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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ 16, 2003
Securitized Products Group [▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
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COMPUTATIONAL MATERIALS
$171,457,000
APPROXIMATELY
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS CAPITAL I INC.
SERIES 2003-SD1
MORTGAGE PASS-THROUGH CERTIFICATES
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ 16, 2003
Securitized Products Group [▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
APPROXIMATELY $171,457,000
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS CAPITAL I INC., SERIES 2003-SD1
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS CAPITAL I INC.
DEPOSITOR
COUNTRYWIDE HOME LOANS SERVICING LP, OCWEN FEDERAL BANK, FSB,
WILSHIRE CREDIT CORPORATION
SERVICERS
TRANSACTION HIGHLIGHTS
----------------------------------------------------------------------------------------------------------------------------------
MODIFIED
EXPECTED RATINGS AVG LIFE DURATION INITIAL
OFFERED (S&P/FITCH/ TO CALL / TO CALL / PAYMENT WINDOW TO CALL / SUBORDINATION
CLASSES DESCRIPTION BALANCE MOODY'S) MTY(1)(2) MTY(1)(2)(3) MTY(1)(2) LEVEL (%) BENCHMARK
==================================================================================================================================
A Floater $143,100,000 AAA/AAA/Aaa 2.96 / 2.85 / 07/03 - 02/12 / 07/03 - 18.00 1 Mo. LIBOR
3.21 3.06 03/22
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M-1 Floater $10,470,000 AA/AA/Aa2 5.70 / 5.30 / 08/06 - 02/12 / 08/06 - 12.00 1 Mo. LIBOR
6.28 5.76 11/18
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M-2 Floater $9,162,000 A/A/A2 5.69 / 5.09 / 07/06 - 02/12 / 07/06 - 6.75 1 Mo. LIBOR
6.20 5.45 07/17
----------------------------------------------------------------------------------------------------------------------------------
B-1 Floater $6,457,000 BBB/BBB/Baa2 5.69 / 4.79 / 07/06 - 02/12 / 07/06 - 3.05 1 Mo. LIBOR
6.01 5.00 07/15
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B-2 Floater $2,268,000 BBB-/BBB-/Baa3 5.61 / 4.74 / 07/06 - 02/12 / 07/06 - 1.75 1 Mo. LIBOR
5.63 4.76 10/12
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Notes: (1) Certificates are priced to the 10% Optional Clean-up Call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
ISSUER: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc. Trust 2003-SD1.
DEPOSITOR: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
SERVICERS: Countrywide Home Loans Servicing LP, Ocwen Federal
Bank, FSB and Wilshire Credit Corporation.
MASTER REPORTING AGENT: The Murrayhill Company.
TRUSTEE: ▇▇▇▇▇ Fargo Bank Minnesota, National Association.
CUSTODIAN: Deutsche Bank National Trust Company.
UNDERWRITERS: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (lead manager), ▇▇▇▇▇▇▇▇ Capital
Partners, L.P. and The ▇▇▇▇▇▇▇▇ Capital Group, L.P.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 2
RATING AGENCIES: Fitch Ratings, ▇▇▇▇▇'▇ Investors Service, and
Standard & Poor's.
OFFERED CERTIFICATES: Classes A, M-1, M-2, B-1, and B-2 Certificates.
CUT-OFF DATE: June 1, 2003.
EXPECTED CLOSING DATE: June [30], 2003 through DTC and Euroclear or
Clearstream. The Certificates will be sold
without accrued interest.
DISTRIBUTION DATES: The 25th of each month, or if such day is not a
business day, on the next business day,
beginning July 25, 2003.
FINAL SCHEDULED The Distribution Date occurring in March 2033.
DISTRIBUTION DATE:
DUE PERIOD: For any Distribution Date, the period
commencing on the second day of the month
preceding the month in which such Distribution
Date occurs and ending on the first day of the
month in which such Distribution Date occurs.
INTEREST ACCRUAL PERIOD: The interest accrual period for the Offered
Certificates with respect to any Distribution
Date will be the period beginning with the
previous Distribution Date (or, in the case of
the first Distribution Date, the Closing Date)
and ending on the day prior to the current
Distribution Date (on an actual/360 day count
basis).
MORTGAGE LOANS: Approximately $174,511,813 of Mortgage Loans as
of Cut-off Date. The Mortgage Loans consist of
fixed and adjustable rate, conventional
closed-end mortgage loans, secured by 1st and
2nd lien and balloon mortgages on primarily 1-4
family properties. The Mortgage Loans consist of
86.96% Performing Mortgage Loans, 7.67%
Sub-Performing Mortgage Loans and 5.37%
Re-Performing Mortgage Loans with aggregate
principal balances as of the Cut-off Date of
approximately $151,755,726, $13,383,590, and
$9,372,497, respectively. The Mortgage Loans
consist of approximately 38.46% fixed rate
mortgage loans and 61.54% adjustable rate
mortgage loans with aggregate principal balances
as of the Cut-off Date of approximately
$67,125,856 and $107,385,957, respectively.
