EXHIBIT 99.1
--------------------------- ------------------------ ---------------------------
Xxxxxx Xxxxxxx January 22, 2003
Securitized Products Group Xxxxxx Xxxxxxx
--------------------------- ------------------------ ---------------------------
Computational Materials
$394,229,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-NC2
Mortgage Pass-Through Certificates
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 1
--------------------------- ------------------------ ---------------------------
Xxxxxx Xxxxxxx January 22, 2003
Securitized Products Group Xxxxxx Xxxxxxx
--------------------------- ------------------------ ---------------------------
Approximately $394,229,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-NC2
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Countrywide Home Loans Inc.
Servicer
Transaction Highlights
----------------------
-------- ------------ ------------ ----------------- ----------- ------------- ------------------------ ------------- -------------
Modified
Expected Ratings Avg Life Duration Initial
Offered (S&P/Fitch/ to Call / To Call / Payment Window To Call Subordination
Classes Description Balance(4) Moody's) Mty(1)(2) Mty(1)(2)(3) / Mty(1)(2) Level Benchmark
======== ============ ============ ================= =========== ============= ======================== ============= =============
A-1 Not Offered 326,448,000 *****Not Offered*****
-------- ------------ ------------ ----------------- ----------- ------------- ------------------------ ------------- -------------
A-2 Floater 272,891,000 AAA/AAA/Aaa 2.79 / 3.06 2.72 / 2.95 03/04 - 02/12 / 03/04 - 18.50% 1 Mo. LIBOR
09/21
-------- ------------ ------------ ----------------- ----------- ------------- ------------------------ ------------- -------------
M-1 Floater 45,961,000 AA/AA/Aa2 5.33 / 5.88 5.11 / 5.58 05/07 - 02/12 / 05/07 - 12.25% 1 Mo. LIBOR
08/18
-------- ------------ ------------ ----------------- ----------- ------------- ------------------------ ------------- -------------
M-2 Floater 38,608,000 A/A/A2 5.31 / 5.79 4.98 / 5.37 04/07 - 02/12 / 04/07 - 7.00% 1 Mo. LIBOR
04/17
-------- ------------ ------------ ----------------- ----------- ------------- ------------------------ ------------- -------------
M-3 Floater 9,192,000 A-/A-/A3 5.30 / 5.70 4.94 / 5.27 03/07 - 02/12 / 03/07 - 5.75% 1 Mo. LIBOR
07/15
-------- ------------ ------------ ----------------- ----------- ------------- ------------------------ ------------- -------------
B-1 Floater 11,031,000 BBB+/BBB+/Baa1 5.30 / 5.63 4.88 / 5.14 03/07 - 02/12 / 03/07 - 4.25% 1 Mo. LIBOR
11/14
-------- ------------ ------------ ----------------- ----------- ------------- ------------------------ ------------- -------------
B-2 Floater 9,192,000 BBB/BBB/Baa2 5.30 / 5.50 4.86 / 5.02 03/07 - 02/12 / 03/07 - 3.00% 1 Mo. LIBOR
11/13
-------- ------------ ------------ ----------------- ----------- ------------- ------------------------ ------------- -------------
B-3 Floater 7,354,000 BBB-/BBB-/Baa3 5.26 / 5.29 4.54 / 4.56 03/07 - 02/12 / 03/07 - 2.00% 1 Mo. LIBOR
09/12
-------- ------------ ------------ ------------------------------------------------------------------------------------------------
B-4 Not Offered 7,354,000 *****Not Offered*****
-------- ------------ ------------ -----------------------------------------------------------------------------------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust
2004-NC2.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: NC Capital Corporation.
Servicer: Countrywide Home Loans Inc.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx
Capital Partners, L.P. and The Xxxxxxxx
Capital Group, L.P.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 2
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x
Investors Service.
Offered Certificates: Classes A-2, M-1, M-2, M-3, B-1, B-2 and B-3
Certificates.
Expected Closing Date: February 27, 2004 through DTC and Euroclear
or Clearstream. The Certificates will be sold
without accrued interest.
Cut-off Date: February 1, 2004
Distribution Dates: The 25th of each month, or if such day is not
a business day, on the next business day,
beginning March 25, 2004.
Final Scheduled Distribution
Date: The Distribution Date occurring in December
2033.
Due Period: For any Distribution Date, the calendar month
preceding the month in which that
Distribution Date occurs.
Prepayment Period: For any Distribution Date, the calendar month
preceding the month in which that
Distribution Date occurs.
Interest Accrual Period: The interest accrual period for the Offered
Certificates with respect to any Distribution
Date will be the period beginning with the
previous Distribution Date (or, in the case
of the first Distribution Date, the Closing
Date) and ending on the day prior to the
current Distribution Date (on an actual/360
day count basis).
Mortgage Loans: The Trust will consist of two groups of
adjustable and fixed rate sub-prime
residential, first-lien and second-lien
mortgage loans.
Group I Mortgage Loans: Approximately $400.5 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 $334.8 million of Mortgage
Loans that predominantly have original
principal balances that do not conform to the
original principal balance limits for one- to
four-family residential mortgage loan
guidelines for purchase by Freddie Mac.
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting
at approximately 1.5333% CPR in month 1
and increasing to 23% CPR in month 15
(23%/15 CPR increase for each month),
and remaining at 23% CPR thereafter
o ARM Mortgage Loans: CPR of 25%
Credit Enhancement: The Offered Certificates are credit enhanced
by:
1) Net monthly excess cashflow from the
Mortgage Loans,
2) 1.00% 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 2.00%
of the aggregate principal balance of
the Mortgage Loans as of the last day of
the applicable Due Period, subject to a
0.50% floor, based on the aggregate
principal balance of the Mortgage Loans
as of the cut-off date, and
3) Subordination of distributions on the
more subordinate classes of certificates
(if applicable) to the required
distributions on the more senior classes
of certificates.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 3
Senior-Enhancement For any Distribution Date, the percentage
Percentage: obtained by dividing (x) the aggregate
Certificate Principal Balance of the
subordinate certificates (together with any
overcollateralization and taking into account
the distributions of the Principal
Distribution Amount for such Distribution
Date) by (y) the aggregate principal balance
of the Mortgage Loans as of the last day of
the related Due Period.
