--------------------------------------------------------------------------------
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ September 23, 2003
Securitized Products Group [▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
Computational Materials
$611,053,000
Approximately
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Series 2003-NC10
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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shall be deemed superseded, amended and supplemented in its entirety by such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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
------------------------------------------------------------------------------
Page 1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ September 23, 2003
Securitized Products Group [▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
Approximately $611,053,000
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc., Series 2003-NC10
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Depositor
Countrywide Home Loans Inc.
Servicer
Transaction Highlights
----------------------
------------- -------------- ---------------- ---------------------- ------------- ------------- ------------------------------
Modified
Avg Life to Duration To
Offered Expected Ratings Call / Call / Payment Window To Call /
Classes Description Balance (S&P/Fitch/ Moody's) Mty(1)(2) Mty(1)(2)(3) Mty(1)(2)
============= ============== ================ ====================== ============= ============= ==============================
A-1 Not Offered 796,137,000 *****Not Offered*****
------------- -------------- ---------------- ---------------------------------------------------------------------------------
A-2 Floater 368,707,000 AAA/AAA/Aaa 2.78 / 3.04 2.70 / 2.93 11/03 - 10/11 / 11/03 - 05/21
------------- -------------- ---------------- ---------------------- ------------- ------------- ------------------------------
M-1 Floater 93,044,000 AA/AA/Aa2 5.34 / 5.89 5.08 / 5.54 01/07 - 10/11 / 01/07 - 05/18
------------- -------------- ---------------- ---------------------- ------------- ------------- ------------------------------
M-2 Floater 77,897,000 A/A/A2 5.31 / 5.81 4.89 / 5.27 12/06 - 10/11 / 12/06 - 02/17
------------- -------------- ---------------- ---------------------- ------------- ------------- ------------------------------
M-3 Floater 15,147,000 A-/A-/A3 5.31 / 5.73 4.83 / 5.14 11/06 - 10/11 / 11/06 - 05/15
------------- -------------- ---------------- ---------------------- ------------- ------------- ------------------------------
B-1 Floater 16,589,000 BBB+/BBB+/Baa1 5.30 / 5.67 4.59 / 4.84 11/06 - 10/11 / 11/06 - 11/14
------------- -------------- ---------------- ---------------------- ------------- ------------- ------------------------------
B-2 Floater 19,474,000 BBB/BBB/Baa2 5.30 / 5.59 4.56 / 4.76 11/06 - 10/11 / 11/06 - 03/14
------------- -------------- ---------------- ---------------------- ------------- ------------- ------------------------------
B-3 Floater 20,195,000 BBB-/BBB-/Baa3 5.30 / 5.43 4.56 / 4.65 11/06 - 10/11 / 11/06 - 03/13
------------- -------------- ---------------- ---------------------- ------------- ------------- ------------------------------
TABLE (CONTINUED)
------------- ----------------- ----------------
Initial
Offered Subordination
Classes Level Benchmark
============= ================= ================
A-1 *****Not Offered*****
------------- -----------------------------------
A-2 19.25% 1 Mo. LIBOR
------------- ----------------- ----------------
M-1 12.80% 1 Mo. LIBOR
------------- ----------------- ----------------
M-2 7.40% 1 Mo. LIBOR
------------- ----------------- ----------------
M-3 6.35% 1 Mo. LIBOR
------------- ----------------- ----------------
B-1 5.20% 1 Mo. LIBOR
------------- ----------------- ----------------
B-2 3.85% 1 Mo. LIBOR
------------- ----------------- ----------------
B-3 2.45% 1 Mo. LIBOR
------------- ----------------- ----------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc. Trust 2003-NC10.
Depositor: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Originator: NC Capital Corporation.
Servicer: Countrywide Home Loans Inc.
Trustee: Deutsche Bank National Trust Company.
Managers: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (lead manager), Countrywide Securities
Corporation and ▇▇▇▇▇▇▇▇ Capital Partners, L.P.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
------------------------------------------------------------------------------
Page 2
Rating Agencies: Standard & Poor's, Fitch Ratings and ▇▇▇▇▇'▇ Investors
Service.
Offered Certificates: Classes A-2, M-1, M-2, M-3, B-1, B-2 and B-3
Certificates.
Expected Closing Date: October 28, 2003 through DTC and Euroclear or
Clearstream. The Certificates will be sold without
accrued interest.
Distribution Dates: The 25th of each month, or if such day is not a
business day, on the next business day, beginning
November 25, 2003.
Final Scheduled
Distribution Date: The Distribution Date occurring in September 2033.
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 $985.9 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 $456.6 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 o Fixed Rate Mortgage Loans: CPR starting at
Speed: 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) 2.45% 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 4.90% 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, provided, however, that if, on any
distribution date, a Delinquency Trigger Event
exists, the required overcollateralization will
not be reduced to the applicable percentage of the
then Stated Principal Balance of the mortgage
loans but instead remain the same as the prior
period's required overcollateralization until the
distribution date on which a Delinquency Trigger
Event no longer exists; provided, further, that
if, on any distribution date, a Cumulative Loss
Trigger Event exists, the required
overcollateralization will be an amount equal to
3.10% of the aggregate Stated Principal Balance of
the mortgage loans as of the cut-off date until
the distribution date on which a Cumulative Loss
Trigger Event no longer exists, and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on the
more senior classes of certificates.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
------------------------------------------------------------------------------
Page 3
Senior Enhancement For any Distribution Date, the percentage obtained by
Percentage: dividing (x) the aggregate Certificate Principal
Balance of the subordinate certificates (together with
any overcollateralization and taking into account the
distributions of the Principal Distribution Amount for
such Distribution Date) by (y) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period.
