--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 17, 2002
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
$353,029,000
APPROXIMATELY
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
SERIES 2002-NC5
MORTGAGE PASS-THROUGH CERTIFICATES
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 1
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 17, 2002
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
APPROXIMATELY $353,029,000
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC., SERIES 2002-NC5
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
DEPOSITOR
THE PROVIDENT BANK
SERVICER
TRANSACTION HIGHLIGHTS
----------------------
--------------------------------------------------------------------------------------------------------------
MODIFIED
AVG LIFE TO DURATION TO
OFFERED EXPECTED RATINGS CALL / CALL /
CLASSES DESCRIPTION BALANCE (S&P/FITCH/ XXXXX'X) MTY(1)(2) MTY(1)(2)(3)
==============================================================================================================
A-1 Not Offered 458,365,000 *****Not Offered*****
A-2 Floater 100,000,000 AAA/AAA/Aaa 2.92 / 3.26 2.78 / 3.05
A-3 Floater 108,873,000 AAA/AAA/Aaa 2.92 / 3.26 2.78 / 3.05
M-1 Floater 51,484,000 AA/AA/Aa2 5.36 / 5.91 4.95 / 5.37
M-2 Floater 39,128,000 A+/A+/A2 5.34 / 5.84 4.82 / 5.18
M-3 Floater 8,238,000 A/A/A2 5.34 / 5.78 4.74 / 5.05
B-1 Floater 32,950,000 BBB/BBB/Baa2 5.33 / 5.64 4.71 / 4.92
B-2 Floater 12,356,000 BBB-/BBB-/Baa3 5.20 / 5.21 4.54 / 4.55
--------------------------------------------------------------------------------------------------------------
TABLE (CONTINUED)
--------------------------------------------------------------------------------
INITIAL
OFFERED PAYMENT WINDOW TO CALL / SUBORDINATION
CLASSES MTY(1)(2) LEVEL BENCHMARK
================================================================================
A-1 *****Not Offered*****
A-2 11/02 - 11/10 / 11/02 -7/20 19.00% 1 Mo. LIBOR
A-3 11/02 - 11/10 / 11/02 -7/20 19.00% 1 Mo. LIBOR
M-1 1/06 - 11/10 / 1/06 - 7/17 12.75% 1 Mo. LIBOR
M-2 12/05 - 11/10 / 12/05 - 3/16 8.00% 1 Mo. LIBOR
M-3 12/05 - 11/10 / 12/05 - 9/14 7.00% 1 Mo. LIBOR
B-1 11/05 - 11/10 / 11/05 - 4/14 3.00% 1 Mo. LIBOR
B-2 11/05 - 11/10 / 11/05 - 6/11 1.50% 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 for Classes A-2 through B-2.
(4) Class A-2 wrapped by FSA
ISSUER: Xxxxxx Xxxxxxx Xxxx Xxxxxx Capital I Inc. Trust
2002-NC5.
DEPOSITOR: Xxxxxx Xxxxxxx Xxxx Xxxxxx Capital I Inc.
CLASS A-2 INSURER: Financial Security Assurance Inc.
LOAN SELLER: NC Capital Corporation
SERVICER: The Provident Bank
TRUSTEE: Deutsche Bank National Trust Company
MANAGERS: Xxxxxx Xxxxxxx (lead manager); Xxxxxxxx & Partners, L.P.
and Xxxxxxxx Capital Partners.
RATING AGENCIES: Standard & Poor's, Fitch Ratings and Xxxxx'x Investors
Service.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 2
OFFERED CERTIFICATES: Classes A-2, A-3, M-1, M-2, M-3, B-1 and B-2
Certificates.
EXPECTED PRICING DATE: [October 18, 2002]
EXPECTED CLOSING DATE: October 29, 2002 through DTC and Euroclear or
Clearstream, Luxembourg. The Certificates will be sold
without accrued interest.
DISTRIBUTION DATES: The 25th of each month, or if such day is not a business
day, on the next business day, beginning November 25,
2002.
