Exhibit 99.1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
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Computational Materials
$549,575,000
Approximately
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Auto Loan Trust
2003-HB1
Asset Backed Notes
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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information shall be deemed superseded, amended and supplemented in its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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
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$549,575,000
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Auto Loan Trust 2003-HB1
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital II, Inc., Depositor
Overview of the Offered Notes
-----------------------------
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Expected ▇▇▇▇▇'▇ and
Class Initial Estimated Principal S&P
of Principal Credit Avg. Life Payment Final Expected
Notes Balance Support Coupon (yrs)(1) Window(1) Payment Date Ratings
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A-1 $408,175,000 5.75% [ ] 1.00 08/03-12/05 July 16, 2007 Aaa / AAA
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A-2 $113,714,000 5.75% [ ] 2.94 12/05-09/06 April 15, 2011 Aaa / AAA
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B $ 17,996,000 2.50% [ ] 1.89 03/04-09/06 April 15, 2011 A1 / A
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C $ 9,690,000 .75% [ ] 1.71 03/04-07/06 April 15, 2011 Baa1 / BBB
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Total $549,575,000
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(1) Assuming payment based on a pricing speed of 1.50% ABS and a 10% Cleanup
Call.
Selected Pool Data as of May 31, 2003
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Total
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Outstanding Principal Balance: $553,727,701.64
Number of Receivables: 34,893
Average Outstanding Principal Balance: $15,869.31
Average Original Amount Financed: $18,394.53
Weighted Average Gross Coupon: 7.702%
Weighted Average Original Term: 65 months
Weighted Average Stated Remaining Term: 55 months
Weighted Average Seasoning: 10 months
New/Used composition (by % of principal balance): 52.80% New / 47.20% Used
Weighted Average Original LTV Ratio: 95.06%
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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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
2
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
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Features of the Transaction
---------------------------
o Collateral consists of automobile and light truck retail loan and
installment sale contracts, which are receivables, that were originated
and serviced by The Huntington National Bank.
o Credit support for the notes is provided through a senior/subordinated
concurrent pay structure and overcollateralization. The initial amount of
overcollateralization is 5.75% for the class A notes, 2.50% for the class
B notes and 0.75% for the class C notes. The initial
overcollateralization for the notes as a whole is -1.46% of the initial
pool balance. The initial overcollateralization for the notes as a whole
is negative because at issuance the aggregate principal balance of the
class A, class B, class C and class D notes will exceed the pool balance
as of the cut-off date. Target overcollateralization is 2.00% of
outstanding pool balance with a floor of 1.00% of initial pool balance.
o The class A, class B and class C notes in the above table will be
registered under a registration statement filed with the Securities and
Exchange Commission. The class D notes only will be offered and sold to
"qualified institutional buyers" within the meaning of Rule 144A under
the Securities Act.
Time Table
----------
Expected Settlement: July 17, 2003
Cut-off Date: Close of business on May 31, 2003
Pricing Date: Week of July 7, 2003
First payment date: August 15, 2003
Key Terms
---------
Depositor: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital II, Inc.
Issuer: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Auto Loan Trust 2003-HB1, a
Delaware statutory trust established
by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital II, Inc.
and the Owner Trustee
Originator: The Huntington National Bank
Servicer: The Huntington National Bank
Indenture Trustee: ▇▇▇▇▇ Fargo Bank Minnesota, National Association
Owner Trustee: Wilmington Trust Company, a Delaware banking corporation
Offered Notes: Class A, class B and class C notes
Servicing Fee: 1.00% per annum
Payment Date: 15th day of the month or the following Business Day
Record Date: For any payment date, the close of business
on the day immediately preceding
such payment date unless definitive notes
are issued for the offered notes, in which
case the record date will be the last day
of the month immediately
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
3
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
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preceding the payment date
Interest Payment Default: The notes are in default if scheduled
interest is not paid on the most senior
class of notes outstanding within 35 days
after the applicable payment date
Prepayment Pricing Speed: 1.50% ABS
Interest Accrual: On a 30/360 basis; the accrual period is
from the 15th of the month preceding
the payment date (or from the closing
date, in the case of the first interest
accrual period) to, but not including the
15th of the month of such payment date
Servicer Advances: Yes, monthly as to delinquent interest,
subject to recoverability
Optional Call: The notes will have a 10% optional
redemption provision
Rating Agencies: The notes are being rated by ▇▇▇▇▇'▇ and S&P
ERISA Eligibility: The offered notes are generally eligible
for purchase by employee benefit plans,
however, prospective purchasers should
consult their own counsel
Tax Status: ▇▇▇▇▇▇ ▇▇▇▇▇▇ ▇▇▇▇▇ & ▇▇▇▇ LLP will deliver
its opinion that the class A, class B
and class C notes [will] be treated as
debt for U.S. federal income tax purposes.
