Exhibit 99.1
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XXXXXX XXXXXXX | | September 1, 2004
Securitized Products Group | Xxxxxx Xxxxxxx |
| |
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Computational Materials
$253,850,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-HE7
Mortgage Pass-Through Certificates
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The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 1
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XXXXXX XXXXXXX | | September 1, 2004
Securitized Products Group | Xxxxxx Xxxxxxx |
| |
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The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
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The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 2
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XXXXXX XXXXXXX | | September 1, 2004
Securitized Products Group | Xxxxxx Xxxxxxx |
| |
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Approximately $253,850,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-HE7
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Chase Manhattan Mortgage Corporation
Countrywide Home Loans Inc.
HomEq Servicing Corp.
Servicer
Transaction Highlights
----------------------
-------- ------------ ------------ ------------------- ------------ ---------- ------------------------ -------------- ------------
Modified
Avg Life Duration Initial
Offered Expected Ratings to Call / To Call/ Payment Window To Call Subordination
Classes Description Balance(4) (S&P/Fitch/Xxxxx'x) Mty(1)(2) Mty(1)(2)(3) / Mty(1)(2) Level(5) Benchmark
======== ============ ============ =================== ============ ============ ====================== ============== ============
A-1 Not Offered 368,465,000 AAA/AAA/Aaa 2.69 / 2.92 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ------------ ---------------------- -------------- ------------
A-2A Floater 253,850,000 AAA/AAA/Aaa 2.65 / 2.86 2.54 / 2.72 09/04 - 07/12 / 18.15% 1 Mo. LIBOR
09/04 - 02/21
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
A-2B Not Offered 63,462,000 AAA/AAA/Aaa 2.65 / 2.86 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
A-3 Not Offered 225,035,000 AAA/AAA/Aaa 2.72 / 2.97 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
A-4 Not Offered 90,000,000 AAA/AAA/Aaa 0.79 / 0.79 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
A-5 Not Offered 74,405,000 AAA/AAA/Aaa 2.79 / 2.79 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
A-6 Not Offered 40,410,000 AAA/AAA/Aaa 6.85 / 8.14 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
M-1 Not Offered 41,572,000 AA+/AA+/Aa1 5.27 / 5.83 *****Not Offered***** 15.10% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
M-2 Not Offered 36,120,000 AA/AA/Aa2 5.25 / 5.79 *****Not Offered***** 12.45% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
M-3 Not Offered 23,852,000 AA-/AA-/Aa3 5.25 / 5.77 *****Not Offered***** 10.70% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
M-4 Not Offered 42,935,000 A/A/A2 5.23 / 5.71 *****Not Offered***** 7.55% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
M-5 Not Offered 19,764,000 A-/A-/A3 5.23 / 5.65 *****Not Offered***** 6.10% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
B-1 Not Offered 13,630,000 BBB+/BBB+/Baa1 5.22 / 5.59 *****Not Offered***** 5.10% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
B-2 Not Offered 10,223,000 BBB/BBB/Baa2 5.22 / 5.53 *****Not Offered***** 4.35% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
B-3 Not Offered 13,630,000 BBB-/BBB-/Baa3 5.22 / 5.45 *****Not Offered***** 3.35% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
(5) Subordination levels to be finalized.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-HE7.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originators: Aames Capital Corporation, MILA, Inc. and
NC Capital Corporation.
Servicer: Chase Manhattan Mortgage Corporation, Countrywide
Home Loans Inc. and HomEq Servicing Corp.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Countrywide
Securities Corp. and Xxxxxxxx Capital Partners,
L.P.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 3
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x
Investors Service.
Publically Offered Class A-2A, A-2B, A-3, A-4, A-5, A-6, M-1, M-2,
Certificates: M-3, M-4, M-5, B-1, B-2 and B-3 Certificates.
LIBOR Certificates: The Publically Offered Certificates and the Class
A-1 Certificates.
Group I Class A Class A-1 Certificates.
Certificates:
Group II Class A Class A-2A and Class A-2B Certificates.
Certificates:
Group III Class A Class A-3, Class A-4, Class A-5 and Class A-6
Certificates: Certificates.
Group III Class A Class A-4, Class A-5 and Class A-6 Certificates.
Sequential Certificates:
Expected Closing Date: September 8, 2004 through DTC and Euroclear or
Clearstream. The Certificates will be sold without
accrued interest.
Distribution Dates: The 25th of each month, or if such day is not a
business day, on the next business day, beginning
September 25, 2004.
Final Scheduled
Distribution Date: The Distribution Date occurring in August 2034.
Due Period: For any Distribution Date, the period commencing
on the second day of the month preceding the month
in which such Distribution Date occurs and ending
on the first day of the month in which such
Distribution Date occurs.
Interest Accrual Period: The interest accrual period for the LIBOR
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 three groups of
adjustable and fixed rate sub-prime residential
mortgage loans.
Group I Mortgage Loans: Approximately $450.2 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 $387.7 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 III Mortgage Loans: Approximately $525.2 million of Mortgage Loans
that have original principal balances that may or
may 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 LIBOR Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage
Loans,
2) 3.35% 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 6.70% 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.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 4
Senior Enhancement For any Distribution Date, the percentage obtained
Percentage: 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.
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
September 2007; and
(b) The Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero; and
(y) The first Distribution Date on which the
Senior Enhancement Percentage (calculated for
this purpose only after taking into account
payments of principal on the Mortgage Loans on
the last day of the related Due Period but
prior to principal distributions to the
certificates on the applicable Distribution
Date) is greater than or equal to
approximately 36.30%.
Trigger Event: Either a Delinquency Trigger Event or a Cumulative
Loss Trigger Event.