FINAL SCHEDULED
DISTRIBUTION DATE: The Distribution Date occurring in October 2032.
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 The interest accrual period for the Offered Certificates
PERIOD: 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 Approximately $565.9 million of Mortgage Loans with
LOANS: 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 Approximately $257.9 million of Mortgage Loans that
LOANS: predominantly have original principal balances that do
not conform to the original principal balance limits for
one- to four-family residential mortgage loan guidelines
for purchase by Freddie Mac.
PRICING PREPAYMENT o Fixed Rate Mortgage Loans: CPR starting at
SPEED: approximately 1.5333% CPR in month 1 and
increasing to 23% CPR in month 15 (23%/15 CPR
increase for each month), and remaining at 23% CPR
thereafter.
o ARM Mortgage Loans: CPR of 25%.
CREDIT ENHANCEMENT: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage
Loans,
2) 1.50% overcollateralization (funded upfront).
After the Step-down Date, so long as a Trigger
Event is not in effect, the required
overcollateralization will equal 3.00% 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 total
principal balance of the Mortgage Loans, and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on the
more senior classes of certificates.
SENIOR ENHANCEMENT For any Distribution Date, the percentage obtained by
PERCENTAGE: dividing (x) the aggregate Certificate Principal Balance
of the subordinate certificates (together with any
overcollateralization and taking into account the
distributions of the Principal Distribution Amount for
such Distribution Date) by (y) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 3
STEP-DOWN DATE: The later to occur of:
(x) The earlier of:
(a) the Distribution Date occurring in November
2005; and
(b) the Distribution Date on which the aggregate
balance of the Class A Certificates is
reduced to zero; and
(y) the first Distribution Date on which the Senior
Enhancement Percentage (calculated for this purpose
only after taking into account payments of
principal on the Mortgage Loans on the last day of
the related Due Period but prior to principal
distributions to the certificates on the applicable
Distribution Date) is greater than or equal to
approximately 38.00%
TRIGGER EVENT: A Trigger Event is in effect on any Distribution Date if
(i) on that Distribution Date the 60 Day+ Rolling
Average equals or exceeds 40% of the prior period's
Senior Enhancement Percentage and (ii) may include other
trigger events related to the performance of the
Mortgage Loans. The 60 Day+ Rolling Average will equal
the rolling 3 month average percentage of Mortgage Loans
that are 60 or more days delinquent.
INITIAL SUBORDINATION Class A: 19.00%
PERCENTAGE: Class M-1: 12.75%
Class M-2: 8.00%
Class M-3: 7.00%
Class B-1: 3.00%
Class B-2: 1.50%
OPTIONAL CLEAN-UP CALL: When the current aggregate principal balance of the
Mortgage Loans is less than or equal to 10% of the total
principal balance of the Mortgage Loans as of the
Cut-off Date.
STEP-UP COUPONS: For all Offered Certificates the coupon will increase
after the optional clean-up call date, should the call
not be exercised.
CLASS A-1 PASS-THROUGH The Class A-1 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date
on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group I Cap and (iii) the WAC Cap.
CLASS A-2 PASS-THROUGH The Class A-2 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date
on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group II Cap and (iii) the WAC Cap.
CLASS A-3 PASS-THROUGH The Class A-3 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first distribution date
on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group II Cap and (iii) the WAC Cap.
CLASS M-1 PASS-THROUGH The Class M-1 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS M-2 PASS-THROUGH The Class M-2 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS M-3 PASS-THROUGH The Class M-3 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 4
CLASS B-1 PASS-THROUGH The Class B-1 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-2 PASS-THROUGH The Class B-2 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
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 in the case of the A-2 certificates, less the
Class A-2 Insurance premium, and (ii) a fraction, the
numerator of which is 30 and the denominator of which is
the actual number of days in the related Interest
Accrual Period.
