EXHIBIT 99.1
--------------------------- ------------------------- --------------------------
Xxxxxx Xxxxxxx January 13, 2004
Securitized Products Group Xxxxxx Xxxxxxx
--------------------------- ------------------------- --------------------------
Computational Materials
$993,709,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-HE1
Mortgage Pass-Through Certificates
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 1
--------------------------- ------------------------- --------------------------
Xxxxxx Xxxxxxx January 13, 2004
Securitized Products Group Xxxxxx Xxxxxxx
--------------------------- ------------------------- --------------------------
Approximately $993,709,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-HE1
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Chase Manhattan Mortgage Corporation
Countrywide Home Loans Inc.
Servicer
Transaction Highlights
----------------------
-------- ------------ ------------- ---------------- ------------ ------------ ------------------------- ------------- ------------
Modified
Avg Life Duration Initial
Offered Expected Ratings to Call / To Call / Payment Window To Call Subordination
Classes Description Balance(4) (S&P/Fitch) Mty(1)(2) Mty(1)(2)(3) / Mty(1)(2) Level(5) Benchmark
======== ============ ============= ================ ============ ============ ========================= ============= ============
A-1 Not Offered 692,382,000 *****Not Offered*****
-------- ------------ ------------- ---------------- ------------ ------------ ------------------------- ------------- ------------
A-2 Floater 776,619,000 AAA/AAA 2.88 / 3.14 2.80 / 3.03 03/04 - 02/12 / 03/04 - [14.40%] 1 Mo. LIBOR
08/21
-------- ------------ ------------- ---------------- ------------ ------------ ------------------------- ------------- ------------
M-1 Floater 112,406,000 AA/AA 04/07 - 02/12 / 04/07 - [7.85%] 1 Mo. LIBOR
5.30 / 5.80 5.07 / 5.50 10/17
-------- ------------ ------------- ---------------- ------------ ------------ ------------------------- ------------- ------------
M-2 Floater 36,040,000 A/A 03/07 - 02/12 / 03/07 - [5.75%] 1 Mo. LIBOR
5.29 / 5.70 4.94 / 5.28 11/15
-------- ------------ ------------- ---------------- ------------ ------------ ------------------------- ------------- ------------
M-3 Floater 17,161,000 A-/A- 5.28 / 5.62 4.90 / 5.17 03/07 - 02/12 / 03/07 - [4.75%] 1 Mo. LIBOR
11/14
-------- ------------ ------------- ---------------- ------------ ------------ ------------------------- ------------- ------------
B-1 Floater 17,161,000 BBB+/BBB+ 03/07 - 02/12 / 03/07 - [3.75%] 1 Mo. LIBOR
5.28 / 5.55 4.86 / 5.07 03/14
-------- ------------ ------------- ---------------- ------------ ------------ ------------------------- ------------- ------------
B-2 Floater 17,161,000 BBB/BBB 03/07 - 02/12 / 03/07 - [2.75%] 1 Mo. LIBOR
5.28 / 5.43 4.83 / 4.94 06/13
-------- ------------ ------------- ---------------- ------------ ------------ ------------------------- ------------- ------------
B-3 Floater 17,161,000 BBB-/BBB- 03/07 - 02/12 / 03/07 - [1.75%] 1 Mo. LIBOR
5.18 / 5.19 4.48 / 4.49 05/12
-------- ------------ ------------- ---------------- ------------ ------------ ------------------------- ------------- ------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
(5) Subordination levels to be finalized.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-HE1.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originators: Aames Capital Corporation, Accredited Home Lenders,
Inc. and NC Capital Corporation.
Servicer: Chase Manhattan Mortgage Corporation and Countrywide
Home Loans Inc.
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 & Partners,
L.P. and Xxxxxxxx Capital Partners, L.P.
Rating Agencies: Standard & Poor's and Fitch Ratings.
Offered Certificates: Class A-2, M-1, M-2, M-3, B-1, B-2 and B-3
Certificates.
Expected Closing Date: February 26, 2004 through DTC and Euroclear or
Clearstream. The Certificates will be sold without
accrued interest.
Distribution Dates: The 25th of each month, or if such day is not a
business day, on the next business day, beginning
March 25, 2004.
Final Scheduled
Distribution Date: The Distribution Date occurring in February 2034.
Due Period: For any Distribution Date, the period commencing on
the second day of the month preceding the month in
which such Distribution Date occurs and ending on the
first day of the month in which such Distribution
Date occurs.
Interest Accrual Period: The interest accrual period for the Offered
Certificates with respect to any Distribution Date
will be the period beginning with the previous
Distribution Date (or, in the case of the first
Distribution Date, the Closing Date) and ending on
the day prior to the current Distribution Date (on an
actual/360 day count basis).
Mortgage Loans: The Trust will consist of two groups of adjustable
and fixed rate sub-prime residential mortgage loans.
Group I Mortgage Loans: Approximately $808.9 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 $907.3 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.
Senior Enhancement For any Distribution Date, the percentage obtained
Percentage: by dividing (x) the aggregate Certificate Principal
Balance of the subordinate certificates (together
with any overcollateralization and taking into
account the distributions of the Principal
Distribution Amount for such Distribution Date) by
(y) the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 3
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in March 2007;
and
(b) The Distribution Date on which the aggregate
balance of the Class A Certificates is reduced
to zero; and
(y) The first Distribution Date on which the Senior
Enhancement Percentage (calculated for this
purpose only after taking into account payments
of principal on the Mortgage Loans on the last
day of the related Due Period but prior to
principal distributions to the certificates on
the applicable Distribution Date) is greater
than or equal to approximately [28.80%].