PERFORMING MORTGAGE LOANS: A "Performing Mortgage Loan" is a Mortgage Loan
(which may be a Payment Plan Mortgage Loan or a
Bankruptcy Plan Mortgage Loan) pursuant to which
no payment due under the related Mortgage Note
(or any modification thereto) prior to the
Cut-off Date, is 30 days Delinquent.
A Mortgage Loan is "Delinquent," if the
scheduled monthly payment of principal and
interest on such Mortgage Loan which is payable
by the related mortgagor under the related
Mortgage Note (the "Monthly Payment") due on a
due date is not paid by the close of business on
the next scheduled due date for such Mortgage
Loan. Thus, a Mortgage Loan for which the
mortgagor failed to make the Monthly Payment on
June 1, 2003 will be reported as Delinquent as
of the beginning of business on July 2, 2003, if
the Monthly Payment is not made by such time.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 3
RE-PERFORMING MORTGAGE LOAN: A "Re-Performing Mortgage Loan" is a Mortgage
Loan (which may be a Payment Plan Mortgage Loan
or a Bankruptcy Plan Mortgage Loan) which had
defaulted in the past and which is currently at
least 90 days Delinquent with respect to certain
Regular Scheduled Payments but which satisfies
one of the following criteria (the
"Re-Performance Test"):
(i) the mortgagor has made in aggregate at
least three Regular Scheduled Payments in
the three calendar months preceding the
Cut-off Date (regardless of either the
timing of receipt of such payments or the
payment history of such loans prior to
March 1, 2003), or
(ii) the mortgagor has made in aggregate at
least four Regular Scheduled Payments in
the four calendar months preceding the
Cut-off Date (regardless of either the
timing of receipt of such payments or the
payment history of such loans prior to
February 1, 2003), or
(iii) the mortgagor has made in aggregate at
least five Regular Scheduled Payments in
the five calendar months preceding the
Cut-off Date (regardless of either the
timing of receipt of such payments or the
payment history of such loans prior to
January 1, 2003).
SUB-PERFORMING MORTGAGE LOAN: A "Sub-Performing Mortgage Loan" is a Mortgage
Loan (which may be a Payment Plan Mortgage Loan
or a Bankruptcy Plan Mortgage Loan) pursuant to
which a payment due prior to the Cut-off Date
under the terms of the related Mortgage Note (or
any modification thereto), is at least 30 but
not more than 89 days Delinquent.
PAYMENT PLAN MORTGAGE LOAN A "Payment Plan Mortgage Loan" is a Mortgage
with respect to which the related mortgagor must
make monthly payments in an amount at least
equal to the sum of (i) the amount of the
monthly scheduled payment of principal and
interest determined in accordance with such
Mortgage Loan's original amortization schedule
("Regular Scheduled Payments") plus (ii) an
additional amount to be applied to pay down (a)
the total amount of scheduled monthly payments
due thereon on or before the Cut-off Date but
not received prior to the Cut-off Date plus (b)
the aggregate amount of tax and insurance
advances made with respect to such Mortgage Loan
to the extent such advances are outstanding as
of the Cut-off Date.
BANKRUPTCY PLAN MORTGAGE LOAN A "Bankruptcy Plan Mortgage Loan" is a Mortgage
Loan with respect to which the related mortgagor
defaulted and, after such default, became the
subject of a bankruptcy case under Title 11 of
the United States Code or a state bankruptcy
code and, as of the Cut-off Date, had a
confirmed bankruptcy plan. Each such bankruptcy
plan generally requires the related mortgagor to
make monthly payments in an amount at least
equal to (i) the Regular Scheduled Payment plus
(ii) an additional amount sufficient to pay down
overdue amounts resulting from the period of
default, generally over a period of three to
five years from the commencement of such
bankruptcy plan.
ARREARAGES: As of the Cut-off Date, it is expected that
there are approximately $1,885,659 of payments
which were delinquent on or prior to the Cut-off
Date (such amounts, "Arrearages"). The
Arrearages will be the property of the Trust and
that portion of payments received on the
Mortgage Loans allocable to such Arrearages will
be paid out of the distribution account as Extra
Principal Distribution Amount and Net Monthly
Excess Cashflow to the Certificates.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 4
SERVICING FEE: 50 bps per annum.
TRUST EXPENSE FEE: 3 bps per annum.
PRICING PREPAYMENT SPEED: o Fixed Rate Mortgage Loans: CPR starting at
approximately 1.4667% CPR as of the initial
due date of the Mortgage Loan and
increasing to 22% CPR in month 15 (22%/15
CPR increase for each month), and remaining
at 22% CPR thereafter.
o ARM Mortgage Loans: CPR of 22%.