LOAN GROUP I CAP: As to any Distribution Date, a per annum rate equal to
the product of (i) weighted average gross rate of the
Group I Mortgage Loans in effect on the beginning of the
related Due Period less servicing, trustee and other fee
rates, and (ii) a fraction, the numerator of which is 30
and the denominator of which is the actual number of
days in the related Interest Accrual Period.
LOAN GROUP II CAP: As to any Distribution Date, a per annum rate equal to
the product of (i) weighted average gross rate of the
Group II Mortgage Loans in effect on the beginning of
the related Due Period less servicing, trustee and other
fee rates, and in the case of the A-2 certificates, less
the Class A-2 Insurance premium 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 As to any Distribution Date, the supplemental interest
CARRY FORWARD AMOUNT: amount for the Class A-1 Certificates will equal the sum
of:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the Class
A-1 Pass-Through Rate (without regard to the Loan
Group I Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the
Loan Group I Cap or WAC Cap;
(ii) any Class A-1 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) interest on the amount in clause (ii) at the
related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
CLASS A-2 BASIS RISK As to any Distribution Date, the supplemental interest
CARRY FORWARD AMOUNT: amount for the Class A-2 Certificates will equal the sum
of:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the Class
A-2 Pass-Through Rate (without regard to the Loan
Group II Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the
Loan Group II Cap or WAC Cap;
(ii) any Class A-2 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) interest on the amount in clause (ii) at the
related Class A-2 Pass-Through Rate (without
regard to the Loan Group II Cap or WAC Cap).
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 5
CLASS A-3 BASIS RISK As to any Distribution Date, the supplemental interest
CARRY FORWARD AMOUNT: amount for the Class A-3 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-3 Pass-Through Rate (without regard to the Loan
Group II Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the
Loan Group II Cap or WAC Cap;
(ii) any Class A-3 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-3 Pass-Through Rate (without
regard to the Loan Group II Cap or WAC Cap).
CLASS M-1, M-2, M-3, As to any Distribution Date, the supplemental interest
B-1 AND B-2 BASIS amount for each of the Class M-1, M-2, M-3, B-1 and B-2
RISK CARRY FORWARD Certificates will equal the sum of:
AMOUNTS:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at such
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap) over interest due
such Certificates at a rate equal to the WAC Cap;
(ii) any Basis Risk Carry Forward Amount for such class
remaining unpaid for such Certificate from prior
Distribution Dates; and
(iii) interest on the amount in clause (ii) at the
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap).
INTEREST DISTRIBUTIONS On each Distribution Date and after payments of
ON OFFERED servicing and trustee fees and other expenses, interest
CERTIFICATES: 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,
pro rata, to the Class A-2 Certificates, the Class
A-3 Certificates and (according to any unpaid
Class A-2 Insurance premiums and any unreimbursed
Class A-2 Insurance Payment Amounts) the Class A-2
Insurer;
(ii) the portion of the Interest Remittance Amount
attributable to the Loan 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 Class A-2 Certificates,
the Class A-3 Certificates and (according to any
unpaid Class A-2 Insurance premiums and any
unreimbursed Class A-2 Insurance Payment Amounts)
the Class A-2 Insurer 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; and
(vii) to the Class B-2 Certificates, its Accrued
Certificate Interest.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 6
PRINCIPAL On each Distribution Date (a) prior to the Stepdown Date
DISTRIBUTIONS ON or (b) on which a Trigger Event is in effect, principal
OFFERED CERTIFICATES: 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 have been
reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero;
(v) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero; and
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof have 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 have 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 have 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 have 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 have been
reduced to zero; and
(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 have been
reduced to zero.