Delinquency Trigger A Delinquency Trigger Event is in effect on any
Event: Distribution Date if on that Distribution Date the
60 Day+ Rolling Average equals or exceeds [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 of
Realized Losses incurred since the cut-off date
through the last day of the related Prepayment
Period divided by the aggregate Stated Principal
Balance of the mortgage loans as of the cut-off
date exceeds the applicable percentages described
below with respect to such distribution date:
Months 37- 48 [3.00] for the first month,
plus an additional 1/12th
of [1.75] for each month
thereafter (e.g., [3.875]
in Month 43)
Months 49- 60 [4.75] for the first month,
plus an additional 1/12th
of [1.25] for each month
thereafter (e.g., [5.375]
in Month 55)
Months 61- 72 [6.00] for the first month,
plus an additional 1/12th
of [0.75] for each month
thereafter (e.g., [6.375]
in Month 67)
Months 72- thereafter [6.75]
Group II Sequential A Group II Sequential Trigger Event is in effect
Trigger Event: on any Distribution Date if, before the 37th
Distribution Date, the aggregate amount of
Realized Losses incurred since the cut-off date
through the last day of the related Prepayment
Period divided by the aggregate Stated Principal
Balance of the mortgage loans as of the cut-off
date exceeds 3.00%, or if, on or after the 37th
Distribution Date, a Trigger Event is in effect.
Initial Subordination Class A: 18.15%
Percentage: Class M-1: 15.10%
Class M-2: 12.45%
Class M-3: 10.70%
Class M-4: 7.55%
Class M-5: 6.10%
Class B-1: 5.10%
Class B-2: 4.35%
Class B-3: 3.35%
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 LIBOR Certificates the coupon will
increase after the optional clean-up call date,
should the call not be exercised. The applicable
fixed margin will increase by 2x on the Class A
Certificates and by 1.5x on all other Certificates
after the first distribution date on which the
Optional Clean-up Call is exercisable.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 5
Class A-2A Pass-Through The Class A-2A Certificates will accrue interest
Rate: 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.
WAC Cap: For any distribution date, the weighted average of
the mortgage rates for each mortgage loan (in each
case, less the applicable Expense Fee Rate) then
in effect on the beginning of the related Due
Period, adjusted, in each case, to accrue on the
basis of a 360-day year and the actual number of
days in the related Interest Accrual Period.
Loan Group II Cap: For any distribution date, the weighted average of
the mortgage rates for each group II mortgage loan
(in each case, less the applicable Expense Fee
Rate) then in effect on the beginning of the
related Due Period, adjusted, in each case, to
accrue on the basis of a 360-day year and the
actual number of days in the related Interest
Accrual Period.
Class A-2A Basis Risk As to any Distribution Date, the supplemental
Carry Forward Amount: interest amount for each of the Class A-2A
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-2A 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-2A 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-2A Pass-Through Rate
(without regard to the Loan Group II Cap or
WAC Cap).
Interest Distributions On each Distribution Date and after payments of
on LIBOR Certificates: 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, second, pro rata to
the Group II Class A Certificates and the
Group III Class A Certificates;
(ii) The portion of the Interest Remittance
Amount attributable to the Group II
Mortgage Loans will be allocated according
to the related Accrued Certificate Interest
and any unpaid interest shortfall amounts
for such class, as applicable, first, on a
pro rata basis, to the Group II Class A
Certificates and second, pro rata to the
Class A-1 Certificates and the Group III
Class A Certificates;
(iii) The portion of the Interest Remittance
Amount attributable to the Group III
Mortgage Loans will be allocated according
to the related Accrued Certificate Interest
and any unpaid interest shortfall amounts
for such class, as applicable, first, on a
pro rata basis to the Group III Class A
Certificates and second, pro rata to the
Class A-1 Certificates and Group II Class A
Certificates;
(iv) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(v) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(vi) To the Class M-3 Certificates, its Accrued
Certificate Interest;
(vii) To the Class M-4 Certificates, its Accrued
Certificate Interest;
(viii) To the Class M-5 Certificates, its Accrued
Certificate Interest;
(ix) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(x) To the Class B-2 Certificates, its Accrued
Certificate Interest, and
(xi) To the Class B-3 Certificates, its Accrued
Certificate Interest.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 6
Principal Distributions On each Distribution Date (a) prior to the
on LIBOR 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 M-4 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(vi) to the Class M-5 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(vii) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(viii) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero; and
(ix) 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 M-4 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-4 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(vi) to the Class M-5 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-5 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(vii) 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;
(viii) 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
(ix) 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.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 7
Class A Principal Except as described below, the Group III Class A
Allocation: Sequential Certificates will receive principal
sequentially; the Class A-5 Certificates will not
receive principal distributions until the
Certificate Principal Balance of the Class A-4
Certificates has been reduced to zero, and the
Class A-6 Certificates will not receive principal
distributions until the Certificate Principal
Balance of the Class A-5 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 among the Class A-1
Certificates, the Group II Class A Certificates
and the Group III Class A Certificates based on
the Class A Principal Allocation Percentage for
the Class A-1 Certificates, Group II Class A
Certificates and the Group III Class A
Certificates, as applicable.
However, if the Class Certificate Balances of the
Class A Certificates in any 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 pro rata
to the holders of the Class A certificates in the
other Class A Certificate Groups remaining
outstanding, based on their remaining class
certificate balances and 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, any payments of principal to the
Group II Class A Certificates will be made first
from payments relating to the Group II Mortgage
Loans and any payments of principal to the Group
III Class A Certificates will be made first from
payments relating to the Group III Mortgage Loans.
Any principal distributions allocated to the Group
II Class A Certificates are required to be
distributed pro rata among the Class A-2A and
Class A-2B Certificates, with the exception that
if a Group II Sequential Trigger Event is in
effect, principal distributions to the Group II
Class A Certificates will be allocated first to
the Class A-2A Certificates, until their Class
Certificate Balance has been reduced to zero, and
then to the Class A-2B Certificates, until their
Class Certificate Balance has been reduced to
zero.
Any principal distributions allocated to the Group
III Class A Certificates are required to be
distributed pro rata among the Class A-3
Certificates and the Group III Class A Sequential
Certificates. Principal distributions to the Group
III Class A Sequential Certificates will be
allocated first to the Class A-4 Certificates,
until their Class Certificate Balance has been
reduced to zero, then to the Class A-5
Certificates, until their Class Certificate
Balance has been reduced to zero, and then to the
Class A-6 Certificates, until their Class
Certificate Balance has been reduced to zero..
