Exhibit 99.1
------------------------------ ----------------------------- -------------------
Xxxxxx Xxxxxxx September 29, 2003
Securitized Products Group Xxxxxx Xxxxxxx
[GRAPHIC OMITTED]
------------------------------ ----------------------------- -------------------
Computational Materials
$321,679,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2003-HE3
Mortgage Pass-Through Certificates
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 1
------------------------------ ----------------------------- -------------------
Xxxxxx Xxxxxxx September 29, 2003
Securitized Products Group Xxxxxx Xxxxxxx
[GRAPHIC OMITTED]
------------------------------ ----------------------------- -------------------
Approximately $321,679,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2003-HE3
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Chase Manhattan Mortgage Corporation
Servicer
Transaction Highlights
----------- ------------ -------------- ------------------ ----------- ------------ -------------------------
Modified
Expected Ratings Avg Life Duration
Offered (S&P/Fitch/ to Call / To Call / Payment Window To Call
Classes Description Balance(4) Moody's) Mty(1)(2) Mty(1)(2)(3) / Mty(1)(2)
=========== ============ ============== ================== =========== ============ =========================
A-1 Not Offered 240,798,000 *****Not Offered*****
A-2 Floater 159,000,000 AAA/AAA/Aaa 1.49 / 1.49 1.49 / 1.49 11/03 - 07/07 / 11/03 - 07/07
A-3 Floater 61,980,000 AAA/AAA/Aaa 6.20 / 7.17 5.92 / 6.74 07/07 - 11/11 / 07/07 - 06/21
M-1 Floater 37,403,000 AA/AA/Aa2 5.37 / 5.93 5.11 / 5.58 01/07 - 11/11 / 01/07 - 07/18
M-2 Floater 30,209,000 A/A/A2 5.35 / 5.85 4.91 / 5.29 12/06 - 11/11 / 12/06 - 05/17
M-3 Floater 8,631,000 A-/A-/A3 5.35 / 5.78 4.86 / 5.18 11/06 - 11/11 / 11/06 - 09/15
B-1 Floater 8,631,000 BBB+/BBB+/Baa1 5.34 / 5.71 4.63 / 4.88 11/06 - 11/11 / 11/06 - 01/15
B-2 Floater 8,631,000 BBB/BBB/Baa2 5.34 / 5.61 4.59 / 4.77 11/06 - 11/11 / 11/06 - 02/14
B-3 Floater 7,194,000 BBB-/BBB-/Baa3 5.33 / 5.41 4.59 / 4.64 11/06 - 11/11 / 11/06 - 12/12
(TABLE CONTINUED)
----------- -------------- -------------
Initial
Offered Subordination
Classes Level Benchmark
=========== ============== =============
A-1
A-2 19.75% 1 Mo. LIBOR
A-3 19.75% 1 Mo. LIBOR
M-1 13.25% 1 Mo. LIBOR
M-2 8.00% 1 Mo. LIBOR
M-3 6.50% 1 Mo. LIBOR
B-1 5.00% 1 Mo. LIBOR
B-2 3.50% 1 Mo. LIBOR
B-3 2.25% 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%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2003-HE3.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originators: Aames Capital Corporation and Accredited Home
Lenders, Inc.
Servicer: Chase Manhattan Mortgage Corporation
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx &
Partners, L.P. and Xxxxxxxx Capital Partners,
L.P.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 2
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x
Investors Service.
Offered Certificates: Classes A-2, A-3, M-1, M-2, M-3, B-1, B-2 and B-3
Certificates.
Group II Class A Class A-2 and A-3 Certificates.
Certificates:
Expected Closing Date: October 30, 2003 through DTC and Euroclear or
Clearstream. The Certificates will be sold
without accrued interest.
Distribution Dates: The 25th of each month, or if such day is not a
business day, on the next business day, beginning
November 25, 2003.
Final Scheduled Distribution
Date: The Distribution Date occurring in October 2033.
Due Period: For any Distribution Date, the period commencing
on the second day of the month preceding the
month in which such Distribution Date occurs and
ending on the first day of the month in which
such Distribution Date occurs.
Interest Accrual 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).
Mortgage Loans: The Trust will consist of two groups of
adjustable and fixed rate sub-prime residential
mortgage loans.
Group I Mortgage Loans: Approximately $300.1 million of Mortgage Loans
with original principal balances that conform to
the original principal balance limits for one- to
four-family residential mortgage loan guidelines
for purchase by Freddie Mac.
Group II Mortgage Loans: Approximately $275.4 million of Mortgage Loans
that predominantly have original principal
balances that do not conform to the original
principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase
by Freddie Mac.
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at
approximately 1.5333% CPR in month 1 and
increasing to 23% CPR in month 15 (23%/15
CPR increase for each month), and remaining
at 23% CPR thereafter
o ARM Mortgage Loans: CPR of 25%
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the
Mortgage Loans,
2) 2.25% 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 4.50% of the aggregate principal
balance of the Mortgage Loans as of the last
day of the applicable Due Period, subject to
a 0.50% floor, based on the aggregate
principal balance of the Mortgage Loans as
of the cut-off date, and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on
the more senior classes of certificates.
Senior Enhancement For any Distribution Date, the percentage
Percentage: obtained by dividing (x) the aggregate
Certificate Principal Balance of the subordinate
certificates (together with any
overcollateralization and taking into account the
distributions of the Principal Distribution
Amount for such Distribution Date) by (y) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 3
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
November 2006; and
(b) The Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero;
and
(y) The first Distribution Date on
which the Senior Enhancement
Percentage (calculated for this
purpose only after taking into
account payments of principal on
the Mortgage Loans on the last day
of the related Due Period but prior
to principal distributions to the
certificates on the applicable
Distribution Date) is greater than
or equal to approximately 39.50%.
Trigger Event: Either a Delinquency Trigger Event or a
Cumulative Loss Trigger Event.