All principal distributions to the Class A Certificates
on any Distribution Date will be allocated between the
Class A-1 Certificates, the Class A-2 Certificates and
the Class A-3 Certificates on a pro rata basis based on
the Class A Principal Allocation Percentage for each
such class on such Distribution Date; provided, however,
that if the Certificate Principal Balance of any class
of Class A Certificates is reduced to zero, then the
remaining amount of principal distributions
distributable to the class of Class A Certificates on
such Distribution Date and all subsequent Distribution
Dates, will be distributed to the remaining outstanding
Class A Certificates until the Certificate Principal
Balance thereof has been reduced to zero.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 7
ALLOCATION OF NET For any Distribution Date, any Net Monthly Excess
MONTHLY EXCESS Cashflow shall be paid as follows:
CASHFLOW:
(i) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class M-3 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-1 Certificates, the allocated
unreimbursed realized loss amount;
(ix) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(x) to the Class B-2 Certificates, the allocated
unreimbursed realized loss amount;
(xi) concurrently, any Class A-1 Basis Risk Carry
Forward Amount to the Class A-1 Certificates, and
any Class A-2 or Class A-3 Basis Risk Carry
Forward Amount to the Class A-2 and Class A-3
Certificates, respectively; and
(xii) sequentially, to Classes M-1, M-2, M-3, B-1 and
B-2 Certificates, in such order, any Basis Risk
Carry Forward Amount for such classes.
INTEREST REMITTANCE For any Distribution Date, the portion of available
AMOUNT: funds for such Distribution Date attributable to
interest received or advanced on the Mortgage Loans.
ACCRUED CERTIFICATE For any Distribution Date and each class of Offered
INTEREST: Certificates, equals the amount of interest accrued
during the related interest accrual period at the
related Pass-through Rate, reduced by any prepayment
interest shortfalls and shortfalls resulting from the
application of the Soldiers' and Sailors' Civil Relief
Act of 1940 or similar state law allocated to such
class.
CLASS A-2 INSURANCE For any Distribution Date, the Class A-2 Insurance
PAYMENT AMOUNT: Payment Amount equals Accrued Certificate Interest and
principal with respect to the Class A-2 Certificates, to
the extent covered by the Class A-2 Insurer.
PRINCIPAL DISTRIBUTION For any Distribution Date, the sum of (i) the Basic
AMOUNT: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
BASIC PRINCIPAL On any Distribution Date, the excess of (i) the
DISTRIBUTION AMOUNT: aggregate Principal Remittance Amount over (ii) the
Excess Subordinated Amount, if any.
NET MONTHLY EXCESS For any Distribution Date is the amount of funds
CASHFLOW: available for distribution on such Distribution Date
remaining after making all distributions of interest and
principal on the certificates.
EXTRA PRINCIPAL For any Distribution Date, the lesser of (i) the excess
DISTRIBUTION AMOUNT: of (x) interest collected or advanced with respect to
the Mortgage Loans with due dates in the related Due
Period (less servicing and trustee fees and expenses and
the Class A-2 Insurance premium), over (y) the sum of
interest payable on the Certificates on such
Distribution Date and (ii) the overcollateralization
deficiency amount for such Distribution Date.
EXCESS SUBORDINATED For any Distribution Date, means the excess, if any of
AMOUNT: (i) the overcollateralization and (ii) the required
overcollateralization for such Distribution Date.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 8
CLASS A PRINCIPAL For any Distribution Date, the percentage equivalent of
ALLOCATION PERCENTAGE: a fraction, determined as follows: (i) in the case of
the Class A-1 Certificates the numerator of which is (x)
the portion of the Principal Remittance Amount for such
Distribution Date that is attributable to principal
received or advanced on the Loan Group I Mortgage Loans
and the denominator of which is (y) the Principal
Remittance Amount for such Distribution Date and (ii) in
the case of the Class A-2 Certificates, the numerator of
which is (x) the portion of the Principal Remittance
Amount for such Distribution Date that is attributable
to principal received or advanced on the Loan Group II
Mortgage Loans and the denominator of which is (y) the
Principal Remittance Amount for such Distribution Date.
CLASS A PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: 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 62.00% 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
$4,118,754.
CLASS M-1 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date) and (ii)
the Certificate Principal Balance of the Class M-1
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 74.50% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period over $4,118,754.
CLASS M-2 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: 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 $4,118,754.