The seller, the depositor and the issuer
will agree, and the holders of the class A,
class B and class C notes will agree by
their purchase of such notes, to treat the
class A, class B and class C notes as debt
for U.S. federal income tax purposes.
Registration and Clearance: Book entry: DTC Same Day Funds, Clearstream,
or Euroclear for the offered notes
Minimum Denominations: $1,000 and integral multiples thereof
for the offered notes
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
4
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
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Transaction Mechanics
---------------------
The Huntington National Bank sold the receivables to ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Asset
Funding, Inc., and ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Asset Funding, Inc., as the seller, will
sell the receivables to ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital II, Inc., and ▇▇▇▇▇▇
▇▇▇▇▇▇▇ ABS Capital II, Inc, as the depositor, will sell the receivables to
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Auto Loan Trust 2003-HB1, the issuer. The issuer will issue the
securities to fund the purchase price of the receivables. The Huntington
National Bank, as servicer, will continue to process obligor payments and
collect on the receivables. Each month the servicer will transfer collections
to issuer, which will use them to pay its expenses and to pay principal of and
interest on the notes.
[GRAPHIC OMITTED]
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
5
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
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Priority of Payments
--------------------
Beginning on August 15, 2003, and on each payment date thereafter, after
reimbursement of any servicer advances to the servicer, distributions will be
made in the order and priority as follows:
1. Servicing Fee -- the servicing fee and any other amounts payable to
the servicer;
2. Other Trust Fees -- the fees and any other amounts payable to the
indenture trustee and the owner trustee;
3. Class A Note Interest -- accrued and unpaid interest due on the
class A notes for payment ratably to the class A noteholders;
4. First Allocation of Principal -- to the principal distribution
account an amount equal to the excess, if any, of (x) the aggregate
principal balance of the class A notes as of the day immediately
preceding such payment date over (y) the aggregate principal balance
of the receivables at the end of the related collection period;
5. Class B Note Interest -- accrued and unpaid interest due on the
class B notes;
6. Second Allocation of Principal -- to the principal distribution
account an amount equal to (1) the excess, if any, of (x) the
aggregate principal balance of the class A notes and the class B
notes as of the day immediately preceding such payment date over (y)
the aggregate principal balance of the receivables at the end of the
related collection period minus (2) any amount deposited into the
principal distribution account pursuant to the fourth item above;
7. Class C Note Interest -- accrued and unpaid interest due on the
class C notes;
8. Third Allocation of Principal -- to the principal distribution
account an amount equal to (1) the excess, if any, of (x) the
aggregate principal balance of the class A notes, the class B notes
and the class C notes as of the day immediately preceding such
payment date over (y) the aggregate principal balance of the
receivables at the end of the related collection period, minus (2)
any amounts deposited into the principal distribution account
pursuant to the fourth and sixth items above;
9. Class D Note Interest -- accrued and unpaid interest due on the
class D notes;
10. Regular Allocation of Principal -- to the principal distribution
account an amount equal to (1) the excess, if any, of (x) the
aggregate principal balance of the notes as of the day immediately
preceding such payment date over (y) (A) the aggregate principal
balance of the receivables at the end of the related collection
period, minus (B) the target overcollateralization level with
respect to such payment date, minus (2) any amounts deposited into
the principal distribution account pursuant to the fourth, sixth and
eighth items above;
11. Remaining Trust Fees -- the fees and any other amounts payable to
the indenture trustee, the owner trustee, and the administrator not
paid pursuant to the second item above; and
12. Residual -- any remaining funds to the certificateholders.
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
6
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
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Principal Payments
------------------
The aggregate amount of principal payments to be made on all outstanding
classes of notes on each payment date from the principal distribution account
will generally be allocated among the notes, concurrently, in a manner
intended generally to maintain credit support for each such class (after
giving effect to such allocation) in an amount equal to the greater of (i) the
target overcollateralization level and (ii) the following respective
approximate percentages of the aggregate principal balance of the receivables
(as of the end of the related collection period): 11.80% for the class A
notes; 7.50% for the class B notes; 5.50% for the class C notes; and 2.00% for
the class D notes. As a result of this allocation, after the credit support
for each class is met, the most subordinate class of outstanding notes may
receive a disproportionately larger percentage of principal distributions than
more senior classes of outstanding notes.