Trigger Event: Either a Delinquency Trigger Event or a Cumulative
Loss Trigger Event.
Delinquency Trigger A Delinquency Trigger Event is in effect on any
Event: Distribution Date if on that Distribution Date the 60
Day+ Rolling Average equals or exceeds [40%] of the
prior period's Senior Enhancement Percentage. The 60
Day+ Rolling Average will equal the rolling 3 month
average percentage of Mortgage Loans that are 60 or
more days delinquent.
Cumulative Loss Trigger A Cumulative Loss Trigger Event is in effect on any
Event: Distribution Date if the aggregate amount of Realized
Losses incurred since the cut-off date through the
last day of the related Prepayment Period divided by
the aggregate Stated Principal Balance of the
mortgage loans as of the cut-off date exceeds the
applicable percentages described below with respect
to such distribution date:
Months 37- 48 [ ] for the first month, plus
an additional 1/12th of [ ]
for each month thereafter
(e.g., [ ] in Month 43)
Months 49- 60 [ ] for the first month, plus
an additional 1/12th of [ ]
for each month thereafter
(e.g., [ ] in Month 55)
Months 61- 72 [ ] for the first month, plus
an additional 1/12th of [ ]
for each month thereafter
(e.g., [ ] in Month 67)
Months 73- 84 [ ] for the first month, plus
an additional 1/12th of [ ]
for each month thereafter
(e.g., [ ] in Month 79)
Months 85- thereafter [ ]
Initial Subordination Class A: [14.40%]
Percentage: Class M-1: [7.85%]
Class M-2: [5.75%]
Class M-3: [4.75%]
Class B-1: [3.75%]
Class B-2: [2.75%]
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.
Step-up Coupons: For all Offered Certificates the coupon will increase
after the optional clean-up call date, should the
call not be exercised. The applicable fixed margin
will increase by 2x on the Class A Certificates and
by 1.5x on all other Certificates after the first
distribution date on which the Optional Clean-up Call
is exercisable.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 4
Class A-1 Pass-Through The Class A-1 Certificates will accrue interest at
Rate: a variable rate equal to the least of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable), (ii) the Loan Group I Cap and (iii)
the WAC Cap.
Class A-2 Pass-Through The Class A-2 Certificates will accrue interest at a
Rate: variable rate equal to the least of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable), (ii) the Loan Group II Cap and (iii)
the WAC Cap.
Class M-1 Pass-Through The Class M-1 Certificates will accrue interest at a
Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the WAC Cap.
Class M-2 Pass-Through The Class M-2 Certificates will accrue interest at a
Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the WAC Cap.
Class M-3 Pass-Through The Class M-3 Certificates will accrue interest at a
Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the WAC Cap.
Class B-1 Pass-Through The Class B-1 Certificates will accrue interest at a
Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the WAC Cap.
Class B-2 Pass-Through The Class B-2 Certificates will accrue interest at a
Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the WAC Cap.
Class B-3 Pass-Through The Class B-3 Certificates will accrue interest at a
Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the WAC Cap.
WAC Cap: As to any Distribution Date a per annum rate equal to
the product of (i) the weighted average gross rate of
the Mortgage Loans in effect on the beginning of the
related Due Period less servicing, trustee and other
fee rates, and (ii) a fraction, the numerator of
which is 30 and the denominator of which is the
actual number of days in the related Interest Accrual
Period.
Loan Group I Cap: As to any Distribution Date, a per annum rate equal
to the product of (i) weighted average gross rate of
the Group I Mortgage Loans in effect on the beginning
of the related Due Period less servicing, trustee and
other fee rates, and (ii) a fraction, the numerator
of which is 30 and the denominator of which is the
actual number of days in the related Interest Accrual
Period.
Loan Group II Cap: As to any Distribution Date, a per annum rate equal
to the product of (i) weighted average gross rate of
the Group II Mortgage Loans in effect on the
beginning of the related Due Period less servicing,
trustee and other fee rates, and (ii) a fraction, the
numerator of which is 30 and the denominator of which
is the actual number of days in the related Interest
Accrual Period.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 5
Class A-1 Basis Risk As to any Distribution Date, the supplemental
Carry Forward Amount: interest amount for the Class A-1 Certificates will
equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the
Class A-1 Pass-Through Rate (without regard to
the Loan Group I Cap or WAC Cap) over interest
due such Certificates at a rate equal to the
lesser of the Loan Group I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at the
related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
Class A-2 Basis Risk As to any Distribution Date, the supplemental
Carry Forward Amount: interest amount for the Class A-2 Certificates will
equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the
Class A-2 Pass-Through Rate (without regard to
the Loan Group II Cap or WAC Cap) over interest
due such Certificates at a rate equal to the
lesser of the Loan Group II Cap or WAC Cap;
(ii) Any Class A-2 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at the
related Class A-2 Pass-Through Rate (without
regard to the Loan Group II Cap or WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the supplemental
B-1, B-2 and B-3 Basis interest amount for each of the Class M-1, M-2,
Risk Carry Forward M-3, B-1, B-2 and B-3 Certificates will equal the
Amounts: 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 each Distribution Date and after payments of
Offered Certificates: servicing and trustee fees and on other expenses,
interest distributions from the Interest Remittance
Amount will be allocated as follows:
(i) The portion of the Interest Remittance Amount
attributable to the Group I Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as
applicable, first, to the Class A-1
Certificates and second, to the Class A-2
Certificates;
(ii) The portion of the Interest Remittance Amount
attributable to the Group II Mortgage Loans
will be allocated according to the related
Accrued Certificate Interest and any unpaid
interest shortfall amounts for such class, as
applicable, first, to the Class A-2
Certificates and second, to the Class A-1
Certificates;
