EXHIBIT 99
--------------------------------------------------------------------------------
XXXXXX XXXXXXX Xxxxx 24, 2003
Securitized Products Group XXXXXX XXXXXXX
--------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
$485,081,000
APPROXIMATELY
XXXXXX XXXXXXX ABS CAPITAL I INC.
SERIES 2003-NC5
MORTGAGE PASS-THROUGH CERTIFICATES
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 1
--------------------------------------------------------------------------------
XXXXXX XXXXXXX Xxxxx 24, 2003
Securitized Products Group XXXXXX XXXXXXX
--------------------------------------------------------------------------------
APPROXIMATELY $485,081,000
XXXXXX XXXXXXX ABS CAPITAL I INC., SERIES 2003-NC5
XXXXXX XXXXXXX ABS CAPITAL I INC.
DEPOSITOR
HOMEEQ SERVICING CORP.
SERVICER
TRANSACTION HIGHLIGHTS
----------------------
-------- ------------ ------------- ----------------- ---------- ----------- -------------------------- -------------- ------------
MODIFIED
EXPECTED RATINGS AVG LIFE DURATION INITIAL
OFFERED (S&P/FITCH/ TO CALL / TO CALL / PAYMENT WINDOW TO CALL / SUBORDINATION
CLASSES DESCRIPTION BALANCE (5) MOODY'S) MTY(1)(2) MTY(1)(2)(3) MTY(1)(2) LEVEL BENCHMARK
======== ============ ============= ================= ========== ============ ========================= ============== ============
A-1 Not Offered 502,341,000 *****Not Offered*****
-------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------
A-2 4) Floater 100,000,000 AAA/AAA/Aaa 2.86 / 2.77 / 06/03 - 05/11 / 06/03 - 19.00% 1 Mo. LIBOR
3.17 3.04 12/20
-------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------
A-3 Floater 211,716,000 AAA/AAA/Aaa 2.86 / 2.76 / 06/03 - 05/11 / 06/03 - 19.00% 1 Mo. LIBOR
3.17 3.03 12/20
-------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------
M-1 Floater 63,818,000 AA/AA/Aa2 5.33 / 5.02 / 08/06 - 05/11 / 08/06 - 12.65% 1 Mo. LIBOR
5.88 5.47 12/17
-------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------
M-2 Floater 55,276,000 A/A/A2 5.30 / 4.81 / 07/06 - 05/11 / 07/06 - 7.15% 1 Mo. LIBOR
5.79 5.17 09/16
-------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------
M-3 Floater 17,588,000 A-/A-/A3 5.29 / 4.75 / 06/06 - 05/11 / 06/06 - 5.40% 1 Mo. LIBOR
5.69 5.04 11/14
-------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------
B-1 Floater 13,065,000 BBB+/BBB+/Baa1 5.29 / 4.59 / 06/06 - 05/11 / 06/06 - 4.10% 1 Mo. LIBOR
5.60 4.81 12/13
-------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------
B-2 Floater 11,055,000 BBB/BBB/Baa2 5.29 / 4.53 / 06/06 - 05/11 / 06/06 - 3.00% 1 Mo. LIBOR
5.48 4.66 01/13
-------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------
B-3 Floater 12,563,000 BBB-/BBB-/Baa3 5.21 / 4.48 / 06/06 - 05/11 / 06/06 - 1.75% 1 Mo. LIBOR
5.23 4.49 12/11
-------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------
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) Class A-2 wrapped by FSA
(5) Bond sizes subject to a variance of plus or minus 5%.
ISSUER: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2003-NC5.
DEPOSITOR: Xxxxxx Xxxxxxx ABS Capital I Inc.
ORIGINATOR: NC Capital Corporation
SERVICER: HomeEq Servicing Corp.
TRUSTEE: Deutsche Bank National Trust Company.
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
MANAGERS: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx Capital
Partners, L.P. and Xxxxxxxx & Partners, L.P.
RATING AGENCIES: Standard & Poor's, Fitch Ratings and Xxxxx'x
Investors Service.
OFFERED CERTIFICATES: Classes A-2, A-3, M-1, M-2, M-3, B-1, B-2 and B-3
Certificates.
EXPECTED CLOSING DATE: May 29, 2003 through DTC and Euroclear or
Clearstream. The Certificates will be sold
without accrued interest.
DISTRIBUTION DATES: The 25th of each month, or if such day is not a
business day, on the next business day, beginning
June 25, 2003.
FINAL SCHEDULED
DISTRIBUTION DATE: The Distribution Date occurring in May 2033.
CLASS A-2 INSURANCE: Financial Security Assurance Inc., a AAA/Aaa/AAA
rated surety bond provider, guarantees timely
interest and ultimate principal to the Class A-2
Certificate holders.
DUE PERIOD: For any Distribution Date, the period commencing
on the second day of the month preceding the
month in which such Distribution Date occurs and
ending on the first day of the month in which
such Distribution Date occurs.
INTEREST ACCRUAL PERIOD: The interest accrual period for the Offered
Certificates with respect to any Distribution
Date will be the period beginning with the
previous Distribution Date (or, in the case of
the first Distribution Date, the Closing Date)
and ending on the day prior to the current
Distribution Date (on an actual/360 day count
basis).
MORTGAGE LOANS: The Trust will consist of two groups of
adjustable and fixed rate sub-prime residential
mortgage loans.
GROUP I MORTGAGE LOANS: Approximately $620.2 million of Mortgage Loans
with original principal balances that conform to
the original principal balance limits for one- to
four-family residential mortgage loan guidelines
for purchase by Freddie Mac.