The amount of principal payments allocated to the class A notes on each
payment date will generally be applied in the following order of priority:
(1) to the principal amount of the class A-1 notes until such principal
amount is paid in full; and
(2) to the principal amount of the class A-2 notes until such principal
amount is paid in full.
However, the following exceptions to these general rules will apply:
o If the payment date is a final scheduled payment date for a
class of notes, principal payments will be made first to that
class of notes until that class is paid in full. If the payment
date is a final scheduled payment date for more than one class
of notes, principal payments will be made first to the more
senior class of notes until that class is paid in full and
then, in order of seniority, to the each other class whose
final scheduled payment date is then occurring, in each case
until that class is paid in full.
o If, on any payment date, the three month annualized net loss
ratio exceeds
o 1.50% if that payment date is on or before the payment
date in June 2004;
o 2.25% if that payment date is on or after the payment date
in July 2004 but not after the payment date in August
2005; and
o 2.50% if such payment date is on or after the payment date
in September 2005,
then on such payment date and each subsequent payment date until
that ratio is reduced to or below that level, the trust will pay
principal in respect of the notes, sequentially, starting with the
most senior and earliest maturing class (or subclass) of notes then
outstanding (with respect to the class A notes, beginning with the
class A-1 notes) until that class is paid in full, and so on.
The three month annualized net loss ratio is generally equal to the
average for the three prior collection periods of the product of 12
times a fraction (expressed as a percentage), the numerator of which
is equal to the net liquidation losses during the collection period
plus the cram down losses resulting from bankruptcies that occurred
during the collection period, and the denominator of which is equal
to the
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
7
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
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aggregate principal balance of the receivables as of the first day
of the collection period and will be described in detail in the
final prospectus supplement.
o Any shortfall in the amount of funds available for principal
payments on any payment date will reduce the principal payment
on (1) the class B notes (up to the amount of the full target
payment on the class B notes) before the principal payment on
the class A notes is reduced; (2) the class C notes (up to the
amount of the full target payment on the class C notes) before
the principal payment on the class B notes is reduced; and (3)
the class D notes (up to the amount of the full target payment
on the class D notes) before the principal payment on the class
C notes is reduced.
o If the notes are accelerated following an event of default the
priority of payments may change and will change upon the
liquidation of the trust estate following the acceleration of
the notes.
[GRAPHIC OMITTED]
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
8
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
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Credit Enhancement
------------------
The credit enhancement for the securities will be as follows:
Class A Notes Subordination of the class B notes, the
class C notes, and the class D notes to the
extent provided in the prospectus supplement;
and overcollateralization;
Class B Notes Subordination of the class C notes and
the class D notes to the extent provided in the
prospectus supplement; and
overcollateralization;
Class C Notes Subordination of the class D notes to the
extent provided in the prospectus
supplement; and overcollateralization; and
Class D Notes Overcollateralization.
Subordination of Principal and Interest
---------------------------------------
As long as the class B notes remain outstanding, (1) payments of interest
on the class B notes are subordinated to payments of interest and, under
certain circumstances, principal on the class A notes, and (2) payments of
principal on the class B notes are subordinated to payments of interest and
principal on the class A notes and payments of interest on the class B notes.
As long as the class C notes remain outstanding, (1) payments of interest
on the class C notes are subordinated to payments of interest and, under
certain circumstances, principal on the class A notes and the class B notes,
and (2) payments of principal on the class C notes are subordinated to
payments of interest and principal on the class A notes and the class B notes
and payments of interest on the class C notes.
As long as the class D notes remain outstanding, (1) payments of interest
on the class D notes are subordinated to payments of interest and, under
certain circumstances, principal on the class A notes, the class B notes and
the class C notes and (2) payments of principal on the class D notes are
subordinated to payments of interest and principal on the class A notes, the
class B notes and the class C notes and payments of interest on the class D
notes.
As long as the notes remain outstanding, payments on the certificates are
subordinated to payments of interest and principal on the notes.