(iii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued
Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued
Certificate Interest, and
(viii) To the Class B-3 Certificates, its Accrued
Certificate Interest.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 6
Principal Distributions On each Distribution Date (a) prior to the
Offered Certificates: Stepdown Date or (b) on which a Trigger on Event is
in effect, principal distributions from the Principal
Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, allocated between
the Class A Certificates as described below,
until the Certificate Principal Balances
thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(v) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero; and
(vii) to the Class B-3 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger Event
is not in effect, the principal distributions
from the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, the lesser of the
Principal Distribution Amount and the Class A
Principal Distribution Amount, allocated
between the Class A Certificates as described
below, until the Certificate Principal Balances
thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class M-1 Principal Distribution Amount,
until the Certificate Principal Balance thereof
has been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class M-2 Principal Distribution Amount,
until the Certificate Principal Balance thereof
has been reduced to zero;
(iv) to the Class M-3 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class M-3 Principal Distribution Amount,
until the Certificate Principal Balance thereof
has been reduced to zero;
(v) to the Class B-1 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class B-1 Principal Distribution Amount,
until the Certificate Principal Balance thereof
has been reduced to zero;
(vi) to the Class B-2 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class B-2 Principal Distribution Amount,
until the Certificate Principal Balance thereof
has been reduced to zero; and
(vii) to the Class B-3 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class B-3 Principal Distribution Amount,
until the Certificate Principal Balance thereof
has been reduced to zero.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 7
Class A Principal All principal distributions to the Class A
Allocation: Certificates on any Distribution Date will be
allocated between the Class A-1 Certificates and the
Class A-2 Certificates on a pro rata basis based on
the Class A Principal Allocation Percentage for each
such class on such Distribution Date; provided,
however, that if the Certificate Principal Balance of
either class of Class A Certificates is reduced to
zero, then the remaining amount of principal
distributions distributable to the class of Class A
Certificates on such Distribution Date and all
subsequent Distribution Dates, will be distributed to
the remaining outstanding Class A Certificates until
the Certificate Principal Balance thereof has been
reduced to zero.
Class A-2 Interest Rate Beginning on the first Distribution Date, and for
Cap: a period of 35 months thereafter, an Interest Rate
Cap will be pledged to the Trust for the benefit of
the Class A-2 Certificates.
For its duration, the Class A-2 Interest Rate Cap
pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate (not to
exceed the cap ceiling) and the cap strike (on an
Actual/360 day count basis) and (ii) the Class A-2
Interest Rate Cap Notional Balance ("the Class A-2
Interest Rate Cap Payment") as described on the
schedule herein.
Class A-2 Interest Rate The Class A-2 Interest Rate Cap Payment shall be
Cap Payment Allocation: available to pay any Basis Risk Carry Forward Amount
due to the Class A-2 Certificates.
Class M Interest Rate Beginning on the first Distribution Date, and for a
Cap: period of 43 months thereafter, an Interest Rate Cap
will be pledged to the Trust for the benefit of the
Class M Certificates.
For its duration, the Class M Interest Rate Cap pays
the Trust the product of (i) the difference between
the then current 1-month LIBOR rate (not to exceed
the cap ceiling) and the cap strike (on an Actual/360
day count basis) and (ii) the Class M Interest Rate
Cap Notional Balance ("the Class M Interest Rate Cap
Payment") as described on the schedule herein.
Class M Interest Rate The Class M Interest Rate Cap Payment shall be
Cap Payment Allocation: available to pay any Basis Risk Carry Forward Amount
due to the Class M-1, Class M-2 and Class M-3
Certificates on a pro rata basis.
Class B Interest Rate Beginning on the first Distribution Date, and for a
Cap: period of 43 months thereafter, an Interest Rate Cap
will be pledged to the Trust for the benefit of the
Class B Certificates.
For its duration, the Class B Interest Rate Cap pays
the Trust the product of (i) the difference between
the then current 1-month LIBOR rate (not to exceed
the cap ceiling) and the cap strike (on an Actual/360
day count basis) and (ii) the Class B Interest Rate
Cap Notional Balance ("the Class B Interest Rate Cap
Payment") as described on the schedule herein.
Class B Interest Rate The Class B Interest Rate Cap Payment shall be
Cap Payment Allocation: available to pay any Basis Risk Carry Forward Amount
due to the Class B-1, Class B-2 and Class B-3
Certificates on a pro rata basis.
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
Allocation of Net For any Distribution Date, any Net Monthly Excess
Monthly Excess Cashflow: Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class M-3 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class 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 unpaid Class A-1 Basis Risk
Carry Forward Amount to the Class A-1
Certificates, and any unpaid Class A-2 Basis
Risk Carry Forward Amount to the Class A-2
Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3, B-1,
B-2 and B-3 Certificates, in such order, any
unpaid Basis Risk Carry Forward Amount for
such classes.
Interest Remittance For any Distribution Date, the portion of available
Amount: funds for such Distribution Date attributable to
interest received or advanced on the Mortgage Loans.
Accrued Certificate For any Distribution Date and each class of Offered
Interest: Certificates, equals the amount of interest accrued
during the related interest accrual period at the
related Pass-through Rate, reduced by any prepayment
interest shortfalls and shortfalls resulting from the
application of the Soldiers' and Sailors' Civil
Relief Act of 1940 or similar state law allocated to
such class.
