EXHIBIT 99
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ 4, 2003
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
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Computational Materials
$550,791,000
Approximately
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Series 2003-HE1
Mortgage Pass-Through Certificates
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This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for 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shall be deemed superseded, amended and supplemented in its entirety by such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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Page 1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇ 4, 2003
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
Approximately $550,791,000
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc., Series 2003-HE1
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Depositor
Chase Manhattan Mortgage Corporation
The Provident Bank
Servicers
Transaction Highlights
----------------------
Modified
Expected Ratings Avg Life to Duration
Offered (S&P/Fitch/ Call / To Call /
Classes Description Balance(4) Moody's) Mty(1)(2) Mty(1)(2)(3)
------- ----------- ------------ ---------------- ----------- ------------
A-1 Not Offered $339,605,000
A-2 Floater $231,363,000 AAA/AAA/Aaa 2.82 / 3.11 2.72 / 2.97
A-3 Floater $100,000,000 AAA/AAA/Aaa 1.28 / 1.28 1.28 / 1.28
A-4 Floater $57,000,000 AAA/AAA/Aaa 5.51 / 6.32 5.24 / 5.92
M-1 Floater $59,147,000 AA/AA/Aa2 5.35 / 5.92 5.04 / 5.50
M-2 Floater $50,048,000 A/A/A2 5.33 / 5.84 4.83 / 5.21
M-3 Floater $14,560,000 A-/A-/A3 5.32 / 5.76 4.77 / 5.09
B-1 Floater $14,104,000 BBB+/BBB+/Baa1 5.31 / 5.69 4.59 / 4.85
B-2 Floater $11,830,000 BBB/BBB/Baa2 5.31 / 5.58 4.54 / 4.72
B-3 Floater $12,739,000 BBB-/BBB-/Baa3 5.30 / 5.39 4.54 / 4.59
Initial
Offered Payment Window To Call / Subordination
Classes Mty(1)(2) Level Benchmark
------- ----------------------------- ------------- -----------
A-1 *****Not Offered*****
A-2 07/03 - 06/11 / 07/03 - 01/21 20.00% 1 Mo. LIBOR
A-3 07/03 - 02/06 / 07/03 - 02/06 20.00% 1 Mo. LIBOR
A-4 02/06 - 06/11 / 02/06 - 01/21 20.00% 1 Mo. LIBOR
M-1 09/06 - 06/11 / 09/06 - 03/18 13.50% 1 Mo. LIBOR
M-2 08/06 - 06/11 / 08/06 - 01/17 8.00% 1 Mo. LIBOR
M-3 07/06 - 06/11 / 07/06 - 05/15 6.40% 1 Mo. LIBOR
B-1 07/06 - 06/11 / 07/06 - 08/14 4.85% 1 Mo. LIBOR
B-2 07/06 - 06/11 / 07/06 - 09/13 3.55% 1 Mo. LIBOR
B-3 07/06 - 06/11 / 07/06 - 08/12 2.15% 1 Mo. LIBOR
Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc. Trust 2003-HE1.
Depositor: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Originators: Aames Capital Corporation, Accredited Home
Lenders, Inc. and The Provident Bank.
Servicer: Chase Manhattan Mortgage Corporation and Provident
Consumer Financial Services.
Trustee: Deutsche Bank National Trust Company.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & 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
Managers: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (lead manager), ▇▇▇▇▇▇▇▇ Capital
Partners, L.P. and The ▇▇▇▇▇▇▇▇ Capital Group,
L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and ▇▇▇▇▇'▇
Investors Service.
Offered Certificates: Classes A-2, A-3, A-4, M-1, M-2, M-3, B-1, B-2 and
B-3 Certificates.
Class A Certificates: Classes A-1, A-2, A-3 and A-4 Certificates.
Group II Class A
Certificates: The Class A-2, Class A-3 and Class A-4
Certificates.
Group II Class A Sequential
Certificates: The Class A-3 and Class A-4 Certificates.
Class A Certificate Group: The Class A-1 Certificates and Group II Class A
Certificates, as applicable.
Expected Closing Date: June 27, 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
Distribution Date: The Distribution Date occurring in June 2033.
Due Period: For any Distribution Date, the period commencing
on the second day of the month preceding the month
in which such Distribution Date occurs and ending
on the first day of the month in which such
Distribution Date occurs.
Interest Accrual Period: The interest accrual period for the Offered
Certificates with respect to any Distribution Date
will be the period beginning with the previous
Distribution Date (or, in the case of the first
Distribution Date, the Closing Date) and ending on
the day prior to the current Distribution Date (on
an actual/360 day count basis).
Mortgage Loans: The Trust will consist of two groups of adjustable
and fixed rate sub-prime residential mortgage
loans.
Group I Mortgage Loans: Approximately $424.5 million of Mortgage Loans
with original principal balances that conform to
the original principal balance limits for one- to
four-family residential mortgage loan guidelines
for purchase by Freddie Mac.
Group II Mortgage Loans: Approximately $485.5 million of Mortgage Loans
that predominantly have original principal
balances that do not conform to the original
principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase
by Freddie Mac.
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at
approximately 1.5333% CPR in month 1 and
increasing to 23% CPR in month 15 (23%/15 CPR
increase for each month), and remaining at 23% CPR
thereafter
o ARM Mortgage Loans: CPR of 25%
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
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage
Loans,
2) 2.15% overcollateralization (funded upfront).
On and after the Step-down Date, so long as a
Trigger Event is not in effect, the required
overcollateralization will equal 4.30% of the
aggregate principal balance of the Mortgage
Loans as of the last day of the applicable Due
Period, subject to a 0.50% floor, based on the
aggregate principal balance of the Mortgage
Loans as of the cut-off date, and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on
the more senior classes of certificates.
Senior Enhancement
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 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 40.00%.
Trigger Event: Either a Delinquency Trigger Event or a Cumulative
Loss Trigger Event.
Delinquency Trigger Event: A Delinquency Trigger Event is in effect on any
Distribution Date if on that Distribution Date the
60 Day+ Rolling Average equals or exceeds 40% of
the prior period's Senior Enhancement Percentage.
The 60 Day+ Rolling Average will equal the rolling
3 month average percentage of Mortgage Loans that
are 60 or more days delinquent.