There will be certain changes to the priority after certain events of
default and the liquidation of the trust estate follow an acceleration of the
notes.
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
9
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
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Overcollateralization
---------------------
The overcollateralization amount is the amount, if any, by which the
aggregate principal balance of the receivables exceeds the aggregate principal
balance of the notes. Initially, however, the aggregate principal balance of
the notes will exceed the aggregate principal balance of the receivables by an
amount equal to approximately 1.46% of the aggregate principal balance of the
receivables as of the cut-off date. As of the cut-off date, the aggregate
principal balance of the receivables was $553,727,701.64, which is less than
the initial aggregate principal balance of the notes.
However, Item 10 of "Priority of Payments" above is intended to result in
the application of all remaining funds, including any "excess spread," to
achieve and maintain the target overcollateralization level. This application
is expected to result in the payment of more principal of the notes in most
months than the amount of principal paid on the receivables in the related
period. To the extent that the aggregate principal balance of the notes is
paid down to create an overcollateralization amount equal to the target
overcollateralization level, credit enhancement in the form of
overcollateralization is created.
The target overcollateralization level is intended to absorb anticipated
losses on the receivables, but we cannot assure you that it will be sufficient
to absorb any or all actual losses on the receivables. The target
overcollateralization level on each payment date will be an amount equal to
the greater of (x) 2.00% of the aggregate principal balance of the receivables
at the end of the related collection period and (y) $5,537,277.02 or 1.00% of
the initial aggregate principal balance of the receivables.
------------------------------------------------------------------------------------------------------------------
Target Credit
Initial Credit Enhancement
Enhancement (as a % of
% of Initial Pool (as a % of Outstanding Pool
Principal Balance Balance Initial Pool Balance) Balance)
------------------------------------------------------------------------------------------------------------------
Class A notes $521,889,000 94.25% 5.75% 11.80%
Class B notes $ 17,996,000 3.25% 2.50% 7.50%
Class C notes $ 9,690,000 1.75% .75% 5.50%
Class D notes $ 12,238,000 2.21% -1.46% 2.00%
------------------------------------------------------------------------------------------------------------------
Total $561,813,000 101.46%
------------------------------------------------------------------------------------------------------------------
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
10
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
------------------------------------------------------------------------------
Selected Loan Data as of May 31, 2003
-------------------------------------
The Receivables
Outstanding Principal Balance: $553,727,701.64
Number of Receivables: 34,893
Average Outstanding Principal Balance: $15,869.31
Average Original Amount Financed: $18,394.53
Weighted Average Gross Coupon: 7.702%
Weighted Average Original Term: 65 months
Weighted Average Stated Remaining Term: 55 months
Weighted Average Seasoning: 10 months
New/Used composition (by % of principal balance): 52.80% New / 47.20% Used
Weighted Average Original LTV Ratio: 95.06%
Distribution of the Receivables by Outstanding Principal Balance
No. of Total Dollar Principal
Principal Balance Receivables (#) Amount ($) Balance (%)
----------------- --------------- ---------- -----------
$0.00 - $4,999.99 863 $ 3,552,877.62 .64%
$5,000.00 - $9,999.99 6,433 50,953,543.26 9.20
$10,000.00 - $14,999.99 10,762 134,630,925.34 24.31
$15,000.00 - $19,999.99 8,320 144,269,701.36 26.05
$20,000.00 - $24,999.99 4,722 104,767,606.70 18.92
$25,000.00 - $29,999.99 2,294 62,343,179.59 11.26
$30,000.00 - $34,999.99 929 29,850,608.27 5.39
$35,000.00 - $39,999.99 353 13,075,478.13 2.36
$40,000.00 - $44,999.99 117 4,909,320.87 .89
>= $45,000.00 100 5,374,460.50 .97
-------------------------------------------------------------------------------------------------------------------
Total 34,893 $553,727,701.64 100.00%
===================================================================================================================
Column totals may not add to 100.00% due to rounding.