CREDIT ENHANCEMENT: The Offered Certificates are credit enhanced by:
1) Net Monthly Excess Cashflow from the
Mortgage Loans,
2) 1.75% overcollateralization (funded
upfront). On and after the Step-down Date,
so long as a Trigger Event is not in effect,
the required overcollateralization will
equal 3.50% of the aggregate principal
balance of the Mortgage Loans as of the last
day of the applicable Due Period, subject to
a 0.50% floor, based on the aggregate
principal balance of the Mortgage Loans as
of the Cut-off Date,
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on
the more senior classes of certificates, and
4) Approximately $1,885,659 of Arrearages as of
the Cut-off Date.
SENIOR ENHANCEMENT PERCENTAGE: For any Distribution Date, the percentage
obtained by dividing (x) the aggregate
Certificate Principal Balance of the subordinate
certificates (together with any
overcollateralization and taking into account
the distributions of the Principal Distribution
Amount for such Distribution Date) by (y) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period.
STEP-DOWN DATE: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
July 2006; and
(b) The Distribution Date on which the
aggregate Certificate Principal Balance
of the Class A Certificates is reduced
to zero; and
(y) The first Distribution Date on which the
Senior Enhancement Percentage (calculated
for this purpose only after taking into
account payments of principal on the
Mortgage Loans on the last day of the
related Due Period but prior to principal
distributions to the Certificates on the
applicable Distribution Date) is greater
than or equal to approximately 36%.
TRIGGER EVENT: A "Trigger Event" will be in effect on a
Distribution Date if any one of the following
conditions exist as of the last day of the
immediately preceding collection period:
(a) The "Rolling Six Month 60+ Delinquency
Percentage" equals or exceeds 45% of the Senior
Enhancement Percentage; or
(b) The aggregate amount of realized losses
incurred since the Cut-off Date through the last
day of such preceding collection period divided
by the aggregate principal balance of the
Mortgage Loans as of the Cut-off Date exceeds
the applicable percentages set forth below with
respect to such Distribution Date:
Distribution Date Percentage
----------------- ----------
Months 37-48 4.00% [(for the first month, plus 1/12th of 2.00% for each month thereafter)]
Months 49-60 6.00% [(for the first month, plus 1/12th of 1.50% for each month thereafter)]
Months 61-72 7.50% [(for the first month, plus 1/12th of 0.25% for each month thereafter)]
Month 73 and thereafter 7.75%
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 5
60+ DAY DELINQUENT LOAN: Each Mortgage Loan with respect to which any
portion of a monthly payment is 60 days or more
delinquent, each Mortgage Loan in foreclosure,
and all REO Property.
ROLLING SIX MONTH 60+ DAY With respect to any Distribution Date, the
DELINQUENT PERCENTAGE: average of the percentage equivalents of the
fractions determined for each of the six
immediately preceding collection periods, the
numerator of each of which is equal to the
aggregate Principal Balance of Mortgage Loans
that are 60+ Day Delinquent Loans (other than
Re-Performing 60+ Day Delinquent Loans), and the
denominator of which is the aggregate Mortgage
Loan balance as of the end of the related
collection period.
RE-PERFORMING 60+ DAY Each Mortgage Loan with respect to which (x) any
DELINQUENT LOAN: portion of a monthly payment is 60 days or more
delinquent and (y) the mortgagor has made an
aggregate of three monthly payments within the
preceding three calendar months.
INITIAL SUBORDINATION Class A: 18.00%
PERCENTAGE: Class M-1: 12.00%
Class M-2: 6.75%
Class B-1: 3.05%
Class B-2: 1.75%
ADVANCES: The Servicer will advance scheduled principal
and interest, but only to the extent that the
Servicer believes such advances to be
recoverable from liquidation proceeds. Such
advances have not and will not be made with
respect to Arrearages. No advancing will be made
with respect to simple interest Mortgage Loans,
which comprise approximately 0.33% of the
Mortgage Loans.
OPTIONAL CLEAN-UP CALL: Exercisable when the current aggregate principal
balance of the Mortgage Loans is less than or
equal to 10% of the aggregate principal balance
of the Mortgage Loans as of the Cut-off Date.
STEP-UP COUPONS: For all Offered Certificates the coupon will
increase after the Optional Clean-up Call date,
should the call not be exercised. The applicable
fixed margin will increase by 2x on the Class A
Certificates and by 1.5x on all other
Certificates on and after the first Distribution
Date on which the Optional Clean-up Call is
exercisable.
CLASS A PASS-THROUGH RATE: The Class A Certificates will accrue interest at
a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps on and
after the first Distribution Date on which the
Optional Clean-up Call is exercisable), and (ii)
the WAC Cap.
CLASS M-1 PASS-THROUGH RATE: The Class M-1 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps on and
after the first Distribution Date on which the
Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
CLASS M-2 PASS-THROUGH RATE: The Class M-2 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps on and
after the first Distribution Date on which the
Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
CLASS B-1 PASS-THROUGH RATE: The Class B-1 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps on and
after the first Distribution Date on which the
Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 6
CLASS B-2 PASS-THROUGH RATE: The Class B-2 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps on and
after the first Distribution Date on which the
Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
WAC CAP: As to any Distribution Date a per annum
rate equal to the product of (i) the weighted
average gross interest rate of the Mortgage
Loans in effect on the beginning of the related
Due Period less the Servicing Fees and Trust
Expense Fees, and (ii) a fraction, the numerator
of which is 30 and the denominator of which is
the actual number of days in the related
Interest Accrual Period.