Cumulative Loss Trigger
Event: A Cumulative Loss Trigger Event is in effect on
any Distribution Date if the aggregate amount of
Realized Losses incurred since the cut-off date
through the last day of the related Prepayment
Period divided by the aggregate Stated Principal
Balance of the mortgage loans as of the cut-off
date exceeds the applicable percentages described
below with respect to such distribution date:
Months 37 - 48 [4.00%] for the first
month, plus an
additional 1/12th of
[2.00%] for each month
thereafter (e.g.,
[5.00%] in Month 43)
Months 49 - 60 [6.00%] for the first
month, plus an
additional 1/12th of
[1.00%] for each month
thereafter (e.g.,
[6.50%] in Month 55)
Months 61 - 72 [7.00%] for the first
month, plus an
additional 1/12th of
[0.50%] for each month
thereafter (e.g.,
[7.25%] in Month 67)
Months 73 and thereafter [7.50%]
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. 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
Initial Subordination
Percentage: Class A: 20.00%
Class M-1: 13.50%
Class M-2: 8.00%
Class M-3: 6.40%
Class B-1: 4.85%
Class B-2: 3.55%
Class B-3: 2.15%
Optional Clean-up Call: When the current aggregate principal balance of
the Mortgage Loans is less than or equal to 10% of
the aggregate principal balance of the Mortgage
Loans as of the cut-off date. The applicable fixed
margin will increase by 2x on the Class A
Certificates and by 1.5x on all other Certificates
on and after the first distribution date on which
the Optional Clean-up Call is exercisable.
Step-up Coupons: For all Offered Certificates the coupon will
increase after the optional clean-up call date,
should the call not be exercised.
Class A-1 Pass-Through
Rate: The Class A-1 Certificates will accrue interest at
a variable rate equal to the least of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable), (ii) the Loan Group
I Cap and (iii) the WAC Cap.
Class A-2, A-3 and A-4
Pass-Through Rates: The Class A-2, A-3 and A-4 Certificates will each
accrue interest at a variable rate equal to the
least of (i) one-month LIBOR plus [] bps ([] bps
after the first distribution date on which the
Optional Clean-up Call is exercisable), (ii) the
Loan Group II Cap and (iii) the WAC Cap.
Class M-1 Pass-Through
Rate: The Class M-1 Certificates will accrue interest at
a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class M-2 Pass-Through
Rate: The Class M-2 Certificates will accrue interest at
a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class M-3 Pass-Through
Rate: The Class M-3 Certificates will accrue interest at
a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-1 Pass-Through
Rate: The Class B-1 Certificates will accrue interest at
a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-2 Pass-Through
Rate: The Class B-2 Certificates will accrue interest at
a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-3 Pass-Through
Rate: The Class B-3 Certificates will accrue interest at
a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
WAC Cap: As to any Distribution Date a per annum rate equal
to the product of (i) the weighted average gross
rate of the Mortgage Loans in effect on the
beginning of the related Due Period less
servicing, trustee and other fee rates, and (ii) a
fraction, the numerator of which is 30 and the
denominator of which is the actual number of days
in the related Interest Accrual Period.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & 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
Loan Group I Cap: As to any Distribution Date, a per annum rate
equal to the product of (i) weighted average gross
rate of the Group I Mortgage Loans in effect on
the beginning of the related Due Period less
servicing, trustee and other fee rates, and (ii) a
fraction, the numerator of which is 30 and the
denominator of which is the actual number of days
in the related Interest Accrual Period.
Loan Group II Cap: As to any Distribution Date, a per annum rate
equal to the product of (i) weighted average gross
rate of the Group II Mortgage Loans in effect on
the beginning of the related Due Period less
servicing, trustee and other fee rates, and (ii) a
fraction, the numerator of which is 30 and the
denominator of which is the actual number of days
in the related Interest Accrual Period.
Class A-1 Basis Risk Carry
Forward Amount: As to any Distribution Date, the supplemental
interest amount for the Class A-1 Certificates
will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the
Class A-1 Pass-Through Rate (without regard
to the Loan Group I Cap or WAC Cap) over
interest due such Certificates at a rate
equal to the lesser of the Loan Group I Cap
or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward
Amount remaining unpaid from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the
related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
Class A-2, A-3 and A-4
Basis Risk Carry Forward
Amounts: As to any Distribution Date, the supplemental
interest amount for each of the Class A-2, A-3 and
A-4 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 Loan Group II
Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser
of the Loan Group II Cap or WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such
class remaining unpaid from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the
Certificates' applicable Pass-Through Rate
(without regard to the Loan Group II Cap or
WAC Cap).
Class M-1, M-2, M-3, B-1,
B-2 and B-3 Basis Risk
Carry Forward Amounts: As to any Distribution Date, the supplemental
interest amount for each of the Class M-1, M-2,
M-3, B-1, B-2 and B-3 Certificates will equal the
sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
such Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap) over
interest due such Certificates at a rate
equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such
class remaining unpaid for such Certificate
from prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap).
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
Interest Distributions on
Offered Certificates: On each Distribution Date and after payments of
servicing and trustee fees and other expenses,
interest distributions from the Interest
Remittance Amount will be allocated as follows:
(i) The portion of the Interest Remittance
Amount attributable to the Group I Mortgage
Loans will be allocated according to the
related Accrued Certificate Interest and
any unpaid interest shortfall amounts for
such class, as applicable, first, to the
Class A-1 Certificates and second, to the
Group II Class A Certificates pro rata;
(ii) The portion of the Interest Remittance
Amount attributable to the Group II
Mortgage Loans will be allocated according
to the related Accrued Certificate Interest
and any unpaid interest shortfall amounts
for such class, as applicable, first, pro
rata to the Group II Class A Certificates
and second, to the Class A-1 Certificates;
(iii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued
Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued
Certificate Interest, and
(viii) To the Class B-3 Certificates, its Accrued
Certificate Interest.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 7
Principal Distributions on
Offered Certificates: On each Distribution Date (a) prior to the
Stepdown Date or (b) on which a Trigger Event is
in effect, principal distributions from the
Principal Distribution Amount will be allocated as
follows:
(i) to the Class A Certificates, allocated
between the Class A Certificates as
described below, until the Certificate
Principal Balances thereof have been reduced
to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(v) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero; and
(vii) to the Class B-3 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger Event is
not in effect, the principal distributions from
the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, the lesser of
the Principal Distribution Amount and the
Class A Principal Distribution Amount,
allocated between the Class A Certificates
as described below, until the Certificate
Principal Balances thereof have been reduced
to zero;
(ii) to the Class M-1 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class M-1 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class M-2 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class M-3 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
(v) to the Class B-1 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class B-1 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
(vi) to the Class B-2 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class B-2 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
and
(vii) to the Class B-3 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class B-3 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & 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
Interest Rate Cap: Beginning on the first Distribution Date, and for
a period of 35 months thereafter, an Interest Rate
Cap will be pledged to the Trust for the benefit
of the Group II Class A Certificates.