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
11
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
------------------------------------------------------------------------------
Distribution of Receivables by State of Obligor Mailing Address
No. of Total Dollar Principal
State Receivables (#) Amount ($) Balance (%)
----- --------------- ---------- -----------
Ohio 11,053 $165,420,261.79 29.87%
Michigan 5,433 74,688,392.98 13.49
Florida 4,229 72,426,315.12 13.08
Indiana 4,150 67,611,959.81 12.21
Kentucky 3,099 51,749,397.73 9.35
West Virginia 2,386 39,599,141.74 7.15
Tennessee 1,737 31,755,539.84 5.73
Other(1) 2,806 50,476,692.63 9.12
-------------------------------------------------------------------------------------------------------------------
Total 34,893 $553,727,701.64 100.00%
===================================================================================================================
Column totals may not add to 100.00% due to rounding.
(1) Each of the other states is less than 5.0% of the aggregate principal
balance
Distribution of the Receivables by APR
No. of Total Dollar Principal
APR Receivables (#) Amount ($) Balance (%)
--- --------------- ---------- -----------
<= 4.999% 2,875 $ 47,696,039.93 8.61%
5.000 - 5.499% 1,534 25,339,890.91 4.58
5.500 - 5.999% 2,973 51,449,492.96 9.29
6.000 - 6.499% 2,176 36,642,291.49 6.62
6.500 - 6.999% 3,402 56,627,749.12 10.23
7.000 - 7.499% 2,524 41,311,411.67 7.46
7.500 - 7.999% 3,854 63,366,123.03 11.44
8.000 - 8.499% 2,628 43,152,475.34 7.79
8.500 - 8.999% 3,385 55,612,696.87 10.04
9.000 - 9.499% 2,178 35,068,409.24 6.33
9.500 - 9.999% 2,415 35,971,289.01 6.50
10.000 - 10.499% 1,206 17,490,503.28 3.16
10.500 - 10.999% 1,171 16,042,478.03 2.90
11.000 - 11.499% 717 8,573,942.13 1.55
11.500 - 11.999% 613 6,937,928.75 1.25
12.000 - 12.499% 360 3,781,637.49 .68
12.500 - 12.999% 247 2,263,241.30 .41
13.000 - 13.499% 107 937,396.13 .17
13.500 - 13.999% 104 920,444.68 .17
14.000 - 14.499% 48 470,086.44 .08
14.500 - 14.999% 98 1,095,147.89 .20
15.000 - 15.499% 57 641,446.47 .12
>= 15.500% 221 2,335,579.48 .42
--------------------------------------------------------------------------------------------
Total 34,893 $553,727,701.64 100.00%
============================================================================================
Column totals may not add to 100.00% due to rounding.
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
12
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
------------------------------------------------------------------------------
Distribution of Receivables by Remaining Stated Term to Scheduled Maturity
No. of Total Dollar Principal
Remaining Stated Term Receivables (#) Amount ($) Balance (%)
--------------------- --------------- ---------- -----------
13 - 18 Months 142 $ 672,567.64 .12%
19 - 24 Months 558 4,012,370.52 .72
25 - 30 Months 772 5,836,030.32 1.05
31 - 36 Months 1,579 14,993,843.98 2.71
37 - 42 Months 3,189 34,515,276.92 6.23
43 - 48 Months 6,487 86,764,491.33 15.67
49 - 54 Months 6,102 97,036,972.01 17.52
55 - 60 Months 7,993 138,472,532.33 25.01
61 - 72 Months 7,351 151,992,013.93 27.45
>= 73 720 19,431,602.66 3.51
-------------------------------------------------------------------------------------------------------------------
Total 34,893 $553,727,701.64 100.00%
===================================================================================================================
Column totals may not add to 100.00% due to rounding.
Distribution of Receivables by Stated Original Trm to Scheduled Maturity
No. of Total Dollar Principal
Stated Original Term Receivables (#) Amount ($) Balance (%)
-------------------- --------------- ---------- -----------
19 - 24 Months 111 $ 830,440.31 .15%
25 - 30 Months 28 197,168.23 .04
31 - 36 Months 1,269 11,120,562.06 2.01
37 - 42 Months 300 2,247,861.14 .41
43 - 48 Months 2,518 25,942,874.98 4.69
49 - 54 Months 1,255 12,521,862.47 2.26
55 - 60 Months 13,122 191,040,648.83 34.50
61 - 72 Months 14,343 261,155,565.46 47.16
>= 73 1,947 48,670,718.16 8.79
-------------------------------------------------------------------------------------------------------------------
Total 34,893 $553,727,701.64 100.00%
===================================================================================================================
Column totals may not add to 100.00% due to rounding.