BASIS RISK CARRY FORWARD As to any Distribution Date, the supplemental
AMOUNTS: interest amount for each of the Class A, M-1,
M-2, B-1, and B-2 Certificates will equal the
sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
such Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap) over
interest due such Certificates at a rate
equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for
such class remaining unpaid for such
Certificate from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at
the Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap).
INTEREST DISTRIBUTIONS ON On each Distribution Date and after payments of
OFFERED CERTIFICATES: Servicing and Trust Expense Fees, interest
distributions from the Interest Remittance
Amount will be allocated as follows:
(i) To the Class A Certificates, its Accrued
Certificate Interest and unpaid interest
amounts;
(ii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iii) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(iv) To the Class B-1 Certificates, its Accrued
Certificate Interest; and
(v) To the Class B-2 Certificates, its Accrued
Certificate Interest.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 7
PRINCIPAL DISTRIBUTIONS ON On each Distribution Date (a) prior to the
OFFERED CERTIFICATES: Step-down Date or (b) on which a Trigger Event
is in effect, principal distributions from the
Principal Distribution Amount will be allocated
as follows:
(i) to the Class A Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(ii) to the Class M-1 Certificates, until
the Certificate Principal Balance thereof
has been reduced to zero;
(iii) to the Class M-2 Certificates, until
the Certificate Principal Balance thereof
has been reduced to zero;
(iv) to the Class B-1 Certificates, until
the Certificate Principal Balance thereof
has been reduced to zero; and
(v) to the Class B-2 Certificates, until
the Certificate Principal Balance thereof
has been reduced to zero.
On each Distribution Date (a) on or after the
Step-down Date and (b) on which a Trigger Event
is not in effect, the principal distributions
from the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, the
lesser of the Principal Distribution
Amount and the Class A Principal
Distribution Amount, until the Certificate
Principal Balance thereof has been reduced
to zero;
(ii) to the Class M-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-1
Principal Distribution Amount, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iii) to the Class M-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-2
Principal Distribution Amount, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iv) to the Class B-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-1
Principal Distribution Amount, until the
Certificate Principal Balance thereof has
been reduced to zero; and
(v) to the Class B-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-2
Principal Distribution Amount, until the
Certificate Principal Balance thereof has
been reduced to zero.
ALLOCATION OF NET MONTHLY For any Distribution Date, any Net Monthly
EXCESS CASHFLOW: Excess Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the
unpaid interest shortfall amount;
(ii) to the Class M-1 Certificates, the
allocated unreimbursed realized loss
amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the
allocated unreimbursed realized loss
amount;
(v) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(vii) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-2 Certificates, the
allocated unreimbursed realized loss
amount;
(ix) any Class A Basis Risk Carry Forward
Amount to the Class A Certificates, and
(x) sequentially, to Classes M-1, M-2, B-1,
B-2 and Certificates, in that order, any
Basis Risk Carry Forward Amount for such
classes.
INTEREST REMITTANCE AMOUNT: For any Distribution Date, the portion of
available funds for such Distribution Date
attributable to interest received or advanced on
the Mortgage Loans.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 8
ACCRUED CERTIFICATE INTEREST: For any Distribution Date and each class of
Offered Certificates, equals the amount of
interest accrued during the related Interest
Accrual Period at the related Pass-Through Rate,
reduced by any prepayment interest shortfalls
and shortfalls resulting from the application of
the Soldiers' and Sailors' Civil Relief Act of
1940 or similar state law allocated to such
class.
PRINCIPAL DISTRIBUTION AMOUNT: On any Distribution Date, the sum of (i) the
Basic Principal Distribution Amount and (ii) the
Extra Principal Distribution Amount.
BASIC PRINCIPAL DISTRIBUTION On any Distribution Date, the excess of (i) the
AMOUNT: aggregate principal remittance amount over (ii)
the Excess Subordinated Amount, if any.
NET MONTHLY EXCESS CASHFLOW: For any Distribution Date, the amount of funds
available for distribution on such Distribution
Date (including any amounts in respect of
Arrearages) remaining after making all
distributions of interest and principal on the
certificates.
EXTRA PRINCIPAL DISTRIBUTION For any Distribution Date, the lesser of (i) the
AMOUNT: excess of (x) interest collected or advanced
with respect to the Mortgage Loans with due
dates in the related Due Period (less Servicing
Fees and Trust Expense Fees) plus any amounts
received in respect to Arrearages, over (y) the
sum of interest payable on the Certificates on
such Distribution Date, and (ii) the
overcollateralization deficiency amount for such
Distribution Date.
EXCESS SUBORDINATED AMOUNT: For any Distribution Date, the excess, if any,
of (i) the overcollateralization as of such
Distribution Date over (ii) the required
overcollateralization for such Distribution
Date.