For the first 24 months if the 1-month LIBOR rate
exceeds 7.00%, the Interest Rate Cap pays the
Trust the product of (i) the difference between
the then current 1-month LIBOR rate and 7.00% (on
an Actual/360 day count basis) up to a maximum of
137.5bps and (ii) the Interest Rate Cap Notional
Balance ("the Interest Rate Cap Payment") as
described herein. For the next 12 months if the
1-month LIBOR rate exceeds 7.375%, the Interest
Rate Cap pays the Trust the product of (i) the
difference between the then current 1-month LIBOR
rate and 7.375% (on an Actual/360 day count basis)
up to a maximum of 100bps and (ii) the Interest
Rate Cap Notional Balance ("the Interest Rate Cap
Payment") as described herein.
Interest Rate Cap Payment
Allocation: The Interest Rate Cap Payment shall be available
to pay any Basis Risk Carry Forward Amount due to
the Group II Class A Certificates pro rata.
Allocation of Net Monthly
Excess Cashflow: For any Distribution Date, any Net Monthly 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 M-3 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class M-3 Certificates, the
allocated unreimbursed realized loss
amount;
(vii) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(ix) to the Class B-2 Certificates, the unpaid
interest shortfall amount; (x) to the Class
B-2 Certificates, the allocated
unreimbursed realized loss amount;
(xi) to the Class B-3 Certificates, the unpaid
interest shortfall amount;
(xii) to the Class B-3 Certificates, the
allocated unreimbursed realized loss
amount;
(xiii) concurrently, any Class A-1 Basis Risk
Carry Forward Amount to the Class A-1
Certificates, any Class A-2 Basis Risk
Carry Forward Amount to the Class A-2
Certificates, any Class A-3 Basis Risk
Carry Forward Amount to the Class A-3
Certificates and any Class A-4 Basis Risk
Carry Forward Amount to the Class A-4
Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3,
B-1, B-2 and B-3 Certificates, in such
order, any Basis Risk Carry Forward Amount
for such classes.
Interest Remittance Amount: For any Distribution Date, the portion of
available funds for such Distribution Date
attributable to interest received or advanced on
the Mortgage Loans.
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 Amount: On any Distribution Date, the excess of (i) the
aggregate principal remittance amount over (ii)
the Excess Subordinated Amount, if any.
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
Net Monthly Excess
Cashflow: For any Distribution Date is the amount of funds
available for distribution on such Distribution
Date remaining after making all distributions of
interest and principal on the certificates.
Extra Principal
Distribution Amount: For any Distribution Date, the lesser of (i) the
excess of (x) interest collected or advanced with
respect to the Mortgage Loans with due dates in
the related Due Period (less servicing and trustee
fees and expenses), over (y) the sum of interest
payable on the Certificates on such Distribution
Date and (ii) the overcollateralization deficiency
amount for such Distribution Date.
Excess Subordinated Amount: For any Distribution Date, means the excess, if
any of (i) the overcollateralization and (ii) the
required overcollateralization for such
Distribution Date.
Class A Principal
Allocation Percentage: For any Distribution Date, the percentage
equivalent of a fraction, determined as follows:
(i) in the case of the Class A-1 Certificates the
numerator of which is (x) the portion of the
principal remittance amount for such Distribution
Date that is attributable to principal received or
advanced on the Group I Mortgage Loans and the
denominator of which is (y) the principal
remittance amount for such Distribution Date and
(ii) in the case of the Group II Class A
Certificates, the numerator of which is (x) the
portion of the principal remittance amount for
such Distribution Date that is attributable to
principal received or advanced on the Group II
Mortgage Loans and the denominator of which is (y)
the principal remittance amount for such
Distribution Date.
Class A Principal
Allocation: Except as described below, the Class A-3 and Class
A-4 Certificates will receive principal
sequentially, and the Class A-4 Certificates will
not receive principal distributions until the
Certificate Principal Balance of the Class A-3
Certificates has been reduced to zero.
All principal distributions to the holders of the
Class A Certificates on any Distribution Date will
be allocated concurrently between the Class A-1
Certificates, on the one hand, and the Class A-2,
Class A-3 and Class A-4 Certificates
(collectively, the "Group II Class A
Certificates"), on the other hand, based on the
Class A Principal Allocation Percentage for the
Class A-1 Certificates and the Group II Class A
Certificates, as applicable.
However, if the Class Certificate Balances of the
Class A Certificates in either Class A Certificate
Group are reduced to zero, then the remaining
amount of principal distributions distributable to
the Class A Certificates on that Distribution
Date, and the amount of those principal
distributions distributable on all subsequent
Distribution Dates, will be distributed to the
holders of the Class A certificates in the other
Class A Certificate Group remaining outstanding,
in accordance with the principal distribution
allocations described herein, until their Class
Certificate Balances have been reduced to zero.
Any payments of principal to the Class A-1
Certificates will be made first from payments
relating to the Group I Mortgage Loans, and any
payments of principal to the Group II Class A
Certificates will be made first from payments
relating to the Group II Mortgage Loans.
Any principal distributions allocated to the Group
II Class A Certificates are required to be
distributed pro rata between the Class A-2
Certificates and the Group II Class A Sequential
Certificates. Principal distributions to the Group
II Class A Sequential Certificates will be
allocated first to the Class A-3 Certificates,
until their Class Certificate Balance has been
reduced to zero, and then to the Class A-4
Certificates, until their Class Certificate
Balance has been reduced to zero.