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
13
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
------------------------------------------------------------------------------
The following ABS Tables assume that--
o the receivables prepay in full at the specified constant percentage
of ABS monthly, with no delinquencies, defaults, losses or
repurchases;
o the interest rate on the notes is as follows: Class A-1: 1.42%;
Class A-2: 2.08%; Class B: 2.22%; Class C: 3.53%; and Class D:
5.50%;
o each scheduled monthly payment on the receivables is made on the
15th day of each month and each month has 30 days;
o payments on the notes are made on each payment date beginning on
August 15, 2003 (and each payment date is assumed to be the 15th day
of the applicable month), as described above under "--Priority of
Payments."
o no event of default occurs;
o the notes are issued on July 17, 2003 and will begin to accrue
interest on that date;
o the monthly indenture trustee fee is $1,000;
o the monthly servicing fee is 1/12th of 1.00% of the principal
balance of receivables at the beginning of the related collection
period;
o the annual owner trustee fee is $4,000, commencing in August 2004;
o collections for the August 2003 payment date include collections for
the period beginning on June 1, 2003 and ending on July 31, 2003;
and
o except as otherwise specified, the servicer exercises its "cleanup
call" option to purchase the receivables.
The ABS Tables indicate the projected weighted average life of each class
of offered notes and sets forth the percent of the initial principal amount of
each class of offered notes that is projected to be outstanding after each of
the payment dates shown at various constant ABS percentages.
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
14
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
------------------------------------------------------------------------------
The ABS Tables also assume that the receivables have been aggregated into
hypothetical pools with all of the receivables within each such pool having
the following characteristics and that the level scheduled monthly payment for
each of the pools (which is based on its aggregate principal balance, weighted
average contract rate of interest, weighted average original term to maturity
and weighted average remaining term to maturity as of the cut-off date) will
be such that each pool will be fully amortized by the end of its remaining
term to maturity. The pools have an assumed cut-off date of the close of
business on May 31, 2003.
Weighted Average Weighted Average Weighted Average
Aggregate Gross Contract Rate Original Term to Remaining Term to
Pool Principal Balance of Interest Maturity (In Months) Maturity (In Months)
---- ----------------- ----------- -------------------- --------------------
1 $ 91,763,882.01 8.627% 57 41
2 24,122,483.84 7.229% 58 47
3 9,072,616.40 7.456% 57 48
4 14,179,220.69 6.679% 56 50
5 57,327,044.76 6.236% 57 52
6 45,472,502.86 6.362% 57 54
7 1,963,667.46 6.112% 54 53
8 133,805,480.17 8.803% 72 55
9 21,558,349.12 8.193% 72 61
10 7,064,829.91 7.962% 70 61
11 14,230,310.58 7.398% 70 64
12 68,702,333.65 7.239% 70 65
13 62,542,170.84 7.208% 70 67
14 1,922,809.35 7.024% 68 67
---------------
Total $553,727,701.64
===============
The actual characteristics and performance of the receivables will differ from
the assumptions used in constructing the ABS Tables. The assumptions used are
hypothetical and have been provided only to give a general sense of how the
principal cash flows might behave under varying prepayment scenarios. For
example, it is very unlikely that the receivables will prepay at a constant
level of ABS until maturity or that all of the receivables will prepay at the
same level of ABS. Moreover, the diverse terms of receivables within each of
the hypothetical pools could produce slower or faster principal distributions
than indicated in the ABS Tables at the various constant percentages of ABS
specified, even if the weighted average original and weighted average
remaining terms to maturity of the receivables are as assumed. Any difference
between those assumptions and the actual characteristics and performance of
the receivables, or actual prepayment experience, will affect the percentages
of initial amounts outstanding over time and the weighted average lives of
each class of offered notes.