CLASS M-3 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date) and (iii) the Certificate Principal
Balance of the Class M-2 Certificates immediately prior
to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 86.00% 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 $4,118,754.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 9
CLASS B-1 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: 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 94.00% 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 $4,118,754.
CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to the excess
DISTRIBUTION AMOUNT: 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
and over (y) the lesser of (A) the product of (i)
approximately 97.00% 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 $4,118,754.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
SMMEA ELIGIBILITY: It is anticipated that the Class A-2, Class
A-3 and Class M-1 Certificates will be SMMEA eligible.
PROSPECTUS: The Class A-2, Class A-3, Class M-1, Class M-2,
Class M-3, Class B-1 and Class B-2 Certificates are
being offered pursuant to a prospectus supplemented by a
prospectus supplement (together, the "Prospectus").
Complete information with respect to the Offered
Certificates and the collateral securing them is
contained in the Prospectus. The information herein is
qualified in its entirety by the information appearing
in the Prospectus. To the extent that the information
herein is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the
Offered Certificates may not be consummated unless the
purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN
CONNECTION WITH AN INVESTMENT IN THE OFFERED
CERTIFICATES.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 10
TO MATURITY
-----------
PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------------------------------------------------------------------------
Initial 100 100 100 100 100
October 2003 99 81 75 69 63
October 2004 98 62 51 41 32
October 2005 97 46 32 21 12
October 2006 95 35 27 20 12
October 2007 94 29 21 15 10
October 2008 92 24 16 11 7
October 2009 91 19 12 8 5
October 2010 89 16 9 6 4
October 2011 87 13 7 4 3
October 2012 85 10 6 3 2
October 2013 82 8 4 3 0
October 2014 79 7 4 2 0
October 2015 76 6 3 1 0
October 2016 73 5 2 0 0
October 2017 70 4 2 0 0
October 2018 66 3 1 0 0
October 2019 62 3 0 0 0
October 2020 57 2 0 0 0
October 2021 52 2 0 0 0
October 2022 47 1 0 0 0
October 2023 41 1 0 0 0
October 2024 35 0 0 0 0
October 2025 31 0 0 0 0
October 2026 26 0 0 0 0
October 2027 22 0 0 0 0
October 2028 17 0 0 0 0
October 2029 11 0 0 0 0
October 2030 6 0 0 0 0
October 2031 2 0 0 0 0
October 2032 0 0 0 0 0
Average Life
to Maturity (years) 18.34 4.28 3.26 2.56 2.02
Average Life to
Call (1) (years) 18.32 3.88 2.92 2.27 1.75
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 11
TO MATURITY
-----------
PERCENTAGE OF CLASS A-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------------------------------------------------------------------------
Initial 100 100 100 100 100
October 2003 99 81 75 69 63
October 2004 98 62 51 41 32
October 2005 97 46 32 21 12