GROUP II MORTGAGE LOANS: Approximately $384.8 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) 1.75% 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 3.50% of the aggregate principal
balance of the Mortgage Loans as of the last
day of the applicable Due Period, subject to
a 0.50% floor, based on the aggregate
principal balance of the Mortgage Loans as
of the cut-off date, and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on
the more senior classes of certificates.
4) Insurance policy issued by FSA for the Class
A-2 Certificates only.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 3
SENIOR ENHANCEMENT For any Distribution Date, the percentage
PERCENTAGE: obtained by dividing (x) the aggregate
Certificate Principal Balance of the subordinate
certificates (together with any
overcollateralization and taking into account the
distributions of the Principal Distribution
Amount for such Distribution Date) by (y) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period.
STEP-DOWN DATE: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
June 2006; and
(b) The Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero; and
(y) The first Distribution Date on which the
Senior Enhancement Percentage (calculated
for this purpose only after taking into
account payments of principal on the
Mortgage Loans on the last day of the
related Due Period but prior to principal
distributions to the certificates on the
applicable Distribution Date) is greater
than or equal to approximately 38.00%.
TRIGGER EVENT: A Trigger Event is in effect on any Distribution
Date if (i) on that Distribution Date the 60 Day+
Rolling Average equals or exceeds 40% of the
prior period's Senior Enhancement Percentage and
(ii) may include other trigger events related to
the performance of the Mortgage Loans. The 60
Day+ Rolling Average will equal the rolling 3
month average percentage of Mortgage Loans that
are 60 or more days delinquent.
INITIAL SUBORDINATION Class A: 19.00%
PERCENTAGE: Class M-1: 12.65%
Class M-2: 7.15%
Class M-3: 5.40%
Class B-1: 4.10%
Class B-2: 3.00%
Class B-3: 1.75%
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 on and after the first distribution
date on which the Optional Clean-up Call is
exercisable.
STEP-UP COUPONS: For all Offered Certificates the coupon will
increase after the optional clean-up call date,
should the call not be exercised.
CLASS A-1 PASS-THROUGH RATE: The Class A-1 Certificates will accrue interest
at a variable rate equal to the least of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable), (ii) the Loan
Group I Cap and (iii) the WAC Cap.
CLASS A-2 AND CLASS A-3 The Class A-2 and Class A-3 Certificates will
PASS-THROUGH RATE: accrue interest at a variable rate equal to the
least of (i) one-month LIBOR plus [] bps ([] bps
after the first distribution date on which the
Optional Clean-up Call is exercisable), (ii) the
Loan Group II Cap and (iii) the WAC Cap.
CLASS M-1 PASS-THROUGH RATE: The Class M-1 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
CLASS M-2 PASS-THROUGH RATE: The Class M-2 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 4
CLASS M-3 PASS-THROUGH RATE: The Class M-3 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
CLASS B-1 PASS-THROUGH RATE: The Class B-1 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
CLASS B-2 PASS-THROUGH RATE: The Class B-2 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
CLASS B-3 PASS-THROUGH RATE: The Class B-3 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
WAC CAP: As to any Distribution Date a per annum rate
equal to the product of (i) the weighted average
gross rate of the Mortgage Loans in effect on the
beginning of the related Due Period less
servicing, trustee and other fee rates and in the
case of the A-2 certificates, less the Class A-2
Insurance premium, and (ii) a fraction, the
numerator of which is 30 and the denominator of
which is the actual number of days in the related
Interest Accrual Period.
LOAN GROUP I CAP: As to any Distribution Date, a per annum rate
equal to the product of (i) weighted average
gross rate of the Group I Mortgage Loans in
effect on the beginning of the related Due Period
less servicing, trustee and other fee rates, and
(ii) a fraction, the numerator of which is 30 and
the denominator of which is the actual number of
days in the related Interest Accrual Period.
LOAN GROUP II CAP: As to any Distribution Date, a per annum rate
equal to the product of (i) weighted average
gross rate of the Group II Mortgage Loans in
effect on the beginning of the related Due Period
less servicing, trustee and other fee rates, and
in the case of the A-2 certificates, less the
Class A-2 Insurance premium and (ii) a fraction,
the numerator of which is 30 and the denominator
of which is the actual number of days in the
related Interest Accrual Period.
CLASS A-1 BASIS RISK CARRY As to any Distribution Date, the supplemental
FORWARD AMOUNT: interest amount for the Class A-1 Certificates
will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
the Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap)
over interest due such Certificates at a
rate equal to the lesser of the Loan Group
I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward
Amount remaining unpaid from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at
the related Class A-1 Pass-Through Rate
(without regard to the Loan Group I Cap or
WAC Cap).
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 5
CLASS A-2 AND CLASS A-3 As to any Distribution Date, the supplemental
BASIS RISK CARRY FORWARD interest amount for the Class A-2 and Class A-3
AMOUNT: Certificates will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
the Class A-2 or Class A-3 Pass-Through
Rate (without regard to the Loan Group II
Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser
of the Loan Group II Cap or WAC Cap;
(ii) Any Class A-2 or Class A-3 Basis Risk Carry
Forward Amount remaining unpaid from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at
the related Class A-2 and Class A-3
Pass-Through Rate (without regard to the
Loan Group II Cap or WAC Cap).
CLASS M-1, M-2, M-3, As to any Distribution Date, the supplemental
B-1, B-2 AND B-3 BASIS RISK interest amount for each of the Class M-1, M-2,
CARRY FORWARD AMOUNTS: M-3, B-1, B-2 and B-3 Certificates will equal
the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
such Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap) over
interest due such Certificates at a rate
equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for
such class remaining unpaid for such
Certificate from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at
the Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap).