Principal Distribution On any Distribution Date, the sum of (i) the Basic
Amount: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
Basic Principal On any Distribution Date, the excess of (i) the
Distribution Amount: aggregate principal remittance amount over (ii) the
Excess Subordinated Amount, if any.
Net Monthly Excess For any Distribution Date is the amount of funds
Cashflow: available for distribution on such Distribution Date
remaining after making all distributions of interest
and principal on the certificates.
Extra Principal For any Distribution Date, the lesser of (i) the
Distribution Amount: excess of (x) interest collected or advanced with
respect to the Mortgage Loans with due dates in the
related Due Period (less servicing and trustee fees
and expenses), over (y) the sum of interest payable
on the Certificates on such Distribution Date and
(ii) the overcollateralization deficiency amount for
such Distribution Date.
Excess Subordinated For any Distribution Date, means the excess, if any
Amount: of (i) the overcollateralization and (ii) the
required overcollateralization for such Distribution
Date.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 9
Class A Principal For any Distribution Date, the percentage equivalent
Allocation Percentage: of a fraction, determined as follows: (i) in the case
of the Class A-1 Certificates the numerator of which
is (x) the portion of the principal remittance amount
for such Distribution Date that is attributable to
principal received or advanced on the Group I
Mortgage Loans and the denominator of which is (y)
the principal remittance amount for such Distribution
Date and (ii) in the case of the Class A-2
Certificates, the numerator of which is (x) the
portion of the principal remittance amount for such
Distribution Date that is attributable to principal
received or advanced on the Group II Mortgage Loans
and the denominator of which is (y) the principal
remittance amount for such Distribution Date.
Class A Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the aggregate Certificate Principal
Balance of the Class A Certificates immediately prior
to such Distribution Date over (y) the lesser of (A)
the product of (i) approximately 71.20% 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 $8,580,617.
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 84.30% and
(ii) the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period
and (B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over $8,580,617.
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 88.50% and (ii) the
aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related
Due Period over $8,580,617.
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
90.50% 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
$8,580,617.
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-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 92.50% 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 $8,580,617.
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 94.50% 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 $8,580,617.
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
$8,580,617.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
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
SMMEA Eligibility: None of the Offered Certificates will be SMMEA
eligible.
Prospectus: The Class A-2, Class M-1, Class M-2, Class M-3, Class
B-1, Class B-2 and Class B-3 Certificates are being
offered pursuant to a prospectus supplemented by a
prospectus supplement (together, the "Prospectus").
Complete information with respect to the Offered
Certificates and the collateral securing them is
contained in the Prospectus. The information herein
is qualified in its entirety by the information
appearing in the Prospectus. To the extent that the
information herein is inconsistent with the
Prospectus, the Prospectus shall govern in all
respects. Sales of the Offered Certificates may not
be consummated unless the purchaser has received the
Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS
FOR A DESCRIPTION OF INFORMATION THAT SHOULD
BE CONSIDERED IN CONNECTION WITH AN INVESTMENT
IN THE OFFERED CERTIFICATES.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 12
Weighted Average Life Sensitivity
To CALL
-----------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.58 4.75 3.85 2.88 2.23 1.76 1.39
First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004
Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Maturity
Window 1 - 182 1 - 157 1 - 128 1 - 96 1 - 75 1 - 61 1 - 51
-----------------------------------------------------------------------------------------------------------
M-1 WAL 10.16 8.66 7.01 5.30 4.44 4.10 4.09
First Payment Date 2/25/2009 4/25/2008 6/25/2007 4/25/2007 6/25/2007 7/25/2007 10/25/2007
Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Maturity
Window 60 - 182 50 - 157 40 - 128 38 - 96 40 - 75 41 - 61 44 - 51
-----------------------------------------------------------------------------------------------------------