Delinquency Trigger Event: A Delinquency Trigger Event is in effect on any
Distribution Date if on that Distribution Date
the 60 Day+ Rolling Average equals or exceeds 40%
of the prior period's Senior Enhancement
Percentage. The 60 Day+ Rolling Average will
equal the rolling 3 month average percentage of
Mortgage Loans that are 60 or more days
delinquent.
Cumulative Loss Trigger A Cumulative Loss Trigger Event is in effect on
Event: any Distribution Date if the aggregate amount
ofRealized Losses incurred since the cut-off date
through the last day of the related Prepayment
Period divided by the aggregate Stated Principal
Balance of the mortgage loans as of the cut-off
date exceeds the applicable percentages described
below with respect to such distribution date:
Months 37- 48 [4.00] for the first month, plus an additional 1/12th of [0.75] for
each month thereafter (e.g., [4.375] in Month 43)
Months 49- 60 [4.75] for the first month, plus an additional 1/12th of [0.75] for
each month thereafter (e.g., [5.125] in Month 55)
Months 61- 72 [5.50] for the first month, plus an additional 1/12th of [0.50] for
each month thereafter (e.g., [5.75] in Month 67)
Months 73- 84 [6.00] for the first month, plus an additional 1/12th of [0.50] for
each month thereafter (e.g., [6.25] in Month 79)
Months 85- thereafter [6.50]
Initial Subordination Class A: 19.75%
Percentage: Class M-1: 13.25%
Class M-2: 8.00%
Class M-3: 6.50%
Class B-1: 5.00%
Class B-2: 3.50%
Class B-3: 2.25%
Optional Clean-up Call: When the current aggregate principal balance of
the Mortgage Loans is less than or equal to 10%
of the aggregate principal balance of the
Mortgage Loans as of the cut-off date.
Step-up Coupons: For all Offered Certificates the coupon will
increase after the optional clean-up call date,
should the call not be exercised. The applicable
fixed margin will increase by 2x on the Class A
Certificates and by 1.5x on all other
Certificates on and after the first distribution
date on which the Optional Clean-up Call is
exercisable.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 4
Class A-1 Pass-Through Rate: The Class A-1 Certificates will accrue interest
at a variable rate equal to the least of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable), (ii) the Loan
Group I Cap and (iii) the WAC Cap.
Class A-2 and Class A-3 The Class A-2 and Class A-3 Certificates will
Pass-Through Rate: accrue interest at a variable rate equal to the
least of (i) one-month LIBOR plus [ ] bps
([ ] bps after the first distribution date on
which the Optional Clean-up Call is exercisable),
(ii) the Loan Group II Cap and (iii) the WAC Cap.
Class M-1 Pass-Through 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 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 after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class M-3 Pass-Through Rate: The Class M-3 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-1 Pass-Through 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 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 after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-3 Pass-Through Rate: The Class B-3 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
WAC Cap: As to any Distribution Date a per annum rate
equal to the product of (i) the weighted average
gross rate of the Mortgage Loans in effect on the
beginning of the related Due Period less
servicing, trustee and other fee rates, and (ii)
a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days
in the related Interest Accrual Period.
Loan Group I Cap: As to any Distribution Date, a per annum rate
equal to the product of (i) weighted average
gross rate of the Group I Mortgage Loans in
effect on the beginning of the related Due Period
less servicing, trustee and other fee rates, and
(ii) a fraction, the numerator of which is 30 and
the denominator of which is the actual number of
days in the related Interest Accrual Period.
Loan Group II Cap:
As to any Distribution Date, a per annum rate
equal to the product of (i) weighted average
gross rate of the Group II Mortgage Loans in
effect on the beginning of the related Due Period
less servicing, trustee and other fee rates, and
(ii) a fraction, the numerator of which is 30 and
the denominator of which is the actual number of
days in the related Interest Accrual Period.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 5
Class A-1 Basis Risk As to any Distribution Date, the supplemental
Carry Forward Amount: interest amount for the Class A-1 Certificates
will equal be the the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
the Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap)
over interest due such Certificates at a
rate equal to the lesser of the Loan Group
I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward
Amount remaining unpaid from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at
the related Class A-1 Pass-Through Rate
(without regard to the Loan Group I Cap or
WAC Cap).
Class A-2 and Class A-3 As to any Distribution Date, the supplemental
Basis Risk Carry Forward interest amount for the Class A-2 and Class A-3
Amount: Certificates will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
the Class A-2 and Class A-3 Pass-Through
Rate (without regard to the Loan Group II
Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser
of the Loan Group II Cap or WAC Cap;
(ii) Any Class A-2 and Class A-3 Basis Risk
Carry Forward Amount remaining unpaid from
prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at
the related Class A-2 and Class A-3
Pass-Through Rate (without regard to the
Loan Group II Cap or WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the supplemental
B-1, B-2 and B-3 Basis Risk interest amount for each of the Class M-1, M-2,
Carry Forward Amounts: M-3, B-1, B-2 and B-3 Certificates will equal the
sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
such Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap) over
interest due such Certificates at a rate
equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for
such class remaining unpaid for such
Certificate from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at
the Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap).