INTEREST DISTRIBUTIONS ON On each Distribution Date and after payments of
OFFERED CERTIFICATES: servicing and trustee fees and other expenses,
interest distributions from the Interest
Remittance Amount will be allocated as follows:
(i) the portion of the Interest Remittance
Amount attributable to the Group I Mortgage
Loans will be allocated according to the
related Accrued Certificate Interest and
any unpaid interest shortfall amounts for
such class, as applicable, first, to the
Class A-1 Certificates and second, pro
rata, to the Class A-2 Certificates, the
Class A-3 Certificates and (according to
any unpaid Class A-2 Insurance premiums and
any unreimbursed Class A-2 Insurance
Payment Amounts) the Class A-2 Insurer;
(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, pro
rata, to the Class A-2 Certificates, the
Class A-3 Certificates and (according to
any unpaid Class A-2 Insurance premiums and
any unreimbursed Class A-2 Insurance
Payment Amounts) the Class A-2 Insurer 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; and
(vii) to the Class B-2 Certificates, its Accrued
Certificate Interest.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 6
PRINCIPAL DISTRIBUTIONS ON On each Distribution Date (a) prior to the
OFFERED CERTIFICATES: Stepdown Date or (b) on which a Trigger Event is
in effect, principal distributions from the
Principal Distribution Amount will be allocated
as follows:
(i) to the Class A Certificates, allocated
between the Class A Certificates as
described below, until the Certificate
Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(v) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero; and
(vii) to the Class B-3 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger Event is
not in effect, the principal distributions from
the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, the lesser of
the Principal Distribution Amount and the
Class A Principal Distribution Amount,
allocated between the Class A Certificates
as described below, until the Certificate
Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-1 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(iii) to the Class M-2 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-2 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(iv) to the Class M-3 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-3 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(v) to the Class B-1 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class B-1 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(vi) to the Class B-2 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class B-2 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero; and
(vii) to the Class B-3 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class B-3 Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 7
All principal distributions to the Class A
Certificates on any Distribution Date will be
allocated concurrently between (i) the Class A-1
Certificates and (ii) the Class A-2 Certificates
and the Class A-3 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 any 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, on a pro rata basis, until the
Certificate Principal Balance thereof has been
reduced to zero. All principal distributions to
the Class A-2 and A-3 Certificates on any
Distribution Date will be allocated on a pro rata
basis.
INTEREST RATE CAP: Beginning on the first Distribution Date, and for
a period of 35 months thereafter, an Interest
Rate Cap will be pledged to the Trust for the
benefit of the Class A-2 and Class A-3
Certificates.
For the first 24 months if the 1-month LIBOR rate
exceeds 6.80%, the Interest Rate Cap pays the
Trust the product of (i) the difference between
the then current 1-month LIBOR rate and 6.80% (on
an Actual/360 day count basis) up to a maximum of
137.5bps and (ii) the Interest Rate Cap Notional
Balance ("the Interest Rate Cap Payment") as
described herein. For the next 12 months if the
1-month LIBOR rate exceeds 7.175%, the Interest
Rate Cap pays the Trust the product of (i) the
difference between the then current 1-month LIBOR
rate and 7.175% (on an Actual/360 day count
basis) up to a maximum of 100bps and (ii) the
Interest Rate Cap Notional Balance ("the Interest
Rate Cap Payment") as described herein.
INTEREST RATE CAP PAYMENT The Interest Rate Cap Payment shall be available
ALLOCATION: to pay any Basis Risk Carry Forward Amount due to
the Class A-2 and Class A-3 Certificates pro rata
ALLOCATION OF NET MONTHLY For any Distribution Date, any Net Monthly Excess
EXCESS CASHFLOW: Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(ii) to the Class M-1 Certificates, the
allocated unreimbursed realized loss
amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the
allocated unreimbursed realized loss
amount;
(v) to the Class M-3 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class M-3 Certificates, the
allocated unreimbursed realized loss
amount;
(vii) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(ix) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(x) to the Class B-2 Certificates, the
allocated unreimbursed realized loss
amount;
(xi) to the Class B-3 Certificates, the unpaid
interest shortfall amount;
(xii) to the Class B-3 Certificates, the
allocated unreimbursed realized loss
amount;
(xiii) concurrently, any Class A-1 Basis Risk
Carry Forward Amount to the Class A-1
Certificates, and any Class A-2 and Class
A-3 Basis Risk Carry Forward Amount to the
Class A-2 and Class A-3 Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3,
B-1, B-2 and B-3 Certificates, in such
order, any Basis Risk Carry Forward Amount
for such classes.
INTEREST REMITTANCE AMOUNT: For any Distribution Date, the portion of
available funds for such Distribution Date
attributable to interest received or advanced on
the Mortgage Loans.
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
ACCRUED CERTIFICATE INTEREST: For any Distribution Date and each class of
Offered Certificates, equals the amount of
interest accrued during the related interest
accrual period at the related Pass-through Rate,
reduced by any prepayment interest shortfalls and
shortfalls resulting from the application of the
Soldiers' and Sailors' Civil Relief Act of 1940
or similar state law allocated to such class.
CLASS A-2 INSURANCE PAYMENT For any Distribution Date, the Class A-2
AMOUNT: Insurance Payment Amount equals Accrued
Certificate Interest and principal with respect
to the Class A-2 Certificates, to the extent
covered by the Class A-2 Insurer.
PRINCIPAL DISTRIBUTION On any Distribution Date, the sum of (i) the
AMOUNT: Basic Principal Distribution Amount and (ii) the
Extra Principal Distribution Amount.