M-2 WAL 10.16 8.66 7.01 5.29 4.37 3.90 3.71
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007
Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Maturity
Window 60 - 182 50 - 157 40 - 128 37 - 96 39 - 75 40 - 61 41 - 51
-----------------------------------------------------------------------------------------------------------
M-3 WAL 10.16 8.66 7.01 5.28 4.34 3.85 3.61
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007
Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Maturity
Window 60 - 182 50 - 157 40 - 128 37 - 96 38 - 75 39 - 61 40 - 51
-----------------------------------------------------------------------------------------------------------
B-1 WAL 10.16 8.66 7.01 5.28 4.34 3.83 3.56
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 5/25/2007
Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Maturity
Window 60 - 182 50 - 157 40 - 128 37 - 96 38 - 75 39 - 61 39 - 51
-----------------------------------------------------------------------------------------------------------
B-2 WAL 10.16 8.66 7.01 5.28 4.33 3.78 3.51
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007
Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Maturity
Window 60 - 182 50 - 157 40 - 128 37 - 96 37 - 75 38 - 61 39 - 51
-----------------------------------------------------------------------------------------------------------
B-3 WAL 10.00 8.51 6.88 5.18 4.23 3.71 3.40
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007
Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008
Maturity
Window 60 - 182 50 - 157 40 - 128 37 - 96 37 - 75 37 - 61 38 - 51
-----------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 13
Weighted Average Life Sensitivity
To MATURITY
------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.96 5.11 4.17 3.14 2.45 1.94 1.53
First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004
Expected Final 6/25/2031 9/25/2029 6/25/2026 8/25/2021 2/25/2018 7/25/2015 8/25/2013
Maturity
Window 1 - 328 1 - 307 1 - 268 1 - 210 1 - 168 1 - 137 1 - 114
------------------------------------------------------------------------------------------------------------
M-1 WAL 10.97 9.40 7.65 5.80 4.85 4.43 4.43
First Payment Date 2/25/2009 4/25/2008 6/25/2007 4/25/2007 6/25/2007 7/25/2007 10/25/2007
Expected Final 11/25/2027 5/25/2025 12/25/2021 10/25/2017 12/25/2014 11/25/2012 6/25/2011
Maturity
Window 60 - 285 50 - 255 40 - 214 38 - 164 40 - 130 41 - 105 44 - 88
------------------------------------------------------------------------------------------------------------
M-2 WAL 10.84 9.28 7.54 5.70 4.70 4.16 3.93
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007
Expected Final 4/25/2025 10/25/2022 7/25/2019 11/25/2015 5/25/2013 8/25/2011 5/25/2010
Maturity
Window 60 - 254 50 - 224 40 - 185 37 - 141 39 - 111 40 - 90 41 - 75
------------------------------------------------------------------------------------------------------------
M-3 WAL 10.74 9.18 7.45 5.62 4.62 4.07 3.79
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007
Expected Final 10/25/2023 4/25/2021 4/25/2018 11/25/2014 7/25/2012 12/25/2010 10/25/2009
Maturity
Window 60 - 236 50 - 206 40 - 170 37 - 129 38 - 101 39 - 82 40 - 68
------------------------------------------------------------------------------------------------------------
B-1 WAL 10.62 9.07 7.36 5.55 4.55 4.00 3.70
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 5/25/2007
Expected Final 11/25/2022 5/25/2020 7/25/2017 3/25/2014 1/25/2012 7/25/2010 6/25/2009
Maturity
Window 60 - 225 50 - 195 40 - 161 37 - 121 38 - 95 39 - 77 39 - 64
------------------------------------------------------------------------------------------------------------
B-2 WAL 10.42 8.88 7.20 5.43 4.45 3.88 3.58
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007
Expected Final 8/25/2021 3/25/2019 7/25/2016 6/25/2013 6/25/2011 1/25/2010 1/25/2009
Maturity
Window 60 - 210 50 - 181 40 - 149 37 - 112 37 - 88 38 - 71 39 - 59
------------------------------------------------------------------------------------------------------------
B-3 WAL 10.01 8.52 6.89 5.19 4.24 3.72 3.41
First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007
Expected Final 11/25/2019 8/25/2017 3/25/2015 5/25/2012 8/25/2010 5/25/2009 7/25/2008
Maturity
Window 60 - 189 50 - 162 40 - 133 37 - 99 37 - 78 37 - 63 38 - 53
------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 14
CPR Sensitivity
To CALL
------------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------------
A-2 WAL (yrs) 3.41 2.68 2.15
First Payment Date 3/25/2004 3/25/2004 3/25/2004
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 1 - 116 1 - 92 1 - 75
------------------------------------------------------------------------
M-1 WAL 6.32 5.11 4.45
First Payment Date 3/25/2007 4/25/2007 6/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 38 - 92 40 - 75
------------------------------------------------------------------------
M-2 WAL 6.32 5.09 4.36
First Payment Date 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 38 - 92 39 - 75