Notwithstanding the above, in the event that all
subordinate classes, including the Class X
certificates, have been reduced to zero, principal
distributions to the Group III Class A
Certificates will be distributed pro rata between
the Class A-3, Class A-4, Class A-5 and Class A-6
Certificates.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 8
Allocation of Net For any Distribution Date, any Net Monthly Excess
Monthly 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 M-4 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class M-4 Certificates, the
allocated unreimbursed realized loss
amount;
(ix) to the Class M-5 Certificates, the unpaid
interest shortfall amount;
(x) to the Class M-5 Certificates, the
allocated unreimbursed realized loss
amount;
(xi) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(xii) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(xiii) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(xiv) to the Class B-2 Certificates, the
allocated unreimbursed realized loss
amount;
(xv) to the Class B-3 Certificates, the unpaid
interest shortfall amount;
(xvi) to the Class B-3 Certificates, the
allocated unreimbursed realized loss
amount;
(xvii) concurrently, any unpaid Class A-1 Basis
Risk Carry Forward Amount to the Class A-1
Certificates, any unpaid Group II Class A
Basis Risk Carry Forward Amount to the
Group II Class A Certificates and any
unpaid Group III Class A Basis Risk Carry
Forward Amount to the Group III Class A
Certificates; and
(xviii) sequentially, to Classes M-1, M-2, M-3,
M-4, M-5, B-1, B-2 and B-3 Certificates, in
such order, any unpaid Basis Risk Carry
Forward Amount for such classes.
Interest Remittance For any Distribution Date, the portion of
Amount: available funds for such Distribution Date
attributable to interest received or advanced on
the Mortgage Loans.
Accrued Certificate For any Distribution Date and each class of LIBOR
Interest: Certificates, equals the amount of interest
accrued during the related interest accrual period
at the related Pass-through Rate, reduced by any
prepayment interest shortfalls and shortfalls
resulting from the application of the
Servicemembers Civil Relief Act or similar state
law allocated to such class.
Principal Distribution On any Distribution Date, the sum of (i) the Basic
Amount: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
Basic Principal On any Distribution Date, the excess of (i) the
Distribution Amount: aggregate principal remittance amount over (ii)
the Excess Subordinated Amount, if any.
Net Monthly Excess For any Distribution Date is the amount of funds
Cashflow: available for distribution on such Distribution
Date remaining after making all distributions of
interest and principal on the certificates.
Extra Principal For any Distribution Date, the lesser of (i) the
Distribution 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 For any Distribution Date, means the excess, if
Amount: any, of the overcollateralization over the
required overcollateralization for such
Distribution Date.
Class A Principal For any Distribution Date, the percentage
Allocation 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, (ii)
in the case of the Group II Class A Certificates,
the numerator of which is (x) the portion of the
principal remittance amount for such Distribution
Date that is attributable to principal received or
advanced on the Group II Mortgage Loans and the
denominator of which is (y) the principal
remittance amount for such Distribution Date and
(iii) in the case of the Group III Class A
Certificates, the numerator of which is (x) the
portion of the principal remittance amount for
such Distribution Date that is attributable to
principal received or advanced on the Group III
Mortgage Loans and the denominator of which is (y)
the principal remittance amount for such
Distribution Date.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 9
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
63.70% 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 $6,815,072.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus,
all LIBOR Certificates are ERISA eligible.
SMMEA Eligibility: It is anticipated that the Class A-2A and Class
A-2B Certificates will be SMMEA eligible.
Prospectus: The Class A-2A, Class A-2B, Class A-3, Class A-4,
Class A-5, Class A-6, Class M-1, Class M-2, Class
M-3, Class M-4, Class M-5, 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 LIBOR 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
LIBOR CERTIFICATES.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 10
Weighted Average Life Sensitivity
To CALL
----------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------
A-2A WAL 5.28 4.47 3.59 2.65 2.01 1.53 1.16
First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 11/25/2019 9/25/2017 3/25/2015 7/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 1 - 183 1 - 157 1 - 127 1 - 95 1 - 75 1 - 61 1 - 50
----------------------------------------------------------------------------------------------------------------
Weighted Average Life Sensitivity
To MATURITY
----------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------
A-2A WAL 5.62 4.78 3.87 2.86 2.17 1.65 1.18
First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 8/25/2031 8/25/2029 3/25/2026 2/25/2021 7/25/2017 11/25/2014 12/25/2012
Window 1 - 324 1 - 300 1 - 259 1 - 198 1 - 155 1 - 123 1 - 100
----------------------------------------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 11
CPR Sensitivity
To CALL
---------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
---------------------------------------------------------------------------------------------------
A-2A WAL 3.26 2.54 2.01
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 1 - 116 1 - 92 1 - 75
---------------------------------------------------------------------------------------------------
CPR Sensitivity
To MATURITY
---------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
---------------------------------------------------------------------------------------------------
A-2A WAL 3.54 2.77 2.20
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 6/25/2025 9/25/2021 9/25/2018
Window 1 - 250 1 - 205 1 - 169
---------------------------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2A Cap (%) Period A-2A Cap (%) Period A-2A Cap (%)
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Actual/360 Actual/360 Actual/360
0 - 48 14.64 96 14.79
1 11.76 49 14.65 97 14.79
2 6.67 50 15.16 98 15.28
3 6.47 51 14.67 99 14.79
4 6.69 52 15.17 100 15.28
5 6.49 53 14.68 101 14.79
6 6.49 54 14.69 102 14.79
7 7.20 55 16.27 103 16.38
8 6.51 56 14.70 104 14.79