BASIC PRINCIPAL DISTRIBUTION On any Distribution Date, the excess of (i) the
AMOUNT: aggregate principal remittance amount over (ii)
the Excess Subordinated Amount, if any.
NET MONTHLY EXCESS CASHFLOW: For any Distribution Date is the amount of funds
available for distribution on such Distribution
Date remaining after making all distributions of
interest and principal on the certificates.
EXTRA PRINCIPAL DISTRIBUTION For any Distribution Date, the lesser of (i) the
AMOUNT: excess of (x) interest collected or advanced with
respect to the Mortgage Loans with due dates in
the related Due Period (less servicing and
trustee fees and expenses), over (y) the sum of
interest payable on the Certificates on such
Distribution Date and (ii) the
overcollateralization deficiency amount for such
Distribution Date.
EXCESS SUBORDINATED AMOUNT: For any Distribution Date, means the excess, if
any of (i) the overcollateralization and (ii) the
required overcollateralization for such
Distribution Date.
CLASS A PRINCIPAL ALLOCATION For any Distribution Date, the percentage
PERCENTAGE: equivalent of a fraction, determined as follows:
(i) in the case of the Class A-1 Certificates the
numerator of which is (x) the portion of the
principal remittance amount for such Distribution
Date that is attributable to principal received
or advanced on the Group I Mortgage Loans and the
denominator of which is (y) the principal
remittance amount for such Distribution Date and
(ii) in the case of the Class A-2 and Class A-3
Certificates, the numerator of which is (x) the
portion of the principal remittance amount for
such Distribution Date that is attributable to
principal received or advanced on the Group II
Mortgage Loans and the denominator of which is
(y) the principal remittance amount for such
Distribution Date.
CLASS A PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the aggregate Certificate Principal
Balance of the Class A Certificates immediately
prior to such Distribution Date over (y) the
lesser of (A) the product of (i) approximately
62.00% 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 $5,025,049.
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 74.70% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over
$5,025,049.
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
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 85.70% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over
$5,025,049.
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 89.20% 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
$5,025,049.
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 91.80% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over
$5,025,049.
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 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
$5,025,049.
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 96.50% 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
$5,025,049.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the Prospectus,
all Offered Certificates are ERISA eligible.
SMMEA ELIGIBILITY: It is not anticipated that any of the Offered
Certificates will be SMMEA eligible.
PROSPECTUS: The Class A-2, Class A-3, Class M-1, Class M-2,
Class M-3, Class B-1, Class B-2 and Class B-3
Certificates are being offered pursuant to a
prospectus supplemented by a prospectus
supplement (together, the "Prospectus"). Complete
information with respect to the Offered
Certificates and the collateral securing them is
contained in the Prospectus. The information
herein is qualified in its entirety by the
information appearing in the Prospectus. To the
extent that the information herein is
inconsistent with the Prospectus, the Prospectus
shall govern in all respects. Sales of the
Offered Certificates may not be consummated
unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE
CONSIDERED IN CONNECTION WITH AN INVESTMENT IN
THE OFFERED CERTIFICATES.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 11
TO MATURITY
-----------
PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Initial 100 100 100 100 100
May 2004 99 80 74 68 62
May 2005 97 61 50 40 31
May 2006 96 45 32 20 11
May 2007 95 35 26 20 11