------------------------------------------------------------------------
M-3 WAL 6.32 5.09 4.34
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 38 - 75
------------------------------------------------------------------------
B-1 WAL 6.32 5.07 4.32
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 38 - 75
------------------------------------------------------------------------
B-2 WAL 6.32 5.07 4.32
First Payment Date 3/25/2007 3/25/2007 3/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 37 - 75
------------------------------------------------------------------------
B-3 WAL 6.21 4.98 4.22
First Payment Date 3/25/2007 3/25/2007 3/25/2007
Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010
Window 37 - 116 37 - 92 37 - 75
------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 15
CPR Sensitivity
To MATURITY
------------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------------
A-2 WAL (yrs) 3.70 2.92 2.35
First Payment Date 3/25/2004 3/25/2004 3/25/2004
Expected Final Maturity 11/25/2024 1/25/2021 2/25/2018
Window 1 - 249 1 - 203 1 - 168
------------------------------------------------------------------------
M-1 WAL 6.93 5.60 4.86
First Payment Date 3/25/2007 4/25/2007 6/25/2007
Expected Final Maturity 7/25/2020 5/25/2017 1/25/2015
Window 37 - 197 38 - 159 40 - 131
------------------------------------------------------------------------
M-2 WAL 6.82 5.49 4.70
First Payment Date 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 4/25/2018 6/25/2015 5/25/2013
Window 37 - 170 38 - 136 39 - 111
------------------------------------------------------------------------
M-3 WAL 6.74 5.42 4.62
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 1/25/2017 6/25/2014 8/25/2012
Window 37 - 155 37 - 124 38 - 102
------------------------------------------------------------------------
B-1 WAL 6.65 5.34 4.54
First Payment Date 3/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 5/25/2016 11/25/2013 2/25/2012
Window 37 - 147 37 - 117 38 - 96
------------------------------------------------------------------------
B-2 WAL 6.50 5.22 4.44
First Payment Date 3/25/2007 3/25/2007 3/25/2007
Expected Final Maturity 5/25/2015 2/25/2013 6/25/2011
Window 37 - 135 37 - 108 37 - 88
------------------------------------------------------------------------
B-3 WAL 6.22 4.99 4.23
First Payment Date 3/25/2007 3/25/2007 3/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 8/25/2010
Window 37 - 120 37 - 96 37 - 78
------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 16
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------------- -------------- ------------- -------------- ------------- -------------- ------------- --------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 - - - - - - -
1 9.97 9.81 9.81 9.81 9.81 9.81 9.81
2 9.28 9.13 9.13 9.13 9.13 9.13 9.13
3 9.55 9.38 9.38 9.38 9.38 9.38 9.38
4 9.34 9.17 9.17 9.17 9.17 9.17 9.17
5 9.57 9.39 9.39 9.39 9.39 9.39 9.39
6 9.35 9.17 9.17 9.17 9.17 9.17 9.17
7 9.35 9.17 9.17 9.17 9.17 9.17 9.17
8 9.58 9.39 9.39 9.39 9.39 9.39 9.39
9 9.36 9.17 9.17 9.17 9.17 9.17 9.17
10 9.59 9.39 9.39 9.39 9.39 9.39 9.39
11 9.37 9.17 9.17 9.17 9.17 9.17 9.17
12 9.38 9.17 9.17 9.17 9.17 9.17 9.17
13 10.12 9.89 9.89 9.89 9.89 9.89 9.89
14 9.39 9.17 9.17 9.17 9.17 9.17 9.17
15 9.62 9.39 9.39 9.39 9.39 9.39 9.39
16 9.40 9.17 9.17 9.17 9.17 9.17 9.17
17 9.63 9.39 9.39 9.39 9.39 9.39 9.39
18 9.41 9.17 9.17 9.17 9.17 9.17 9.17
19 9.42 9.17 9.17 9.17 9.17 9.17 9.17
20 9.68 9.41 9.41 9.41 9.41 9.41 9.41
21 9.47 9.20 9.20 9.20 9.20 9.20 9.20
22 10.48 10.21 10.21 10.21 10.21 10.21 10.21
23 10.23 9.95 9.95 9.95 9.95 9.95 9.95
24 10.23 9.95 9.95 9.95 9.95 9.95 9.95
25 11.11 10.79 10.79 10.79 10.79 10.79 10.79
26 10.27 9.97 9.97 9.97 9.97 9.97 9.97
27 10.56 10.24 10.24 10.24 10.24 10.24 10.24
28 10.46 10.14 10.14 10.14 10.14 10.14 10.14
29 10.77 10.42 10.42 10.42 10.42 10.42 10.42
30 10.49 10.14 10.14 10.14 10.14 10.14 10.14
31 10.53 10.16 10.16 10.16 10.16 10.16 10.16
32 10.87 10.48 10.48 10.48 10.48 10.48 10.48
33 10.75 10.35 10.35 10.35 10.35 10.35 10.35
34 10.96 10.53 10.53 10.53 10.53 10.53 10.53
35 10.66 10.22 10.22 10.22 10.22 10.22 10.22
36 10.67 10.22 10.22 10.22 10.22 10.22 10.22
37 23.30 11.24 11.24 11.24 11.24 11.24 11.24
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 17
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------------- -------------- ------------- -------------- ------------- -------------- ------------- --------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
38 11.09 10.28 10.28 10.28 10.27 10.27 10.27
39 11.55 10.73 10.73 10.73 10.73 10.73 10.73
40 11.76 10.18 10.18 10.18 10.18 10.18 10.18
41 12.15 10.51 10.51 10.51 10.51 10.51 10.51
42 11.76 10.18 10.18 10.18 10.18 10.18 10.18
43 11.78 10.20 10.20 10.20 10.20 10.20 10.20
44 12.21 10.57 10.57 10.57 10.57 10.57 10.57
45 11.94 10.22 10.22 10.22 10.22 10.22 10.22
46 12.62 10.83 10.83 10.83 10.83 10.83 10.83
47 12.21 10.48 10.48 10.48 10.48 10.48 10.48
48 12.21 10.48 10.48 10.48 10.48 10.48 10.48