Notwithstanding the above, in the event that all
subordinate classes, including the Class X
certificates, have been reduced to zero, principal
distributions to the Group II Class A Certificates
will be distributed pro rata between the Class
A-2, Class A-3 and Class A-4 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
Class A Principal
Distribution Amount: For any Distribution Date, an amount equal to 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
60.00% 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 $4,549,803.
Class M-1 Principal
Distribution Amount: For any Distribution Date, an amount equal to 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 73.00% 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 $4,549,803.
Class M-2 Principal
Distribution Amount: For any Distribution Date, an amount equal to 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 84.00% 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 $4,549,803.
Class M-3 Principal
Distribution Amount: For any Distribution Date, an amount equal to 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 M-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 87.20% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period over $4,549,803.
Class B-1 Principal
Distribution Amount: For any Distribution Date, an amount equal to 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 M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date) and (v) the
Certificate Principal Balance of the Class B-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 90.30% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period over $4,549,803.
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
Class B-2 Principal
Distribution Amount: For any Distribution Date, an amount equal to 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 M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal Distribution
Amount on such Distribution Date) and (vi) the
Certificate Principal Balance of the Class B-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 92.90% 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 $4,549,803.
Class B-3 Principal
Distribution Amount: For any Distribution Date, an amount equal to 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 M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class B-2
Certificates (after taking into account the
payment of the Class B-2 Principal Distribution
Amount on such Distribution Date) and (vii) the
Certificate Principal Balance of the Class B-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 95.70% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period over $4,549,803.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus,
all Offered Certificates are ERISA eligible.
SMMEA Eligibility: It is not anticipated that any of the Offered
Certificates will be SMMEA eligible.
Prospectus: The Class A-2, Class A-3, Class A-4, Class M-1,
Class M-2, Class M-3, Class B-1, Class B-2 and
Class B-3 Certificates are being offered pursuant
to a prospectus supplemented by a prospectus
supplement (together, the "Prospectus"). Complete
information with respect to the Offered
Certificates and the collateral securing them is
contained in the Prospectus. The information
herein is qualified in its entirety by the
information appearing in the Prospectus. To the
extent that the information herein is inconsistent
with the Prospectus, the Prospectus shall govern
in all respects. Sales of the Offered Certificates
may not be consummated unless the purchaser has
received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE
CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE
OFFERED CERTIFICATES.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 12
Weighted Average Life Sensitivity
To CALL
-------
PPC 50 60 75 100 125 150 175
----------------------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
A-2 WAL 5.40 4.61 3.75 2.82 2.18 1.66 1.27
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 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 7/25/2008 6/25/2006
Window 1 - 182 1 - 158 1 - 129 1 - 96 1 - 76 1 - 61 1 - 36
A-3 WAL 2.43 2.07 1.68 1.28 1.04 0.87 0.74
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 11/25/2008 1/25/2008 3/25/2007 2/25/2006 8/25/2005 3/25/2005 12/25/2004
Window 1 - 65 1 - 55 1 - 45 1 - 32 1 - 26 1 - 21 1 - 18
A-4 WAL 10.59 9.08 7.39 5.51 4.18 3.06 2.19
First Payment Date 11/25/2008 1/25/2008 3/25/2007 2/25/2006 8/25/2005 3/25/2005 12/25/2004
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 7/25/2008 6/25/2006
Window 65 - 182 55 - 158 45 - 129 32 - 96 26 - 76 21 - 61 18 - 36