May 2008 93 28 20 14 10
May 2009 91 23 15 10 7
May 2010 89 19 12 7 5
May 2011 87 15 9 5 3
May 2012 85 12 7 4 3
May 2013 82 10 5 3 2
May 2014 80 8 4 2 0
May 2015 77 7 3 2 0
May 2016 74 5 3 1 0
May 2017 70 4 2 0 0
May 2018 66 4 2 0 0
May 2019 63 3 1 0 0
May 2020 59 2 0 0 0
May 2021 54 2 0 0 0
May 2022 50 2 0 0 0
May 2023 45 1 0 0 0
May 2024 40 1 0 0 0
May 2025 35 0 0 0 0
May 2026 32 0 0 0 0
May 2027 28 0 0 0 0
May 2028 24 0 0 0 0
May 2029 19 0 0 0 0
May 2030 15 0 0 0 0
May 2031 9 0 0 0 0
May 2032 4 0 0 0 0
May 2033 0 0 0 0 0
Average Life to 18.09 4.18 3.17 2.48 1.94
Maturity (years)
Average Life to 18.06 3.80 2.86 2.21 1.71
Call (1) (years)
(1) 10% Optional Clean-Up Call
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
TO MATURITY
-----------
PERCENTAGE OF CLASS A-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Initial 100 100 100 100 100
May 2004 99 80 74 68 62
May 2005 97 61 50 40 31
May 2006 96 45 32 20 11
May 2007 95 35 26 20 11
May 2008 93 28 20 14 10
May 2009 91 23 15 10 7
May 2010 89 19 12 7 5
May 2011 87 15 9 5 3
May 2012 85 12 7 4 3
May 2013 82 10 5 3 2
May 2014 80 8 4 2 0
May 2015 77 7 3 2 0
May 2016 74 5 3 1 0
May 2017 70 4 2 0 0
May 2018 66 4 2 0 0
May 2019 63 3 1 0 0
May 2020 59 2 0 0 0
May 2021 54 2 0 0 0
May 2022 50 2 0 0 0
May 2023 45 1 0 0 0
May 2024 40 1 0 0 0
May 2025 35 0 0 0 0
May 2026 32 0 0 0 0
May 2027 28 0 0 0 0
May 2028 24 0 0 0 0
May 2029 19 0 0 0 0
May 2030 15 0 0 0 0
May 2031 9 0 0 0 0
May 2032 4 0 0 0 0
May 2033 0 0 0 0 0
Average Life to 18.09 4.18 3.17 2.48 1.94
Maturity (years)
Average Life to 18.06 3.80 2.86 2.21 1.71
Call (1) (years)
(1) 10% Optional Clean-Up Call
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
TO MATURITY
-----------
PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Initial 100 100 100 100 100
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 81
May 2008 100 70 48 32 20
May 2009 100 56 36 22 13
May 2010 100 45 27 15 8
May 2011 100 36 20 10 5
May 2012 100 29 15 7 1
May 2013 100 23 11 5 0
May 2014 100 19 8 2 0
May 2015 100 15 6 0 0
May 2016 100 12 4 0 0
May 2017 100 9 2 0 0
May 2018 100 7 0 0 0
May 2019 100 6 0 0 0
May 2020 100 4 0 0 0
May 2021 100 2 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 28 0 0 0 0
May 2032 13 0 0 0 0
May 2033 0 0 0 0 0
Average Life to 26.14 7.75 5.88 5.01 4.82
Maturity (years)
Average Life to 26.02 7.03 5.33 4.56 4.46
Call (1) (years)
(1) 10% Optional Clean-Up Call
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
TO MATURITY
-----------
PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Initial 100 100 100 100 100
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 33
May 2008 100 70 48 32 20
May 2009 100 56 36 22 13
May 2010 100 45 27 15 8
May 2011 100 36 20 10 2
May 2012 100 29 15 7 0
May 2013 100 23 11 2 0
May 2014 100 19 8 0 0
May 2015 100 15 4 0 0
May 2016 100 12 1 0 0
May 2017 100 9 0 0 0
May 2018 100 7 0 0 0
May 2019 100 4 0 0 0
May 2020 100 1 0 0 0
May 2021 100 0 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 28 0 0 0 0
May 2032 13 0 0 0 0
May 2033 0 0 0 0 0
Average Life to 26.14 7.67 5.79 4.81 4.34
Maturity (years)
Average Life to 26.02 7.03 5.30 4.41 4.02
Call (1) (years)
(1) 10% Optional Clean-Up Call
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
TO MATURITY
-----------
PERCENTAGE OF CLASS M-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Initial 100 100 100 100 100
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 33
May 2008 100 70 48 32 20
May 2009 100 56 36 22 13
May 2010 100 45 27 15 4
May 2011 100 36 20 10 0
May 2012 100 29 15 0 0
May 2013 100 23 11 0 0
May 2014 100 19 4 0 0
May 2015 100 15 0 0 0
May 2016 100 12 0 0 0
May 2017 100 9 0 0 0
May 2018 100 1 0 0 0
May 2019 100 0 0 0 0
May 2020 100 0 0 0 0
May 2021 100 0 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 28 0 0 0 0
May 2032 13 0 0 0 0
May 2033 0 0 0 0 0
Average Life to 26.13 7.56 5.69 4.68 4.13
Maturity (years)
Average Life to 26.02 7.03 5.29 4.36 3.88
Call (1) (years)
(1) 10% Optional Clean-Up Call
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
TO MATURITY
-----------
PERCENTAGE OF CLASS B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Initial 100 100 100 100 100