Interest Distributions on On each Distribution Date and after payments
Offered Certificates: of servicing and trustee fees and other expenses,
interest distributions from the Interest
Remittance Amount will be allocated as follows:
(i) The portion of the Interest Remittance
Amount attributable to the Group I Mortgage
Loans will be allocated according to the
related Accrued Certificate Interest and
any unpaid interest shortfall amounts for
such class, as applicable, first, to the
Class A-1 Certificates and second, to the
Class A-2 and Class A-3 Certificates;
(ii) The portion of the Interest Remittance
Amount attributable to the Group II
Mortgage Loans will be allocated according
to the related Accrued Certificate Interest
and any unpaid interest shortfall amounts
for such class, as applicable, first, to
the Class A-2 and Class A-3 Certificates
and second, to the Class A-1 Certificates;
(iii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued
Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued
Certificate Interest, and
(viii) To the Class B-3 Certificates, its Accrued
Certificate Interest.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 6
Principal Distributions on On each Distribution Date (a) prior to the
Offered Certificates: Stepdown Date or (b) on which a Trigger Event is
in effect, principal distributions from the
Principal Distribution Amount will be allocated
as follows:
(i) to the Class A Certificates, allocated
between the Class A Certificates as
described below, until the Certificate
Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(v) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero; and
(vii) to the Class B-3 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger Event is
not in effect, the principal distributions from
the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, the lesser of
the Principal Distribution Amount and the
Class A Principal Distribution Amount,
allocated between the Class A Certificates
as described below, until the Certificate
Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-1 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(iii) to the Class M-2 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-2 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(iv) to the Class M-3 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-3 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(v) to the Class B-1 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class B-1 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(vi) to the Class B-2 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class B-2 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero; and
(vii) to the Class B-3 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class B-3 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 7
Class A Principal Allocation: Except as described below, the Group II Class A
Certificates will receive principal sequentially,
and the Class A-3 Certificates will not receive
principal distributions until the Certificate
Principal Balance of the Class A-2 Certificates
has been reduced to zero.
The Group II Class A Certificates will receive
principal sequentially, and the Class A-3
Certificates will not receive principal
distributions until the Certificate Principal
Balance of the Class A-2 Certificates has been
reduced to zero.
All principal distributions to the holders of the
Class A Certificates on any Distribution Date
will be allocated concurrently between the Class
A-1 Certificates, on the one hand, and the Group
II Class A Certificates, on the other hand, based
on the Class A Principal Allocation Percentage
for the Class A-1 Certificates and the Group II
Class A Certificates, as applicable.
However, if the Class Certificate Balances of the
Class A Certificates in either Class A
Certificate Group are reduced to zero, then the
remaining amount of principal distributions
distributable to the Class A Certificates on that
Distribution Date, and the amount of those
principal distributions distributable on all
subsequent Distribution Dates, will be
distributed to the holders of the Class A
certificates in the other Class A Certificate
Group remaining outstanding, in accordance with
the principal distribution allocations described
herein, until their Class Certificate Balances
have been reduced to zero. Any payments of
principal to the Class A-1 Certificates will be
made first from payments relating to the Group I
Mortgage Loans, and any payments of principal to
the Group II Class A Certificates will be made
first from payments relating to the Group II
Mortgage Loans.
Notwithstanding the above, in the event that all
subordinate classes, including the Class X
certificates, have been reduced to zero,
principal distributions to the Group II Class A
Certificates will be distributed pro rata between
the Group II Class A Certificates.
Class A-2 and Class A-3 Beginning on the first Distribution Date, and
Interest Rate Cap: for a period of 35 months thereafter, an Interest
Rate Cap will be pledged to the Trust for the
benefit of the Class A-2 and Class A-3
Certificates.
For its duration, the Class A-2 and Class A-3
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-2 and Class A-3
Interest Rate Cap Notional Balance ("the Class
A-2 and Class A-3 Interest Rate Cap Payment") as
described on the schedule herein.
Class A-2 and Class A-3 The Class A-2 and Class A-3 Interest Rate Cap
Carry Interest Rate Payment shall be available to pay any Basis Risk
Cap Allocation: Payment Forward Amount due to the Class A-2 and
Class A-3 Certificates on a pro rata basis.
Class M Interest Rate Cap: Beginning on the first Distribution Date, and for
a period of 51 months thereafter, an Interest
Rate Cap will be pledged to the Trust for the
benefit of the Class M Certificates.
For its duration, the Class M Interest Rate Cap
pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate (not
to exceed the cap ceiling) and the cap strike (on
an Actual/360 day count basis) and (ii) the Class
M Interest Rate Cap Notional Balance ("the Class
M Interest Rate Cap Payment") as described on the
schedule herein.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 8
Class M Interest Rate Cap The Class M Interest Rate Cap Payment shall
Payment Allocation: be available to pay any Basis Risk Carry Forward
Amount due to the Class M-1, Class M-2 and Class
M-3 Certificates on a pro rata basis.
Class B Interest Rate Cap: Beginning on the first Distribution Date, and for
a period of 51 months thereafter, an Interest
Rate Cap will be pledged to the Trust for the
benefit of the Class B Certificates.
For its duration, the Class B Interest Rate Cap
pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate (not
to exceed the cap ceiling) and the cap strike (on
an Actual/360 day count basis) and (ii) the Class
B Interest Rate Cap Notional Balance ("the Class
B Interest Rate Cap Payment") as described on the
schedule herein.
Class B Interest Rate Cap The Class B Interest Rate Cap Payment shall
Payment Allocation: be available to pay any Basis Risk Carry Forward
Amount due to the Class B-1, Class B-2 and Class
B-3 Certificates on a pro rata basis.
Allocation of Net Monthly For any Distribution Date, any Net Monthly Excess
Excess Cashflow: Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(ii) to the Class M-1 Certificates, the
allocated unreimbursed realized loss
amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the
allocated unreimbursed realized loss
amount;
(v) to the Class M-3 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class M-3 Certificates, the
allocated unreimbursed realized loss
amount;
(vii) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(ix) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(x) to the Class B-2 Certificates, the
allocated unreimbursed realized loss
amount;
(xi) to the Class B-3 Certificates, the unpaid
interest shortfall amount;
(xii) to the Class B-3 Certificates, the
allocated unreimbursed realized loss
amount;
(xiii) concurrently, any Class A-1 Basis Risk
Carry Forward Amount to the Class A-1
Certificates, and any Class A-2 and Class
A-3 Basis Risk Carry Forward Amount to the
Class A-2 and Class A-3 Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3,
B-1, B-2 and B-3 Certificates, in such
order, any Basis Risk Carry Forward Amount
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
Soldiers' and Sailors' Civil Relief Act of 1940
or similar state law allocated to such class.
Principal Distribution On any Distribution Date, the sum of (i) the
Amount: Basic Principal Distribution Amount and (ii) the
Extra Principal Distribution Amount.