9 6.74 57 15.19 105 15.29
10 6.53 58 14.77 106 14.79
11 6.76 59 15.27 107 15.29
12 6.55 60 14.78 108 14.67
13 6.56 61 14.78 109 11.83
14 6.79 62 15.27 110 12.25
15 6.59 63 14.78 111 11.88
16 6.82 64 15.27 112 12.31
17 6.61 65 14.78 113 11.94
18 6.63 66 14.78 114 11.97
19 7.41 67 16.36 115 13.29
20 6.71 68 14.78 116 12.03
21 7.90 69 15.27 117 12.47
22 8.69 70 14.78 118 12.10
23 9.01 71 15.27 119 12.54
24 8.74 72 14.78 120 12.17
25 8.78 73 14.78 121 12.21
26 9.10 74 15.27 122 12.65
27 9.14 75 14.78 123 12.28
28 9.95 76 15.27 124 12.73
29 9.66 77 14.78 125 12.36
30 9.70 78 14.78 126 12.41
31 10.81 79 16.36 127 13.78
32 9.85 80 14.78 128 12.49
33 10.54 81 15.27 129 12.95
34 10.75 82 14.78 130 12.58
35 11.17 83 15.27 131 13.05
36 10.86 84 14.78 132 12.68
37 36.74 85 14.78 133 12.73
38 14.34 86 15.27 134 13.21
39 14.05 87 14.78 135 12.83
40 14.95 88 15.27 136 13.32
41 14.38 89 14.78 137 12.94
42 14.36 90 14.78 138 13.00
43 15.37 91 15.80 139 13.96
44 14.40 92 14.78 140 13.12
45 14.95 93 15.28 141 13.62
46 14.64 94 14.78 142 13.24
47 15.13 95 15.28 143 13.75
(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%
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2A Cap (%) Period A-2A Cap (%) Period A-2A Cap (%)
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Actual/360 Actual/360 Actual/360
144 13.37 187 22.06
145 13.44 188 21.15
146 13.96 189 22.44
147 13.58 190 22.32
148 14.11 191 23.74
149 13.73 192 23.69
150 13.81 193 24.48
151 15.38 194 26.19
152 13.97 195 26.30
153 14.52 196 28.28
154 14.14 197 28.55
155 14.70 198 29.88
156 14.32 199 34.74
157 14.41 200 33.10
158 14.99 201 36.23
159 14.61 202 37.35
160 15.20 203 41.37
161 14.81 204 -
162 14.92
163 16.64
164 15.14
165 15.77
166 15.38
167 16.02
168 15.63
169 15.76
170 16.42
171 16.02
172 16.70
173 16.31
174 16.46
175 18.39
176 16.77
177 17.61
178 17.31
179 18.18
180 17.89
181 18.21
182 19.17
183 18.91
184 19.94
185 19.72
186 20.16
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
--------------------------------------------------------------------------------
XXXXXX XXXXXXX | | September 1, 2004
Securitized Products Group | Xxxxxx Xxxxxxx |
| |
--------------------------------------------------------------------------------
Computational Materials
$63,462,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-HE7
Mortgage Pass-Through Certificates
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 1
--------------------------------------------------------------------------------
XXXXXX XXXXXXX | | September 1, 2004
Securitized Products Group | Xxxxxx Xxxxxxx |
| |
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 2
--------------------------------------------------------------------------------
XXXXXX XXXXXXX | | September 1, 2004
Securitized Products Group | Xxxxxx Xxxxxxx |
| |
--------------------------------------------------------------------------------
Approximately $63,462,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-HE7
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Chase Manhattan Mortgage Corporation
Countrywide Home Loans Inc.
HomEq Servicing Corp.
Servicer
Transaction Highlights
----------------------
-------- ------------ ------------ ------------------- ------------ ---------- ------------------------ -------------- ------------
Modified
Avg Life Duration Initial
Offered Expected Ratings to Call / To Call/ Payment Window To Call Subordination
Classes Description Balance(4) (S&P/Fitch/Moody's) Mty(1)(2) Mty(1)(2)(3) / Mty(1)(2) Level(5) Benchmark
======== ============ ============ =================== ============ ============ ====================== ============== ============
A-1 Not Offered 368,465,000 AAA/AAA/Aaa 2.69 / 2.92 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
A-2A Not Offered 253,850,000 AAA/AAA/Aaa 2.65 / 2.86 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ------------ ---------------------- -------------- ------------
A-2B Floater 63,462,000 AAA/AAA/Aaa 2.65 / 2.86 2.54 / 2.71 09/04 - 07/12 / 18.15% 1 Mo. LIBOR
09/04 - 02/21
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
A-3 Not Offered 225,035,000 AAA/AAA/Aaa 2.72 / 2.97 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
A-4 Not Offered 90,000,000 AAA/AAA/Aaa 0.79 / 0.79 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
A-5 Not Offered 74,405,000 AAA/AAA/Aaa 2.79 / 2.79 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
A-6 Not Offered 40,410,000 AAA/AAA/Aaa 6.85 / 8.14 *****Not Offered***** 18.15% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
M-1 Not Offered 41,572,000 AA+/AA+/Aa1 5.27 / 5.83 *****Not Offered***** 15.10% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
M-2 Not Offered 36,120,000 AA/AA/Aa2 5.25 / 5.79 *****Not Offered***** 12.45% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
M-3 Not Offered 23,852,000 AA-/AA-/Aa3 5.25 / 5.77 *****Not Offered***** 10.70% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
M-4 Not Offered 42,935,000 A/A/A2 5.23 / 5.71 *****Not Offered***** 7.55% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
M-5 Not Offered 19,764,000 A-/A-/A3 5.23 / 5.65 *****Not Offered***** 6.10% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
B-1 Not Offered 13,630,000 BBB+/BBB+/Baa1 5.22 / 5.59 *****Not Offered***** 5.10% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
B-2 Not Offered 10,223,000 BBB/BBB/Baa2 5.22 / 5.53 *****Not Offered***** 4.35% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
B-3 Not Offered 13,630,000 BBB-/BBB-/Baa3 5.22 / 5.45 *****Not Offered***** 3.35% 1 Mo. LIBOR
-------- ------------ ------------ ------------------- ------------ ----------------------------------- -------------- ------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
(5) Subordination levels to be finalized.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-HE7.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originators: Aames Capital Corporation, MILA, Inc. and NC
Capital Corporation.
Servicer: Chase Manhattan Mortgage Corporation, Countrywide
Home Loans Inc. and HomEq Servicing Corp.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Countrywide
Securities Corp. and Xxxxxxxx Capital Partners,
L.P.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 3
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x
Investors Service.
Offered Certificates: Class A-2B Certificates.
Group I Class A Certificates: Class A-1 Certificates.
Group II Class A Class A-2A and Class A-2B Certificates.
Certificates:
Group III Class A Class A-3, Class A-4, Class A-5 and Class A-6
Certificates: Certificates.
Group III Class A Sequential Class A-4, Class A-5 and Class A-6 Certificates.