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 33
May 2008 100 70 48 32 20
May 2009 100 56 36 22 13
May 2010 100 45 27 15 0
May 2011 100 36 20 4 0
May 2012 100 29 15 0 0
May 2013 100 23 6 0 0
May 2014 100 19 0 0 0
May 2015 100 15 0 0 0
May 2016 100 10 0 0 0
May 2017 100 0 0 0 0
May 2018 100 0 0 0 0
May 2019 100 0 0 0 0
May 2020 100 0 0 0 0
May 2021 100 0 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 28 0 0 0 0
May 2032 13 0 0 0 0
May 2033 0 0 0 0 0
Average Life to 26.11 7.45 5.60 4.58 4.02
Maturity (years)
Average Life to 26.02 7.03 5.29 4.33 3.82
Call (1) (years)
(1) 10% Optional Clean-Up Call
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
TO MATURITY
-----------
PERCENTAGE OF CLASS B-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Initial 100 100 100 100 100
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 33
May 2008 100 70 48 32 20
May 2009 100 56 36 22 2
May 2010 100 45 27 10 0
May 2011 100 36 20 0 0
May 2012 100 29 9 0 0
May 2013 100 23 0 0 0
May 2014 100 19 0 0 0
May 2015 100 9 0 0 0
May 2016 100 0 0 0 0
May 2017 100 0 0 0 0
May 2018 100 0 0 0 0
May 2019 100 0 0 0 0
May 2020 100 0 0 0 0
May 2021 100 0 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 28 0 0 0 0
May 2032 2 0 0 0 0
May 2033 0 0 0 0 0
Average Life to 26.08 7.29 5.48 4.49 3.91
Maturity (years)
Average Life to 26.02 7.03 5.29 4.33 3.79
Call (1) (years)
(1) 10% Optional Clean-Up Call
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
TO MATURITY
-----------
PERCENTAGE OF CLASS B-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------ ----------------- ----------------- ----------------- ----------------- -----------------
Initial 100 100 100 100 100
May 2004 100 100 100 100 100
May 2005 100 100 100 100 100
May 2006 100 100 100 100 100
May 2007 100 87 64 46 33
May 2008 100 70 48 32 9
May 2009 100 56 36 12 0
May 2010 100 45 24 0 0
May 2011 100 36 7 0 0
May 2012 100 29 0 0 0
May 2013 100 16 0 0 0
May 2014 100 4 0 0 0
May 2015 100 0 0 0 0
May 2016 100 0 0 0 0
May 2017 100 0 0 0 0
May 2018 100 0 0 0 0
May 2019 100 0 0 0 0
May 2020 100 0 0 0 0
May 2021 100 0 0 0 0
May 2022 100 0 0 0 0
May 2023 100 0 0 0 0
May 2024 100 0 0 0 0
May 2025 96 0 0 0 0
May 2026 87 0 0 0 0
May 2027 77 0 0 0 0
May 2028 66 0 0 0 0
May 2029 54 0 0 0 0
May 2030 41 0 0 0 0
May 2031 26 0 0 0 0
May 2032 0 0 0 0 0
May 2033 0 0 0 0 0
Average Life to 25.99 6.97 5.23 4.27 3.74
Maturity (years)
Average Life to Call 25.98 6.94 5.21 4.25 3.72
(1) (years)
(1) 10% Optional Clean-Up Call
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 (%) A-3 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 ACTUAL/360
0 - - - - - - - -
1 9.39 9.47 7.89 7.89 7.89 7.89 7.89 7.89
2 8.64 8.71 7.14 7.14 7.14 7.14 7.14 7.14
3 8.46 8.52 6.94 6.94 6.94 6.94 6.94 6.94
4 8.48 8.55 6.96 6.96 6.96 6.96 6.96 6.96
5 8.72 8.79 7.19 7.19 7.19 7.19 7.19 7.19
6 8.49 8.56 6.96 6.96 6.96 6.96 6.96 6.96
7 8.73 8.80 7.19 7.19 7.19 7.19 7.19 7.19
8 8.50 8.57 6.96 6.96 6.96 6.96 6.96 6.96
9 8.51 8.57 6.96 6.96 6.96 6.96 6.96 6.96
10 9.00 9.08 7.44 7.44 7.44 7.44 7.44 7.44
11 8.52 8.59 6.96 6.96 6.96 6.96 6.96 6.96
12 8.76 8.83 7.19 7.19 7.19 7.19 7.19 7.19
13 8.53 8.60 6.96 6.96 6.96 6.96 6.96 6.96
14 8.78 8.85 7.19 7.19 7.19 7.19 7.19 7.19
15 8.55 8.61 6.96 6.96 6.96 6.96 6.96 6.96
16 8.55 8.62 6.96 6.96 6.96 6.96 6.96 6.96
17 8.80 8.87 7.19 7.19 7.19 7.19 7.19 7.19
18 8.57 8.64 6.96 6.96 6.96 6.96 6.96 6.96
19 8.82 8.89 7.19 7.19 7.19 7.19 7.19 7.19
20 8.59 8.66 6.96 6.96 6.96 6.96 6.96 6.96
21 8.60 8.66 6.96 6.96 6.96 6.96 6.96 6.96
22 9.38 9.46 7.71 7.71 7.71 7.71 7.71 7.71
23 9.47 9.54 7.92 7.92 7.92 7.92 7.92 7.92
24 9.75 9.82 8.18 8.18 8.18 8.18 8.18 8.18
25 9.12 9.19 7.92 7.92 7.92 7.92 7.92 7.92
26 9.40 9.47 8.18 8.18 8.18 8.18 8.18 8.18
27 9.15 9.21 7.92 7.92 7.92 7.92 7.92 7.92
28 9.16 9.23 7.91 7.91 7.91 7.91 7.91 7.91
29 10.31 10.38 9.16 9.16 9.16 9.16 9.16 9.16
30 10.02 10.09 8.87 8.87 8.87 8.87 8.87 8.87
31 10.34 10.41 9.16 9.16 9.16 9.16 9.16 9.16
32 10.06 10.13 8.86 8.86 8.86 8.86 8.86 8.86
33 10.08 10.15 8.86 8.86 8.86 8.86 8.86 8.86
34 11.12 11.19 9.85 9.85 9.85 9.85 9.85 9.85
35 11.02 11.08 9.86 9.86 9.86 9.86 9.86 9.86
36 11.38 11.45 10.19 10.19 10.19 10.19 10.19 10.19