CLASS A PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the aggregate Certificate
Principal Balance of the Class A Certificates
immediately prior to such Distribution Date over
(y) the lesser of (A) the product of (i)
approximately 64.00% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period over $872,559.
CLASS M-1 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 76.00% and (ii) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period over $872,559.
CLASS M-2 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date) and (iii) the
Certificate Principal Balance of the Class M-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 86.50% and (ii) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period over $872,559.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 9
CLASS B-1 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), and (iv) the
Certificate Principal Balance of the Class B-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 93.90% and (ii) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period over $872,559.
CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal Distribution
Amount on such Distribution Date) and (v) the
Certificate Principal Balance of the Class B-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 96.50% and (ii) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period over $872,559.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the Prospectus,
all Offered Certificates are expected to be
ERISA eligible.
SMMEA ELIGIBILITY: It is not anticipated that any of the Offered
Certificates will be SMMEA eligible.
PROSPECTUS: The Class A, Class M-1, Class M-2, Class B-1,
and Class B-2 Certificates are being offered
pursuant to a prospectus supplemented by a
prospectus supplement (together, the
"Prospectus"). Complete information with respect
to the Offered Certificates and the collateral
securing them is contained in the Prospectus.
The information herein is qualified in its
entirety by the information appearing in the
Prospectus. To the extent that the information
herein is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales
of the Offered Certificates may not be
consummated unless the purchaser has received
the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR
A DESCRIPTION OF INFORMATION THAT SHOULD BE
CONSIDERED IN CONNECTION WITH AN INVESTMENT IN
THE OFFERED CERTIFICATES.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 10
WEIGHTED AVERAGE LIFE SENSITIVITY
TO CALL
----------------------------------------------------------------------------------------------------------------------------------
PPC 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A WAL 5.59 4.80 3.92 2.96 2.30 1.80 1.39
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 1 - 189 1 - 165 1 - 136 1 - 104 1 - 82 1 - 67 1 - 56
----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.61 9.15 7.50 5.70 4.76 4.40 4.47
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 8/25/2006 11/25/2006 2/25/2007 6/25/2007
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 63 - 189 54 - 165 43 - 136 38 - 104 41 - 82 44 - 67 48 - 56
----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.61 9.15 7.50 5.69 4.67 4.14 3.94
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 9/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 39 - 82 40 - 67 41 - 56
----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.61 9.15 7.50 5.69 4.63 4.03 3.69
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 8/25/2006 8/25/2006
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 37 - 82 38 - 67 38 - 56
----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.48 9.03 7.40 5.61 4.55 3.93 3.56
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 7/25/2006 8/25/2006
EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008
WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 37 - 82 37 - 67 38 - 56
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 11
WEIGHTED AVERAGE LIFE SENSITIVITY
TO MATURITY
---------------------------------------------------------------------------------------------------------------------------------
PPC 50 60 75 100 125 150 175
---------------------------------------------------------------------------------------------------------------------------------
A WAL 5.94 5.14 4.23 3.21 2.50 1.97 1.53
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 9/25/2030 5/25/2029 8/25/2026 3/25/2022 8/25/2018 12/25/2015 12/25/2013
WINDOW 1 - 327 1 - 311 1 - 278 1 - 225 1 - 182 1 - 150 1 - 126
---------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.45 9.95 8.22 6.28 5.23 4.79 4.87
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 8/25/2006 11/25/2006 2/25/2007 6/25/2007
EXPECTED FINAL MATURITY 4/25/2028 3/25/2026 2/25/2023 11/25/2018 11/25/2015 9/25/2013 12/25/2011
WINDOW 63 - 298 54 - 273 43 - 236 38 - 185 41 - 149 44 - 123 48 - 102
---------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.37 9.87 8.13 6.20 5.09 4.49 4.22
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 9/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL MATURITY 11/25/2026 8/25/2024 7/25/2021 7/25/2017 9/25/2014 9/25/2012 3/25/2011
WINDOW 63 - 281 54 - 254 43 - 217 37 - 169 39 - 135 40 - 111 41 - 93
---------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 11.12 9.62 7.91 6.01 4.90 4.25 3.88
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 8/25/2006 8/25/2006
EXPECTED FINAL MATURITY 6/25/2024 3/25/2022 2/25/2019 7/25/2015 2/25/2013 5/25/2011 1/25/2010
WINDOW 63 - 252 54 - 225 43 - 188 37 - 145 37 - 116 38 - 95 38 - 79
---------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.52 9.07 7.44 5.63 4.57 3.95 3.57
FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 7/25/2006 8/25/2006
EXPECTED FINAL MATURITY 4/25/2020 3/25/2018 9/25/2015 10/25/2012 11/25/2010 7/25/2009 7/25/2008
WINDOW 63 - 202 54 - 177 43 - 147 37 - 112 37 - 89 37 - 73 38 - 61
---------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 12
CPR SENSITIVITY
TO CALL
----------------------------------------------------------------------------------------
CPR 20 25 30
----------------------------------------------------------------------------------------
A WAL 3.22 2.53 2.01
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 1 - 114 1 - 91 1 - 74
----------------------------------------------------------------------------------------
M-1 WAL 6.21 5.08 4.53
FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 37 - 114 40 - 91 42 - 74
----------------------------------------------------------------------------------------
M-2 WAL 6.21 5.04 4.37
FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 37 - 114 38 - 91 39 - 74
----------------------------------------------------------------------------------------
B-1 WAL 6.21 5.02 4.29
FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 37 - 114 37 - 91 38 - 74
----------------------------------------------------------------------------------------
B-2 WAL 6.12 4.93 4.20
FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006
EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009
WINDOW 37 - 114 37 - 91 37 - 74
----------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 13
CPR SENSITIVITY
TO MATURITY
----------------------------------------------------------------------------------------
CPR 20 25 30
----------------------------------------------------------------------------------------
A WAL 3.49 2.75 2.20
FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003
EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017
WINDOW 1 - 243 1 - 199 1 - 166
----------------------------------------------------------------------------------------
M-1 WAL 6.83 5.60 4.96
FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006
EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014
WINDOW 37 - 201 40 - 163 42 - 135
----------------------------------------------------------------------------------------
M-2 WAL 6.75 5.49 4.75
FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006
EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013
WINDOW 37 - 184 38 - 149 39 - 123
----------------------------------------------------------------------------------------
B-1 WAL 6.55 5.30 4.54
FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006
EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012
WINDOW 37 - 159 37 - 128 38 - 105
----------------------------------------------------------------------------------------
B-2 WAL 6.15 4.95 4.22
FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006
EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010
WINDOW 37 - 123 37 - 98 37 - 80
----------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 14
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
0 - - - - -
1 10.24 10.02 10.02 10.02 10.02
2 8.26 8.08 8.08 8.08 8.08
3 8.27 8.09 8.09 8.09 8.09
4 8.57 8.38 8.38 8.38 8.38
5 8.38 8.18 8.18 8.18 8.18
6 8.66 8.46 8.46 8.46 8.46
7 8.39 8.19 8.19 8.19 8.19
8 8.39 8.19 8.19 8.19 8.19
9 8.98 8.75 8.75 8.75 8.75
10 8.46 8.24 8.24 8.24 8.24
11 8.83 8.60 8.60 8.60 8.60
12 8.56 8.32 8.32 8.32 8.32
13 8.87 8.62 8.62 8.62 8.62
14 8.59 8.34 8.34 8.34 8.34
15 8.61 8.35 8.35 8.35 8.35
16 9.37 9.08 9.08 9.08 9.08
17 9.15 8.86 8.86 8.86 8.86
18 9.52 9.20 9.20 9.20 9.20
19 9.23 8.92 8.92 8.92 8.92
20 9.38 9.05 9.05 9.05 9.05
21 10.47 10.09 10.09 10.09 10.09
22 9.75 9.39 9.39 9.39 9.39
23 10.17 9.78 9.78 9.78 9.78
24 9.88 9.49 9.49 9.49 9.49
25 10.24 9.82 9.82 9.82 9.82
26 10.02 9.59 9.59 9.59 9.59
27 10.07 9.63 9.63 9.63 9.63
28 10.72 10.24 10.24 10.24 10.24
29 10.47 9.98 9.98 9.98 9.98
30 10.93 10.41 10.41 10.41 10.41
31 10.61 10.08 10.08 10.08 10.08
32 10.73 10.18 10.18 10.18 10.18
33 12.14 11.49 11.49 11.49 11.49
34 11.28 10.66 10.66 10.66 10.66
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current Certificate Principal Balance.
2 Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and
1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 15
PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
35 11.75 11.09 11.09 11.09 11.09
36 11.45 10.78 10.78 10.78 10.78
37 19.32 11.16 11.16 11.16 11.16
38 12.93 10.89 10.89 10.89 10.89
39 13.11 11.09 11.09 11.09 11.09
40 13.78 11.69 11.69 11.69 11.69
41 13.38 11.36 11.36 11.36 11.36
42 13.86 11.77 11.77 11.77 11.77
43 13.42 11.39 11.39 11.39 11.39
44 13.46 11.43 11.43 11.43 11.43
45 15.12 12.86 12.86 12.86 12.86
46 13.66 11.62 11.62 11.62 11.62
47 14.12 12.01 12.01 12.01 12.01
48 13.69 11.65 11.65 11.65 11.65
49 14.16 12.04 12.04 12.04 12.04
50 13.71 11.66 11.66 11.66 11.66
51 13.90 11.84 11.84 11.84 11.84
52 14.37 12.24 12.24 12.24 12.24
53 13.91 11.85 11.85 11.85 11.85
54 14.44 12.30 12.30 12.30 12.30
55 13.98 11.91 11.91 11.91 11.91
56 13.98 11.91 11.91 11.91 11.91
57 15.08 12.85 12.85 12.85 12.85
58 14.11 12.03 12.03 12.03 12.03
59 14.58 12.43 12.43 12.43 12.43
60 14.13 12.04 12.04 12.04 12.04
61 14.61 12.45 12.45 12.45 12.45
62 14.14 12.05 12.05 12.05 12.05
63 14.15 12.05 12.05 12.05 12.05
64 14.62 12.46 12.46 12.46 12.46
65 14.15 12.06 12.06 12.06 12.06
66 14.64 12.47 12.47 12.47 12.47
67 14.18 12.08 12.08 12.08 12.08
68 14.18 12.08 12.08 12.08 12.08
69 15.71 13.37 13.37 13.37 13.37
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current Certificate Principal Balance.