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in November
2006; and
(b) The Distribution Date on which the aggregate
balance of the Class A Certificates is
reduced to zero; and
(y) The first Distribution Date on which the Senior
Enhancement Percentage (calculated for this
purpose only after taking into account payments
of principal on the Mortgage Loans on the last
day of the related Due Period but prior to
principal distributions to the certificates on
the applicable Distribution Date) is greater than
or equal to approximately 38.50%.
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 A Cumulative Loss Trigger Event is in effect on any
Trigger Event: Distribution Date if the aggregate amount of Realized
Losses incurred since the cut-off date through the last
day of the related Prepayment Period divided by the
aggregate Stated Principal Balance of the mortgage
loans as of the cut-off date exceeds the applicable
percentages described below with respect to such
distribution date:
Initial Subordination Class A: 19.25%
Percentage: Class M-1: 12.80%
Class M-2: 7.40%
Class M-3: 6.35%
Class B-1: 5.20%
Class B-2: 3.85%
Class B-3: 2.45%
Optional Clean-up Call: When the current aggregate principal balance of the
Mortgage Loans is less than or equal to 10% of the
aggregate principal balance of the Mortgage Loans as of
the cut-off date. The applicable fixed margin will
increase by 2x on the Class A Certificates and by 1.5x
on all other Certificates on and after the first
distribution date on which the Optional Clean-up Call
is exercisable.
Step-up Coupons: For all Offered Certificates the coupon will increase
after the optional clean-up call date, should the call
not be exercised.
Class A-1 The Class A-1 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the least of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group I Cap and (iii) the WAC Cap.
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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-2 The Class A-2 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the least of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date
on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group II Cap and (iii) the WAC Cap.
Class M-1 The Class M-1 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first distribution
date on which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class M-2 The Class M-2 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first distribution
date on which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class M-3 The Class M-3 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first distribution
date on which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class B-1 The Class B-1 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first distribution
date on which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class B-2 The Class B-2 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first distribution
date on which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class B-3 The Class B-3 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month
LIBOR plus [] bps ([] bps after the first distribution
date on which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
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.
Class A-1 Basis As to any Distribution Date, the supplemental interest
Risk Carry Forward amount for the Class A-1 Certificates will equal the
Amount: sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the
Class A-1 Pass-Through Rate (without regard to
the Loan Group I Cap or WAC Cap) over interest
due such Certificates at a rate equal to the
lesser of the Loan Group I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at the
related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 5
Class A-2 Basis As to any Distribution Date, the supplemental interest
Risk Carry Forward amount for the Class A-2 Certificates will equal the
Amount: 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 interest
B-1, B-2 and B-3 amount for each of the Class M-1, M-2, M-3, B-1,
Basis Risk Carry B-2 and B-3 Certificates will equal the sum of:
Forward Amounts:
(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
on Offered Certificates: servicing and trustee fees and other expenses, interest
distributions from the Interest Remittance Amount will
be allocated as follows:
(i) The portion of the Interest Remittance Amount
attributable to the Group I Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, to the Class A-1 Certificates and second,
to the Class A-2 Certificates;
(ii) The portion of the Interest Remittance Amount
attributable to the Group II Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, to the Class A-2 Certificates and second,
to the Class A-1 Certificates;
(iii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued
Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued
Certificate Interest, 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 Stepdown
on Offered Certificates: Date or (b) on which a Trigger Event is in effect,
principal distributions from the Principal Distribution
Amount will be allocated as follows:
(i) to the Class A Certificates, allocated between
the Class A Certificates as described below,
until the Certificate Principal Balances thereof
have been reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(v) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero; and
(vii) to the Class B-3 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero.
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 7
All principal distributions to the Class A Certificates
on any Distribution Date will be allocated between the
Class A-1 Certificates and the Class A-2 Certificates
on a pro rata basis based on the Class A Principal
Allocation Percentage for each such class on such
Distribution Date; provided, however, that if the
Certificate Principal Balance of either class of Class
A Certificates is reduced to zero, then the remaining
amount of principal distributions distributable to the
class of Class A Certificates on such Distribution Date
and all subsequent Distribution Dates, will be
distributed to the remaining outstanding Class A
Certificates until the Certificate Principal Balance
thereof has been reduced to zero.
Class A-2 Interest Beginning on the first Distribution Date, and for a
Rate Cap: period of 33 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 The Class A-2 Interest Rate Cap Payment shall be
Rate Cap Payment available to pay any Basis Risk Carry Forward Amount
Allocation: due to the Class A-2 Certificates.
Class M Interest Beginning on the first Distribution Date, and for a
Rate Cap: period of 45 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 The Class M Interest Rate Cap Payment shall be
Rate Cap Payment available to pay any Basis Risk Carry Forward Amount
Allocation: due to the Class M-1, Class M-2 and Class M-3
Certificates on a pro rata basis.
