EXHIBIT 99.2
--------------------------------------------------------------------------------
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shall be deemed superseded, amended and supplemented in its entirety by such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
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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
Avg Life to Duration To
Offered Expected Ratings Call / Call / Payment Window To Call /
Classes Description Balance(4) (S&P/Fitch/ Xxxxx'x) Mty(1)(2) Mty(1)(2)(3) Mty(1)(2)
============= ============== ================ ====================== ============= ============= ==============================
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 - 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 - 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 - 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 - 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 - 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 - 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 - 09/12
------------- -------------- ---------------- ---------------------- ------------- ------------- ------------------------------
B-4 Not Offered 7,354,000 *****Not Offered*****
------------- -------------- ---------------- ----------------------------------------------------------------------------------
TABLE (CONTINUED)
------------- ----------------- ----------------
Initial
Offered Subordination
Classes Level Benchmark
============= ================= ================
A-1
------------- ----------------------------------
A-2 18.50% 1 Mo. LIBOR
------------- ----------------- ----------------
M-1 12.25% 1 Mo. LIBOR
------------- ----------------- ----------------
M-2 7.00% 1 Mo. LIBOR
------------- ----------------- ----------------
M-3 5.75% 1 Mo. LIBOR
------------- ----------------- ----------------
B-1 4.25% 1 Mo. LIBOR
------------- ----------------- ----------------
B-2 3.00% 1 Mo. LIBOR
------------- ----------------- ----------------
B-3 2.00% 1 Mo. LIBOR
------------- ----------------- ----------------
B-4 *****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), Countrywide Securities
Corporation, 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
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 obtained by
Percentage: 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 A Cumulative Loss Trigger Event is in effect on any
Trigger Event: 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 The Class A-1 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class A-2 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class M-1 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class M-2 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class M-3 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class B-1 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class B-2 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class B-3 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class B-4 Certificates will accrue interest at a
Pass-Through Rate: 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 As to any Distribution Date, the supplemental
Carry 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 As to any Distribution Date, the supplemental
Carry 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 interest amount for each of the Class M-1, M-2, M-3,
B-4 Basis Risk B-1, B-2, B-3 and B-4 Certificates will equal the sum
Carry Forward Amounts: 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 each Distribution Date and after payments of
on Offered Certificates: servicing and trustee fees and other expenses,
interest distributions from the Interest Remittance
Amount will be allocated as follows:
(i) The portion of the Interest Remittance Amount
attributable to the Group I Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as
applicable, first, to the Class A-1
Certificates 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 each Distribution Date (a) prior to the Stepdown
on Offered Certificates: 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 All principal distributions to the Class A
Allocation: 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 Beginning on the first Distribution Date, and for a
Rate Cap: 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 The Class A-2 Interest Rate Cap Payment shall be
Rate Cap Payment available to pay any Basis Risk Carry Forward Amount
Allocation: due to the Class A-2 Certificates.
Class M Interest Beginning on the first Distribution Date, and for a
Rate Cap: 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 The Class M Interest Rate Cap Payment shall be
Cap Payment Allocation: available to pay any Rate 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 Beginning on the first Distribution Date, and for a
Rate Cap: 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 The Class B Interest Rate Cap Payment shall be
Rate Cap Allocation: available to pay any Payment 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
Excess Cashflow: Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class M-3 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-1 Certificates, the allocated
unreimbursed realized loss amount;
(ix) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(x) to the Class B-2 Certificates, the allocated
unreimbursed realized loss amount;
(xi) to the Class B-3 Certificates, the unpaid
interest shortfall amount;
(xii) to the Class B-3 Certificates, the allocated
unreimbursed realized loss amount;
(xiii) 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 For any Distribution Date, the portion of available
Amount: funds for such Distribution Date attributable to
interest received or advanced on the Mortgage Loans.
Accrued Certificate For any Distribution Date and each class of Offered
Interest: Certificates, equals the amount of interest accrued
during the related interest accrual period at the
related Pass-through Rate, reduced by any prepayment
interest shortfalls and shortfalls resulting from the
application of the Servicemembers Civil Relief Act or
similar state law allocated to such class.
Principal On any Distribution Date, the sum of (i) the Basic
Distribution Amount: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
Basic Principal On any Distribution Date, the excess of (i) the
Distribution Amount: aggregate principal remittance amount over (ii) the
Excess Subordinated Amount, if any.
Net Monthly Excess For any Distribution Date is the amount of funds
Cashflow: available for distribution on such Distribution Date
remaining after making all distributions of interest
and principal on the certificates.
Extra Principal For any Distribution Date, the lesser of (i) the
Distribution Amount: excess of (x) interest collected or advanced with
respect to the Mortgage Loans with due dates in the
related Due Period (less servicing and trustee fees
and expenses), over (y) the sum of interest payable
on the Certificates on such Distribution Date and
(ii) the overcollateralization deficiency amount for
such Distribution Date.
Excess Subordinated For any Distribution Date, means the excess, if any
Amount: 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 For any Distribution Date, the percentage equivalent
Allocation Percentage: 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 the
Distribution Amount: excess of (x) the aggregate Certificate Principal
Balance of the Class A Certificates immediately prior
to such Distribution Date over (y) the lesser of (A)
the product of (i) approximately 63.00% 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 the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the payment
of the Class A Principal Distribution Amount on such
Distribution Date) and (ii) the Certificate Principal
Balance of the Class M-1 Certificates immediately
prior to such Distribution Date over (y) the lesser
of (A) the product of (i) approximately 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 the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the payment
of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date) and
(iii) the Certificate Principal Balance of the Class
M-2 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 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 the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the payment
of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii)
the Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment
of the Class M-2 Principal Distribution Amount on
such Distribution Date) and (iv) the Certificate
Principal Balance of the Class M-3 Certificates
immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately
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 the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the payment
of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii)
the Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment
of the Class M-2 Principal Distribution Amount on
such Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date) and (v) the Certificate Principal
Balance of the Class B-1 Certificates immediately
prior to such Distribution Date over (y) the lesser
of (A) the product of (i) approximately 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 the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the payment
of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii)
the Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment
of the Class M-2 Principal Distribution Amount on
such Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal
Balance of the Class B-1 Certificates (after taking
into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date) and
(vi) the Certificate Principal Balance of the Class
B-2 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 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 the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the payment
of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii)
the Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment
of the Class M-2 Principal Distribution Amount on
such Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal
Balance of the Class B-1 Certificates (after taking
into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date), (vi)
the Certificate Principal Balance of the Class B-2
Certificates (after taking into account the payment
of the Class B-2 Principal Distribution Amount on
such Distribution Date) and (vii) the Certificate
Principal Balance of the Class B-3 Certificates
immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately
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 the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the payment
of the Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date), (iii)
the Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment
of the Class M-2 Principal Distribution Amount on
such Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal
Balance of the Class B-1 Certificates (after taking
into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date), (vi)
the Certificate Principal Balance of the Class B-2
Certificates (after taking into account the payment
of the Class B-2 Principal Distribution Amount on
such Distribution Date), (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 the Class A-2 and Class M-1
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
Memorandum, as the case may be, prepared by the issuer which could contain
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purchasers are referred. In the event of any such offering, this information
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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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