49 13.08 11.23 11.23 11.23 11.23 11.23 11.23
50 12.26 10.53 10.53 10.53 10.53 10.53 10.53
51 12.79 11.01 11.01 11.01 11.01 11.01 11.01
52 12.39 10.66 10.66 10.66 10.66 10.66 10.66
53 12.80 11.01 11.01 11.01 11.01 11.01 11.01
54 12.39 10.66 10.66 10.66 10.66 10.66 10.66
55 12.40 10.67 10.67 10.67 10.67 10.67 10.67
56 12.83 11.04 11.04 11.04 11.04 11.04 11.04
57 12.49 10.77 10.77 10.77 10.77 10.77 10.77
58 13.00 11.19 11.19 11.19 11.19 11.19 11.19
59 12.58 10.82 10.82 10.82 10.82 10.82 10.82
60 12.58 10.82 10.82 10.82 10.82 10.82 10.82
61 13.92 11.98 11.98 11.98 11.98 11.98 11.98
62 12.57 10.82 10.82 10.82 10.82 10.82 10.82
63 12.99 11.18 11.18 11.18 11.18 11.18 11.18
64 12.57 10.82 10.82 10.82 10.82 10.82 10.82
65 12.99 11.18 11.18 11.18 11.18 11.18 11.18
66 12.57 10.82 10.82 10.82 10.82 10.82 10.82
67 12.57 10.81 10.81 10.81 10.81 10.81 10.81
68 12.99 11.17 11.17 11.17 11.17 11.17 11.17
69 12.57 10.81 10.81 10.81 10.81 10.81 10.81
70 12.99 11.17 11.17 11.17 11.17 11.17 11.17
71 12.57 10.81 10.81 10.81 10.81 10.81 10.81
72 12.57 10.81 10.81 10.81 10.81 10.81 10.81
73 13.91 11.97 11.97 11.97 11.97 11.97 11.97
74 12.57 10.81 10.81 10.81 10.81 10.81 10.81
75 12.98 11.17 11.17 11.17 11.17 11.17 11.17
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------------- -------------- ------------- -------------- ------------- -------------- ------------- --------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
76 12.56 10.80 10.80 10.80 10.80 10.80 10.80
77 12.98 11.16 11.16 11.16 11.16 11.16 11.16
78 12.56 10.80 10.80 10.80 10.80 10.80 10.80
79 12.56 10.80 10.80 10.80 10.80 10.80 10.80
80 12.98 11.16 11.16 11.16 11.16 11.16 11.16
81 12.56 10.80 10.80 10.80 10.80 10.80 10.80
82 12.68 11.16 11.16 11.16 11.16 11.16 11.16
83 11.20 10.80 10.80 10.80 10.80 10.80 10.80
84 11.21 10.80 10.80 10.80 10.80 10.80 10.80
85 12.42 11.95 11.95 11.95 11.95 11.95 11.95
86 11.23 10.80 10.80 10.80 10.80 10.80 10.80
87 11.62 11.15 11.15 11.15 11.15 11.15 11.15
88 11.26 10.79 10.79 10.79 10.79 10.79 10.79
89 11.65 11.15 11.15 11.15 11.15 11.15 11.15
90 11.29 10.79 10.79 10.79 10.79 10.79 10.79
91 11.30 10.79 10.79 10.79 10.79 10.79 10.79
92 11.70 11.15 11.15 11.15 11.15 11.15 11.15
93 11.33 10.79 10.79 10.79 10.79 10.79 10.79
94 11.73 11.15 11.15 11.15 11.15 11.15 11.15
95 11.37 10.79 10.79 10.79 10.79 10.79 10.79
96 11.38 10.79 10.79 10.79 10.79 10.79 10.79
97 12.19 11.53 11.53 11.53 11.53 11.53 11.53
98 11.42 10.79 10.79 10.79 10.79 10.79 10.79
99 11.82 11.14 11.14 11.14 11.14 11.14 11.14
100 11.46 10.78 10.78 10.78 10.78 10.78 10.78
101 11.86 11.14 11.14 11.14 11.14 11.14 11.14
102 11.49 10.78 10.78 10.78 10.78 10.78 -
103 11.51 10.78 10.78 10.78 10.78 10.78 -
104 11.92 11.14 11.14 11.14 11.14 11.14 -
105 11.56 10.78 10.78 10.78 10.78 10.78 -
106 11.97 11.14 11.14 11.14 11.14 11.14 -
107 11.60 10.78 10.78 10.78 10.78 10.78 -
108 11.63 10.78 10.78 10.78 10.78 10.78 -
109 12.90 11.93 11.93 11.93 11.93 11.93 -
110 11.67 10.78 10.78 10.78 10.78 10.78 -
111 12.09 11.14 11.14 11.14 11.14 11.14 -
112 11.72 10.78 10.78 10.78 10.78 10.78 -
113 12.14 11.14 11.14 11.14 11.14 11.14 -
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------------- -------------- ------------- -------------- ------------- -------------- ------------- --------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
114 11.78 10.78 10.78 10.78 10.78 - -
115 11.81 10.78 10.78 10.78 10.78 - -
116 12.23 11.14 11.14 11.14 11.14 - -
117 11.86 10.78 10.78 10.78 10.78 - -
118 12.29 11.13 11.13 11.13 11.13 - -
119 11.93 10.77 10.77 10.77 10.77 - -
120 11.96 10.77 10.77 10.77 10.77 - -
121 13.27 11.93 11.93 11.93 11.93 - -
122 12.02 10.77 10.77 10.77 10.77 - -
123 12.46 11.13 11.13 11.13 11.13 - -
124 12.09 10.77 10.77 10.77 - - -
125 12.53 11.13 11.13 11.13 - - -
126 12.17 10.77 10.77 10.77 - - -
127 12.20 10.77 10.77 10.77 - - -
128 12.65 11.13 11.13 11.13 - - -
129 12.28 10.77 10.77 10.77 - - -
130 12.74 11.13 11.13 11.13 - - -
131 12.37 10.77 10.77 10.77 - - -
132 12.41 10.77 10.77 - - - -
133 13.79 11.93 11.93 - - - -
134 12.50 10.77 10.77 - - - -
135 12.97 11.13 11.13 - - - -
136 12.60 10.77 10.77 - - - -
137 13.07 11.13 11.13 - - - -
138 12.70 10.77 10.77 - - - -
139 12.75 10.77 10.77 - - - -
140 13.23 11.13 11.13 - - - -
141 12.86 10.77 10.77 - - - -
142 13.35 11.13 11.13 - - - -
143 12.97 10.77 10.77 - - - -
144 13.03 10.77 - - - - -
145 14.00 11.51 - - - - -
146 13.16 10.77 - - - - -
147 13.66 11.13 - - - - -
148 13.29 10.77 - - - - -
149 13.80 11.13 - - - - -
150 13.43 10.77 - - - - -
151 13.50 10.77 - - - - -
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------------- -------------- ------------- -------------- ------------- -------------- ------------- --------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
152 14.02 11.13 - - - - -
153 13.65 10.77 - - - - -
154 14.18 11.13 - - - - -
155 13.81 10.78 - - - - -
156 13.89 10.78 - - - - -
157 15.47 11.93 - - - - -
158 14.06 10.78 - - - - -
159 14.62 11.14 - - - - -
160 14.24 10.78 - - - - -