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
March 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 37.00%.
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
Event: on 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 [4.00] for the first
month, plus an
additional 1/12th of
[1.25] for each month
thereafter (e.g.,
[4.625] in Month 43)
Months 49- 60 [5.25] for the first
month, plus an
additional 1/12th of
[1.00] for each month
thereafter (e.g.,
[5.75] in Month 55)
Months 60- 72 [6.25] for the first
month, plus an
additional 1/12th of
[0.50] for each month
thereafter (e.g.,
[6.50] in Month 67)
Months 73- thereafter [6.75]
Initial Subordination Class A: 18.50%
Percentage: Class M-1: 12.25%
Class M-2: 7.00%
Class M-3: 5.75%
Class B-1: 4.25%
Class B-2: 3.00%
Class B-3: 2.00%
Class B-4: 1.00%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 4
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.
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.
Step-up Coupons: For all Offered Certificates the coupon will
increase after the optional clean-up call
date, should the call not be exercised.
Class A-1 Pass-Through Rate: The Class A-1 Certificates will accrue
interest at a variable rate equal to the
least of (i) one-month LIBOR plus [] bps ([]
bps after the first distribution date on
which the Optional Clean-up Call is
exercisable), (ii) the Loan Group I Cap and
(iii) the WAC Cap.
Class A-2 Pass-Through Rate: The Class A-2 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 II Cap and
(iii) the WAC Cap.
Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps ([]
bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class M-2 Pass-Through Rate: The Class M-2 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps ([]
bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class M-3 Pass-Through Rate: The Class M-3 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps ([]
bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class B-1 Pass-Through Rate: The Class B-1 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps ([]
bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class B-2 Pass-Through Rate: The Class B-2 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps ([]
bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class B-3 Pass-Through Rate: The Class B-3 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps ([]
bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class B-4 Pass-Through Rate: The Class B-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.
WAC Cap: As to any Distribution Date a per annum rate
equal to the product of (i) the weighted
average gross rate of the Mortgage Loans in
effect on the beginning of the related Due
Period less servicing, trustee and other fee
rates, and (ii) a fraction, the numerator of
which is 30 and the denominator of which is
the actual number of days in the related
Interest Accrual Period.
Loan Group I Cap: As to any Distribution Date, a per annum rate
equal to the product of (i) weighted average
gross rate of the Group I Mortgage Loans in
effect on the beginning of the related Due
Period less servicing, trustee and other fee
rates, and (ii) a fraction, the numerator of
which is 30 and the denominator of which is
the actual number of days in the related
Interest Accrual Period.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 5
Loan Group II Cap: As to any Distribution Date, a per annum rate
equal to the product of (i) weighted average
gross rate of the Group II Mortgage Loans in
effect on the beginning of the related Due
Period less servicing, trustee and other fee
rates, and (ii) a fraction, the numerator of
which is 30 and the denominator of which is
the actual number of days in the related
Interest Accrual Period.
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-2 Basis Risk Carry As to any Distribution Date, the supplemental
Forward Amount: interest amount for the Class A-2
Certificates will equal the sum of:
(i) The excess, if any, of interest that
would otherwise be due on such
Certificates at the Class A-2
Pass-Through Rate (without regard to
the Loan Group II Cap or WAC Cap) over
interest due such Certificates at a
rate equal to the lesser of the Loan
Group II Cap or WAC Cap;
(ii) Any Class A-2 Basis Risk Carry Forward
Amount remaining unpaid from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii)
at the related Class A-2 Pass-Through
Rate (without regard to the Loan Group
II Cap or WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the supplemental
B-1, B-2, B-3 and B-4 interest amount for each of the Class M-1,
Basis Risk Carry M-2, M-3, B-1, B-2, B-3 and B-4 Certificates
Forward Amounts: will equal the sum of:
(i) The excess, if any, of interest that
would otherwise be due on such
Certificates at such Certificates'
applicable Pass-Through Rate (without
regard to the WAC Cap) over interest
due such Certificates at a rate equal
to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount
for such class remaining unpaid for
such Certificate from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii)
at the Certificates' applicable
Pass-Through Rate (without regard to
the WAC Cap).