October 2006 95 35 27 20 12
October 2007 94 29 21 15 10
October 2008 92 24 16 11 7
October 2009 91 19 12 8 5
October 2010 89 16 9 6 4
October 2011 87 13 7 4 3
October 2012 85 10 6 3 2
October 2013 82 8 4 3 0
October 2014 79 7 4 2 0
October 2015 76 6 3 1 0
October 2016 73 5 2 0 0
October 2017 70 4 2 0 0
October 2018 66 3 1 0 0
October 2019 62 3 0 0 0
October 2020 57 2 0 0 0
October 2021 52 2 0 0 0
October 2022 47 1 0 0 0
October 2023 41 1 0 0 0
October 2024 35 0 0 0 0
October 2025 31 0 0 0 0
October 2026 26 0 0 0 0
October 2027 22 0 0 0 0
October 2028 17 0 0 0 0
October 2029 11 0 0 0 0
October 2030 6 0 0 0 0
October 2031 2 0 0 0 0
October 2032 0 0 0 0 0
Average Life
to Maturity (years) 18.34 4.28 3.26 2.56 2.02
Average Life to
Call (1) (years) 18.32 3.88 2.92 2.27 1.75
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 12
TO MATURITY
-----------
PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------------------------------------------------------------------------
Initial 100 100 100 100 100
October 2003 100 100 100 100 100
October 2004 100 100 100 100 100
October 2005 100 100 100 100 100
October 2006 100 88 65 47 81
October 2007 100 71 48 32 21
October 2008 100 57 36 22 13
October 2009 100 46 27 15 8
October 2010 100 37 20 10 5
October 2011 100 30 15 7 2
October 2012 100 24 11 5 0
October 2013 100 19 8 2 0
October 2014 100 15 6 0 0
October 2015 100 12 4 0 0
October 2016 100 10 2 0 0
October 2017 100 8 0 0 0
October 2018 100 6 0 0 0
October 2019 100 5 0 0 0
October 2020 100 3 0 0 0
October 2021 100 0 0 0 0
October 2022 100 0 0 0 0
October 2023 100 0 0 0 0
October 2024 100 0 0 0 0
October 2025 89 0 0 0 0
October 2026 78 0 0 0 0
October 2027 65 0 0 0 0
October 2028 52 0 0 0 0
October 2029 39 0 0 0 0
October 2030 25 0 0 0 0
October 2031 11 0 0 0 0
October 2032 0 0 0 0 0
Average Life
to Maturity (years) 26.11 7.82 5.91 5.02 4.82
Average Life to
Call (1) (years) 25.95 7.11 5.36 4.58 4.45
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 13
TO MATURITY
-----------
PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------------------------------------------------------------------------
Initial 100 100 100 100 100
October 2003 100 100 100 100 100
October 2004 100 100 100 100 100
October 2005 100 100 100 100 100
October 2006 100 88 65 47 33
October 2007 100 71 48 32 21
October 2008 100 57 36 22 13
October 2009 100 46 27 15 8
October 2010 100 37 20 10 3
October 2011 100 30 15 7 0
October 2012 100 24 11 2 0
October 2013 100 19 8 0 0
October 2014 100 15 6 0 0
October 2015 100 12 1 0 0
October 2016 100 10 0 0 0
October 2017 100 8 0 0 0
October 2018 100 5 0 0 0
October 2019 100 2 0 0 0
October 2020 100 0 0 0 0
October 2021 100 0 0 0 0
October 2022 100 0 0 0 0
October 2023 100 0 0 0 0
October 2024 100 0 0 0 0
October 2025 89 0 0 0 0
October 2026 78 0 0 0 0
October 2027 65 0 0 0 0
October 2028 52 0 0 0 0
October 2029 39 0 0 0 0
October 2030 25 0 0 0 0
October 2031 11 0 0 0 0
October 2032 0 0 0 0 0
Average Life
to Maturity (years) 26.10 7.76 5.84 4.84 4.37
Average Life to
Call (1) (years) 25.95 7.11 5.34 4.45 4.04
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 14
TO MATURITY