2 Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and
1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 16
PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
70 14.19 12.08 12.08 12.08 12.08
71 14.67 12.49 12.49 12.49 12.49
72 14.21 12.10 12.10 12.10 12.10
73 14.69 12.51 12.51 12.51 12.51
74 14.22 12.11 12.11 12.11 12.11
75 14.23 12.11 12.11 12.11 12.11
76 14.70 12.52 12.52 12.52 12.52
77 14.23 12.11 12.11 12.11 12.11
78 14.72 12.52 12.52 12.52 12.52
79 14.25 12.12 12.12 12.12 12.12
80 14.25 12.13 12.13 12.13 12.13
81 15.77 13.43 13.43 13.43 13.43
82 14.25 12.13 12.13 12.13 12.13
83 14.75 12.54 12.54 12.54 12.54
84 14.25 12.14 12.14 12.14 12.14
85 14.73 12.54 12.54 12.54 12.54
86 14.26 12.14 12.14 12.14 12.14
87 14.27 12.14 12.14 12.14 12.14
88 14.74 12.55 12.55 12.55 12.55
89 14.27 12.15 12.15 12.15 12.15
90 13.70 12.55 12.55 12.55 12.55
91 12.91 12.15 12.15 12.15 12.15
92 12.93 12.15 12.15 12.15 12.15
93 14.33 13.46 13.46 13.46 13.46
94 12.97 12.16 12.16 12.16 12.16
95 13.42 12.57 12.57 12.57 12.57
96 13.01 12.16 12.16 12.16 12.16
97 13.46 12.57 12.57 12.57 12.57
98 13.05 12.17 12.17 12.17 12.17
99 13.07 12.17 12.17 12.17 12.17
100 13.53 12.58 12.58 12.58 12.58
101 13.11 12.18 12.18 12.18 12.18
102 13.57 12.58 12.58 12.58 12.58
103 13.16 12.18 12.18 12.18 12.18
104 13.18 12.18 12.18 12.18 12.18
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current Certificate Principal Balance.
2 Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and
1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 17
PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
105 14.12 13.03 13.03 13.03 13.03
106 13.23 12.19 12.19 12.19 12.19
107 13.70 12.60 12.60 12.60 12.60
108 13.29 12.19 12.19 12.19 12.19
109 13.76 12.60 12.60 12.60 12.60
110 13.34 12.20 12.20 12.20 12.20
111 13.37 12.20 12.20 12.20 12.20
112 13.84 12.61 12.61 12.61 12.61
113 13.43 12.21 12.21 12.21 12.21
114 13.90 12.62 12.62 12.62 12.62
115 13.49 12.21 12.21 12.21 12.21
116 13.52 12.22 12.22 12.22 -
117 15.00 13.53 13.53 13.53 -
118 13.58 12.22 12.22 12.22 -
119 14.07 12.63 12.63 12.63 -
120 13.65 12.23 12.23 12.23 -
121 14.14 12.64 12.64 12.64 -
122 13.72 12.23 12.23 12.23 -
123 13.75 12.23 12.23 12.23 -
124 14.27 12.65 12.65 12.65 -
125 13.85 12.25 12.25 12.25 -
126 14.35 12.66 12.66 12.66 -
127 13.92 12.26 12.26 12.26 -
128 13.97 12.26 12.26 12.26 -
129 15.51 13.57 13.57 13.57 -
130 14.05 12.26 12.26 12.26 -
131 14.56 12.68 12.68 12.68 -
132 14.14 12.27 12.27 12.27 -
133 14.66 12.68 12.68 12.68 -
134 14.27 12.29 12.29 12.29 -
135 14.31 12.30 12.30 12.30 -
136 14.84 12.71 12.71 12.71 -
137 14.41 12.30 12.30 12.30 -
138 14.95 12.72 12.72 12.72 -
139 14.52 12.31 12.31 12.31 -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current Certificate Principal Balance.