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 6
Interest Distributions on On each Distribution Date and after payments
Offered Certificates: of servicing and trustee fees and other
expenses, interest distributions from the
Interest Remittance Amount will be allocated
as follows:
(i) The portion of the Interest Remittance
Amount attributable to the Group I
Mortgage Loans will be allocated
according to the related Accrued
Certificate Interest and any unpaid
interest shortfall amounts for such
class, as applicable, first, to the
Class A-1 Certificates and second, to
the Class A-2 Certificates;
(ii) The portion of the Interest Remittance
Amount attributable to the Group II
Mortgage Loans will be allocated
according to the related Accrued
Certificate Interest and any unpaid
interest shortfall amounts for such
class, as applicable, first, to the
Class A-2 Certificates and second, to
the Class A-1 Certificates;
(iii) To the Class M-1 Certificates, its
Accrued Certificate Interest;
(iv) To the Class M-2 Certificates, its
Accrued Certificate Interest;
(v) To the Class M-3 Certificates, its
Accrued Certificate Interest;
(vi) To the Class B-1 Certificates, its
Accrued Certificate Interest;
(vii) To the Class B-2 Certificates, its
Accrued Certificate Interest;
(viii) To the Class B-3 Certificates, its
Accrued Certificate Interest, and
(ix) To the Class B-4 Certificates, its
Accrued Certificate Interest
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 7
Principal Distributions on On each Distribution Date (a) prior to the
Offered Certificates: Stepdown Date or (b) on which a Trigger Event
is in effect, principal distributions from
the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, allocated
between the Class A Certificates as
described below, until the Certificate
Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(iii) to the Class M-2 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(v) to the Class B-1 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class B-2 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero; and
(vii) to the Class B-3 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero, and
(viii) to the Class B-4 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger
Event is not in effect, the principal
distributions from the Principal Distribution
Amount will be allocated as follows:
(i) to the Class A Certificates, the
lesser of the Principal Distribution
Amount and the Class A Principal
Distribution Amount, allocated between
the Class A Certificates as described
below, until the Certificate Principal
Balances thereof have been reduced to
zero;
(ii) to the Class M-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-1
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(iii) to the Class M-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-2
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-3
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(v) to the Class B-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-1
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class B-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-2
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero; and
(vii) to the Class B-3 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-3
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero; and
(viii) to the Class B-4 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-4
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 8
Class A Principal Allocation: All principal distributions to the Class A
Certificates on any Distribution Date will be
allocated between the Class A-1 Certificates
and the Class A-2 Certificates on a pro rata
basis based on the Class A Principal
Allocation Percentage for each such class on
such Distribution Date; provided, however,
that if the Certificate Principal Balance of
either class of Class A Certificates is
reduced to zero, then the remaining amount of
principal distributions distributable to the
class of Class A Certificates on such
Distribution Date and all subsequent
Distribution Dates, will be distributed to
the remaining outstanding Class A
Certificates until the Certificate Principal
Balance thereof has been reduced to zero.
Class A-2 Interest Rate Cap: Beginning on the first Distribution Date, and
for a period of 35 months thereafter, an
Interest Rate Cap will be entered into by the
Trust for the benefit of the Class A-2
Certificates.
For its duration, the Class A-2 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-2 Interest
Rate Cap Notional Balance ("the Class A-2
Interest Rate Cap Payment") as described on
the schedule herein.
Class A-2 Interest Rate Cap The Class A-2 Interest Rate Cap Payment
Payment Allocation: shall be available to pay any Basis Risk
Carry Forward Amount due to the Class A-2
Certificates.
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 entered into by 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
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 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
Payment Allocation: be available to pay any Basis Risk Carry
Forward Amount due to the Class M-1, Class
M-2 and Class M-3 Certificates on a pro rata
basis.
Class B Interest Rate Cap: Beginning on the first Distribution Date, and
for a period of 38 months thereafter, an
Interest Rate Cap will be entered into by 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
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 B Interest
Rate Cap Notional Balance ("the Class B
Interest Rate Cap Payment") as described on
the schedule herein.
Class B Interest Rate Cap The Class B Interest Rate Cap Payment shall
Payment Allocation: be available to pay any Basis Risk Carry
Forward Amount due to the Class B-1, Class
B-2, Class B-3 and Class B-4 Certificates on
a pro rata basis.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 9
Allocation of Net Monthly For any Distribution Date, any Net Monthly
Excess Cashflow: Excess Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the
unpaid interest shortfall amount;
(ii) to the Class M-1 Certificates, the
allocated unreimbursed realized loss
amount;
(iii) to the Class M-2 Certificates, the
unpaid interest shortfall amount;
(iv) to the Class M-2 Certificates, the
allocated unreimbursed realized loss
amount;
(v) to the Class M-3 Certificates, the
unpaid interest shortfall amount;
(vi) to the Class M-3 Certificates, the
allocated unreimbursed realized loss
amount;
(vii) to the Class B-1 Certificates, the
unpaid interest shortfall amount;
(viii) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(ix) to the Class B-2 Certificates, the
unpaid interest shortfall amount;
(x) to the Class B-2 Certificates, the
allocated unreimbursed realized loss
amount;
(xi) to the Class B-3 Certificates, the
unpaid interest shortfall amount;
(xii) to the Class B-3 Certificates, the
allocated unreimbursed realized loss
amount;
(xiii) to the Class B-4 Certificates, the
unpaid interest shortfall amount;
(xiv) to the Class B-4 Certificates, the
allocated unreimbursed realized loss
amount;
(xv) concurrently, any Class A-1 Basis Risk
Carry Forward Amount to the Class A-1
Certificates, and any Class A-2 Basis
Risk Carry Forward Amount to the Class
A-2 Certificates; and
(xvi) sequentially, to Classes M-1, M-2,
M-3, B-1, B-2, B-3 and B-4
Certificates, in such order, any Basis
Risk Carry Forward Amount for such
classes.
Interest Remittance Amount: For any Distribution Date, the portion of
available funds for such Distribution Date
attributable to interest received or advanced
on the Mortgage Loans.
Accrued Certificate Interest: For any Distribution Date and each class of
Offered Certificates, equals the amount of
interest accrued during the related interest
accrual period at the related Pass-through
Rate, reduced by any prepayment interest
shortfalls and shortfalls resulting from the
application of the Servicemembers Civil
Relief Act or similar state law allocated to
such class.
Principal Distribution On any Distribution Date, the sum of (i) the
Amount: Basic Principal Distribution Amount and (ii)
the Extra Principal Distribution Amount.
Basic Principal Distribution On any Distribution Date, the excess of
Amount: (i) the 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
Amount: (i) the excess of (x) interest collected or
advanced with respect to the Mortgage Loans
with due dates in the related Due Period
(less servicing and trustee fees and
expenses), over (y) the sum of interest
payable on the Certificates on such
Distribution Date and (ii) the
overcollateralization deficiency amount for
such Distribution Date.