(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 (%) A-3 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 ACTUAL/360
37 23.20 23.27 9.86 9.86 9.86 9.86 9.86 9.86
38 12.03 12.10 10.18 10.18 10.18 10.18 10.18 10.18
39 11.58 11.65 9.85 9.85 9.85 9.85 9.85 9.85
40 11.57 11.63 9.89 9.89 9.89 9.89 9.89 9.89
41 12.76 12.83 11.21 11.21 11.21 11.21 11.21 11.21
42 12.34 12.41 10.84 10.84 10.84 10.84 10.84 10.84
43 12.75 12.82 11.20 11.20 11.20 11.20 11.20 11.20
44 12.34 12.40 10.84 10.84 10.84 10.84 10.84 10.84
45 12.34 12.40 10.84 10.84 10.84 10.84 10.84 10.84
46 13.70 13.77 12.04 12.04 12.04 12.04 12.04 12.04
47 12.93 13.00 11.52 11.52 11.52 11.52 11.52 11.52
48 13.36 13.43 11.90 11.90 11.90 11.90 11.90 11.90
49 12.93 13.00 11.52 11.52 11.52 11.52 11.52 11.52
50 13.36 13.43 11.90 11.90 11.90 11.90 11.90 11.90
51 12.93 13.00 11.51 11.51 11.51 11.51 11.51 11.51
52 12.96 13.03 11.55 11.55 11.55 11.55 11.55 11.55
53 13.41 13.48 11.94 11.94 11.94 11.94 11.94 11.94
54 12.97 13.04 11.55 11.55 11.55 11.55 11.55 11.55
55 13.41 13.48 11.94 11.94 11.94 11.94 11.94 11.94
56 12.97 13.04 11.55 11.55 11.55 11.55 11.55 11.55
57 12.97 13.04 11.55 11.55 11.55 11.55 11.55 11.55
58 13.89 13.96 12.37 12.37 12.37 12.37 12.37 12.37
59 13.00 13.07 11.58 11.58 11.58 11.58 11.58 11.58
60 13.43 13.50 11.96 11.96 11.96 11.96 11.96 11.96
61 13.00 13.07 11.57 11.57 11.57 11.57 11.57 11.57
62 13.43 13.50 11.96 11.96 11.96 11.96 11.96 11.96
63 13.00 13.07 11.57 11.57 11.57 11.57 11.57 11.57
64 13.00 13.07 11.57 11.57 11.57 11.57 11.57 11.57
65 13.43 13.50 11.95 11.95 11.95 11.95 11.95 11.95
66 13.00 13.06 11.57 11.57 11.57 11.57 11.57 11.57
67 13.43 13.50 11.95 11.95 11.95 11.95 11.95 11.95
68 12.99 13.06 11.56 11.56 11.56 11.56 11.56 11.56
69 12.99 13.06 11.56 11.56 11.56 11.56 11.56 11.56
70 14.39 14.46 12.80 12.80 12.80 12.80 12.80 12.80
71 12.99 13.06 11.56 11.56 11.56 11.56 11.56 11.56
72 13.43 13.50 11.94 11.94 11.94 11.94 11.94 11.94
73 12.99 13.06 11.56 11.56 11.56 11.56 11.56 11.56
(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 (%) A-3 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 ACTUAL/360
74 13.42 13.49 11.94 11.94 11.94 11.94 11.94 11.94
75 12.99 13.06 11.55 11.55 11.55 11.55 11.55 11.55
76 12.99 13.06 11.55 11.55 11.55 11.55 11.55 11.55
77 13.42 13.49 11.93 11.93 11.93 11.93 11.93 11.93
78 12.99 13.06 11.55 11.55 11.55 11.55 11.55 11.55
79 13.42 13.49 11.93 11.93 11.93 11.93 11.93 11.93
80 12.99 13.06 11.55 11.55 11.55 11.55 11.55 11.55
81 12.99 13.06 11.54 11.54 11.54 11.54 11.54 11.54
82 14.38 14.45 12.78 12.78 12.78 12.78 12.78 12.78
83 11.63 11.69 11.54 11.54 11.54 11.54 11.54 11.54
84 11.82 11.89 11.92 11.92 11.92 11.92 11.92 11.92
85 11.45 11.52 11.54 11.54 11.54 11.54 11.54 11.54
86 11.85 11.92 11.92 11.92 11.92 11.92 11.92 11.92
87 11.49 11.55 11.54 11.54 11.54 11.54 11.54 11.54
88 11.50 11.57 11.54 11.54 11.54 11.54 11.54 11.54
89 11.90 11.97 11.92 11.92 11.92 11.92 11.92 11.92
90 11.54 11.61 11.53 11.53 11.53 11.53 11.53 11.53
91 11.94 12.01 11.92 11.92 11.92 11.92 11.92 11.92
92 11.58 11.64 11.53 11.53 11.53 11.53 11.53 11.53
93 11.59 11.66 11.53 11.53 11.53 11.53 11.53 11.53
94 12.86 12.93 12.76 12.76 12.76 12.76 12.76 12.76
95 11.64 11.70 11.53 11.53 11.53 11.53 11.53 11.53
96 12.04 12.11 11.91 11.91 11.91 11.91 11.91 11.91
97 11.68 11.75 11.52 11.52 11.52 11.52 11.52 11.52
98 12.09 12.16 11.91 11.91 11.91 11.91 11.91 11.91
99 11.72 11.79 11.52 11.52 11.52 11.52 11.52 11.52
100 11.75 11.81 11.52 11.52 11.52 11.52 11.52 11.52
101 12.16 12.23 11.90 11.90 11.90 11.90 11.90 11.90
102 11.79 11.86 11.52 11.52 11.52 11.52 11.52 11.52
103 12.21 12.28 11.90 11.90 11.90 11.90 11.90 11.90
104 11.85 11.91 11.52 11.52 11.52 11.52 11.52 11.52
105 11.87 11.94 11.51 11.51 11.51 11.51 11.51 11.51
106 12.72 12.79 12.31 12.31 12.31 12.31 12.31 -
107 11.93 12.00 11.51 11.51 11.51 11.51 11.51 -
108 12.35 12.42 11.90 11.90 11.90 11.90 11.90 -
109 11.99 12.05 11.51 11.51 11.51 11.51 11.51 -
110 12.42 12.49 11.89 11.89 11.89 11.89 11.89 -
(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 (%) A-3 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 ACTUAL/360
111 12.05 12.12 11.51 11.51 11.51 11.51 11.51 -
112 12.08 12.15 11.51 11.51 11.51 11.51 11.51 -