Class B Interest Beginning on the first Distribution Date, and for a
Cap: period of 45 Rate 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 The Class B Interest Rate Cap Payment shall be
Rate Cap Payment available to pay any Basis Risk Carry Forward Amount
Allocation: 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 shall be paid as follows:
Cashflow:
(i) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class M-3 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-1 Certificates, the allocated
unreimbursed realized loss amount;
(ix) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(x) to the Class B-2 Certificates, the allocated
unreimbursed realized loss amount;
(xi) to the Class B-3 Certificates, the unpaid
interest shortfall amount;
(xii) to the Class B-3 Certificates, the allocated
unreimbursed realized loss amount;
(xiii) concurrently, any Class A-1 Basis Risk Carry
Forward Amount to the Class A-1 Certificates,
and any Class A-2 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 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 On any Distribution Date, the sum of (i) the Basic
Distribution Amount: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
Basic Principal On any Distribution Date, the excess of (i) the
principal Distribution aggregate remittance amount over (ii) the Excess
Amount: 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 excess
Distribution Amount: 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 of
Amount: (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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 of
Allocation Percentage: 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 61.50% 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 $7,212,661.
Class M-1 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A
Principal Distribution Amount on such Distribution
Date) and (ii) the Certificate Principal Balance of the
Class M-1 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 74.40% 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 $7,212,661.
Class M-2 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A
Principal Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance of the
Class M-1 Certificates (after taking into account the
payment of the Class M-1 Principal Distribution Amount
on such Distribution Date) and (iii) the Certificate
Principal Balance of the Class M-2 Certificates
immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately
85.20% 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 $7,212,661.
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 87.30% 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 $7,212,661.
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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
89.60% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due
Period and (B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the last
day of the related Due Period over $7,212,661.
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 92.30% 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 $7,212,661.
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
95.10% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due
Period and (B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the last
day of the related Due Period over $7,212,661.
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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: It is not anticipated that any 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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
-----------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.36 4.56 3.71 2.78 2.14
First Payment Date 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003
Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010
Window 1 - 183 1 - 157 1 - 128 1 - 96 1 - 75
-----------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.21 8.69 7.04 5.34 4.57
First Payment Date 10/25/2008 1/25/2008 3/25/2007 1/25/2007 4/25/2007
Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010
Window 60 - 183 51 - 157 41 - 128 39 - 96 42 - 75
-----------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.21 8.69 7.04 5.31 4.42
First Payment Date 10/25/2008 1/25/2008 3/25/2007 12/25/2006 1/25/2007
Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010
Window 60 - 183 51 - 157 41 - 128 38 - 96 39 - 75
-----------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.21 8.69 7.04 5.31 4.37