Excess Subordinated Amount: For any Distribution Date, means the excess,
if any of (i) the overcollateralization and
(ii) the required overcollateralization for
such Distribution Date.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 10
Class A Principal Allocation For any Distribution Date, the percentage
Percentage: equivalent of a fraction, determined as
follows: (i) in the case of the Class A-1
Certificates the numerator of which is (x)
the portion of the principal remittance
amount for such Distribution Date that is
attributable to principal received or
advanced on the Group I Mortgage Loans and
the denominator of which is (y) the principal
remittance amount for such Distribution Date
and (ii) in the case of the Class A-2
Certificates, the numerator of which is (x)
the portion of the principal remittance
amount for such Distribution Date that is
attributable to principal received or
advanced on the Group II Mortgage Loans and
the denominator of which is (y) the principal
remittance amount for such Distribution Date.
Class A Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the aggregate Certificate
Principal Balance of the Class A Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 63.00% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period over
$3,676,928.
Class M-1 Principal For any Distribution Date, an amount equal to
Distribution Amount: the 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 75.50% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period over
$3,676,928.
Class M-2 Principal For any Distribution Date, an amount equal to
Distribution Amount: the 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 86.00% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if
any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period over $3,676,928.
Class M-3 Principal For any Distribution Date, an amount equal to
Distribution Amount: the 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 88.50% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period over
$3,676,928.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 11
Class B-1 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance
of the Class M-1 Certificates (after taking
into account the payment of the Class M-1
Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date), (iv) the Certificate Principal Balance
of the Class M-3 Certificates (after taking
into account the payment of the Class M-3
Principal Distribution Amount on such
Distribution Date) and (v) the Certificate
Principal Balance of the Class B-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 91.50% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if
any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period over $3,676,928.
Class B-2 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance
of the Class M-1 Certificates (after taking
into account the payment of the Class M-1
Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date), (iv) the Certificate Principal Balance
of the Class M-3 Certificates (after taking
into account the payment of the Class M-3
Principal Distribution Amount on such
Distribution Date), (v) the Certificate
Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal
Distribution Amount on such Distribution
Date) and (vi) the Certificate Principal
Balance of the Class B-2 Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 94.00% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period over
$3,676,928.
Class B-3 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance
of the Class M-1 Certificates (after taking
into account the payment of the Class M-1
Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date), (iv) the Certificate Principal Balance
of the Class M-3 Certificates (after taking
into account the payment of the Class M-3
Principal Distribution Amount on such
Distribution Date), (v) the Certificate
Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal
Distribution Amount on such Distribution
Date), (vi) the Certificate Principal Balance
of the Class B-2 Certificates (after taking
into account the payment of the Class B-2
Principal Distribution Amount on such
Distribution Date) and (vii) the Certificate
Principal Balance of the Class B-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 96.00% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if
any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period over $3,676,928.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 12
Class B-4 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance
of the Class M-1 Certificates (after taking
into account the payment of the Class M-1
Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date), (iv) the Certificate Principal Balance
of the Class M-3 Certificates (after taking
into account the payment of the Class M-3
Principal Distribution Amount on such
Distribution Date), (v) the Certificate
Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal
Distribution Amount on such Distribution
Date), (vi) the Certificate Principal Balance
of the Class B-2 Certificates (after taking
into account the payment of the Class B-2
Principal Distribution Amount on such
Distribution Date), (vii) the Certificate
Principal Balance of the Class B-3
Certificates (after taking into account the
payment of the Class B-3 Principal
Distribution Amount on such Distribution
Date) and (viii) the Certificate Principal
Balance of the Class B-4 Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 98.00% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period over
$3,676,928.
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 all of the Offered
Certificates will be SMMEA eligible.
Prospectus: The Class A-2, Class M-1, Class M-2, Class
M-3, Class B-1, Class B-2 and Class B-3
Certificates are being offered pursuant to a
prospectus supplemented by a prospectus
supplement (together, the "Prospectus").
Complete information with respect to the
Offered Certificates and the collateral
securing them is contained in the Prospectus.