Basic Principal Distribution On any Distribution Date, the excess of (i) the
Amount: aggregate principal remittance amount over (ii)
the Excess Subordinated Amount, if any.
Net Monthly Excess Cashflow: For any Distribution Date is the amount of funds
available for distribution on such Distribution
Date remaining after making all distributions of
interest and principal on the certificates.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 9
Extra Principal Distribution For any Distribution Date, the lesser of (i) the
Amount: excess of (x) interest collected or advanced with
respect to the Mortgage Loans with due dates in
the related Due Period (less servicing and
trustee fees and expenses), over (y) the sum of
interest payable on the Certificates on such
Distribution Date and (ii) the
overcollateralization deficiency amount for such
Distribution Date.
Excess Subordinated Amount: For any Distribution Date, means the excess, if
any of (i) the overcollateralization and (ii) the
required overcollateralization for such
Distribution Date.
Class A Principal Allocation For any Distribution Date, the percentage
Percentage: equivalent of a fraction, determined as follows:
(i) in the case of the Class A-1 Certificates the
numerator of which is (x) the portion of the
principal remittance amount for such Distribution
Date that is attributable to principal received
or advanced on the Group I Mortgage Loans and the
denominator of which is (y) the principal
remittance amount for such Distribution Date and
(ii) in the case of the Class A-2 and Class A-3
Certificates, the numerator of which is (x) the
portion of the principal remittance amount for
such Distribution Date that is attributable to
principal received or advanced on the Group II
Mortgage Loans and the denominator of which is
(y) the principal remittance amount for such
Distribution Date.
Class A Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the aggregate Certificate Principal
Balance of the Class A Certificates immediately
prior to such Distribution Date over (y) the
lesser of (A) the product of (i) approximately
60.50% 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 $2,877,125.
Class M-1 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 73.50% 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
$2,877,125.
Class M-2 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date) and (iii) the
Certificate Principal Balance of the Class M-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 84.00% 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
$2,877,125.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 10
Class M-3 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date) and (iv) the
Certificate Principal Balance of the Class M-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 87.00% 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
$2,877,125.
Class B-1 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date) and (v) the
Certificate Principal Balance of the Class B-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 90.00% 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
$2,877,125.
Class B-2 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal Distribution
Amount on such Distribution Date) and (vi) the
Certificate Principal Balance of the Class B-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 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
$2,877,125.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 11
Class B-3 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class B-2
Certificates (after taking into account the
payment of the Class B-2 Principal Distribution
Amount on such Distribution Date) and (vii) the
Certificate Principal Balance of the Class B-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 95.50% 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
$2,877,125.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus,
all Offered Certificates are ERISA eligible.
SMMEA Eligibility: It is anticipated that the Class A-2, Class A-3
and Class M-1 Certificates will be SMMEA
eligible.
Prospectus: The Class A-2, Class A-3, Class M-1, Class M-2,
Class M-3, Class B-1, Class B-2 and Class B-3
Certificates are being offered pursuant to a
prospectus supplemented by a prospectus
supplement (together, the "Prospectus"). Complete
information with respect to the Offered
Certificates and the collateral securing them is
contained in the Prospectus. The information
herein is qualified in its entirety by the
information appearing in the Prospectus. To the
extent that the information herein is
inconsistent with the Prospectus, the Prospectus
shall govern in all respects. Sales of the
Offered Certificates may not be consummated
unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE
CONSIDERED IN CONNECTION WITH AN INVESTMENT IN
THE OFFERED CERTIFICATES.
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 12
Weighted Average Life Sensitivity
To CALL
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 2.87 2.44 1.98 1.49 1.19 0.99 0.85
First Payment Date 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003
Expected Final Maturity 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005
Window 1 - 86 1 - 73 1 - 59 1 - 45 1 - 31 1 - 25 1 - 22
----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 11.85 10.14 8.25 6.20 4.71 3.44 2.43
First Payment Date 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005
Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008
Window 86 - 184 73 - 158 59 - 129 45 - 97 31 - 76 25 - 62 22 - 52
----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.26 8.74 7.09 5.37 4.60 4.49 4.32