M-1 WAL 10.24 8.74 7.08 5.35 4.62 4.55 4.20
First Payment Date 6/25/2008 9/25/2007 11/25/2006 9/25/2006 1/25/2007 5/25/2007 6/25/2006
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 7/25/2008 9/25/2007
Window 60 - 182 51 - 158 41 - 129 39 - 96 43 - 76 47 - 61 36 - 51
M-2 WAL 10.24 8.74 7.08 5.33 4.46 4.07 4.05
First Payment Date 6/25/2008 9/25/2007 11/25/2006 8/25/2006 9/25/2006 11/25/2006 2/25/2007
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 7/25/2008 9/25/2007
Window 60 - 182 51 - 158 41 - 129 38 - 96 39 - 76 41 - 61 44 - 51
M-3 WAL 10.24 8.74 7.08 5.32 4.40 3.91 3.73
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 9/25/2006 10/25/2006 12/25/2006
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 7/25/2008 9/25/2007
Window 60 - 182 51 - 158 41 - 129 37 - 96 39 - 76 40 - 61 42 - 51
B-1 WAL 10.24 8.74 7.08 5.31 4.38 3.86 3.63
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006 9/25/2006 10/25/2006
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 7/25/2008 9/25/2007
Window 60 - 182 51 - 158 41 - 129 37 - 96 38 - 76 39 - 61 40 - 51
B-2 WAL 10.24 8.74 7.08 5.31 4.37 3.82 3.55
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006 8/25/2006 9/25/2006
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 7/25/2008 9/25/2007
Window 60 - 182 51 - 158 41 - 129 37 - 96 38 - 76 38 - 61 39 - 51
B-3 WAL 10.22 8.72 7.06 5.30 4.34 3.78 3.48
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 7/25/2006 8/25/2006 8/25/2006
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 7/25/2008 9/25/2007
Window 60 - 182 51 - 158 41 - 129 37 - 96 37 - 76 38 - 61 38 - 51
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 13
Weighted Average Life Sensitivity
To MATURITY
-----------
PPC 50 60 75 100 125 150 175
----------------------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
A-2 WAL 5.79 4.99 4.10 3.11 2.42 1.88 1.27
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 11/25/2030 2/25/2029 11/25/2025 1/25/2021 7/25/2017 12/25/2014 6/25/2006
Window 1 - 329 1 - 308 1 - 269 1 - 211 1 - 169 1 - 138 1 - 36
A-3 WAL 2.43 2.07 1.68 1.28 1.04 0.87 0.74
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 11/25/2008 1/25/2008 3/25/2007 2/25/2006 8/25/2005 3/25/2005 12/25/2004
Window 1 - 65 1 - 55 1 - 45 1 - 32 1 - 26 1 - 21 1 - 18
A-4 WAL 11.67 10.12 8.34 6.32 4.85 3.65 2.19
First Payment Date 11/25/2008 1/25/2008 3/25/2007 2/25/2006 8/25/2005 3/25/2005 12/25/2004
Expected Final Maturity 11/25/2030 2/25/2029 11/25/2025 1/25/2021 7/25/2017 12/25/2014 6/25/2006
Window 65 - 329 55 - 308 45 - 269 32 - 211 26 - 169 21 - 138 18 - 36
M-1 WAL 11.12 9.55 7.78 5.92 5.06 4.93 5.99
First Payment Date 6/25/2008 9/25/2007 11/25/2006 9/25/2006 1/25/2007 5/25/2007 6/25/2006
Expected Final Maturity 6/25/2028 2/25/2026 8/25/2022 3/25/2018 3/25/2015 1/25/2013 1/25/2013
Window 60 - 300 51 - 272 41 - 230 39 - 177 43 - 141 47 - 115 36 - 115
M-2 WAL 11.06 9.48 7.71 5.84 4.86 4.40 4.35
First Payment Date 6/25/2008 9/25/2007 11/25/2006 8/25/2006 9/25/2006 11/25/2006 2/25/2007
Expected Final Maturity 1/25/2027 7/25/2024 2/25/2021 1/25/2017 3/25/2014 3/25/2012 9/25/2010
Window 60 - 283 51 - 253 41 - 212 38 - 163 39 - 129 41 - 105 44 - 87
M-3 WAL 10.95 9.38 7.62 5.76 4.74 4.20 3.96
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 9/25/2006 10/25/2006 12/25/2006
Expected Final Maturity 11/25/2024 3/25/2022 1/25/2019 5/25/2015 10/25/2012 1/25/2011 10/25/2009
Window 60 - 257 51 - 225 41 - 187 37 - 143 39 - 112 40 - 91 42 - 76
B-1 WAL 10.86 9.28 7.55 5.69 4.67 4.11 3.83
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006 9/25/2006 10/25/2006
Expected Final Maturity 10/25/2023 3/25/2021 2/25/2018 8/25/2014 3/25/2012 8/25/2010 5/25/2009
Window 60 - 244 51 - 213 41 - 176 37 - 134 38 - 105 39 - 86 40 - 71
B-2 WAL 10.70 9.13 7.42 5.58 4.57 4.00 3.69
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006 8/25/2006 9/25/2006
Expected Final Maturity 5/25/2022 11/25/2019 1/25/2017 9/25/2013 7/25/2011 12/25/2009 11/25/2008
Window 60 - 227 51 - 197 41 - 163 37 - 123 38 - 97 38 - 78 39 - 65
B-3 WAL 10.37 8.85 7.16 5.39 4.40 3.84 3.53
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 7/25/2006 8/25/2006 8/25/2006
Expected Final Maturity 9/25/2020 4/25/2018 9/25/2015 8/25/2012 9/25/2010 4/25/2009 4/25/2008
Window 60 - 207 51 - 178 41 - 147 37 - 110 37 - 87 38 - 70 38 - 58
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 14
CPR Sensitivity
To CALL
-------
CPR 20 25 30
----------------------- ---------- ---------- ----------
A-2 WAL 3.22 2.51 1.98
First Payment Date 7/25/2003 7/25/2003 7/25/2003