The information herein is qualified in its
entirety by the information appearing in the
Prospectus. To the extent that the
information herein is inconsistent with the
Prospectus, the Prospectus shall govern in
all respects. Sales of the Offered
Certificates may not be consummated unless
the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS
FOR A DESCRIPTION OF INFORMATION THAT SHOULD
BE CONSIDERED IN CONNECTION WITH AN
INVESTMENT IN THE OFFERED CERTIFICATES.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 13
Weighted Average Life Sensitivity
To CALL
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.39 4.59 3.73 2.79 2.15 1.67 1.29
First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 1 - 183 1 - 157 1 - 128 1 - 96 1 - 75 1 - 61 1 - 51
----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.20 8.68 7.03 5.33 4.55 4.40 4.24
First Payment Date 2/25/2009 5/25/2008 7/25/2007 5/25/2007 8/25/2007 11/25/2007 5/25/2008
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 183 51 - 157 41 - 128 39 - 96 42 - 75 45 - 61 51 - 51
----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.20 8.68 7.03 5.31 4.42 4.01 3.95
First Payment Date 2/25/2009 5/25/2008 7/25/2007 4/25/2007 5/25/2007 7/25/2007 9/25/2007
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 183 51 - 157 41 - 128 38 - 96 39 - 75 41 - 61 43 - 51
----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.20 8.68 7.03 5.30 4.37 3.88 3.67
First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 183 51 - 157 41 - 128 37 - 96 39 - 75 40 - 61 41 - 51
----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.20 8.68 7.03 5.30 4.35 3.84 3.59
First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 183 51 - 157 41 - 128 37 - 96 38 - 75 39 - 61 40 - 51
----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.20 8.68 7.03 5.30 4.34 3.80 3.53
First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 183 51 - 157 41 - 128 37 - 96 37 - 75 38 - 61 39 - 51
----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.13 8.62 6.98 5.26 4.29 3.76 3.45
First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Window 60 - 183 51 - 157 41 - 128 37 - 96 37 - 75 37 - 61 38 - 51
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 14
Weighted Average Life Sensitivity
To MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.76 4.95 4.05 3.06 2.37 1.85 1.38
First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004
Expected Final Maturity 6/25/2031 9/25/2029 7/25/2026 9/25/2021 2/25/2018 7/25/2015 8/25/2013
Window 1 - 328 1 - 307 1 - 269 1 - 211 1 - 168 1 - 137 1 - 114
-----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.05 9.49 7.73 5.88 5.00 4.76 5.40
First Payment Date 2/25/2009 5/25/2008 7/25/2007 5/25/2007 8/25/2007 11/25/2007 5/25/2008
Expected Final Maturity 10/25/2028 6/25/2026 12/25/2022 8/25/2018 8/25/2015 6/25/2013 11/25/2011
Window 60 - 296 51 - 268 41 - 226 39 - 174 42 - 138 45 - 112 51 - 93
-----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.97 9.40 7.65 5.79 4.81 4.33 4.21
First Payment Date 2/25/2009 5/25/2008 7/25/2007 4/25/2007 5/25/2007 7/25/2007 9/25/2007
Expected Final Maturity 4/25/2027 10/25/2024 5/25/2021 4/25/2017 7/25/2014 8/25/2012 3/25/2011
Window 60 - 278 51 - 248 41 - 207 38 - 158 39 - 125 41 - 102 43 - 85
-----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.85 9.29 7.55 5.70 4.70 4.14 3.89
First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007
Expected Final Maturity 10/25/2024 4/25/2022 2/25/2019 7/25/2015 2/25/2013 6/25/2011 3/25/2010
Window 60 - 248 51 - 218 41 - 180 37 - 137 39 - 108 40 - 88 41 - 73
-----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.74 9.18 7.46 5.63 4.61 4.06 3.77
First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007
Expected Final Maturity 11/25/2023 5/25/2021 4/25/2018 11/25/2014 8/25/2012 1/25/2011 11/25/2009
Window 60 - 237 51 - 207 41 - 170 37 - 129 38 - 102 39 - 83 40 - 69
-----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.54 8.99 7.30 5.50 4.51 3.94 3.63
First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 4/25/2022 11/25/2019 1/25/2017 11/25/2013 10/25/2011 5/25/2010 4/25/2009
Window 60 - 218 51 - 189 41 - 155 37 - 117 37 - 92 38 - 75 39 - 62
-----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.18 8.67 7.02 5.29 4.32 3.79 3.46
First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 5/25/2020 2/25/2018 8/25/2015 9/25/2012 11/25/2010 8/25/2009 9/25/2008
Window 60 - 195 51 - 168 41 - 138 37 - 103 37 - 81 37 - 66 38 - 55
-----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 15
CPR Sensitivity
To CALL
-------------------------------------------------------------------------------
CPR (%) 20 25 30
-------------------------------------------------------------------------------
A-2 WAL (yrs) 3.27 2.56 2.03
First Payment Date 3/25/2004 3/25/2004 3/25/2004
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 1 - 116 1 - 92 1 - 75
-------------------------------------------------------------------------------
M-1 WAL 6.33 5.15 4.57
First Payment Date 3/25/2007 6/25/2007 8/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 40 - 92 42 - 75
-------------------------------------------------------------------------------
M-2 WAL 6.33 5.10 4.41