First Payment Date 11/25/2008 1/25/2008 3/25/2007 1/25/2007 4/25/2007 8/25/2007 2/25/2008
Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008
Window 61 - 184 51 - 158 41 - 129 39 - 97 42 - 76 46 - 62 52 - 52
----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.26 8.74 7.09 5.35 4.46 4.06 4.03
First Payment Date 11/25/2008 1/25/2008 3/25/2007 12/25/2006 1/25/2007 3/25/2007 5/25/2007
Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008
Window 61 - 184 51 - 158 41 - 129 38 - 97 39 - 76 41 - 62 43 - 52
----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.26 8.74 7.09 5.35 4.40 3.92 3.73
First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 1/25/2007 2/25/2007 4/25/2007
Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008
Window 61 - 184 51 - 158 41 - 129 37 - 97 39 - 76 40 - 62 42 - 52
----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.26 8.74 7.09 5.34 4.39 3.88 3.64
First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 1/25/2007 2/25/2007
Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008
Window 61 - 184 51 - 158 41 - 129 37 - 97 38 - 76 39 - 62 40 - 52
----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.26 8.74 7.09 5.34 4.38 3.84 3.56
First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008
Window 61 - 184 51 - 158 41 - 129 37 - 97 38 - 76 38 - 62 39 - 52
----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.25 8.73 7.08 5.33 4.35 3.81 3.50
First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 11/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008
Window 61 - 184 51 - 158 41 - 129 37 - 97 37 - 76 38 - 62 38 - 52
----------------------------------------------------------------------------------------------------------------------------------
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 13
Weighted Average Life Sensitivity
To MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 2.87 2.44 1.98 1.49 1.19 0.99 0.85
First Payment Date 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003
Expected Final Maturity 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005
Window 1 - 86 1 - 73 1 - 59 1 - 45 1 - 31 1 - 25 1 - 22
-----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 13.19 11.45 9.43 7.17 5.52 4.14 2.65
First Payment Date 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005
Expected Final Maturity 4/25/2031 7/25/2029 4/25/2026 6/25/2021 11/25/2017 4/25/2015 5/25/2013
Window 86 - 330 73 - 309 59 - 270 45 - 212 31 - 169 25 - 138 22 - 115
-----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.14 9.56 7.80 5.93 5.05 4.85 5.74
First Payment Date 11/25/2008 1/25/2008 3/25/2007 1/25/2007 4/25/2007 8/25/2007 3/25/2008
Expected Final Maturity 11/25/2028 6/25/2026 1/25/2023 7/25/2018 7/25/2015 5/25/2013 2/25/2012
Window 61 - 301 51 - 272 41 - 231 39 - 177 42 - 141 46 - 115 53 - 100
-----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.07 9.49 7.73 5.85 4.86 4.39 4.29
First Payment Date 11/25/2008 1/25/2008 3/25/2007 12/25/2006 1/25/2007 3/25/2007 5/25/2007
Expected Final Maturity 5/25/2027 11/25/2024 6/25/2021 5/25/2017 7/25/2014 7/25/2012 1/25/2011
Window 61 - 283 51 - 253 41 - 212 38 - 163 39 - 129 41 - 105 43 - 87
-----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.97 9.39 7.64 5.78 4.75 4.20 3.95
First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 1/25/2007 2/25/2007 4/25/2007
Expected Final Maturity 4/25/2025 9/25/2022 6/25/2019 9/25/2015 3/25/2013 6/25/2011 2/25/2010
Window 61 - 258 51 - 227 41 - 188 37 - 143 39 - 113 40 - 92 42 - 76
-----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.88 9.31 7.57 5.71 4.69 4.12 3.83
First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 1/25/2007 2/25/2007
Expected Final Maturity 4/25/2024 9/25/2021 7/25/2018 1/25/2015 8/25/2012 1/25/2011 10/25/2009
Window 61 - 246 51 - 215 41 - 177 37 - 135 38 - 106 39 - 87 40 - 72
-----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.72 9.15 7.44 5.61 4.59 4.01 3.70
First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 12/25/2022 6/25/2020 7/25/2017 2/25/2014 12/25/2011 6/25/2010 4/25/2009
Window 61 - 230 51 - 200 41 - 165 37 - 124 38 - 98 38 - 80 39 - 66
-----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.39 8.87 7.19 5.41 4.42 3.86 3.54
First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 11/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 1/25/2021 8/25/2018 1/25/2016 12/25/2012 1/25/2011 9/25/2009 9/25/2008
Window 61 - 207 51 - 178 41 - 147 37 - 110 37 - 87 38 - 71 38 - 59
-----------------------------------------------------------------------------------------------------------------------------------
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 14
CPR Sensitivity
To CALL
---------------------------------------------------------------------------------
CPR (%) 20 25 30
---------------------------------------------------------------------------------
A-2 WAL (yrs) 1.64 1.27 1.03
First Payment Date 11/25/2003 11/25/2003 11/25/2003
Expected Final Maturity 1/25/2008 9/25/2006 3/25/2006
Window 1 - 51 1 - 35 1 - 29
---------------------------------------------------------------------------------
A-3 WAL 7.25 5.70 4.41
First Payment Date 1/25/2008 9/25/2006 3/25/2006
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 51 - 116 35 - 92 29 - 75
---------------------------------------------------------------------------------
M-1 WAL 6.32 5.15 4.61
First Payment Date 11/25/2006 2/25/2007 5/25/2007
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 40 - 92 43 - 75
---------------------------------------------------------------------------------
M-2 WAL 6.32 5.10 4.43
First Payment Date 11/25/2006 12/25/2006 2/25/2007