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 1 - 116 1 - 92 1 - 75
A-3 WAL 1.38 1.09 0.89
First Payment Date 7/25/2003 7/25/2003 7/25/2003
Expected Final Maturity 8/25/2006 11/25/2005 6/25/2005
Window 1 - 38 1 - 29 1 - 24
A-4 WAL 6.43 5.01 3.89
First Payment Date 8/25/2006 11/25/2005 6/25/2005
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 38 - 116 29 - 92 24 - 75
M-1 WAL 6.34 5.17 4.63
First Payment Date 7/25/2006 10/25/2006 1/25/2007
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 40 - 92 43 - 75
M-2 WAL 6.34 5.12 4.44
First Payment Date 7/25/2006 8/25/2006 10/25/2006
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 38 - 92 40 - 75
M-3 WAL 6.34 5.10 4.37
First Payment Date 7/25/2006 8/25/2006 9/25/2006
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 38 - 92 39 - 75
B-1 WAL 6.34 5.10 4.35
First Payment Date 7/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 37 - 92 38 - 75
B-2 WAL 6.34 5.08 4.33
First Payment Date 7/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 37 - 92 38 - 75
B-3 WAL 6.33 5.07 4.30
First Payment Date 7/25/2006 7/25/2006 7/25/2006
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 37 - 92 37 - 75
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 15
CPR Sensitivity
To MATURITY
-----------
CPR 20 25 30
----------------------- ---------- ---------- ----------
A-2 WAL 3.48 2.73 2.16
First Payment Date 7/25/2003 7/25/2003 7/25/2003
Expected Final Maturity 2/25/2024 4/25/2020 6/25/2017
Window 1 - 248 1 - 202 1 - 168
A-3 WAL 1.38 1.09 0.89
First Payment Date 7/25/2003 7/25/2003 7/25/2003
Expected Final Maturity 8/25/2006 11/25/2005 6/25/2005
Window 1 - 38 1 - 29 1 - 24
A-4 WAL 7.16 5.61 4.40
First Payment Date 8/25/2006 11/25/2005 6/25/2005
Expected Final Maturity 2/25/2024 4/25/2020 6/25/2017
Window 38 - 248 29 - 202 24 - 168
M-1 WAL 7.01 5.71 5.09
First Payment Date 7/25/2006 10/25/2006 1/25/2007
Expected Final Maturity 2/25/2021 9/25/2017 3/25/2015
Window 37 - 212 40 - 171 43 - 141
M-2 WAL 6.95 5.61 4.85
First Payment Date 7/25/2006 8/25/2006 10/25/2006
Expected Final Maturity 8/25/2019 7/25/2016 3/25/2014
Window 37 - 194 38 - 157 40 - 129
M-3 WAL 6.87 5.52 4.72
First Payment Date 7/25/2006 8/25/2006 9/25/2006
Expected Final Maturity 10/25/2017 11/25/2014 10/25/2012
Window 37 - 172 38 - 137 39 - 112
B-1 WAL 6.79 5.46 4.65
First Payment Date 7/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 11/25/2016 3/25/2014 3/25/2012
Window 37 - 161 37 - 129 38 - 105
B-2 WAL 6.67 5.34 4.55
First Payment Date 7/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 10/25/2015 4/25/2013 7/25/2011
Window 37 - 148 37 - 118 38 - 97
B-3 WAL 6.43 5.15 4.37
First Payment Date 7/25/2006 7/25/2006 7/25/2006
Expected Final Maturity 7/25/2014 4/25/2012 9/25/2010
Window 37 - 133 37 - 106 37 - 87
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 16
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- -- -- -- -- -- --
1 9.52 9.52 9.52 7.89 7.89 7.89 7.89 7.89 7.89
2 8.73 8.73 8.73 7.12 7.12 7.12 7.12 7.12 7.12
3 8.74 8.74 8.74 7.12 7.12 7.12 7.12 7.12 7.12
4 8.99 8.99 8.99 7.36 7.36 7.36 7.36 7.36 7.36
5 8.75 8.75 8.75 7.12 7.12 7.12 7.12 7.12 7.12
6 9.00 9.00 9.00 7.36 7.36 7.36 7.36 7.36 7.36
7 8.76 8.76 8.76 7.12 7.12 7.12 7.12 7.12 7.12
8 8.76 8.76 8.76 7.12 7.12 7.12 7.12 7.12 7.12
9 9.28 9.28 9.28 7.61 7.61 7.61 7.61 7.61 7.61
10 8.77 8.77 8.77 7.12 7.12 7.12 7.12 7.12 7.12
11 9.03 9.03 9.03 7.35 7.35 7.35 7.35 7.35 7.35
12 8.79 8.79 8.79 7.12 7.12 7.12 7.12 7.12 7.12
13 9.05 9.05 9.05 7.35 7.35 7.35 7.35 7.35 7.35
14 8.81 8.81 8.81 7.12 7.12 7.12 7.12 7.12 7.12
15 8.82 8.82 8.82 7.12 7.12 7.12 7.12 7.12 7.12
16 9.07 9.07 9.07 7.35 7.35 7.35 7.35 7.35 7.35
17 8.84 8.84 8.84 7.12 7.12 7.12 7.12 7.12 7.12
18 9.10 9.10 9.10 7.35 7.35 7.35 7.35 7.35 7.35
19 8.86 8.86 8.86 7.12 7.12 7.12 7.12 7.12 7.12
20 8.92 8.92 8.92 7.15 7.15 7.15 7.15 7.15 7.15
21 10.76 10.76 10.76 9.03 9.03 9.03 9.03 9.03 9.03
22 9.90 9.90 9.90 8.19 8.19 8.19 8.19 8.19 8.19
23 10.20 10.20 10.20 8.47 8.47 8.47 8.47 8.47 8.47
24 9.93 9.93 9.93 8.19 8.19 8.19 8.19 8.19 8.19
25 9.86 9.86 9.86 8.47 8.47 8.47 8.47 8.47 8.47
26 9.61 9.61 9.61 8.21 8.21 8.21 8.21 8.21 8.21
27 9.95 9.95 9.95 8.55 8.55 8.55 8.55 8.55 8.55
28 10.30 10.30 10.30 8.87 8.87 8.87 8.87 8.87 8.87
29 10.02 10.02 10.02 8.59 8.59 8.59 8.59 8.59 8.59
30 10.34 10.34 10.34 8.87 8.87 8.87 8.87 8.87 8.87
31 10.07 10.07 10.07 8.59 8.59 8.59 8.59 8.59 8.59
32 10.12 10.12 10.12 8.60 8.60 8.60 8.60 8.60 8.60
33 11.65 -- 11.65 10.10 10.10 10.10 10.10 10.10 10.10
34 10.97 -- 10.97 9.44 9.44 9.44 9.44 9.44 9.44