PERCENTAGE OF CLASS M-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------------------------------------------------------------------------
Initial 100 100 100 100 100
October 2003 100 100 100 100 100
October 2004 100 100 100 100 100
October 2005 100 100 100 100 100
October 2006 100 88 65 47 33
October 2007 100 71 48 32 21
October 2008 100 57 36 22 13
October 2009 100 46 27 15 8
October 2010 100 37 20 10 0
October 2011 100 30 15 7 0
October 2012 100 24 11 0 0
October 2013 100 19 8 0 0
October 2014 100 15 0 0 0
October 2015 100 12 0 0 0
October 2016 100 10 0 0 0
October 2017 100 8 0 0 0
October 2018 100 0 0 0 0
October 2019 100 0 0 0 0
October 2020 100 0 0 0 0
October 2021 100 0 0 0 0
October 2022 100 0 0 0 0
October 2023 100 0 0 0 0
October 2024 100 0 0 0 0
October 2025 89 0 0 0 0
October 2026 78 0 0 0 0
October 2027 65 0 0 0 0
October 2028 52 0 0 0 0
October 2029 39 0 0 0 0
October 2030 25 0 0 0 0
October 2031 11 0 0 0 0
October 2032 0 0 0 0 0
Average Life
to Maturity (years) 26.09 7.68 5.78 4.74 4.21
Average Life to
Call (1) (years) 25.95 7.11 5.34 4.39 3.92
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 15
TO MATURITY
-----------
PERCENTAGE OF CLASS B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------------------------------------------------------------------------
Initial 100 100 100 100 100
October 2003 100 100 100 100 100
October 2004 100 100 100 100 100
October 2005 100 100 100 100 100
October 2006 100 88 65 47 33
October 2007 100 71 48 32 21
October 2008 100 57 36 22 10
October 2009 100 46 27 14 2
October 2010 100 37 20 6 0
October 2011 100 30 14 0 0
October 2012 100 24 7 0 0
October 2013 100 19 2 0 0
October 2014 100 14 0 0 0
October 2015 100 9 0 0 0
October 2016 100 4 0 0 0
October 2017 100 1 0 0 0
October 2018 100 0 0 0 0
October 2019 100 0 0 0 0
October 2020 100 0 0 0 0
October 2021 100 0 0 0 0
October 2022 100 0 0 0 0
October 2023 100 0 0 0 0
October 2024 100 0 0 0 0
October 2025 89 0 0 0 0
October 2026 78 0 0 0 0
October 2027 65 0 0 0 0
October 2028 52 0 0 0 0
October 2029 39 0 0 0 0
October 2030 25 0 0 0 0
October 2031 7 0 0 0 0
October 2032 0 0 0 0 0
Average Life
to Maturity (years) 26.07 7.52 5.64 4.61 4.04
Average Life to
Call (1) (years) 25.95 7.11 5.33 4.37 3.84
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 16
TO MATURITY
-----------
PERCENTAGE OF CLASS B-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
--------------------------------------------------------------------------------
Initial 100 100 100 100 100
October 2003 100 100 100 100 100
October 2004 100 100 100 100 100
October 2005 100 100 100 100 100
October 2006 100 88 65 47 32
October 2007 100 71 48 31 8
October 2008 100 57 36 11 0
October 2009 100 46 21 0 0
October 2010 100 37 7 0 0
October 2011 100 26 0 0 0
October 2012 100 14 0 0 0
October 2013 100 5 0 0 0
October 2014 100 0 0 0 0
October 2015 100 0 0 0 0
October 2016 100 0 0 0 0
October 2017 100 0 0 0 0
October 2018 100 0 0 0 0
October 2019 100 0 0 0 0
October 2020 100 0 0 0 0
October 2021 100 0 0 0 0
October 2022 100 0 0 0 0
October 2023 100 0 0 0 0
October 2024 100 0 0 0 0
October 2025 89 0 0 0 0
October 2026 78 0 0 0 0
October 2027 65 0 0 0 0