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 38 - 92 40 - 75
---------------------------------------------------------------------------------
M-3 WAL 6.32 5.08 4.36
First Payment Date 11/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 38 - 92 39 - 75
---------------------------------------------------------------------------------
B-1 WAL 6.32 5.08 4.34
First Payment Date 11/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 38 - 92 38 - 75
---------------------------------------------------------------------------------
B-2 WAL 6.32 5.07 4.32
First Payment Date 11/25/2006 11/25/2006 12/25/2006
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 37 - 92 38 - 75
---------------------------------------------------------------------------------
B-3 WAL 6.31 5.06 4.30
First Payment Date 11/25/2006 11/25/2006 11/25/2006
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 37 - 92 37 - 75
---------------------------------------------------------------------------------
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 15
CPR Sensitivity
To MATURITY
--------------------------------------------------------------------------------
CPR (%) 20 25 30
--------------------------------------------------------------------------------
A-2 WAL (yrs) 1.64 1.27 1.03
First Payment Date 11/25/2003 11/25/2003 11/25/2003
Expected Final Maturity 1/25/2008 9/25/2006 3/25/2006
Window 1 - 51 1 - 35 1 - 29
--------------------------------------------------------------------------------
A-3 WAL 8.21 6.49 5.06
First Payment Date 1/25/2008 9/25/2006 3/25/2006
Expected Final Maturity 7/25/2024 9/25/2020 11/25/2017
Window 51 - 249 35 - 203 29 - 169
--------------------------------------------------------------------------------
M-1 WAL 6.99 5.69 5.06
First Payment Date 11/25/2006 2/25/2007 5/25/2007
Expected Final Maturity 5/25/2021 1/25/2018 7/25/2015
Window 37 - 211 40 - 171 43 - 141
--------------------------------------------------------------------------------
M-2 WAL 6.92 5.59 4.83
First Payment Date 11/25/2006 12/25/2006 2/25/2007
Expected Final Maturity 12/25/2019 10/25/2016 6/25/2014
Window 37 - 194 38 - 156 40 - 128
--------------------------------------------------------------------------------
M-3 WAL 6.84 5.50 4.71
First Payment Date 11/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 1/25/2018 3/25/2015 2/25/2013
Window 37 - 171 38 - 137 39 - 112
--------------------------------------------------------------------------------
B-1 WAL 6.77 5.45 4.64
First Payment Date 11/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 4/25/2017 7/25/2014 8/25/2012
Window 37 - 162 38 - 129 38 - 106
--------------------------------------------------------------------------------
B-2 WAL 6.65 5.33 4.53
First Payment Date 11/25/2006 11/25/2006 12/25/2006
Expected Final Maturity 3/25/2016 9/25/2013 11/25/2011
Window 37 - 149 37 - 119 38 - 97
--------------------------------------------------------------------------------
B-3 WAL 6.42 5.14 4.37
First Payment Date 11/25/2006 11/25/2006 11/25/2006
Expected Final Maturity 10/25/2014 7/25/2012 12/25/2010
Window 37 - 132 37 - 105 37 - 86
--------------------------------------------------------------------------------
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 16
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
0 - - - - - - - -
1 10.73 10.73 10.49 10.49 10.49 10.49 10.49 10.49
2 9.65 9.65 9.44 9.44 9.44 9.44 9.44 9.44
3 9.43 9.43 9.21 9.21 9.21 9.21 9.21 9.21
4 9.43 9.43 9.21 9.21 9.21 9.21 9.21 9.21
5 9.90 9.90 9.67 9.67 9.67 9.67 9.67 9.67
6 9.44 9.44 9.21 9.21 9.21 9.21 9.21 9.21
7 9.67 9.67 9.43 9.43 9.43 9.43 9.43 9.43
8 9.45 9.45 9.21 9.21 9.21 9.21 9.21 9.21
9 9.68 9.68 9.43 9.43 9.43 9.43 9.43 9.43
10 9.46 9.46 9.21 9.21 9.21 9.21 9.21 9.21
11 9.46 9.46 9.21 9.21 9.21 9.21 9.21 9.21
12 9.70 9.70 9.43 9.43 9.43 9.43 9.43 9.43
13 9.48 9.48 9.21 9.21 9.21 9.21 9.21 9.21
14 9.72 9.72 9.43 9.43 9.43 9.43 9.43 9.43
15 9.49 9.49 9.21 9.21 9.21 9.21 9.21 9.21
16 9.50 9.50 9.21 9.21 9.21 9.21 9.21 9.21
17 10.25 10.25 9.91 9.91 9.91 9.91 9.91 9.91
18 9.52 9.52 9.20 9.20 9.20 9.20 9.20 9.20
19 9.76 9.76 9.42 9.42 9.42 9.42 9.42 9.42
20 9.54 9.54 9.20 9.20 9.20 9.20 9.20 9.20
21 9.80 9.80 9.43 9.43 9.43 9.43 9.43 9.43
22 9.61 9.61 9.25 9.25 9.25 9.25 9.25 9.25
23 10.06 10.06 9.74 9.74 9.74 9.74 9.74 9.74
24 10.34 10.34 10.00 10.00 10.00 10.00 10.00 10.00
25 10.09 10.09 9.74 9.74 9.74 9.74 9.74 9.74
26 10.38 10.38 10.00 10.00 10.00 10.00 10.00 10.00
27 10.13 10.13 9.75 9.75 9.75 9.75 9.75 9.75
28 10.18 10.18 9.77 9.77 9.77 9.77 9.77 9.77
29 11.34 11.34 10.89 10.89 10.89 10.89 10.89 10.89
30 10.44 10.44 10.01 10.01 10.01 10.01 10.01 10.01
31 10.75 10.75 10.29 10.29 10.29 10.29 10.29 10.29
32 10.49 10.49 10.01 10.01 10.01 10.01 10.01 10.01
33 10.81 10.81 10.29 10.29 10.29 10.29 10.29 10.29
34 10.78 10.78 10.27 10.27 10.27 10.27 10.27 10.27
35 11.30 11.30 10.24 10.24 10.24 10.24 10.24 10.24
36 11.65 11.65 10.54 10.54 10.54 10.54 10.54 10.54
37 25.09 25.09 10.24 10.24 10.24 10.24 10.24 10.24
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. 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.
________________________________________________________________________________
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
38 11.99 11.99 10.54 10.54 10.54 10.53 10.53 10.53
39 11.55 11.55 10.25 10.25 10.25 10.24 10.24 10.24
40 11.70 11.70 10.48 10.48 10.48 10.48 10.48 10.48
41 13.39 13.39 11.27 11.27 11.27 11.27 11.27 11.27
42 12.10 12.10 10.24 10.24 10.24 10.24 10.24 10.24
43 12.50 12.50 10.56 10.56 10.56 10.56 10.56 10.56
44 12.10 12.10 10.24 10.24 10.24 10.24 10.24 10.24