161 14.81 11.14 - - - - -
162 14.43 10.78 - - - - -
163 14.53 10.78 - - - - -
164 15.12 11.14 - - - - -
165 14.73 10.78 - - - - -
166 15.34 11.14 - - - - -
167 14.95 10.78 - - - - -
168 15.08 - - - - - -
169 16.88 - - - - - -
170 15.42 - - - - - -
171 16.13 - - - - - -
172 15.80 - - - - - -
173 16.53 - - - - - -
174 16.21 - - - - - -
175 16.44 - - - - - -
176 17.25 - - - - - -
177 16.95 - - - - - -
178 17.78 - - - - - -
179 17.49 - - - - - -
180 17.78 - - - - - -
181 20.03 - - - - - -
182 18.42 - - - - - -
183 19.40 - - - - - -
184 19.15 - - - - - -
185 20.20 - - - - - -
186 19.98 - - - - - -
187 20.45 - - - - - -
188 21.64 - - - - - -
189 21.49 - - - - - -
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 21
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------------- -------------- ------------- -------------- ------------- -------------- ------------- --------------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
190 22.80 - - - - - -
191 22.70 - - - - - -
192 23.39 - - - - - -
193 25.81 - - - - - -
194 24.97 - - - - - -
195 26.74 - - - - - -
196 26.89 - - - - - -
197 28.94 - - - - - -
198 29.25 - - - - - -
199 30.66 - - - - - -
200 33.33 - - - - - -
201 34.08 - - - - - -
202 37.38 - - - - - -
203 38.62 - - - - - -
204 41.50 - - - - - -
205 49.77 - - - - - -
206 49.15 - - - - - -
207 56.17 - - - - - -
208 61.02 - - - - - -
209 72.13 - - - - - -
210 81.90 - - - - - -
211 99.68 - - - - - -
212 132.61 - - - - - -
213 182.24 - - - - - -
214 331.65 - - - - - -
215 * - - - - - -
216 - - - - - - -
217 - - - - - - -
* In Period 215 the Class A-2 has a balance of $62,999 and is paid $246,995
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 22
Interest Rate Cap Schedules
Class A-2 Cap Class M Cap Class B Cap
------------------------------------ ------------------------------------- -------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 776,619,000.00 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
2 759,696,304.80 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
3 742,705,878.22 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
4 725,644,047.00 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
5 708,508,886.77 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
6 691,300,358.03 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
7 674,020,294.68 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
8 656,672,381.85 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
9 639,262,122.39 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
10 621,796,792.24 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
11 604,286,098.96 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
12 586,850,334.96 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
13 569,749,528.48 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
14 553,052,093.17 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
15 536,748,575.36 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
16 520,829,742.07 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
17 505,286,575.87 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
18 490,110,269.88 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
19 475,292,222.87 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
20 460,824,034.41 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
21 446,697,500.29 6.35 8.85 165,607,000.00 5.70 8.20 51,483,000.00 4.25 6.75
22 432,904,670.74 7.50 9.70 165,607,000.00 6.75 8.95 51,483,000.00 5.30 7.50
23 419,438,171.74 7.50 9.70 165,607,000.00 6.75 8.95 51,483,000.00 5.30 7.50
24 406,289,819.51 7.50 9.70 165,607,000.00 6.75 8.95 51,483,000.00 5.30 7.50
25 393,452,150.74 7.50 9.70 165,607,000.00 6.75 8.95 51,483,000.00 5.30 7.50
26 380,917,876.45 7.50 9.70 165,607,000.00 6.75 8.95 51,483,000.00 5.30 7.50
27 368,679,877.93 7.50 9.70 165,607,000.00 6.75 8.95 51,483,000.00 5.30 7.50
28 356,731,202.74 8.25 10.00 165,607,000.00 7.45 9.20 51,483,000.00 6.00 7.75
29 345,065,060.90 8.25 10.00 165,607,000.00 7.45 9.20 51,483,000.00 6.00 7.75
30 333,674,821.04 8.25 10.00 165,607,000.00 7.45 9.20 51,483,000.00 6.00 7.75
31 322,554,006.75 8.25 10.00 165,607,000.00 7.45 9.20 51,483,000.00 6.00 7.75
32 311,696,295.14 8.25 10.00 165,607,000.00 7.45 9.20 51,483,000.00 6.00 7.75
33 301,095,515.66 8.25 10.00 165,607,000.00 7.45 9.20 51,483,000.00 6.00 7.75
34 290,745,625.97 9.00 10.00 165,607,000.00 8.20 9.20 51,483,000.00 6.75 7.75
35 280,640,741.48 9.00 10.00 165,607,000.00 8.20 9.20 51,483,000.00 6.75 7.75
36 270,775,100.32 9.00 10.00 165,607,000.00 8.20 9.20 51,483,000.00 6.75 7.75
37 165,607,000.00 8.20 9.20 51,483,000.00 6.75 7.75
38 161,135,388.68 8.20 9.20 43,108,967.11 6.75 7.75
39 145,470,789.77 8.20 9.20 42,070,445.29 6.75 7.75
40 132,068,145.82 9.05 9.20 41,056,624.12 7.60 7.75
41 128,884,535.86 9.05 9.20 40,066,920.84 7.60 7.75
42 125,776,676.00 9.05 9.20 39,100,766.34 7.60 7.75
43 122,742,778.56 9.05 9.20 38,157,604.86 7.60 7.75
44 119,781,097.85 9.05 9.20 37,236,893.73 7.60 7.75
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 23