First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 1/25/2007
Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010
Window 60 - 183 51 - 157 41 - 128 37 - 96 39 - 75
-----------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.21 8.69 7.04 5.30 4.36
First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006
Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010
Window 60 - 183 51 - 157 41 - 128 37 - 96 38 - 75
-----------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.21 8.69 7.04 5.30 4.34
First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006
Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010
Window 60 - 183 51 - 157 41 - 128 37 - 96 38 - 75
-----------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.21 8.69 7.04 5.30 4.33
First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 11/25/2006
Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010
Window 60 - 183 51 - 157 41 - 128 37 - 96 37 - 75
-----------------------------------------------------------------------------------------------------------------------
TABLE (CONTINUED)
-----------------------------------------------------------------------------
PPC (%) 150 175
-----------------------------------------------------------------------------
A-2 WAL (yrs) 1.64 1.27
First Payment Date 11/25/2003 11/25/2003
Expected Final Maturity 11/25/2008 1/25/2008
Window 1 - 61 1 - 51
-------------------------------------------------------------------------
M-1 WAL 4.46 4.24
First Payment Date 8/25/2007 1/25/2008
Expected Final Maturity 11/25/2008 1/25/2008
Window 46 - 61 51 - 51
-------------------------------------------------------------------------
M-2 WAL 4.03 3.99
First Payment Date 3/25/2007 5/25/2007
Expected Final Maturity 11/25/2008 1/25/2008
Window 41 - 61 43 - 51
-------------------------------------------------------------------------
M-3 WAL 3.90 3.70
First Payment Date 2/25/2007 4/25/2007
Expected Final Maturity 11/25/2008 1/25/2008
Window 40 - 61 42 - 51
-------------------------------------------------------------------------
B-1 WAL 3.86 3.64
First Payment Date 1/25/2007 3/25/2007
Expected Final Maturity 11/25/2008 1/25/2008
Window 39 - 61 41 - 51
-------------------------------------------------------------------------
B-2 WAL 3.83 3.57
First Payment Date 1/25/2007 1/25/2007
Expected Final Maturity 11/25/2008 1/25/2008
Window 39 - 61 39 - 51
-------------------------------------------------------------------------
B-3 WAL 3.79 3.50
First Payment Date 12/25/2006 12/25/2006
Expected Final Maturity 11/25/2008 1/25/2008
Window 38 - 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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
-------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.72 4.92 4.03 3.04 2.36
First Payment Date 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003
Expected Final Maturity 3/25/2031 5/25/2029 3/25/2026 5/25/2021 10/25/2017
Window 1 - 329 1 - 307 1 - 269 1 - 211 1 - 168
-------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.08 9.51 7.75 5.89 5.02
First Payment Date 10/25/2008 1/25/2008 3/25/2007 1/25/2007 4/25/2007
Expected Final Maturity 8/25/2028 4/25/2026 10/25/2022 5/25/2018 5/25/2015
Window 60 - 298 51 - 270 41 - 228 39 - 175 42 - 139
-------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.00 9.43 7.67 5.81 4.82
First Payment Date 10/25/2008 1/25/2008 3/25/2007 12/25/2006 1/25/2007
Expected Final Maturity 2/25/2027 8/25/2024 4/25/2021 2/25/2017 5/25/2014
Window 60 - 280 51 - 250 41 - 210 38 - 160 39 - 127
-------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.90 9.33 7.58 5.73 4.71
First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 1/25/2007
Expected Final Maturity 10/25/2024 3/25/2022 1/25/2019 5/25/2015 12/25/2012
Window 60 - 252 51 - 221 41 - 183 37 - 139 39 - 110
-------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.83 9.26 7.52 5.67 4.66
First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006
Expected Final Maturity 1/25/2024 7/25/2021 6/25/2018 11/25/2014 7/25/2012
Window 60 - 243 51 - 213 41 - 176 37 - 133 38 - 105
-------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.71 9.14 7.42 5.59 4.58
First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006
Expected Final Maturity 1/25/2023 7/25/2020 8/25/2017 3/25/2014 1/25/2012
Window 60 - 231 51 - 201 41 - 166 37 - 125 38 - 99
-------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.44 8.89 7.21 5.43 4.44