35 11.34 -- 11.34 9.76 9.76 9.76 9.76 9.76 9.76
36 11.04 -- 11.04 9.44 9.44 9.44 9.44 9.44 9.44
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 17
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
37 27.11 -- 27.11 9.76 9.76 9.76 9.76 9.76 9.76
38 12.11 -- 12.11 9.45 9.45 9.45 9.45 9.45 9.45
39 12.42 -- 12.42 9.87 9.87 9.87 9.87 9.87 9.87
40 13.03 -- 13.03 10.48 10.48 10.48 10.48 10.48 10.48
41 12.55 -- 12.55 10.14 10.14 10.14 10.14 10.14 10.14
42 12.94 -- 12.94 10.48 10.48 10.48 10.48 10.48 10.48
43 12.52 -- 12.52 10.14 10.14 10.14 10.14 10.14 10.14
44 12.53 -- 12.53 10.14 10.14 10.14 10.14 10.14 10.14
45 14.04 -- 14.04 11.42 11.42 11.42 11.42 11.42 11.42
46 12.93 -- 12.93 10.57 10.57 10.57 10.57 10.57 10.57
47 13.37 -- 13.37 10.92 10.92 10.92 10.92 10.92 10.92
48 12.93 -- 12.93 10.57 10.57 10.57 10.57 10.57 10.57
49 13.36 -- 13.36 10.92 10.92 10.92 10.92 10.92 10.92
50 12.93 -- 12.93 10.57 10.57 10.57 10.57 10.57 10.57
51 12.98 -- 12.98 10.63 10.63 10.63 10.63 10.63 10.63
52 13.65 -- 13.65 11.23 11.23 11.23 11.23 11.23 11.23
53 13.22 -- 13.22 10.87 10.87 10.87 10.87 10.87 10.87
54 13.66 -- 13.66 11.23 11.23 11.23 11.23 11.23 11.23
55 13.21 -- 13.21 10.87 10.87 10.87 10.87 10.87 10.87
56 13.21 -- 13.21 10.87 10.87 10.87 10.87 10.87 10.87
57 14.14 -- 14.14 11.63 11.63 11.63 11.63 11.63 11.63
58 13.36 -- 13.36 11.02 11.02 11.02 11.02 11.02 11.02
59 13.80 -- 13.80 11.39 11.39 11.39 11.39 11.39 11.39
60 13.36 -- 13.36 11.02 11.02 11.02 11.02 11.02 11.02
61 13.80 -- 13.80 11.38 11.38 11.38 11.38 11.38 11.38
62 13.36 -- 13.36 11.02 11.02 11.02 11.02 11.02 11.02
63 13.36 -- 13.36 11.01 11.01 11.01 11.01 11.01 11.01
64 13.80 -- 13.80 11.38 11.38 11.38 11.38 11.38 11.38
65 13.36 -- 13.36 11.01 11.01 11.01 11.01 11.01 11.01
66 13.80 -- 13.80 11.38 11.38 11.38 11.38 11.38 11.38
67 13.36 -- 13.36 11.01 11.01 11.01 11.01 11.01 11.01
68 13.36 -- 13.36 11.01 11.01 11.01 11.01 11.01 11.01
69 14.79 -- 14.79 12.19 12.19 12.19 12.19 12.19 12.19
70 13.36 -- 13.36 11.01 11.01 11.01 11.01 11.01 11.01
71 13.80 -- 13.80 11.37 11.37 11.37 11.37 11.37 11.37
72 13.36 -- 13.36 11.00 11.00 11.00 11.00 11.00 11.00
73 13.80 -- 13.80 11.37 11.37 11.37 11.37 11.37 11.37
74 13.36 -- 13.36 11.00 11.00 11.00 11.00 11.00 11.00
75 13.36 -- 13.36 11.00 11.00 11.00 11.00 11.00 11.00
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
76 13.80 -- 13.80 11.37 11.37 11.37 11.37 11.37 11.37
77 13.36 -- 13.36 11.00 11.00 11.00 11.00 11.00 11.00
78 13.80 -- 13.80 11.36 11.36 11.36 11.36 11.36 11.36
79 13.36 -- 13.36 10.99 10.99 10.99 10.99 10.99 10.99
80 13.36 -- 13.36 10.99 10.99 10.99 10.99 10.99 10.99
81 14.79 -- 14.79 12.17 12.17 12.17 12.17 12.17 12.17
82 13.36 -- 13.36 10.99 10.99 10.99 10.99 10.99 10.99
83 13.80 -- 13.80 11.36 11.36 11.36 11.36 11.36 11.36
84 13.36 -- 13.36 10.99 10.99 10.99 10.99 10.99 10.99
85 13.80 -- 13.80 11.35 11.35 11.35 11.35 11.35 11.35
86 13.36 -- 13.36 10.99 10.99 10.99 10.99 10.99 10.99
87 13.36 -- 13.36 10.99 10.99 10.99 10.99 10.99 10.99
88 13.81 -- 13.81 11.35 11.35 11.35 11.35 11.35 11.35
89 13.36 -- 13.36 10.98 10.98 10.98 10.98 10.98 10.98
90 13.81 -- 13.81 11.35 11.35 11.35 11.35 11.35 11.35
91 13.15 -- 13.15 10.98 10.98 10.98 10.98 10.98 10.98
92 11.37 -- 11.37 10.98 10.98 10.98 10.98 10.98 10.98
93 12.61 -- 12.61 12.16 12.16 12.16 12.16 12.16 12.16
94 11.41 -- 11.41 10.98 10.98 10.98 10.98 10.98 10.98
95 11.81 -- 11.81 11.34 11.34 11.34 11.34 11.34 11.34
96 11.45 -- 11.45 10.98 10.98 10.98 10.98 10.98 10.98
97 11.86 -- 11.86 11.34 11.34 11.34 11.34 11.34 11.34
98 11.50 -- 11.50 10.97 10.97 10.97 10.97 10.97 10.97
99 11.52 -- 11.52 10.97 10.97 10.97 10.97 10.97 10.97
100 11.93 -- 11.93 11.34 11.34 11.34 11.34 11.34 11.34
101 11.56 -- 11.56 10.97 10.97 10.97 10.97 10.97 10.97
102 11.98 -- 11.98 11.34 11.34 11.34 11.34 11.34 11.34
103 11.61 -- 11.61 10.97 10.97 10.97 10.97 10.97 10.97
104 11.64 -- 11.64 10.97 10.97 10.97 10.97 10.97 10.97
105 12.47 -- 12.47 11.72 11.72 11.72 11.72 11.72 11.72
106 11.69 -- 11.69 10.97 10.97 10.97 10.97 10.97 10.97
107 12.11 -- 12.11 11.33 11.33 11.33 11.33 11.33 11.33
108 11.75 -- 11.75 10.97 10.97 10.97 10.97 10.97 10.97
109 12.17 -- 12.17 11.33 11.33 11.33 11.33 11.33 11.33
110 11.81 -- 11.81 10.96 10.96 10.96 10.96 10.96 10.96
111 11.84 -- 11.84 10.96 10.96 10.96 10.96 10.96 10.96
112 12.27 -- 12.27 11.33 11.33 11.33 11.33 11.33 11.33
113 11.90 -- 11.90 10.96 10.96 10.96 10.96 10.96 --
114 12.33 -- 12.33 11.33 11.33 11.33 11.33 11.33 --
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
115 11.97 -- 11.97 10.96 10.96 10.96 10.96 10.96 --