45 12.51 12.51 10.56 10.56 10.56 10.56 10.56 10.56
46 - 12.31 10.47 10.47 10.47 10.47 10.47 10.47
47 - 12.43 10.26 10.26 10.26 10.26 10.26 10.26
48 - 12.84 10.59 10.59 10.59 10.59 10.59 10.59
49 - 12.43 10.26 10.26 10.26 10.26 10.26 10.26
50 - 12.84 10.59 10.59 10.59 10.59 10.59 10.59
51 - 12.43 10.26 10.26 10.26 10.26 10.26 10.26
52 - 12.62 10.47 10.47 10.47 10.47 10.47 10.47
53 - 13.59 10.89 10.89 10.89 10.89 10.89 10.89
54 - 12.71 10.19 10.19 10.19 10.19 10.19 10.19
55 - 13.13 10.53 10.53 10.53 10.53 10.53 10.53
56 - 12.71 10.18 10.18 10.18 10.18 10.18 10.18
57 - 13.13 10.52 10.52 10.52 10.52 10.52 10.52
58 - 12.83 10.32 10.32 10.32 10.32 10.32 10.32
59 - 12.89 10.36 10.36 10.36 10.36 10.36 10.36
60 - 13.32 10.71 10.71 10.71 10.71 10.71 10.71
61 - 12.89 10.36 10.36 10.36 10.36 10.36 10.36
62 - 13.32 10.71 10.71 10.71 10.71 10.71 10.71
63 - 12.89 10.36 10.36 10.36 10.36 10.36 10.36
64 - 12.89 10.36 10.36 10.36 10.36 10.36 10.36
65 - 14.27 11.47 11.47 11.47 11.47 11.47 11.47
66 - 12.89 10.36 10.36 10.36 10.36 10.36 10.36
67 - 13.32 10.70 10.70 10.70 10.70 10.70 10.70
68 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35
69 - 13.32 10.70 10.70 10.70 10.70 10.70 10.70
70 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35
71 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35
72 - 13.32 10.70 10.70 10.70 10.70 10.70 10.70
73 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35
74 - 13.32 10.69 10.69 10.69 10.69 10.69 10.69
75 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. 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)
A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
76 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35
77 - 14.27 11.45 11.45 11.45 11.45 11.45 11.45
78 - 12.89 10.34 10.34 10.34 10.34 10.34 10.34
79 - 13.32 10.69 10.69 10.69 10.69 10.69 10.69
80 - 12.89 10.34 10.34 10.34 10.34 10.34 10.34
81 - 13.32 10.69 10.69 10.69 10.69 10.69 10.69
82 - 12.89 10.34 10.34 10.34 10.34 10.34 10.34
83 - 12.89 10.34 10.34 10.34 10.34 10.34 10.34
84 - 13.32 10.68 10.68 10.68 10.68 10.68 10.68
85 - 12.89 10.34 10.34 10.34 10.34 10.34 10.34
86 - 13.32 10.68 10.68 10.68 10.68 10.68 10.68
87 - 12.89 10.33 10.33 10.33 10.33 10.33 10.33
88 - 12.89 10.33 10.33 10.33 10.33 10.33 10.33
89 - 14.27 11.44 11.44 11.44 11.44 11.44 11.44
90 - 12.88 10.33 10.33 10.33 10.33 10.33 10.33
91 - 13.31 10.67 10.67 10.67 10.67 10.67 10.67
92 - 12.88 10.33 10.33 10.33 10.33 10.33 10.33
93 - 13.31 10.67 10.67 10.67 10.67 10.67 10.67
94 - 11.10 10.33 10.33 10.33 10.33 10.33 10.33
95 - 10.83 10.33 10.33 10.33 10.33 10.33 10.33
96 - 11.21 10.67 10.67 10.67 10.67 10.67 10.67
97 - 10.87 10.32 10.32 10.32 10.32 10.32 10.32
98 - 11.25 10.67 10.67 10.67 10.67 10.67 10.67
99 - 10.91 10.32 10.32 10.32 10.32 10.32 10.32
100 - 10.93 10.32 10.32 10.32 10.32 10.32 10.32
101 - 11.70 11.03 11.03 11.03 11.03 11.03 11.03
102 - 10.97 10.32 10.32 10.32 10.32 10.32 10.32
103 - 11.36 10.66 10.66 10.66 10.66 10.66 10.66
104 - 11.02 10.32 10.32 10.32 10.32 10.32 10.32
105 - 11.41 10.66 10.66 10.66 10.66 10.66 10.66
106 - 11.06 10.31 10.31 10.31 10.31 10.31 10.31
107 - 11.09 10.31 10.31 10.31 10.31 10.31 10.31
108 - 11.48 10.66 10.66 10.66 10.66 10.66 10.66
109 - 11.14 10.31 10.31 10.31 10.31 10.31 10.31
110 - 11.54 10.65 10.65 10.65 10.65 10.65 10.65
111 - 11.19 10.31 10.31 10.31 10.31 10.31 10.31
112 - 11.22 10.31 10.31 10.31 10.31 10.31 10.31
113 - 12.45 11.41 11.41 11.41 11.41 11.41 -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. 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)
A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
114 - 11.28 10.31 10.31 10.31 10.31 10.31 -
115 - 11.69 10.65 10.65 10.65 10.65 10.65 -
116 - 11.34 10.30 10.30 10.30 10.30 10.30 -
117 - 11.75 10.65 10.65 10.65 10.65 10.65 -
118 - 11.41 10.30 10.30 10.30 10.30 10.30 -
119 - 11.44 10.30 10.30 10.30 10.30 10.30 -
120 - 11.86 10.64 10.64 10.64 10.64 10.64 -
121 - 11.51 10.30 10.30 10.30 10.30 10.30 -
122 - 11.93 10.64 10.64 10.64 10.64 10.64 -
123 - 11.58 10.30 10.30 10.30 10.30 10.30 -
124 - 11.62 10.30 10.30 10.30 10.30 10.30 -
125 - 12.91 11.40 11.40 11.40 11.40 11.40 -
126 - 11.70 10.30 10.30 10.30 10.30 10.30 -
127 - 12.14 10.64 10.64 10.64 10.64 - -
128 - 11.79 10.30 10.30 10.30 10.30 - -
129 - 12.22 10.64 10.64 10.64 10.64 - -
130 - 11.88 10.29 10.29 10.29 10.29 - -
131 - 11.92 10.29 10.29 10.29 10.29 - -
132 - 12.37 10.64 10.64 10.64 10.64 - -
133 - 12.02 10.29 10.29 10.29 10.29 - -
134 - 12.47 10.64 10.64 10.64 10.64 - -
135 - 12.12 10.29 10.29 10.29 10.29 - -
136 - 12.17 10.29 10.29 10.29 10.29 - -
137 - 13.54 11.39 11.39 11.39 11.39 - -
138 - 12.28 10.29 10.29 10.29 - - -
139 - 12.75 10.63 10.63 10.63 - - -
140 - 12.40 10.29 10.29 10.29 - - -
141 - 12.87 10.63 10.63 10.63 - - -
142 - 12.52 10.29 10.29 10.29 - - -
143 - 12.58 10.29 10.29 10.29 - - -
144 - 13.07 10.63 10.63 10.63 - - -
145 - 12.71 10.29 10.29 10.29 - - -
146 - 13.21 10.63 10.63 - - - -
147 - 12.85 10.29 10.29 - - - -
148 - 12.92 10.29 10.29 - - - -
149 - 13.89 11.00 11.00 - - - -
150 - 13.07 10.29 10.29 - - - -
151 - 13.59 10.63 10.63 - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
________________________________________________________________________________
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
152 - 13.23 10.29 10.29 - - - -
153 - 13.76 10.63 10.63 - - - -
154 - 13.40 10.29 10.29 - - - -
155 - 13.48 10.29 10.29 - - - -
156 - 14.02 10.63 10.63 - - - -
157 - 13.66 10.29 10.29 - - - -
158 - 14.22 10.63 10.63 - - - -
159 - 13.85 10.29 10.29 - - - -
160 - 13.95 10.29 10.29 - - - -
161 - 15.56 11.39 11.39 - - - -