First Payment Date 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 38 - 92 39 - 75
-------------------------------------------------------------------------------
M-3 WAL 6.33 5.09 4.35
First Payment Date 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 38 - 92 39 - 75
-------------------------------------------------------------------------------
B-1 WAL 6.33 5.08 4.33
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 38 - 75
-------------------------------------------------------------------------------
B-2 WAL 6.33 5.07 4.32
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 38 - 75
-------------------------------------------------------------------------------
B-3 WAL 6.28 5.03 4.27
First Payment Date 3/25/2007 3/25/2007 3/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 37 - 75
-------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 16
CPR Sensitivity
To MATURITY
-------------------------------------------------------------------------------
CPR (%) 20 25 30
-------------------------------------------------------------------------------
A-2 WAL (yrs) 3.54 2.78 2.22
First Payment Date 3/25/2004 3/25/2004 3/25/2004
Expected Final Maturity 10/25/2024 1/25/2021 2/25/2018
Window 1 - 248 1 - 203 1 - 168
-------------------------------------------------------------------------------
M-1 WAL 6.98 5.68 5.02
First Payment Date 3/25/2007 6/25/2007 8/25/2007
Expected Final Maturity 6/25/2021 2/25/2018 8/25/2015
Window 37 - 208 40 - 168 42 - 138
-------------------------------------------------------------------------------
M-2 WAL 6.90 5.57 4.80
First Payment Date 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 12/25/2019 11/25/2016 8/25/2014
Window 37 - 190 38 - 153 39 - 126
-------------------------------------------------------------------------------
M-3 WAL 6.81 5.48 4.68
First Payment Date 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 11/25/2017 2/25/2015 2/25/2013
Window 37 - 165 38 - 132 39 - 108
-------------------------------------------------------------------------------
B-1 WAL 6.72 5.40 4.60
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 2/25/2017 6/25/2014 8/25/2012
Window 37 - 156 37 - 124 38 - 102
-------------------------------------------------------------------------------
B-2 WAL 6.57 5.27 4.49
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 11/25/2015 7/25/2013 10/25/2011
Window 37 - 141 37 - 113 38 - 92
-------------------------------------------------------------------------------
B-3 WAL 6.31 5.06 4.29
First Payment Date 3/25/2007 3/25/2007 3/25/2007
Expected Final Maturity 7/25/2014 5/25/2012 11/25/2010
Window 37 - 125 37 - 99 37 - 81
-------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 17
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
----------------- ---------------- -------------- ---------------- ---------------- --------------- --------------- ---------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 - - - - - - -
1 9.96 9.86 9.86 9.86 9.86 9.86 9.86
2 9.06 8.96 8.96 8.96 8.96 8.96 8.96
3 9.37 9.25 9.25 9.25 9.25 9.25 9.25
4 9.18 9.06 9.06 9.06 9.06 9.06 9.06
5 9.41 9.28 9.28 9.28 9.28 9.28 9.28
6 9.18 9.06 9.06 9.06 9.06 9.06 9.06
7 9.18 9.06 9.06 9.06 9.06 9.06 9.06
8 9.41 9.28 9.28 9.28 9.28 9.28 9.28
9 9.19 9.06 9.06 9.06 9.06 9.06 9.06
10 9.42 9.28 9.28 9.28 9.28 9.28 9.28
11 9.19 9.05 9.05 9.05 9.05 9.05 9.05
12 9.20 9.05 9.05 9.05 9.05 9.05 9.05
13 9.94 9.77 9.77 9.77 9.77 9.77 9.77
14 9.21 9.05 9.05 9.05 9.05 9.05 9.05
15 9.44 9.28 9.28 9.28 9.28 9.28 9.28
16 9.21 9.05 9.05 9.05 9.05 9.05 9.05
17 9.45 9.28 9.28 9.28 9.28 9.28 9.28
18 9.22 9.05 9.05 9.05 9.05 9.05 9.05
19 9.23 9.05 9.05 9.05 9.05 9.05 9.05
20 9.46 9.28 9.28 9.28 9.28 9.28 9.28
21 9.24 9.06 9.06 9.06 9.06 9.06 9.06
22 9.97 9.81 9.81 9.81 9.81 9.81 9.81
23 9.72 9.56 9.56 9.56 9.56 9.56 9.56
24 9.73 9.56 9.56 9.56 9.56 9.56 9.56
25 10.56 10.37 10.37 10.37 10.37 10.37 10.37
26 9.74 9.56 9.56 9.56 9.56 9.56 9.56
27 10.01 9.82 9.82 9.82 9.82 9.82 9.82
28 10.22 10.07 10.07 10.07 10.07 10.07 10.07
29 10.52 10.35 10.35 10.35 10.35 10.35 10.35
30 10.24 10.06 10.06 10.06 10.06 10.06 10.06
31 10.25 10.06 10.06 10.06 10.06 10.06 10.06
32 10.54 10.34 10.34 10.34 10.34 10.34 10.34
33 10.27 10.07 10.07 10.07 10.07 10.07 10.07
34 10.84 10.54 10.54 10.54 10.54 10.54 10.54
35 10.53 10.23 10.23 10.23 10.23 10.23 10.23
36 10.54 10.23 10.23 10.23 10.23 10.23 10.23
37 18.55 11.23 11.23 11.23 11.23 11.23 11.23
38 10.44 10.23 10.23 10.23 10.22 10.22 10.22
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
----------------- ---------------- -------------- ---------------- ---------------- --------------- --------------- ---------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
39 10.76 10.54 10.54 10.54 10.54 10.54 10.54
40 11.26 10.24 10.24 10.24 10.24 10.24 10.24
41 11.61 10.58 10.58 10.58 10.58 10.58 10.58
42 11.23 10.24 10.24 10.24 10.24 10.24 10.24
43 11.23 10.24 10.24 10.24 10.24 10.24 10.24
44 11.61 10.58 10.58 10.58 10.58 10.58 10.58
45 11.23 10.24 10.24 10.24 10.24 10.24 10.24
46 12.23 11.23 11.23 11.23 11.23 11.23 11.23
47 11.84 10.86 10.86 10.86 10.86 10.86 10.86
48 11.84 10.86 10.86 10.86 10.86 10.86 10.86
49 12.65 11.61 11.61 11.61 11.61 11.61 11.61
50 11.84 10.86 10.86 10.86 10.86 10.86 10.86
51 12.23 11.22 11.22 11.22 11.22 11.22 11.22