116 12.01 -- 12.01 10.96 10.96 10.96 10.96 10.96 --
117 13.33 -- 13.33 12.13 12.13 12.13 12.13 12.13 --
118 12.08 -- 12.08 10.96 10.96 10.96 10.96 10.96 --
119 12.52 -- 12.52 11.32 11.32 11.32 11.32 11.32 --
120 12.16 -- 12.16 10.96 10.96 10.96 10.96 10.96 --
121 12.60 -- 12.60 11.32 11.32 11.32 11.32 11.32 --
122 12.24 -- 12.24 10.96 10.96 10.96 10.96 10.96 --
123 12.28 -- 12.28 10.95 10.95 10.95 10.95 10.95 --
124 12.73 -- 12.73 11.32 11.32 11.32 11.32 11.32 --
125 12.37 -- 12.37 10.95 10.95 10.95 10.95 10.95 --
126 12.83 -- 12.83 11.32 11.32 11.32 11.32 -- --
127 12.46 -- 12.46 10.95 10.95 10.95 10.95 -- --
128 12.51 -- 12.51 10.95 10.95 10.95 10.95 -- --
129 13.90 -- 13.90 12.12 12.12 12.12 12.12 -- --
130 12.61 -- 12.61 10.95 10.95 10.95 10.95 -- --
131 13.08 -- 13.08 11.32 11.32 11.32 11.32 -- --
132 12.71 -- 12.71 10.95 10.95 10.95 10.95 -- --
133 13.19 -- 13.19 11.31 11.31 11.31 11.31 -- --
134 12.82 -- 12.82 10.95 10.95 10.95 10.95 -- --
135 12.88 -- 12.88 10.95 10.95 10.95 10.95 -- --
136 13.37 -- 13.37 11.31 11.31 11.31 11.31 -- --
137 13.00 -- 13.00 10.95 10.95 10.95 -- -- --
138 13.49 -- 13.49 11.31 11.31 11.31 -- -- --
139 13.12 -- 13.12 10.95 10.95 10.95 -- -- --
140 13.19 -- 13.19 10.95 10.95 10.95 -- -- --
141 14.68 -- 14.68 12.12 12.12 12.12 -- -- --
142 13.32 -- 13.32 10.95 10.95 10.95 -- -- --
143 13.84 -- 13.84 11.31 11.31 11.31 -- -- --
144 13.47 -- 13.47 10.95 10.95 10.95 -- -- --
145 13.99 -- 13.99 11.31 11.31 11.31 -- -- --
146 13.62 -- 13.62 10.95 10.95 -- -- -- --
147 13.70 -- 13.70 10.95 10.95 -- -- -- --
148 14.24 -- 14.24 11.31 11.31 -- -- -- --
149 13.86 -- 13.86 10.95 10.95 -- -- -- --
150 14.41 -- 14.41 11.31 11.31 -- -- -- --
151 14.03 -- 14.03 10.95 10.95 -- -- -- --
152 14.12 -- 14.12 10.95 10.95 -- -- -- --
153 15.20 -- 15.20 11.70 11.70 -- -- -- --
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
154 14.31 -- 14.31 10.95 10.95 -- -- -- --
155 14.89 -- 14.89 11.31 11.31 -- -- -- --
156 14.51 -- 14.51 10.95 10.95 -- -- -- --
157 15.09 -- 15.09 11.31 11.31 -- -- -- --
158 14.71 -- 14.71 10.95 10.95 -- -- -- --
159 14.82 -- 14.82 10.95 10.95 -- -- -- --
160 15.43 -- 15.43 11.31 11.31 -- -- -- --
161 15.05 -- 15.05 10.95 10.95 -- -- -- --
162 15.67 -- 15.67 11.31 11.31 -- -- -- --
163 15.28 -- 15.28 10.95 10.95 -- -- -- --
164 15.40 -- 15.40 10.95 10.95 -- -- -- --
165 17.20 -- 17.20 12.12 12.12 -- -- -- --
166 15.66 -- 15.66 10.95 10.95 -- -- -- --
167 16.32 -- 16.32 11.32 -- -- -- -- --
168 15.93 -- 15.93 10.95 -- -- -- -- --
169 16.61 -- 16.61 11.32 -- -- -- -- --
170 16.22 -- 16.22 10.95 -- -- -- -- --
171 16.37 -- 16.37 10.95 -- -- -- -- --
172 17.07 -- 17.07 11.32 -- -- -- -- --
173 16.67 -- 16.67 10.96 -- -- -- -- --
174 17.40 -- 17.40 11.32 -- -- -- -- --
175 17.00 -- 17.00 10.96 -- -- -- -- --
176 17.21 -- 17.21 10.97 -- -- -- -- --
177 19.37 -- 19.37 12.18 -- -- -- -- --
178 17.97 -- 17.97 11.09 -- -- -- -- --
179 18.76 -- 18.76 11.46 -- -- -- -- --
180 18.35 -- 18.35 11.09 -- -- -- -- --
181 19.28 -- 19.28 -- -- -- -- -- --
182 19.02 -- 19.02 -- -- -- -- -- --
183 19.39 -- 19.39 -- -- -- -- -- --
184 20.46 -- 20.46 -- -- -- -- -- --
185 20.23 -- 20.23 -- -- -- -- -- --
186 21.37 -- 21.37 -- -- -- -- -- --
187 21.15 -- 21.15 -- -- -- -- -- --
188 21.66 -- 21.66 -- -- -- -- -- --
189 24.60 -- 24.60 -- -- -- -- -- --
190 22.81 -- 22.81 -- -- -- -- -- --
191 24.24 -- 24.24 -- -- -- -- -- --
192 24.16 -- 24.16 -- -- -- -- -- --
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 21
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
193 25.76 -- 25.76 -- -- -- -- -- --
194 25.78 -- 25.78 -- -- -- -- -- --
195 26.70 -- 26.70 -- -- -- -- -- --
196 28.65 -- 28.65 -- -- -- -- -- --
197 28.87 -- 28.87 -- -- -- -- -- --
198 31.15 -- 31.15 -- -- -- -- -- --
199 31.57 -- 31.57 -- -- -- -- -- --
200 33.19 -- 33.19 -- -- -- -- -- --
201 37.46 -- 37.46 -- -- -- -- -- --
202 37.17 -- 37.17 -- -- -- -- -- --
203 40.96 -- 40.96 -- -- -- -- -- --
204 42.55 -- 42.55 -- -- -- -- -- --
205 47.56 -- 47.56 -- -- -- -- -- --
206 50.25 -- 50.25 -- -- -- -- -- --
207 55.47 -- 55.47 -- -- -- -- -- --
208 64.19 -- 64.19 -- -- -- -- -- --
209 70.85 -- 70.85 -- -- -- -- -- --
210 85.58 -- 85.58 -- -- -- -- -- --
211 100.23 -- 100.23 -- -- -- -- -- --
212 127.89 -- 127.89 -- -- -- -- -- --
213 197.70 -- 197.70 -- -- -- -- -- --
214 301.43 -- 301.43 -- -- -- -- -- --
215 * *
* In Period 215 the A-2 Class has a balance of $29,425 and is paid $68,859 in
interest and the A-4Class has a balance of $19,968 and is paid $46,727 in
interest.
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 22