162 - 14.16 10.29 10.29 - - - -
163 - 14.74 10.63 10.63 - - - -
164 - 14.37 10.29 10.29 - - - -
165 - 14.97 10.63 10.63 - - - -
166 - 14.60 10.29 - - - - -
167 - 14.72 10.29 - - - - -
168 - 15.34 10.63 - - - - -
169 - 14.97 10.29 - - - - -
170 - 15.60 10.63 - - - - -
171 - 15.23 10.29 - - - - -
172 - 15.37 10.29 - - - - -
173 - 17.17 11.39 - - - - -
174 - 15.65 10.29 - - - - -
175 - 16.32 10.63 - - - - -
176 - 15.95 10.29 - - - - -
177 - 16.68 10.65 - - - - -
178 - 16.44 10.34 - - - - -
179 - 16.61 10.34 - - - - -
180 - 17.34 10.69 - - - - -
181 - 16.97 - - - - - -
182 - 17.84 - - - - - -
183 - 17.59 - - - - - -
184 - 17.93 - - - - - -
185 - 20.25 - - - - - -
186 - 18.68 - - - - - -
187 - 19.73 - - - - - -
188 - 19.54 - - - - - -
189 - 20.68 - - - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. 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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
190 - 20.53 - - - - - -
191 - 21.09 - - - - - -
192 - 22.42 - - - - - -
193 - 22.36 - - - - - -
194 - 23.85 - - - - - -
195 - 23.87 - - - - - -
196 - 24.74 - - - - - -
197 - 27.47 - - - - - -
198 - 26.76 - - - - - -
199 - 28.87 - - - - - -
200 - 29.25 - - - - - -
201 - 31.76 - - - - - -
202 - 32.43 - - - - - -
203 - 34.38 - - - - - -
204 - 37.86 - - - - - -
205 - 39.30 - - - - - -
206 - 43.88 - - - - - -
207 - 46.31 - - - - - -
208 - 51.05 - - - - - -
209 - 63.18 - - - - - -
210 - 64.94 - - - - - -
211 - 78.18 - - - - - -
212 - 91.15 - - - - - -
213 - 119.30 - - - - - -
214 - 159.08 - - - - - -
215 - 260.25 - - - - - -
216 - * - - - - - -
217 - - - - - - - -
* In Period 216 the Class A-3 has a balnance of $40,027 and is paid $62,834 in
interest.
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
________________________________________________________________________________
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. 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 Schedules
Class A-2 and A-3 Cap Class M Cap Class B Cap
------------------------------------ ------------------------------------- --------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 220,980,000.00 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
2 216,568,549.38 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
3 212,088,412.80 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
4 207,538,345.18 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
5 202,917,397.46 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
6 198,225,305.07 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
7 193,462,491.56 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
8 188,630,068.54 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
9 183,729,831.37 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
10 178,764,250.90 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
11 173,736,460.80 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
12 168,650,240.73 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
13 163,512,655.49 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
14 158,374,821.02 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
15 153,352,351.11 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
16 148,447,256.41 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
17 143,656,810.84 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
18 138,978,351.37 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
19 134,409,276.62 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
20 129,947,045.41 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
21 125,589,175.35 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
22 121,333,241.54 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50
23 117,176,877.28 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00
24 113,117,838.60 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00
25 109,153,789.61 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00
26 105,282,522.33 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00
27 101,501,879.93 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00
28 97,809,755.49 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00
29 94,204,090.89 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25
30 90,682,875.64 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25
31 87,244,145.83 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25
32 83,885,983.00 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25
33 80,606,513.14 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25
34 77,403,915.28 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25
35 74,276,391.11 7.90 9.75 76,243,000.00 7.65 9.00 24,456,000.00 5.15 6.50
36 71,222,200.21 7.90 9.75 76,243,000.00 7.65 9.00 24,456,000.00 5.15 6.50
37 76,243,000.00 7.65 9.00 24,456,000.00 5.15 6.50
38 75,684,910.33 7.65 9.00 20,880,431.25 5.15 6.50
39 70,565,862.18 7.65 9.00 20,380,284.51 5.15 6.50
40 65,567,961.28 7.65 9.00 19,891,974.21 5.15 6.50
41 60,688,362.26 8.35 9.00 19,415,222.36 5.85 6.50
42 59,076,969.21 8.35 9.00 18,949,757.47 5.85 6.50
43 57,660,216.50 8.35 9.00 18,495,314.38 5.85 6.50
44 56,277,017.57 8.35 9.00 18,051,634.14 5.85 6.50
45 54,926,583.96 8.35 9.00 17,618,463.82 5.85 6.50
46 53,608,145.70 8.35 9.00 17,195,556.47 5.85 6.50
47 52,320,950.79 8.65 9.00 16,782,670.84 6.15 6.50
48 51,064,264.80 8.65 9.00 16,379,571.37 6.15 6.50
49 49,837,370.51 8.65 9.00 15,986,028.00 6.15 6.50
50 48,639,567.47 8.65 9.00 15,601,816.07 6.15 6.50
51 47,470,171.59 8.65 9.00 15,226,716.12 6.15 6.50
52 46,328,514.79 8.65 9.00 14,860,513.86 6.15 6.50
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 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.