First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 11/25/2006
Expected Final Maturity 6/25/2021 2/25/2019 5/25/2016 3/25/2013 3/25/2011
Window 60 - 212 51 - 184 41 - 151 37 - 113 37 - 89
-------------------------------------------------------------------------------------------------------------------------
TABLE (CONTINUED)
-----------------------------------------------------------------------
PPC (%) 150 175
-----------------------------------------------------------------------
A-2 WAL (yrs) 1.83 1.33
First Payment Date 11/25/2003 11/25/2003
Expected Final Maturity 3/25/2015 4/25/2013
Window 1 - 137 1 - 114
-----------------------------------------------------------------------
M-1 WAL 4.83 5.71
First Payment Date 8/25/2007 2/25/2008
Expected Final Maturity 3/25/2013 1/25/2012
Window 46 - 113 52 - 99
-----------------------------------------------------------------------
M-2 WAL 4.35 4.25
First Payment Date 3/25/2007 5/25/2007
Expected Final Maturity 5/25/2012 11/25/2010
Window 41 - 103 43 - 85
-----------------------------------------------------------------------
M-3 WAL 4.17 3.93
First Payment Date 2/25/2007 4/25/2007
Expected Final Maturity 3/25/2011 12/25/2009
Window 40 - 89 42 - 74
-----------------------------------------------------------------------
B-1 WAL 4.11 3.83
First Payment Date 1/25/2007 3/25/2007
Expected Final Maturity 11/25/2010 9/25/2009
Window 39 - 85 41 - 71
-----------------------------------------------------------------------
B-2 WAL 4.02 3.72
First Payment Date 1/25/2007 1/25/2007
Expected Final Maturity 6/25/2010 4/25/2009
Window 39 - 80 39 - 66
-----------------------------------------------------------------------
B-3 WAL 3.87 3.56
First Payment Date 12/25/2006 12/25/2006
Expected Final Maturity 10/25/2009 10/25/2008
Window 38 - 72 38 - 60
-----------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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) 3.24 2.53 2.00
First Payment Date 11/25/2003 11/25/2003 11/25/2003
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 1 - 116 1 - 92 1 - 75
-------------------------------------------------------------------------------------------------------
M-1 WAL 6.33 5.15 4.60
First Payment Date 11/25/2006 2/25/2007 5/25/2007
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 40 - 92 43 - 75
-------------------------------------------------------------------------------------------------------
M-2 WAL 6.33 5.11 4.42
First Payment Date 11/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 38 - 92 39 - 75
-------------------------------------------------------------------------------------------------------
M-3 WAL 6.33 5.09 4.35
First Payment Date 11/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 38 - 92 39 - 75
-------------------------------------------------------------------------------------------------------
B-1 WAL 6.33 5.09 4.35
First Payment Date 11/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 38 - 92 38 - 75
-------------------------------------------------------------------------------------------------------
B-2 WAL 6.33 5.08 4.32
First Payment Date 11/25/2006 11/25/2006 12/25/2006
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
Window 37 - 116 37 - 92 38 - 75
-------------------------------------------------------------------------------------------------------
B-3 WAL 6.33 5.07 4.31
First Payment Date 11/25/2006 11/25/2006 11/25/2006
Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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) 3.51 2.75 2.19
First Payment Date 11/25/2003 11/25/2003 11/25/2003
Expected Final Maturity 6/25/2024 9/25/2020 10/25/2017
Window 1 - 248 1 - 203 1 - 168
-------------------------------------------------------------------------------------------------------
M-1 WAL 6.99 5.69 5.05
First Payment Date 11/25/2006 2/25/2007 5/25/2007
Expected Final Maturity 4/25/2021 12/25/2017 6/25/2015
Window 37 - 210 40 - 170 43 - 140
-------------------------------------------------------------------------------------------------------
M-2 WAL 6.92 5.59 4.82
First Payment Date 11/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 10/25/2019 9/25/2016 5/25/2014
Window 37 - 192 38 - 155 39 - 127
-------------------------------------------------------------------------------------------------------
M-3 WAL 6.84 5.50 4.69
First Payment Date 11/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 10/25/2017 12/25/2014 12/25/2012