52 11.90 10.92 10.92 10.92 10.92 10.92 10.92
53 12.29 11.29 11.29 11.29 11.29 11.29 11.29
54 11.89 10.92 10.92 10.92 10.92 10.92 10.92
55 11.89 10.92 10.92 10.92 10.92 10.92 10.92
56 12.29 11.28 11.28 11.28 11.28 11.28 11.28
57 11.89 10.92 10.92 10.92 10.92 10.92 10.92
58 12.33 11.32 11.32 11.32 11.32 11.32 11.32
59 11.88 10.96 10.96 10.96 10.96 10.96 10.96
60 11.06 10.96 10.96 10.96 10.96 10.96 10.96
61 12.25 12.13 12.13 12.13 12.13 12.13 12.13
62 11.07 10.95 10.95 10.95 10.95 10.95 10.95
63 11.45 11.32 11.32 11.32 11.32 11.32 11.32
64 11.09 10.95 10.95 10.95 10.95 10.95 10.95
65 11.46 11.32 11.32 11.32 11.32 11.32 11.32
66 11.10 10.95 10.95 10.95 10.95 10.95 10.95
67 11.11 10.95 10.95 10.95 10.95 10.95 10.95
68 11.49 11.31 11.31 11.31 11.31 11.31 11.31
69 11.13 10.95 10.95 10.95 10.95 10.95 10.95
70 11.51 11.31 11.31 11.31 11.31 11.31 11.31
71 11.15 10.94 10.94 10.94 10.94 10.94 10.94
72 11.16 10.94 10.94 10.94 10.94 10.94 10.94
73 12.37 12.11 12.11 12.11 12.11 12.11 12.11
74 11.18 10.94 10.94 10.94 10.94 10.94 10.94
75 11.56 11.30 11.30 11.30 11.30 11.30 11.30
76 11.20 10.94 10.94 10.94 10.94 10.94 10.94
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
----------------- ---------------- -------------- ---------------- ---------------- --------------- --------------- ---------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
77 11.59 11.30 11.30 11.30 11.30 11.30 11.30
78 11.22 10.94 10.94 10.94 10.94 10.94 10.94
79 11.24 10.93 10.93 10.93 10.93 10.93 10.93
80 11.62 11.30 11.30 11.30 11.30 11.30 11.30
81 11.26 10.93 10.93 10.93 10.93 10.93 10.93
82 11.65 11.30 11.30 11.30 11.30 11.30 11.30
83 11.29 10.93 10.93 10.93 10.93 10.93 10.93
84 11.30 10.93 10.93 10.93 10.93 10.93 10.93
85 12.53 12.10 12.10 12.10 12.10 12.10 12.10
86 11.33 10.93 10.93 10.93 10.93 10.93 10.93
87 11.73 11.29 11.29 11.29 11.29 11.29 11.29
88 11.36 10.93 10.93 10.93 10.93 10.93 10.93
89 11.76 11.29 11.29 11.29 11.29 11.29 11.29
90 11.39 10.92 10.92 10.92 10.92 10.92 10.92
91 11.41 10.92 10.92 10.92 10.92 10.92 10.92
92 11.81 11.29 11.29 11.29 11.29 11.29 11.29
93 11.45 10.92 10.92 10.92 10.92 10.92 10.92
94 11.85 11.28 11.28 11.28 11.28 11.28 11.28
95 11.48 10.92 10.92 10.92 10.92 10.92 10.92
96 11.50 10.92 10.92 10.92 10.92 10.92 10.92
97 12.32 11.67 11.67 11.67 11.67 11.67 11.67
98 11.54 10.92 10.92 10.92 10.92 10.92 10.92
99 11.95 11.28 11.28 11.28 11.28 11.28 11.28
100 11.59 10.92 10.92 10.92 10.92 10.92 10.92
101 11.99 11.28 11.28 11.28 11.28 11.28 11.28
102 11.63 10.92 10.92 10.92 10.92 10.92 10.92
103 11.65 10.91 10.91 10.91 10.91 10.91 10.91
104 12.07 11.28 11.28 11.28 11.28 11.28 11.28
105 11.70 10.91 10.91 10.91 10.91 10.91 10.91
106 12.12 11.28 11.28 11.28 11.28 11.28 -
107 11.75 10.91 10.91 10.91 10.91 10.91 -
108 11.78 10.91 10.91 10.91 10.91 10.91 -
109 13.07 12.08 12.08 12.08 12.08 12.08 -
110 11.83 10.91 10.91 10.91 10.91 10.91 -
111 12.26 11.27 11.27 11.27 11.27 11.27 -
112 11.89 10.91 10.91 10.91 10.91 10.91 -
113 12.32 11.27 11.27 11.27 11.27 11.27 -
114 11.95 10.91 10.91 10.91 10.91 10.91 -
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
----------------- ---------------- -------------- ---------------- ---------------- --------------- --------------- ---------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
115 11.99 10.91 10.91 10.91 10.91 10.91 -
116 12.42 11.27 11.27 11.27 11.27 11.27 -
117 12.05 10.91 10.91 10.91 10.91 10.91 -
118 12.49 11.27 11.27 11.27 11.27 11.27 -
119 12.12 10.91 10.91 10.91 10.91 10.91 -
120 12.16 10.91 10.91 10.91 10.91 - -
121 13.50 12.08 12.08 12.08 12.08 - -
122 12.23 10.91 10.91 10.91 10.91 - -
123 12.68 11.27 11.27 11.27 11.27 - -
124 12.31 10.91 10.91 10.91 10.91 - -
125 12.77 11.27 11.27 11.27 11.27 - -
126 12.40 10.91 10.91 10.91 10.91 - -
127 12.44 10.91 10.91 10.91 10.91 - -
128 12.90 11.27 11.27 11.27 11.27 - -
129 12.53 10.91 10.91 10.91 10.91 - -
130 13.00 11.27 11.27 11.27 11.27 - -
131 12.63 10.91 10.91 10.91 10.91 - -
132 12.68 10.91 10.91 10.91 - - -
133 14.09 12.07 12.07 12.07 - - -
134 12.78 10.91 10.91 10.91 - - -
135 13.26 11.27 11.27 11.27 - - -
136 12.89 10.91 10.91 10.91 - - -
137 13.38 11.27 11.27 11.27 - - -
138 13.00 10.91 10.91 10.91 - - -
139 13.06 10.91 10.91 10.91 - - -
140 13.56 11.27 11.27 - - - -
141 13.19 10.91 10.91 - - - -
142 13.69 11.27 11.27 - - - -
143 13.32 10.91 10.91 - - - -
144 13.38 10.91 10.91 - - - -
145 14.38 11.66 11.66 - - - -
146 13.52 10.91 10.91 - - - -
147 14.05 11.27 11.27 - - - -
148 13.67 10.91 10.91 - - - -
149 14.21 11.27 11.27 - - - -
150 13.83 10.91 10.91 - - - -
151 13.91 10.91 10.91 - - - -
152 14.46 11.27 11.27 - - - -
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 21
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
----------------- ---------------- -------------- ---------------- ---------------- --------------- --------------- ---------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
153 14.08 10.91 10.91 - - - -
154 14.64 11.28 11.28 - - - -
155 14.26 10.91 10.91 - - - -
156 14.36 10.91 10.91 - - - -
157 16.00 12.08 12.08 - - - -
158 14.55 10.91 10.91 - - - -
159 15.14 11.28 11.28 - - - -
160 14.75 10.92 10.92 - - - -
161 15.36 11.28 11.28 - - - -
162 14.97 10.92 - - - - -
163 15.08 10.92 - - - - -
164 15.71 11.28 - - - - -