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
15
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
------------------------------------------------------------------------------
Percent of Initial Principal Amount at Various ABS Percentages
Class A-1 Notes Class A-2 Notes
---------------------------------- -----------------------------------
Payment Date 0.50% 1.00% 1.50% 1.80% 0.50% 1.00% 1.50% 1.80%
---------------------------------- ------- --------- --------- ------ ------- --------- --------- -------
Closing Date...................... 100 100 100 100 100 100 100 100
August 15, 2003................... 93 91 90 89 100 100 100 100
September 15, 2003................ 90 87 85 83 100 100 100 100
October 15, 2003.................. 86 83 80 78 100 100 100 100
November 15, 2003................. 83 79 75 72 100 100 100 100
December 15, 2003................. 80 75 71 67 100 100 100 100
January 15, 2004.................. 76 72 66 62 100 100 100 100
February 15, 2004................. 73 68 62 58 100 100 100 100
March 15, 2004.................... 71 65 58 54 100 100 100 100
April 15, 2004.................... 68 61 55 50 100 100 100 100
May 15, 2004...................... 65 58 51 46 100 100 100 100
June 15, 2004..................... 63 56 48 43 100 100 100 100
July 15, 2004..................... 60 53 45 39 100 100 100 100
August 15, 2004................... 58 50 41 36 100 100 100 100
September 15, 2004................ 55 47 38 32 100 100 100 100
October 15, 2004.................. 53 44 35 29 100 100 100 100
November 15, 2004................. 50 42 32 26 100 100 100 100
December 15, 2004................. 48 39 29 22 100 100 100 100
January 15, 2005.................. 46 37 26 19 100 100 100 100
February 15, 2005................. 43 34 23 16 100 100 100 100
March 15, 2005.................... 41 32 21 14 100 100 100 100
April 15, 2005.................... 39 29 18 11 100 100 100 100
May 15, 2005...................... 36 27 15 8 100 100 100 100
June 15, 2005..................... 34 24 13 5 100 100 100 100
July 15, 2005..................... 32 22 10 3 100 100 100 100
August 15, 2005................... 30 19 8 0 100 100 100 100
September 15, 2005................ 27 17 6 0 100 100 100 93
October 15, 2005.................. 25 15 4 0 100 100 100 85
November 15, 2005................. 23 13 1 0 100 100 100 78
December 15, 2005................. 21 11 0 0 100 100 97 70
January 15, 2006.................. 18 8 0 0 100 100 90 63
February 15, 2006................. 16 6 0 0 100 100 83 57
March 15, 2006.................... 14 4 0 0 100 100 76 50
April 15, 2006.................... 12 2 0 0 100 100 70 44
May 15, 2006...................... 10 0 0 0 100 100 64 0
June 15, 2006..................... 8 0 0 0 100 94 58 0
July 15, 2006..................... 5 0 0 0 100 88 52 0
August 15, 2006................... 3 0 0 0 100 81 47 0
September 15, 2006................ 1 0 0 0 100 75 0 0
October 15, 2006.................. 0 0 0 0 97 69 0 0
November 15, 2006................. 0 0 0 0 89 63 0 0
December 15, 2006................. 0 0 0 0 83 58 0 0
January 15, 2007.................. 0 0 0 0 77 53 0 0
February 15, 2007................. 0 0 0 0 72 48 0 0
March 15, 2007.................... 0 0 0 0 66 44 0 0
April 15, 2007.................... 0 0 0 0 60 0 0 0
May 15, 2007...................... 0 0 0 0 54 0 0 0
June 15, 2007..................... 0 0 0 0 49 0 0 0
July 15, 2007..................... 0 0 0 0 44 0 0 0
August 15, 2007................... 0 0 0 0 0 0 0 0
September 15, 2007................ 0 0 0 0 0 0 0 0
Weighted Average Life (1)......... 1.46 1.22 1.00 0.88 3.99 3.66 3.15 2.78
Weighted Average Life to Call(1)(2) 1.46 1.22 1.00 0.88 3.82 3.47 2.94 2.61
----------
(1) The weighted average life of a note is determined by (a) multiplying the
amount of each principal payment on a note by the number of years from
the date of the issuance of the note to the related payment date, (b)
adding the results and (c) dividing the sum by the related initial
principal amount of the note.
(2) This calculation assumes that the servicer purchases the outstanding
receivables on the earliest payment date on which it is permitted to do
so.