Window 37 - 168 38 - 134 39 - 110
-------------------------------------------------------------------------------------------------------
B-1 WAL 6.78 5.46 4.66
First Payment Date 11/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 3/25/2017 6/25/2014 7/25/2012
Window 37 - 161 38 - 128 38 - 105
-------------------------------------------------------------------------------------------------------
B-2 WAL 6.70 5.37 4.57
First Payment Date 11/25/2006 11/25/2006 12/25/2006
Expected Final Maturity 5/25/2016 10/25/2013 1/25/2012
Window 37 - 151 37 - 120 38 - 99
-------------------------------------------------------------------------------------------------------
B-3 WAL 6.51 5.21 4.43
First Payment Date 11/25/2006 11/25/2006 11/25/2006
Expected Final Maturity 5/25/2015 1/25/2013 5/25/2011
Window 37 - 137 37 - 109 37 - 89
-------------------------------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 10.03 9.80 9.80 9.80 9.80 9.80 9.80
2 9.60 9.37 9.37 9.37 9.37 9.37 9.37
3 9.44 9.19 9.19 9.19 9.19 9.19 9.19
4 9.47 9.21 9.21 9.21 9.21 9.21 9.21
5 9.96 9.67 9.67 9.67 9.67 9.67 9.67
6 9.49 9.21 9.21 9.21 9.21 9.21 9.21
7 9.73 9.44 9.44 9.44 9.44 9.44 9.44
8 9.50 9.21 9.21 9.21 9.21 9.21 9.21
9 9.74 9.43 9.43 9.43 9.43 9.43 9.43
10 9.52 9.21 9.21 9.21 9.21 9.21 9.21
11 9.52 9.21 9.21 9.21 9.21 9.21 9.21
12 9.77 9.43 9.43 9.43 9.43 9.43 9.43
13 9.54 9.21 9.21 9.21 9.21 9.21 9.21
14 9.79 9.43 9.43 9.43 9.43 9.43 9.43
15 9.56 9.21 9.21 9.21 9.21 9.21 9.21
16 9.57 9.21 9.21 9.21 9.21 9.21 9.21
17 10.34 9.93 9.93 9.93 9.93 9.93 9.93
18 9.59 9.21 9.21 9.21 9.21 9.21 9.21
19 9.84 9.43 9.43 9.43 9.43 9.43 9.43
20 9.62 9.21 9.21 9.21 9.21 9.21 9.21
21 9.87 9.43 9.43 9.43 9.43 9.43 9.43
22 9.64 9.21 9.21 9.21 9.21 9.21 9.21
23 10.11 10.15 10.15 10.15 10.15 10.15 10.15
24 10.39 10.40 10.40 10.40 10.40 10.40 10.40
25 10.14 10.15 10.15 10.15 10.15 10.15 10.15
26 10.43 10.40 10.40 10.40 10.40 10.40 10.40
27 10.17 10.14 10.14 10.14 10.14 10.14 10.14
28 10.20 10.15 10.15 10.15 10.15 10.15 10.15
29 11.62 11.49 11.49 11.49 11.49 11.49 11.49
30 10.67 10.57 10.57 10.57 10.57 10.57 10.57
31 11.00 10.86 10.86 10.86 10.86 10.86 10.86
32 10.72 10.57 10.57 10.57 10.57 10.57 10.57
33 11.05 10.86 10.86 10.86 10.86 10.86 10.86
34 10.78 10.57 10.57 10.57 10.57 10.57 10.57
35 10.28 11.03 11.03 11.03 11.03 11.03 11.03
36 10.66 11.35 11.35 11.35 11.35 11.35 11.35
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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
37 28.29 11.03 11.03 11.03 11.03 11.03 11.03
38 12.99 11.35 11.35 11.35 11.34 11.34 11.34
39 12.50 11.03 11.03 11.03 11.02 11.02 11.02
40 12.43 11.03 11.03 11.03 11.02 11.02 11.02
41 14.72 12.11 12.11 12.11 12.11 12.11 12.11
42 13.29 10.99 10.99 10.99 10.99 10.99 10.99
43 13.73 11.33 11.33 11.33 11.33 11.33 11.33
44 13.28 10.98 10.98 10.98 10.98 10.98 10.98
45 13.73 11.33 11.33 11.33 11.33 11.33 11.33
46 13.29 10.98 10.98 10.98 10.98 10.98 10.98
47 13.92 11.14 11.14 11.14 11.14 11.14 11.14
48 14.39 11.51 11.51 11.51 11.51 11.51 11.51
49 13.92 11.13 11.13 11.13 11.13 11.13 11.13
50 14.39 11.50 11.50 11.50 11.50 11.50 11.50
51 13.92 11.13 11.13 11.13 11.13 11.13 11.13
52 13.92 11.13 11.13 11.13 11.13 11.13 11.13
53 14.92 11.93 11.93 11.93 11.93 11.93 11.93
54 13.95 11.16 11.16 11.16 11.16 11.16 11.16
55 14.42 11.53 11.53 11.53 11.53 11.53 11.53
56 13.95 11.16 11.16 11.16 11.16 11.16 11.16
57 14.41 11.53 11.53 11.53 11.53 11.53 11.53
58 13.95 11.15 11.15 11.15 11.15 11.15 11.15
59 13.97 11.18 11.18 11.18 11.18 11.18 11.18
60 14.44 11.55 11.55 11.55 11.55 11.55 11.55
61 13.97 11.17 11.17 11.17 11.17 11.17 11.17
62 14.43 11.54 11.54 11.54 11.54 11.54 11.54
63 13.97 11.17 11.17 11.17 11.17 11.17 11.17
64 13.97 11.17 11.17 11.17 11.17 11.17 11.17
65 15.46 12.36 12.36 12.36 12.36 12.36 12.36
66 13.96 11.17 11.17 11.17 11.17 11.17 11.17
67 14.43 11.54 11.54 11.54 11.54 11.54 11.54
68 13.96 11.16 11.16 11.16 11.16 11.16 11.16
69 14.43 11.53 11.53 11.53 11.53 11.53 11.53
70 13.96 11.16 11.16 11.16 11.16 11.16 11.16
71 13.96 11.16 11.16 11.16 11.16 11.16 11.16
72 14.43 11.53 11.53 11.53 11.53 11.53 11.53
73 13.96 11.16 11.16 11.16 11.16 11.16 11.16
1 Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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
74 14.42 11.53 11.53 11.53 11.53 11.53 11.53
75 13.96 11.15 11.15 11.15 11.15 11.15 11.15
76 13.96 11.15 11.15 11.15 11.15 11.15 11.15
77 15.45 12.35 12.35 12.35 12.35 12.35 12.35
