pricing Prepayment The Offered Certificates will be priced to a prepayment
Speed: speed of 350% PSA.
Mortgage Loans: As of the Cut-off Date, the aggregate principal balance
of the mortgage loans for Groups 1 & 2 described herein
is approximately $403,928,632 (the "Mortgage Loans"). The
Mortgage Loans are non-convertible, mortgage loans with
terms generally of 15 years. The Mortgage Loans are
secured by first liens on one- to four-family residential
properties. Group 1 consists of Mortgage Loans originated
by "WAMU", and has an aggregate principal balance of
approximately $142,189,299. These loans have a weighted
average seasoning of 1 month. Group 2 consists of
Mortgage Loans originated by "B of A", and has an
aggregate principal balance of $261,739,333. These loans
have a weighted average seasoning of 26 months.
Approximately 36% of the Group 2 aggregate loan balance
originally had prepayment penalty terms which have since
expired or are nearing their expiration date.
The information related to the Group 1 & 2 Mortgage Loans
described herein reflects information as of the Cut-off
Date. It is expected that prior to or on the Closing
Date, scheduled and unscheduled principal payments will
reduce the principal balance of the Mortgage Loans as of
the Cut-off Date. CONSEQUENTLY, THE INITIAL PRINCIPAL
BALANCE OF ANY OF THE OFFERED CERTIFICATES BY THE CLOSING
DATE IS SUBJECT TO AN INCREASE OR DECREASE OF 5% FROM
AMOUNTS SHOWN ON THE FRONT COVER HEREOF.
Credit Enhancement: Senior/subordinate, shifting interest structure. The
credit enhancement information shown below is subject to
final rating agency approval. Credit enhancement for the
Senior Certificates will consist of the subordination of
the Subordinate Certificates, initially 1.25% total
subordination. Credit enhancement for the Subordinate
Offered Certificates is 0.70% for the Class B-1, 0.45%
for the Class B-2, and 0.30% for the Class B-3.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 4
Shifting Interest: Until the first Distribution Date occurring after July
2007, the Subordinate Offered Certificates will be locked
out from receipt of unscheduled principal (unless the
principal balances of the Senior Offered Certificates are
paid down to zero or the credit enhancement percentage
represented by the Subordinate Certificates has doubled
prior to such date as described below). After such time
and subject to standard loan performance triggers (as
described in the prospectus supplement), the Subordinate
Offered Certificates will receive an increasing
percentage of their pro rata share of unscheduled
principal.
The prepayment percentages on the Subordinate
Certificates are as follows:
UNSCHEDULED PRINCIPAL
PERIODS: PAYMENTS (%)
-------- ------------
August 2002 - July 2007 0% of Pro Rata Share
August 2007 - July 2008 30% of Pro Rata Share
August 2008 - July 2009 40% of Pro Rata Share
August 2009 - July 2010 60% of Pro Rata Share
August 2010 - July 2011 80% of Pro Rata Share
August 2011 and after 100% of Pro Rata Share
Any principal not allocated to the Subordinate
Certificates will be allocated to the Senior Offered
Certificates entitled to principal. In the event the
current Senior Percentage (aggregate principal balance of
the Senior Offered Certificates, divided by the aggregate
principal balance of the Mortgage Loans) exceeds the
applicable initial senior percentage (aggregate principal
balance of the Senior Offered Certificates as of the
Closing Date, divided by the aggregate principal balance
of the Mortgage Loans as of the Cut-off Date), the Senior
Offered Certificates will receive all unscheduled
prepayments on the Mortgage Loans, regardless of any
prepayment percentages.
Allocation of Any realized losses, other than excess losses, on the
Realized Losses: Mortgage Loans will be allocated as follows: to the
Subordinate Certificates in reverse order of their
numerical Class designations, in each case until the
respective class principal balance has been reduced to
zero; and thereafter pro rata to the Senior Offered
Certificates until each respective class principal
balance has been reduced to zero.
Excess losses (bankruptcy, special hazard and fraud
losses in excess of the amounts established by the rating
agencies) will be allocated to the Certificates on a pro
rata 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 supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 5
Certificates Priority Available funds from the Mortgage Loans will be
of Distributions: distributed in the following order of priority:
1) Senior Offered Certificates, accrued and unpaid
interest, at the related Certificate Interest Rate;
2) Class R Certificates, principal, until its balance
is reduced to zero;
3) The Senior Principal Distribution Amount,
concurrently as follows:
(i) The PO allocation amount for Groups 1 & 2 to
the A-P until reduced to zero. (A-P receives
100% of the discount fraction of the principal
distribution of the discount mortgage loans
for Group 1 & 2)
(ii) To the Class 1A-1, the Non-PO Group 1
Allocation amount, up to the Senior Principal
Distribution Amount
(iii) To the Class 2A-1, the Non-PO Group 2
Allocation amount, up to the Senior Principal
Distribution Amount
4) Remaining Non-PO Group 1 Allocation Amount and
Non-PO Group 2 Allocation Amount sequentially to the
Subordinate Certificates
5) Class B-1, Class B-2 and Class B-3 Certificates, in
sequential order, accrued and unpaid interest at the
respective Certificate Interest Rate and the
respective share of principal allocable to such
Classes
6) Class B-4, Class B-5 and Class B-6 Certificates, in
sequential order, accrued and unpaid interest at the
respective Certificate Interest Rate and the
respective share of principal allocable to such
Classes;
6) Class R Certificates, any remaining amount.
Cross Under certain circumstances, detailed in the Offering
Collateralization Document, the Class 1A-1 and Class 2A-1 have
Provision: cross-collateralization provisions between Groups 1 and
2.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 6