113 12.52 12.59 11.89 11.89 11.89 11.89 11.89 -
114 12.15 12.21 11.51 11.51 11.51 11.51 11.51 -
115 12.59 12.66 11.89 11.89 11.89 11.89 11.89 -
116 12.22 12.28 11.50 11.50 11.50 11.50 11.50 -
117 12.25 12.32 11.50 11.50 11.50 11.50 11.50 -
118 13.61 13.68 12.73 12.73 12.73 12.73 12.73 -
119 12.33 12.40 11.50 11.50 11.50 11.50 - -
120 12.78 12.85 11.88 11.88 11.88 11.88 - -
121 12.41 12.48 11.50 11.50 11.50 11.50 - -
122 12.86 12.93 11.88 11.88 11.88 11.88 - -
123 12.49 12.56 11.50 11.50 11.50 11.50 - -
124 12.54 12.60 11.50 11.50 11.50 11.50 - -
125 13.00 13.07 11.88 11.88 11.88 11.88 - -
126 12.63 12.69 11.49 11.49 11.49 11.49 - -
127 13.10 13.17 11.88 11.88 11.88 11.88 - -
128 12.72 12.79 11.49 11.49 11.49 11.49 - -
129 12.77 12.84 11.49 11.49 11.49 11.49 - -
130 14.20 14.27 12.72 12.72 12.72 - - -
131 12.87 12.94 11.49 11.49 11.49 - - -
132 13.36 13.43 11.87 11.87 11.87 - - -
133 12.98 13.05 11.49 11.49 11.49 - - -
134 13.47 13.54 11.87 11.87 11.87 - - -
135 13.10 13.17 11.49 11.49 11.49 - - -
136 13.16 13.23 11.49 11.49 11.49 - - -
137 13.66 13.73 11.87 11.87 11.87 - - -
138 13.28 13.35 11.49 11.49 11.49 - - -
139 13.79 13.86 11.87 11.87 11.87 - - -
140 13.41 13.48 11.48 11.48 11.48 - - -
141 13.48 13.55 11.48 11.48 - - - -
142 15.00 15.08 12.71 12.71 - - - -
143 13.62 13.69 11.48 11.48 - - - -
144 14.15 14.22 11.86 11.86 - - - -
145 13.77 13.84 11.48 11.48 - - - -
146 14.31 14.38 11.86 11.86 - - - -
147 13.93 13.99 11.48 11.48 - - - -
(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
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) A-3 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 ACTUAL/360
148 14.01 14.08 11.48 11.48 - - - -
149 14.56 14.63 11.86 11.86 - - - -
150 14.18 14.25 11.48 11.48 - - - -
151 14.74 14.81 11.86 11.86 - - - -
152 14.36 14.42 11.48 11.48 - - - -
153 14.45 14.52 11.48 11.48 - - - -
154 15.55 15.62 12.27 12.27 - - - -
155 14.64 14.71 11.48 11.48 - - - -
156 15.23 15.30 11.86 11.86 - - - -
157 14.85 14.91 11.48 11.48 - - - -
158 15.45 15.52 11.86 11.86 - - - -
159 15.06 15.13 11.48 11.48 - - - -
160 15.17 15.24 11.48 11.48 - - - -
161 15.80 15.87 11.86 11.86 - - - -
162 15.40 15.47 11.47 11.47 - - - -
163 16.04 16.11 11.86 11.86 - - - -
164 15.65 15.72 11.47 - - - - -
165 15.78 15.84 11.47 - - - - -
166 17.61 17.69 12.70 - - - - -
167 16.04 16.11 11.47 - - - - -
168 16.72 16.79 11.86 - - - - -
169 16.32 16.39 11.47 - - - - -
170 17.02 17.09 11.86 - - - - -
171 16.62 16.68 11.47 - - - - -
172 16.77 16.84 11.47 - - - - -
173 17.49 17.56 11.86 - - - - -
174 17.09 17.16 11.47 - - - - -
175 17.83 17.90 11.86 - - - - -
176 17.43 17.50 11.47 - - - - -
177 17.60 17.67 11.47 - - - - -
178 19.69 19.76 12.70 - - - - -
179 17.97 18.03 11.47 - - - - -
180 18.82 18.89 - - - - - -
181 18.53 18.60 - - - - - -
182 19.50 19.57 - - - - - -
183 19.24 19.30 - - - - - -
184 19.62 19.69 - - - - - -
(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 24
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) A-3 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 ACTUAL/360
185 20.70 20.77 - - - - - -
186 20.47 20.54 - - - - - -
187 21.64 21.71 - - - - - -
188 21.45 21.52 - - - - - -
189 21.99 22.06 - - - - - -
190 25.00 25.08 - - - - - -
191 23.22 23.28 - - - - - -
192 24.70 24.77 - - - - - -
193 24.65 24.72 - - - - - -
194 26.32 26.39 - - - - - -
195 26.31 26.38 - - - - - -
196 27.25 27.31 - - - - - -
197 29.22 29.29 - - - - - -
198 29.42 29.48 - - - - - -
199 31.71 31.78 - - - - - -
200 32.12 32.19 - - - - - -
201 33.73 33.80 - - - - - -
202 38.02 38.09 - - - - - -
203 37.67 37.74 - - - - - -
204 41.46 41.53 - - - - - -
205 42.98 43.05 - - - - - -
206 47.94 48.01 - - - - - -
207 50.51 50.57 - - - - - -
208 55.57 55.64 - - - - - -
209 64.03 64.10 - - - - - -
210 70.27 70.34 - - - - - -
211 84.23 84.30 - - - - - -
212 97.56 97.62 - - - - - -
213 122.31 122.38 - - - - - -
214 183.22 183.29 - - - - - -
215 259.81 259.88 - - - - - -
216 * * - - - - - -
* In Period 216 the Class A-2 has a balance of $29,962 and is paid $29,533 in
interest and the Class A-3 has a balance of $63,435 and is paid 62,530 in
interest.
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 25