Certificates:
Expected Closing Date: September 8, 2004 through DTC and Euroclear or
Clearstream. The Certificates will be sold without
accrued interest.
Distribution Dates: The 25th of each month, or if such day is not a
business day, on the next business day, beginning
September 25, 2004.
Final Scheduled
Distribution Date: The Distribution Date occurring in August 2034.
Due Period: For any Distribution Date, the period commencing
on the second day of the month preceding the month
in which such Distribution Date occurs and ending
on the first day of the month in which such
Distribution Date occurs.
Interest Accrual 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 three groups of
adjustable and fixed rate sub-prime residential
mortgage loans.
Group I Mortgage Loans: Approximately $450.2 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 $387.7 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 III Mortgage Loans: Approximately $525.2 million of Mortgage Loans
that have original principal balances that may or
may 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) 3.35% 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 6.70% of the
aggregate principal balance of the Mortgage
Loans as of the last day of the applicable Due
Period, subject to a 0.50% floor, based on the
aggregate principal balance of the Mortgage
Loans as of the cut-off date, and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on
the more senior classes of certificates.
Senior Enhancement For any Distribution Date, the percentage obtained
Percentage: 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.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 4
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
September 2007; and
(b) The Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero; and
(y) The first Distribution Date on which the
Senior Enhancement Percentage (calculated for
this purpose only after taking into account
payments of principal on the Mortgage Loans on
the last day of the related Due Period but
prior to principal distributions to the
certificates on the applicable Distribution
Date) is greater than or equal to
approximately 36.30%.
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 of
Realized Losses incurred since the cut-off date
through the last day of the related Prepayment
Period divided by the aggregate Stated Principal
Balance of the mortgage loans as of the cut-off
date exceeds the applicable percentages described
below with respect to such distribution date:
Months 37- 48 [3.00] for the first month,
plus an additional 1/12th
of [1.75] for each month
thereafter (e.g., [3.875]
in Month 43)
Months 49- 60 [4.75] for the first month,
plus an additional 1/12th
of [1.25] for each month
thereafter (e.g., [5.375]
in Month 55)
Months 61- 72 [6.00] for the first month,
plus an additional 1/12th
of [0.75] for each month
thereafter (e.g., [6.375]
in Month 67)
Months 72- thereafter [6.75]
Group II Sequential Trigger A Group II Sequential Trigger Event is in effect
Event: on any Distribution Date if, before the 37th
Distribution Date, the aggregate amount of
Realized Losses incurred since the cut-off date
through the last day of the related Prepayment
Period divided by the aggregate Stated Principal
Balance of the mortgage loans as of the cut-off
date exceeds 3.00%, or if, on or after the 37th
Distribution Date, a Trigger Event is in effect.
Initial Subordination Class A: 18.15%
Percentage: Class M-1: 15.10%
Class M-2: 12.45%
Class M-3: 10.70%
Class M-4: 7.55%
Class M-5: 6.10%
Class B-1: 5.10%
Class B-2: 4.35%
Class B-3: 3.35%
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
after the first distribution date on which the
Optional Clean-up Call is exercisable.
Class A-1 Pass-Through Rate: The Class A-1 Certificates will accrue interest at
a variable rate equal to the 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.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 5
Class A-2A and Class A-2B The Class A-2A and Class A-2B 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 A-3, A-4, A-5 and A-6 The Class A-3, A-4, A-5 and A-6 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 III 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 M-4 Pass-Through Rate: The Class M-4 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-5 Pass-Through Rate: The Class M-5 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: For any distribution date, the weighted average of
the mortgage rates for each mortgage loan (in each
case, less the applicable Expense Fee Rate) then
in effect on the beginning of the related Due
Period, adjusted, in each case, to accrue on the
basis of a 360-day year and the actual number of
days in the related Interest Accrual Period.
Loan Group I Cap: For any distribution date, the weighted average of
the mortgage rates for each group I mortgage loan
(in each case, less the applicable Expense Fee
Rate) then in effect on the beginning of the
related Due Period, adjusted, in each case, to
accrue on the basis of a 360-day year and the
actual number of days in the related Interest
Accrual Period.
Loan Group II Cap: For any distribution date, the weighted average of
the mortgage rates for each group II mortgage loan
(in each case, less the applicable Expense Fee
Rate) then in effect on the beginning of the
related Due Period, adjusted, in each case, to
accrue on the basis of a 360-day year and the
actual number of days in the related Interest
Accrual Period.
Loan Group III Cap: For any distribution date, the weighted average of
the mortgage rates for each group III mortgage
loan (in each case, less the applicable Expense
Fee Rate) then in effect on the beginning of the
related Due Period, adjusted, in each case, to
accrue on the basis of a 360-day year and the
actual number of days in the related Interest
Accrual Period.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 6
Class A-1 Basis Risk Carry As to any Distribution Date, the supplemental
Forward Amount: interest amount for the Class A-1 Certificates
will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
the Class A-1 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-2A and Class A-2B As to any Distribution Date, the supplemental
Basis Risk Carry Forward interest amount for each of the Class A-2A and
Amount: Class A-2B 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-2A and Class A-2B Pass-Through
Rates (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-2A and Class A-2B 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-2A and Class A-2B
Pass-Through Rate (without regard to the
Loan Group II Cap or WAC Cap).
Class A-3, A-4, A-5 and A-6 As to any Distribution Date, the supplemental
Basis Risk Carry Forward interest amount for each of the Class A-3, A-4,
Amount: A-5 and A-6 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-3, A-4, A-5 and A-6
Pass-Through Rates (without regard to the
Loan Group III Cap or WAC Cap) over
interest due such Certificates at a rate
equal to the lesser of the Loan Group III
Cap or WAC Cap;
(ii) Any Class A-3, A-4, A-5 and A-6 Basis Risk
Carry Forward Amount remaining unpaid from
prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at
the related Class A-3, A-4, A-5 and A-6
Pass-Through Rate (without regard to the
Loan Group III Cap or WAC Cap).
Class M-1, M-2, M-3, M-4, As to any Distribution Date, the supplemental
M-5, B-1, B-2 and B-3 interest amount for each of the Class M-1, M-2,
Basis Risk Carry Forward M-3, M-4, M-5, B-1, B-2 and B-3 Certificates will
Amounts: 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).