165 15.32 10.92 - - - - -
166 15.95 11.29 - - - - -
167 15.57 10.92 - - - - -
168 15.69 10.92 - - - - -
169 17.52 12.10 - - - - -
170 15.96 10.93 - - - - -
171 16.64 11.29 - - - - -
172 16.25 10.93 - - - - -
173 16.94 11.29 - - - - -
174 16.54 10.93 - - - - -
175 16.70 10.93 - - - - -
176 17.42 11.30 - - - - -
177 17.02 10.94 - - - - -
178 17.79 - - - - - -
179 17.48 - - - - - -
180 17.77 - - - - - -
181 20.02 - - - - - -
182 18.40 - - - - - -
183 19.37 - - - - - -
184 19.12 - - - - - -
185 20.16 - - - - - -
186 19.93 - - - - - -
187 20.39 - - - - - -
188 21.57 - - - - - -
189 21.40 - - - - - -
190 22.70 - - - - - -
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 22
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
----------------- ---------------- -------------- ---------------- ---------------- --------------- --------------- ---------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
191 22.58 - - - - - -
192 23.24 - - - - - -
193 25.62 - - - - - -
194 24.77 - - - - - -
195 26.49 - - - - - -
196 26.60 - - - - - -
197 28.59 - - - - - -
198 28.86 - - - - - -
199 30.19 - - - - - -
200 32.75 - - - - - -
201 33.40 - - - - - -
202 36.53 - - - - - -
203 37.61 - - - - - -
204 40.26 - - - - - -
205 48.03 - - - - - -
206 47.12 - - - - - -
207 53.42 - - - - - -
208 57.44 - - - - - -
209 67.01 - - - - - -
210 74.77 - - - - - -
211 88.72 - - - - - -
212 113.45 - - - - - -
213 145.30 - - - - - -
214 224.97 - - - - - -
215 540.50 - - - - - -
216 - - - - - - -
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 23
Interest Rate Cap Schedules
Class A-2 Cap Class M Cap Class B Cap
----------------------------------- ------------------------------------- ------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 272,891,000.00 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
2 266,993,244.66 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
3 261,051,686.10 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
4 255,064,763.99 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
5 249,031,365.16 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
6 242,951,113.75 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
7 236,824,371.41 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
8 230,652,233.37 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
9 224,436,520.12 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
10 218,179,764.80 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
11 211,885,195.93 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
12 205,556,715.78 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
13 199,202,139.04 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
14 192,996,965.67 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
15 186,937,705.26 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
16 181,020,948.66 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
17 175,243,366.04 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
18 169,601,705.10 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
19 164,092,789.24 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
20 158,713,515.79 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
21 153,460,854.33 6.25 8.60 93,761,000.00 5.80 8.15 34,931,000.00 4.15 6.50
22 148,331,856.31 7.50 9.50 93,761,000.00 6.65 8.65 34,931,000.00 5.00 7.00
23 143,323,993.37 7.50 9.50 93,761,000.00 6.65 8.65 34,931,000.00 5.00 7.00
24 138,434,050.10 7.50 9.50 93,761,000.00 6.65 8.65 34,931,000.00 5.00 7.00
25 133,659,269.23 7.50 9.50 93,761,000.00 6.65 8.65 34,931,000.00 5.00 7.00
26 128,996,957.65 7.50 9.50 93,761,000.00 6.65 8.65 34,931,000.00 5.00 7.00
27 124,444,484.97 7.50 9.50 93,761,000.00 6.65 8.65 34,931,000.00 5.00 7.00
28 119,999,282.09 8.25 9.90 93,761,000.00 7.50 9.15 34,931,000.00 5.85 7.50
29 115,658,839.68 8.25 9.90 93,761,000.00 7.50 9.15 34,931,000.00 5.85 7.50
30 111,420,706.91 8.25 9.90 93,761,000.00 7.50 9.15 34,931,000.00 5.85 7.50
31 107,282,490.00 8.25 9.90 93,761,000.00 7.50 9.15 34,931,000.00 5.85 7.50
32 103,241,850.94 8.25 9.90 93,761,000.00 7.50 9.15 34,931,000.00 5.85 7.50
33 99,296,506.17 8.25 9.90 93,761,000.00 7.50 9.15 34,931,000.00 5.85 7.50
34 95,444,225.35 9.25 10.25 93,761,000.00 8.45 9.35 34,931,000.00 6.80 7.70
35 91,682,845.64 9.25 10.25 93,761,000.00 8.45 9.35 34,931,000.00 6.80 7.70
36 88,010,223.10 9.25 10.25 93,761,000.00 8.45 9.35 34,931,000.00 6.80 7.70
37 - - - 93,761,000.00 8.45 9.35 34,931,000.00 6.80 7.70
38 - - - 92,756,068.71 8.45 9.35 29,451,059.89 6.80 7.70
39 - - - 86,156,521.41 8.45 9.35 28,742,629.70 6.80 7.70
40 - - - - - - - - -
41 - - - - - - - - -
42 - - - - - - - - -
43 - - - - - - - - -
44 - - - - - - - - -
45 - - - - - - - - -
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
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information contained here in may be based on certain assumptions regarding
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no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
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Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
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BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
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