78 13.96 11.15 11.15 11.15 11.15 11.15 11.15
79 14.42 11.52 11.52 11.52 11.52 11.52 11.52
80 13.96 11.15 11.15 11.15 11.15 11.15 11.15
81 14.42 11.52 11.52 11.52 11.52 11.52 11.52
82 13.96 11.14 11.14 11.14 11.14 11.14 11.14
83 13.95 11.14 11.14 11.14 11.14 11.14 11.14
84 14.42 11.51 11.51 11.51 11.51 11.51 11.51
85 13.95 11.14 11.14 11.14 11.14 11.14 11.14
86 14.42 11.51 11.51 11.51 11.51 11.51 11.51
87 13.95 11.14 11.14 11.14 11.14 11.14 11.14
88 13.95 11.14 11.14 11.14 11.14 11.14 11.14
89 15.45 12.33 12.33 12.33 12.33 12.33 12.33
90 13.95 11.14 11.14 11.14 11.14 11.14 11.14
91 14.42 11.51 11.51 11.51 11.51 11.51 11.51
92 13.95 11.13 11.13 11.13 11.13 11.13 11.13
93 14.42 11.50 11.50 11.50 11.50 11.50 11.50
94 13.95 11.13 11.13 11.13 11.13 11.13 11.13
95 13.95 11.13 11.13 11.13 11.13 11.13 11.13
96 14.42 11.50 11.50 11.50 11.50 11.50 11.50
97 11.99 11.13 11.13 11.13 11.13 11.13 11.13
98 12.14 11.50 11.50 11.50 11.50 11.50 11.50
99 11.77 11.13 11.13 11.13 11.13 11.13 11.13
100 11.79 11.13 11.13 11.13 11.13 11.13 11.13
101 12.63 11.89 11.89 11.89 11.89 11.89 11.89
102 11.84 11.12 11.12 11.12 11.12 11.12 11.12
103 12.25 11.49 11.49 11.49 11.49 11.49 11.49
104 11.88 11.12 11.12 11.12 11.12 11.12 11.12
105 12.31 11.49 11.49 11.49 11.49 11.49 11.49
106 11.93 11.12 11.12 11.12 11.12 11.12 11.12
107 11.96 11.12 11.12 11.12 11.12 11.12 11.12
108 12.39 11.49 11.49 11.49 11.49 11.49 11.49
109 12.02 11.12 11.12 11.12 11.12 11.12 11.12
110 12.45 11.49 11.49 11.49 11.49 11.49 11.49
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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
111 12.07 11.12 11.12 11.12 11.12 11.12 11.12
112 12.10 11.12 11.12 11.12 11.12 11.12 11.12
113 13.43 12.31 12.31 12.31 12.31 12.31 12.31
114 12.17 11.11 11.11 11.11 11.11 11.11 11.11
115 12.61 11.48 11.48 11.48 11.48 11.48 11.48
116 12.23 11.11 11.11 11.11 11.11 11.11 -
117 12.68 11.48 11.48 11.48 11.48 11.48 -
118 12.30 11.11 11.11 11.11 11.11 11.11 -
119 12.34 11.11 11.11 11.11 11.11 11.11 -
120 12.79 11.48 11.48 11.48 11.48 11.48 -
121 12.41 11.11 11.11 11.11 11.11 11.11 -
122 12.87 11.48 11.48 11.48 11.48 11.48 -
123 12.49 11.11 11.11 11.11 11.11 11.11 -
124 12.53 11.11 11.11 11.11 11.11 11.11 -
125 13.92 12.30 12.30 12.30 12.30 12.30 -
126 12.62 11.11 11.11 11.11 11.11 11.11 -
127 13.09 11.48 11.48 11.48 11.48 11.48 -
128 12.71 11.11 11.11 11.11 11.11 - -
129 13.18 11.48 11.48 11.48 11.48 - -
130 12.80 11.11 11.11 11.11 11.11 - -
131 12.85 11.11 11.11 11.11 11.11 - -
132 13.33 11.47 11.47 11.47 11.47 - -
133 12.96 11.10 11.10 11.10 11.10 - -
134 13.44 11.47 11.47 11.47 11.47 - -
135 13.06 11.10 11.10 11.10 11.10 - -
136 13.12 11.10 11.10 11.10 - - -
137 14.59 12.29 12.29 12.29 - - -
138 13.24 11.10 11.10 11.10 - - -
139 13.74 11.47 11.47 11.47 - - -
140 13.36 11.10 11.10 11.10 - - -
141 13.87 11.47 11.47 11.47 - - -
142 13.49 11.10 11.10 11.10 - - -
143 13.56 11.10 11.10 - - - -
144 14.08 11.47 11.47 - - - -
145 13.70 11.10 11.10 - - - -
146 14.23 11.47 11.47 - - - -
147 13.85 11.10 11.10 - - - -
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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
148 13.92 11.10 11.10 - - - -
149 14.97 11.87 11.87 - - - -
150 14.08 11.10 11.10 - - - -
151 14.64 11.47 11.47 - - - -
152 14.25 11.10 11.10 - - - -
153 14.82 11.47 11.47 - - - -
154 14.43 11.10 11.10 - - - -
155 14.53 11.10 11.10 - - - -
156 15.11 11.47 11.47 - - - -
157 14.72 11.10 11.10 - - - -
158 15.31 11.47 11.47 - - - -
159 14.92 11.10 11.10 - - - -
160 15.03 11.10 11.10 - - - -
161 16.76 12.29 12.29 - - - -
162 15.25 11.10 11.10 - - - -
163 15.87 11.47 11.47 - - - -
164 15.48 11.10 - - - - -
165 16.12 11.47 - - - - -
166 15.73 11.10 - - - - -
167 15.85 11.11 - - - - -
168 16.52 11.48 - - - - -
169 16.12 11.11 - - - - -
170 16.80 11.48 - - - - -
171 16.40 11.11 - - - - -
172 16.55 11.11 - - - - -
173 18.49 12.30 - - - - -
174 16.85 11.11 - - - - -
175 17.58 11.48 - - - - -
176 17.17 11.11 - - - - -
177 17.92 11.48 - - - - -
178 17.51 11.11 - - - - -
179 17.69 11.11 - - - - -
180 18.50 - - - - - -
181 18.21 - - - - - -
182 19.15 - - - - - -
183 18.88 - - - - - -
184 19.25 - - - - - -
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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
185 21.74 - - - - - -
186 20.06 - - - - - -
187 21.19 - - - - - -
188 20.99 - - - - - -
189 22.23 - - - - - -
190 22.08 - - - - - -
191 22.69 - - - - - -
192 24.13 - - - - - -
193 24.07 - - - - - -
194 25.69 - - - - - -