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 7
Interest Distributions on On each Distribution Date and after payments of
Offered Certificates: 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, second, pro rata to
the Group II Class A Certificates and the
Group III Class A Certificates;
(ii) The portion of the Interest Remittance
Amount attributable to the Group II
Mortgage Loans will be allocated according
to the related Accrued Certificate Interest
and any unpaid interest shortfall amounts
for such class, as applicable, first, on a
pro rata basis, to the Group II Class A
Certificates and second, pro rata to the
Class A-1 Certificates and the Group III
Class A Certificates;
(iii) The portion of the Interest Remittance
Amount attributable to the Group III
Mortgage Loans will be allocated according
to the related Accrued Certificate Interest
and any unpaid interest shortfall amounts
for such class, as applicable, first, on a
pro rata basis to the Group III Class A
Certificates and second, pro rata to the
Class A-1 Certificates and Group II Class A
Certificates;
(iv) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(v) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(vi) To the Class M-3 Certificates, its Accrued
Certificate Interest;
(vii) To the Class M-4 Certificates, its Accrued
Certificate Interest;
(viii) To the Class M-5 Certificates, its Accrued
Certificate Interest;
(ix) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(x) To the Class B-2 Certificates, its Accrued
Certificate Interest, and
(xi) To the Class B-3 Certificates, its Accrued
Certificate Interest.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 8
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 M-4 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(vi) to the Class M-5 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(vii) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(viii) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero; and
(ix) 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 M-4 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-4 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(vi) to the Class M-5 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-5 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(vii) 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;
(viii) 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
(ix) 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.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 9
Class A Principal Allocation: Except as described below, the Group III Class A
Sequential Certificates will receive principal
sequentially; the Class A-5 Certificates will not
receive principal distributions until the
Certificate Principal Balance of the Class A-4
Certificates has been reduced to zero, and the
Class A-6 Certificates will not receive principal
distributions until the Certificate Principal
Balance of the Class A-5 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 among the Class A-1
Certificates, the Group II Class A Certificates
and the Group III Class A Certificates based on
the Class A Principal Allocation Percentage for
the Class A-1 Certificates, Group II Class A
Certificates and the Group III Class A
Certificates, as applicable.
However, if the Class Certificate Balances of the
Class A Certificates in any 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 pro rata
to the holders of the Class A certificates in the
other Class A Certificate Groups remaining
outstanding, based on their remaining class
certificate balances and 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, any payments of principal to the
Group II Class A Certificates will be made first
from payments relating to the Group II Mortgage
Loans and any payments of principal to the Group
III Class A Certificates will be made first from
payments relating to the Group III Mortgage Loans.
Any principal distributions allocated to the Group
II Class A Certificates are required to be
distributed pro rata among the Class A-2A and
Class A-2B Certificates, with the exception that
if a Group II Sequential Trigger Event is in
effect, principal distributions to the Group II
Class A Certificates will be allocated first to
the Class A-2A Certificates, until their Class
Certificate Balance has been reduced to zero, and
then to the Class A-2B Certificates, until their
Class Certificate Balance has been reduced to
zero.
Any principal distributions allocated to the Group
III Class A Certificates are required to be
distributed pro rata among the Class A-3
Certificates and the Group III Class A Sequential
Certificates. Principal distributions to the Group
III Class A Sequential Certificates will be
allocated first to the Class A-4 Certificates,
until their Class Certificate Balance has been
reduced to zero, then to the Class A-5
Certificates, until their Class Certificate
Balance has been reduced to zero, and then to the
Class A-6 Certificates, until their Class
Certificate Balance has been reduced to zero..
Notwithstanding the above, in the event that all
subordinate classes, including the Class X
certificates, have been reduced to zero, principal
distributions to the Group III Class A
Certificates will be distributed pro rata between
the Class A-3, Class A-4, Class A-5 and Class A-6
Certificates.
Class A-2B Interest Rate Cap: Beginning on the first Distribution Date, and for
a period of 31 months thereafter, an Interest Rate
Cap will be entered into by the Trust for the
benefit of the Class A-2B Certificates.
For its duration, the Class A-2B Interest Rate Cap
pays the Trust the product of (i) the excess, if
any, of the then current 1-month LIBOR rate (not
to exceed the cap ceiling) over the cap strike (on
an Actual/360 day count basis) and (ii) the Class
A-2B Interest Rate Cap Notional Balance ("the
Class A-2B Interest Rate Cap Payment") as
described on the schedule herein.
Class A-2B Interest Rate Cap The Class A-2B Interest Rate Cap Payment shall be
Payment Allocation: available to pay any Basis Risk Carry Forward
Amount due to the Class A-2B Certificates.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 10
Group III Class A Interest Beginning on the first Distribution Date, and for
Rate Cap: a period of 31 months thereafter, an Interest Rate
Cap will be entered into by the Trust for the
benefit of the Group III Class A Certificates.
For its duration, the Group III Class A Interest
Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month LIBOR
rate (not to exceed the cap ceiling) over the cap
strike (on an Actual/360 day count basis) and (ii)
the Group III Class A Interest Rate Cap Notional
Balance ("the Group III Class A Interest Rate Cap
Payment") as described on the schedule herein.
Group III Class A Interest The Group III Class A Interest Rate Cap Payment
Rate Cap Payment Allocation: shall be available to pay any Basis Risk Carry
Forward Amount due to the Group III Class A
Certificates on a pro rata basis.
Class M Interest Rate Cap: Beginning on the first Distribution Date, and for
a period of 38 months thereafter, an Interest Rate
Cap will be pledged to the Trust for the benefit
of the Class M Certificates.
For its duration, the Class M Interest Rate Cap
pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate (not
to exceed the cap ceiling) and the cap strike (on
an Actual/360 day count basis) and (ii) the Class
M Interest Rate Cap Notional Balance ("the Class M
Interest Rate Cap Payment") as described on the
schedule herein.
Class M Interest Rate Cap The Class M Interest Rate Cap Payment shall be
Payment Allocation: available to pay any Basis Risk Carry Forward
Amount due to the Class M-1, Class M-2, Class M-3,
Class M-4 and Class M-5 Certificates on a pro rata
basis.