2 Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and
1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 18
PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
140 14.57 12.31 12.31 12.31 -
141 16.19 13.64 13.64 13.64 -
142 14.68 12.32 12.32 12.32 -
143 15.23 12.73 12.73 12.73 -
144 14.80 12.33 12.33 12.33 -
145 15.36 12.74 12.74 12.74 -
146 14.92 12.33 12.33 12.33 -
147 14.98 12.34 12.34 12.34 -
148 15.55 12.75 12.75 12.75 -
149 15.12 12.34 12.34 12.34 -
150 15.69 12.76 12.76 - -
151 15.25 12.35 12.35 - -
152 15.32 12.35 12.35 - -
153 16.46 13.21 13.21 - -
154 15.47 12.36 12.36 - -
155 16.06 12.77 12.77 - -
156 15.62 12.36 12.36 - -
157 16.22 12.78 12.78 - -
158 15.78 12.37 12.37 - -
159 15.86 12.37 12.37 - -
160 16.47 12.79 12.79 - -
161 16.03 12.38 12.38 - -
162 16.65 12.79 12.79 - -
163 16.21 12.38 12.38 - -
164 16.30 12.39 12.39 - -
165 18.15 13.72 13.72 - -
166 16.49 12.39 12.39 - -
167 17.14 12.81 12.81 - -
168 16.69 12.40 12.40 - -
169 17.35 12.81 12.81 - -
170 16.90 12.40 12.40 - -
171 17.01 12.40 12.40 - -
172 17.69 12.82 12.82 - -
173 17.23 12.41 12.41 - -
174 17.93 12.83 12.83 - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current Certificate Principal Balance.
2 Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and
1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 19
PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
175 17.51 12.43 - - -
176 17.64 12.43 - - -
177 19.66 13.77 - - -
178 17.89 12.43 - - -
179 18.62 12.85 - - -
180 18.15 12.44 - - -
181 18.90 12.85 - - -
182 18.43 12.44 - - -
183 18.57 12.45 - - -
184 19.35 12.87 - - -
185 18.88 12.46 - - -
186 19.66 12.87 - - -
187 19.19 12.46 - - -
188 19.35 12.46 - - -
189 21.61 13.80 - - -
190 19.69 12.47 - - -
191 20.53 12.88 - - -
192 20.14 - - - -
193 21.13 - - - -
194 20.76 - - - -
195 21.10 - - - -
196 22.17 - - - -
197 21.83 - - - -
198 22.95 - - - -
199 22.61 - - - -
200 23.04 - - - -
201 25.12 - - - -
202 23.99 - - - -
203 25.33 - - - -
204 25.07 - - - -
205 26.52 - - - -
206 26.31 - - - -
207 27.00 - - - -
208 28.68 - - - -
209 28.57 - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current Certificate Principal Balance.
2 Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and
1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 20
PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%)
------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
210 30.43 - - - -
211 30.42 - - - -
212 31.47 - - - -
213 36.14 - - - -
214 33.93 - - - -
215 36.54 - - - -
216 36.96 - - - -
217 40.04 - - - -
218 40.79 - - - -
219 43.11 - - - -
220 47.30 - - - -
221 48.88 - - - -
222 54.29 - - - -
223 56.91 - - - -
224 62.22 - - - -
225 76.18 - - - -
226 77.19 - - - -
227 91.18 - - - -
228 104.59 - - - -
229 131.66 - - - -
230 187.11 - - - -
231 283.69 - - - -
232 804.83 - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current Certificate Principal Balance.
2 Run to maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and
1-year/3-year CMT rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 21
COLLATERAL OVERVIEW
TOTAL POOL
The following summarizes the characteristics of the Mortgage Loans (percentages
are based on the aggregate Principal Balances as of June 1, 2003). The
characteristics of the Mortgage Loans in the Prospectus Supplement will
supercede the descriptions of the characteristics below.
Aggregate Current Principal Balance: $174,511,813
Average Outstanding Principal Balance: $111,580
Range of Outstanding Principal Balances: $135 to $1,099,235
Loans with Current Prepayment Penalties: 58.87%
Fixed Rate / Adjustable Rate: 38.46% / 61.54%
Second Liens: 1.93%
FHA/VA Uninsured Mortgage Loans: 0.90%
Simple Interest Loans: 0.33%
Loans with Insurance: 1.38%
Negative Amortization Loans: 0.42%
Balloon Loans: 1.90%
Performing Loans: 86.96%
Sub-Performing Loans: 7.67%
Sub-Performing Loans that are Payment Plan Loans: 2.67%
Sub-Performing Loans that are Bankruptcy Plan Loans: 0.44%
Re-Performing Loans: 5.37%
Re-Performing Loans that are Payment Plan Loans 0.26%
Re-Performing Loans that are Bankruptcy Plan Loans: 3.83%
Weighted Average Loan Rate: 8.882%
Range of Loan Rates: 3.875% to 21.000%
Weighted Average Combined Amortized LTV(1): 79.10%
Weighted Average Original Term to Maturity: 347
Weighted Average Remaining Term to Stated Maturity: 316
Weighted Average FICO Score: 603.3
Max Zip Code Concentration (%): 0.83%
Max Zip Code Concentration (zip): 10506
Top 5 Geographic Concentrations (State):
California 30.82%
New York 8.31%
Florida 6.32%
Texas 3.86%
Colorado 3.78%
NOTES
1. The sum of the first and, if any, second amortized liens divided by the
appraised value of the property.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
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