195 25.73 - - - - - -
196 26.68 - - - - - -
197 29.65 - - - - - -
198 28.92 - - - - - -
199 31.24 - - - - - -
200 31.72 - - - - - -
201 34.51 - - - - - -
202 35.32 - - - - - -
203 37.54 - - - - - -
204 41.47 - - - - - -
205 43.19 - - - - - -
206 48.42 - - - - - -
207 51.34 - - - - - -
208 56.94 - - - - - -
209 70.97 - - - - - -
210 73.57 - - - - - -
211 89.65 - - - - - -
212 106.38 - - - - - -
213 143.24 - - - - - -
214 201.43 - - - - - -
215 377.41 - - - - - -
216 * - - - - - -
217 - - - - - - -
* In Period 216 the ClassA-2 has a balance of $21,518 and is paid $240,029
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 Notional Balance Class M Cap Notional Balance
----------------------------------------- -----------------------------------------
Period Balance Strike % Ceiling % Balance Strike % Ceiling %
1 368,707,000.00 6.50 9.00 186,088,000.00 5.25 7.75
2 360,651,875.83 6.50 9.00 186,088,000.00 5.25 7.75
3 352,563,179.89 6.50 9.00 186,088,000.00 5.25 7.75
4 344,437,230.89 6.50 9.00 186,088,000.00 5.25 7.75
5 336,271,202.54 6.50 9.00 186,088,000.00 5.25 7.75
6 328,063,198.68 6.50 9.00 186,088,000.00 5.25 7.75
7 319,812,258.90 6.50 9.00 186,088,000.00 5.25 7.75
8 311,518,359.17 6.50 9.00 186,088,000.00 5.25 7.75
9 303,182,407.21 6.50 9.00 186,088,000.00 5.25 7.75
10 294,806,232.44 6.50 9.00 186,088,000.00 5.25 7.75
11 286,392,570.37 6.50 9.00 186,088,000.00 5.25 7.75
12 277,945,041.41 6.50 9.00 186,088,000.00 5.25 7.75
13 269,468,123.96 6.50 9.00 186,088,000.00 5.25 7.75
14 260,968,425.17 6.50 9.00 186,088,000.00 5.25 7.75
15 252,668,878.50 6.50 9.00 186,088,000.00 5.25 7.75
16 244,564,798.86 6.50 9.00 186,088,000.00 5.25 7.75
17 236,651,610.43 6.50 9.00 186,088,000.00 5.25 7.75
18 228,924,844.13 6.50 9.00 186,088,000.00 5.25 7.75
19 221,380,135.14 6.50 9.00 186,088,000.00 5.25 7.75
20 214,013,220.45 6.50 9.00 186,088,000.00 5.25 7.75
21 206,819,936.53 6.50 9.00 186,088,000.00 5.25 7.75
22 199,796,216.98 6.50 9.00 186,088,000.00 5.25 7.75
23 192,938,090.28 7.50 9.50 186,088,000.00 6.25 7.75
24 186,242,039.16 7.50 9.50 186,088,000.00 6.25 7.75
25 179,703,896.94 7.50 9.50 186,088,000.00 6.25 7.75
26 173,319,964.25 7.50 9.50 186,088,000.00 6.25 7.75
27 167,086,628.08 7.50 9.50 186,088,000.00 6.25 7.75
28 161,000,359.72 7.50 9.50 186,088,000.00 6.25 7.75
29 155,057,712.80 8.50 10.00 186,088,000.00 6.75 7.75
30 149,255,321.43 8.50 10.00 186,088,000.00 6.75 7.75
31 143,589,898.23 8.50 10.00 186,088,000.00 6.75 7.75
32 138,058,232.60 8.50 10.00 186,088,000.00 6.75 7.75
33 132,657,188.87 8.50 10.00 186,088,000.00 6.75 7.75
34 127,383,704.57 8.50 10.00 186,088,000.00 6.75 7.75
35 186,088,000.00 7.05 7.75
36 186,088,000.00 7.05 7.75
37 186,088,000.00 7.05 7.75
38 185,287,464.24 7.05 7.75
39 172,483,448.50 7.05 7.75
40 159,983,958.47 7.05 7.75
41 147,781,806.17 7.05 7.75
42 142,588,224.13 7.05 7.75
43 139,151,640.80 7.05 7.75
44 135,796,852.89 7.05 7.75
45 132,521,928.81 7.05 7.75
46 129,324,982.38 7.05 7.75
TABLE (CONTINUED)
Class B Cap Notional Balance
--------------------------------------------
Period Balance Strike % Ceiling %
1 56,258,000.00 3.00 5.50
2 56,258,000.00 3.00 5.50
3 56,258,000.00 3.00 5.50
4 56,258,000.00 3.00 5.50
5 56,258,000.00 3.00 5.50
6 56,258,000.00 3.00 5.50
7 56,258,000.00 3.00 5.50
8 56,258,000.00 3.00 5.50
9 56,258,000.00 3.00 5.50
10 56,258,000.00 3.00 5.50
11 56,258,000.00 3.00 5.50
12 56,258,000.00 3.00 5.50
13 56,258,000.00 3.00 5.50
14 56,258,000.00 3.00 5.50
15 56,258,000.00 3.00 5.50
16 56,258,000.00 3.00 5.50
17 56,258,000.00 3.00 5.50
18 56,258,000.00 3.00 5.50
19 56,258,000.00 3.00 5.50
20 56,258,000.00 3.00 5.50
21 56,258,000.00 3.00 5.50
22 56,258,000.00 3.00 5.50
23 56,258,000.00 4.00 6.50
24 56,258,000.00 4.00 6.50
25 56,258,000.00 4.00 6.50
26 56,258,000.00 4.00 6.50
27 56,258,000.00 4.00 6.50
28 56,258,000.00 4.00 6.50
29 56,258,000.00 5.00 7.00
30 56,258,000.00 5.00 7.00
31 56,258,000.00 5.00 7.00
32 56,258,000.00 5.00 7.00
33 56,258,000.00 5.00 7.00
34 56,258,000.00 5.00 7.00
35 56,258,000.00 6.00 7.50
36 56,258,000.00 6.00 7.50
37 56,258,000.00 6.00 7.50
38 47,522,420.51 6.00 7.50
39 46,378,435.90 6.00 7.50
40 45,261,659.36 6.00 7.50
41 44,171,448.71 7.00 7.50
42 43,107,176.78 7.00 7.50
43 42,068,231.20 7.00 7.50
44 41,054,013.96 7.00 7.50
45 40,063,941.09 7.00 7.50
46 39,097,442.39 7.00 7.50
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY
--------------------------------------------------------------------------------
Page 23