Class B Interest Rate Cap: Beginning on the first Distribution Date, and for
a period of 38 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 be
Payment Allocation: 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.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 11
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 M-4 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class M-4 Certificates, the
allocated unreimbursed realized loss
amount;
(ix) to the Class M-5 Certificates, the unpaid
interest shortfall amount;
(x) to the Class M-5 Certificates, the
allocated unreimbursed realized loss
amount;
(xi) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(xii) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(xiii) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(xiv) to the Class B-2 Certificates, the
allocated unreimbursed realized loss
amount;
(xv) to the Class B-3 Certificates, the unpaid
interest shortfall amount;
(xvi) to the Class B-3 Certificates, the
allocated unreimbursed realized loss
amount;
(xvii) concurrently, any unpaid Class A-1 Basis
Risk Carry Forward Amount to the Class A-1
Certificates, any unpaid Group II Class A
Basis Risk Carry Forward Amount to the
Group II Class A Certificates and any
unpaid Group III Class A Basis Risk Carry
Forward Amount to the Group III Class A
Certificates; and
(xviii) sequentially, to Classes M-1, M-2, M-3,
M-4, M-5, B-1, B-2 and B-3 Certificates, in
such order, any unpaid 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
Servicemembers Civil Relief Act or similar state
law allocated to such class.
Principal Distribution On any Distribution Date, the sum of (i) the Basic
Amount: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
Basic Principal 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.
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 the overcollateralization over 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, (ii)
in the case of the Group II Class A Certificates,
the numerator of which is (x) the portion of the
principal remittance amount for such Distribution
Date that is attributable to principal received or
advanced on the Group II Mortgage Loans and the
denominator of which is (y) the principal
remittance amount for such Distribution Date and
(iii) in the case of the Group III Class A
Certificates, the numerator of which is (x) the
portion of the principal remittance amount for
such Distribution Date that is attributable to
principal received or advanced on the Group III
Mortgage Loans and the denominator of which is (y)
the principal remittance amount for such
Distribution Date.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
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
63.70% 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 $6,815,072.
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 69.80% 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 $6,815,072.
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 75.10% 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 $6,815,072.
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 78.60% 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 $6,815,072.
Class M-4 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 M-4
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 84.90% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period over $6,815,072.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Class M-5 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 M-4
Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date) and (vi) the
Certificate Principal Balance of the Class M-5
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 87.80% 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 $6,815,072.
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), (v) the
Certificate Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date) and (vii) 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 89.80% 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 $6,815,072.
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 M-4
Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date). (vii) 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 (viii) 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 91.30% 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 $6,815,072.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
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 M-4
Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date), (vii) 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), (viii) 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 (ix) 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 93.30% 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 $6,815,072.
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-2A and Class
A-2B Certificates will be SMMEA eligible.
Prospectus: The Class A-2A, Class A-2B, Class A-3, Class A-4,
Class A-5, Class A-6, Class M-1, Class M-2, Class
M-3, Class M-4, Class M-5, 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.
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
Weighted Average Life Sensitivity
To CALL
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A-2B WAL 5.28 4.47 3.59 2.65 2.01 1.53 1.16
First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 11/25/2019 9/25/2017 3/25/2015 7/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 1 - 183 1 - 157 1 - 127 1 - 95 1 - 75 1 - 61 1 - 50
----------------------------------------------------------------------------------------------------------------------------------
Weighted Average Life Sensitivity
To MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------------
A-2B WAL 5.62 4.78 3.87 2.86 2.17 1.65 1.18
First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 8/25/2031 8/25/2029 3/25/2026 2/25/2021 7/25/2017 11/25/2014 12/25/2012
Window 1 - 324 1 - 300 1 - 259 1 - 198 1 - 155 1 - 123 1 - 100
-----------------------------------------------------------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 16
CPR Sensitivity
To CALL
------------------------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------------------------------------------------------------
A-2B WAL 3.26 2.54 2.01
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 4/25/2014 4/25/2012 11/25/2010
Window 1 - 116 1 - 92 1 - 75
------------------------------------------------------------------------------------------------------------------------
CPR Sensitivity
To MATURITY
------------------------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------------------------------------------------------------
A-2B WAL 3.54 2.77 2.20
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 6/25/2025 9/25/2021 9/25/2018