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
16
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ July 1, 2003
Securitized Products Group
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ [GRAPHIC]
------------------------------------------------------------------------------
Percent of Initial Principal Amount at Various ABS Percentages
Class B Notes Class C Notes
---------------------------------- -----------------------------------
Payment Date 0.50% 1.00% 1.50% 1.80% 0.50% 1.00% 1.50% 1.80%
---------------------------------- ------- --------- --------- ------ ------- --------- --------- -------
Closing Date...................... 100 100 100 100 100 100 100 100
August 15, 2003................... 100 100 100 100 100 100 100 100
September 15, 2003................ 100 100 100 100 100 100 100 100
October 15, 2003.................. 100 100 100 100 100 100 100 100
November 15, 2003................. 100 100 100 100 100 100 100 100
December 15, 2003................. 100 100 100 100 100 100 100 100
January 15, 2004.................. 100 100 100 100 100 100 100 100
February 15, 2004................. 100 100 100 95 100 100 100 99
March 15, 2004.................... 100 100 95 90 100 100 99 89
April 15, 2004.................... 100 100 91 86 100 100 90 78
May 15, 2004...................... 100 95 87 82 100 100 81 71
June 15, 2004..................... 100 92 84 78 100 93 73 67
July 15, 2004..................... 99 89 80 74 100 85 69 64
August 15, 2004................... 94 86 77 70 98 78 66 61
September 15, 2004................ 92 83 73 66 92 72 63 57
October 15, 2004.................. 89 80 70 63 85 69 60 54
November 15, 2004................. 87 77 66 59 79 67 57 51
December 15, 2004................. 84 74 63 56 73 64 54 48
January 15, 2005.................. 81 71 60 52 70 62 52 45
February 15, 2005................. 79 68 57 49 68 59 49 42
March 15, 2005.................... 76 66 54 46 66 57 46 40
April 15, 2005.................... 74 63 51 43 64 54 44 37
May 15, 2005...................... 71 60 48 40 61 52 41 34
June 15, 2005..................... 69 58 45 37 59 50 39 32
July 15, 2005..................... 66 55 42 34 57 47 37 29
August 15, 2005................... 64 52 40 31 55 45 34 27
September 15, 2005................ 61 50 37 29 53 43 32 25
October 15, 2005.................. 59 47 35 26 51 41 30 23
November 15, 2005................. 56 45 32 24 48 39 28 20
December 15, 2005................. 54 43 30 22 46 37 26 13
January 15, 2006.................. 51 40 28 19 44 35 24 6
February 15, 2006................. 49 38 26 17 42 33 22 0
March 15, 2006.................... 46 36 24 12 40 31 19 0
April 15, 2006.................... 44 33 22 7 38 29 13 0
May 15, 2006...................... 42 31 20 0 36 27 7 0
June 15, 2006..................... 39 29 18 0 34 25 1 0
July 15, 2006..................... 37 27 13 0 32 23 0 0
August 15, 2006................... 34 25 9 0 30 22 0 0
September 15, 2006................ 32 23 0 0 28 18 0 0
October 15, 2006.................. 30 21 0 0 26 11 0 0
November 15, 2006................. 27 19 0 0 24 5 0 0
December 15, 2006................. 26 18 0 0 22 0 0 0
January 15, 2007.................. 24 14 0 0 20 0 0 0
February 15, 2007................. 22 10 0 0 14 0 0 0
March 15, 2007.................... 20 6 0 0 9 0 0 0
April 15, 2007.................... 19 0 0 0 3 0 0 0
May 15, 2007...................... 15 0 0 0 0 0 0 0
June 15, 2007..................... 11 0 0 0 0 0 0 0
July 15, 2007..................... 6 0 0 0 0 0 0 0
August 15, 2007................... 0 0 0 0 0 0 0 0
September 15, 2007................ 0 0 0 0 0 0 0 0
Weighted Average Life (1)......... 2.60 2.27 1.89 1.67 2.38 2.05 1.71 1.50
Weighted Average Life to Call (1)(2) 2.60 2.27 1.89 1.67 2.38 2.05 1.71 1.50
-------------------
(1) The weighted average life of a note is determined by (a) multiplying the
amount of each principal payment on a note by the number of years from
the date of the issuance of the note to the related payment date, (b)
adding the results and (c) dividing the sum by the related initial
principal amount of the note.
(2) This calculation assumes that the servicer purchases the outstanding
receivables on the earliest payment date on which it is permitted to do
so.
The ABS Tables have been prepared based on the assumptions described above
(including the assumptions regarding the characteristics and performance of
the receivables, which will differ from the actual characteristics and
performance thereof) and should be read in conjunction therewith.
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 informational 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.
None of ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, any other underwriter or placement agent or the
Depositor make any 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 herein 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, each other
underwriter or placement agent and the Depositor disclaim 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is an affiliate of the
Depositor. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and others associated with it may perform or seek
to perform investment banking services for the servicer. Other underwriters
or placement agents may be affiliated with the servicer. 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
17