Window 1 - 250 1 - 205 1 - 169
------------------------------------------------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 17
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2B Cap (%) Period A-2B Cap (%) Period A-2B Cap (%)
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Actual/360 Actual/360 Actual/360
0 - 48 14.64 96 14.79
1 15.31 49 14.65 97 14.79
2 10.22 50 15.16 98 15.28
3 10.02 51 14.67 99 14.79
4 10.24 52 15.17 100 15.28
5 10.04 53 14.68 101 14.79
6 10.04 54 14.69 102 14.79
7 10.75 55 16.27 103 16.38
8 10.06 56 14.70 104 14.79
9 10.29 57 15.19 105 15.29
10 10.08 58 14.77 106 14.79
11 10.31 59 15.27 107 15.29
12 10.10 60 14.78 108 14.67
13 10.11 61 14.78 109 11.83
14 10.34 62 15.27 110 12.25
15 10.14 63 14.78 111 11.88
16 10.27 64 15.27 112 12.31
17 10.06 65 14.78 113 11.94
18 10.08 66 14.78 114 11.97
19 10.86 67 16.36 115 13.29
20 10.16 68 14.78 116 12.03
21 11.35 69 15.27 117 12.47
22 10.04 70 14.78 118 12.10
23 10.36 71 15.27 119 12.54
24 10.09 72 14.78 120 12.17
25 10.13 73 14.78 121 12.21
26 10.45 74 15.27 122 12.65
27 10.48 75 14.78 123 12.28
28 10.30 76 15.27 124 12.73
29 10.01 77 14.78 125 12.36
30 10.05 78 14.78 126 12.41
31 11.16 79 16.36 127 13.78
32 10.20 80 14.78 128 12.49
33 10.54 81 15.27 129 12.95
34 10.75 82 14.78 130 12.58
35 11.17 83 15.27 131 13.05
36 10.86 84 14.78 132 12.68
37 36.74 85 14.78 133 12.73
38 14.34 86 15.27 134 13.21
39 14.05 87 14.78 135 12.83
40 14.95 88 15.27 136 13.32
41 14.38 89 14.78 137 12.94
42 14.36 90 14.78 138 13.00
43 15.37 91 15.80 139 13.96
44 14.40 92 14.78 140 13.12
45 14.95 93 15.28 141 13.62
46 14.64 94 14.78 142 13.24
47 15.13 95 15.28 143 13.75
(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%
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2B Cap (%) Period A-2B Cap (%) Period A-2B Cap (%)
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Actual/360 Actual/360 Actual/360
144 13.37 187 22.06
145 13.44 188 21.15
146 13.96 189 22.44
147 13.58 190 22.32
148 14.11 191 23.74
149 13.73 192 23.69
150 13.81 193 24.48
151 15.38 194 26.19
152 13.97 195 26.30
153 14.52 196 28.28
154 14.14 197 28.55
155 14.70 198 29.88
156 14.32 199 34.74
157 14.41 200 33.10
158 14.99 201 36.23
159 14.61 202 37.35
160 15.20 203 41.37
161 14.81 204 -
162 14.92
163 16.64
164 15.14
165 15.77
166 15.38
167 16.02
168 15.63
169 15.76
170 16.42
171 16.02
172 16.70
173 16.31
174 16.46
175 18.39
176 16.77
177 17.61
178 17.31
179 18.18
180 17.89
181 18.21
182 19.17
183 18.91
184 19.94
185 19.72
186 20.16
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 19
Interest Rate Cap Schedules
Group III Class A Cap Class M Cap Class B Cap
------------------------------------ ------------------------------------- -------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 429,850,000.00 6.30 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
2 419,593,944.15 6.30 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
3 409,377,804.26 6.30 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
4 399,197,424.57 6.30 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
5 389,049,382.77 6.30 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
6 378,931,133.14 6.30 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
7 368,841,006.08 6.30 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
8 358,778,203.05 6.30 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
9 348,742,786.71 6.30 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
10 338,735,666.10 6.40 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
11 328,758,706.26 6.40 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
12 318,814,858.42 6.40 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
13 308,911,066.14 6.40 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
14 299,232,920.91 6.40 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
15 289,784,428.43 6.40 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
16 280,560,170.57 6.45 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
17 271,554,856.52 6.45 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
18 262,763,332.07 6.45 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
19 254,180,539.54 6.45 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
20 245,802,049.50 6.45 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
21 237,623,170.82 6.45 9.80 164,243,000.00 5.40 8.40 37,483,000.00 3.75 6.75
22 229,642,841.36 8.25 9.80 164,243,000.00 7.15 8.85 37,483,000.00 5.50 7.20
23 221,866,895.29 8.25 9.80 164,243,000.00 7.15 8.85 37,483,000.00 5.50 7.20
24 214,272,051.64 8.25 9.80 164,243,000.00 7.15 8.85 37,483,000.00 5.50 7.20
25 206,857,294.90 8.25 9.80 164,243,000.00 7.15 8.85 37,483,000.00 5.50 7.20
26 199,618,381.21 8.25 9.80 164,243,000.00 7.15 8.85 37,483,000.00 5.50 7.20
27 192,551,166.37 8.25 9.80 164,243,000.00 7.15 8.85 37,483,000.00 5.50 7.20
28 185,651,603.43 9.15 9.80 164,243,000.00 7.85 9.15 37,483,000.00 6.20 7.50
29 178,915,740.49 9.15 9.80 164,243,000.00 7.85 9.15 37,483,000.00 6.20 7.50
30 172,339,718.40 9.15 9.80 164,243,000.00 7.85 9.15 37,483,000.00 6.20 7.50
31 165,919,807.32 9.15 9.80 164,243,000.00 7.85 9.15 37,483,000.00 6.20 7.50
32 159,652,842.52 9.15 9.80 164,243,000.00 7.85 9.15 37,483,000.00 6.20 7.50
33 - - - 164,243,000.00 7.85 9.15 37,483,000.00 6.20 7.50
34 - - - 164,243,000.00 8.65 9.35 37,483,000.00 7.00 7.70
35 - - - 164,243,000.00 8.65 9.35 37,483,000.00 7.00 7.70
36 - - - 164,243,000.00 8.65 9.35 37,483,000.00 7.00 7.70
37 - - - 164,243,000.00 8.65 9.35 37,483,000.00 7.00 7.70
38 - - - 164,088,171.97 8.65 9.35 31,224,487.94 7.00 7.70
39 - - - 152,057,292.57 8.65 9.35 30,470,842.89 7.00 7.70
40 - - - - - - - - -
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 20
Interest Rate Cap Schedules (Cont.)
Class A-2B Cap
------------------------------------
Period Balance ($) Strike % Ceiling %
1 63,462,000.00 6.10 9.65
2 61,823,342.60 6.10 9.65
3 60,201,369.52 6.10 9.65
4 58,595,419.14 6.10 9.65
5 57,004,910.44 6.10 9.65
6 55,429,364.97 6.10 9.65
7 53,868,406.17 6.10 9.65
8 52,321,758.05 6.10 9.65
9 50,789,243.54 6.10 9.65
10 49,271,205.27 6.10 9.65
11 47,767,825.52 6.10 9.65
12 46,279,238.98 6.10 9.65
13 44,822,444.03 6.10 9.65
14 43,400,276.77 6.10 9.65
15 42,012,126.65 6.10 9.65
16 40,657,185.11 6.20 9.65
17 39,334,662.74 6.20 9.65
18 38,043,788.78 6.20 9.65
19 36,783,810.77 6.20 9.65
20 35,554,236.95 6.20 9.65
21 34,354,145.20 6.20 9.65
22 33,186,605.65 8.30 9.65
23 32,046,529.71 8.30 9.65
24 30,933,637.00 8.30 9.65
25 29,847,325.82 8.30 9.65
26 28,786,965.45 8.30 9.65
27 27,751,940.10 8.30 9.65
28 26,741,648.49 9.30 9.65
29 25,755,503.59 9.30 9.65
30 24,792,935.38 9.30 9.65
31 23,853,398.42 9.30 9.65
32 22,936,509.54 9.30 9.65
33 - - -
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 21