October 2028 52 0 0 0 0
October 2029 39 0 0 0 0
October 2030 16 0 0 0 0
October 2031 0 0 0 0 0
October 2032 0 0 0 0 0
Average Life
to Maturity (years) 25.91 6.97 5.21 4.24 3.71
Average Life to
Call (1) (years) 25.89 6.94 5.20 4.23 3.69
(1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 17
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
----------------------------------------------------------------------------------------------------------------------------------
0 - - - - - - -
1 8.57 8.65 8.69 8.69 8.69 8.69 8.69
2 7.82 7.89 7.89 7.89 7.89 7.89 7.89
3 7.67 7.74 7.69 7.69 7.69 7.69 7.69
4 7.77 7.84 7.76 7.76 7.76 7.76 7.76
5 8.72 8.79 8.66 8.66 8.66 8.66 8.66
6 7.88 7.95 7.82 7.82 7.82 7.82 7.82
7 8.14 8.21 8.08 8.08 8.08 8.08 8.08
8 7.89 7.95 7.82 7.82 7.82 7.82 7.82
9 8.15 8.22 8.08 8.08 8.08 8.08 8.08
10 7.89 7.96 7.81 7.81 7.81 7.81 7.81
11 7.90 7.97 7.81 7.81 7.81 7.81 7.81
12 8.17 8.24 8.07 8.07 8.07 8.07 8.07
13 7.91 7.98 7.81 7.81 7.81 7.81 7.81
14 8.18 8.25 8.07 8.07 8.07 8.07 8.07
15 7.92 7.99 7.81 7.81 7.81 7.81 7.81
16 7.93 8.00 7.81 7.81 7.81 7.81 7.81
17 8.49 8.56 8.35 8.35 8.35 8.35 8.35
18 7.95 8.01 7.81 7.81 7.81 7.81 7.81
19 8.22 8.29 8.07 8.07 8.07 8.07 8.07
20 7.96 8.03 7.81 7.81 7.81 7.81 7.81
21 8.24 8.31 8.07 8.07 8.07 8.07 8.07
22 7.98 8.05 7.81 7.81 7.81 7.81 7.81
23 8.76 8.83 8.79 8.79 8.79 8.79 8.79
24 9.07 9.14 9.08 9.08 9.08 9.08 9.08
25 8.78 8.85 8.79 8.79 8.79 8.79 8.79
26 9.09 9.16 9.08 9.08 9.08 9.08 9.08
27 8.81 8.88 8.79 8.79 8.79 8.79 8.79
28 8.82 8.89 8.78 8.78 8.78 8.78 8.78
29 10.64 10.72 10.80 10.80 10.80 10.80 10.80
30 9.63 9.70 9.75 9.75 9.75 9.75 9.75
31 9.97 10.04 10.08 10.08 10.08 10.08 10.08
32 9.66 9.73 9.75 9.75 9.75 9.75 9.75
33 10.01 10.08 10.08 10.08 10.08 10.08 10.08
34 9.70 9.77 9.75 9.75 9.75 9.75 9.75
35 10.54 10.60 10.75 10.75 10.75 10.75 10.75
36 10.91 10.98 11.10 11.10 11.10 11.10 11.10
37 21.35 21.42 10.74 10.74 10.74 10.74 10.74
38 12.31 12.38 11.10 11.10 11.10 11.10 11.10
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 18
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
----------------------------------------------------------------------------------------------------------------------------------
39 11.86 11.93 10.74 10.74 10.74 10.74 10.74
40 11.82 11.88 10.74 10.74 10.74 10.74 10.74
41 13.92 13.99 12.99 12.99 12.99 12.99 12.99
42 12.57 12.63 11.73 11.73 11.73 11.73 11.73
43 12.98 13.05 12.12 12.12 12.12 12.12 12.12
44 12.56 12.63 11.73 11.73 11.73 11.73 11.73
45 12.98 13.05 12.12 12.12 12.12 12.12 12.12
46 12.56 12.63 11.73 11.73 11.73 11.73 11.73
47 13.10 13.17 12.40 12.40 12.40 12.40 12.40
48 13.54 13.61 12.81 12.81 12.81 12.81 12.81
49 13.10 13.17 12.40 12.40 12.40 12.40 12.40
50 13.53 13.60 12.81 12.81 12.81 12.81 12.81
51 13.10 13.16 12.39 12.39 12.39 12.39 12.39
52 13.09 13.16 12.39 12.39 12.39 12.39 12.39
53 14.53 14.60 13.75 13.75 13.75 13.75 13.75
54 13.12 13.19 12.42 12.42 12.42 12.42 12.42
55 13.55 13.62 12.83 12.83 12.83 12.83 12.83
56 13.12 13.18 12.41 12.41 12.41 12.41 12.41
57 13.55 13.62 12.83 12.83 12.83 12.83 12.83
58 13.11 13.18 12.41 12.41 12.41 12.41 12.41
59 13.13 13.20 12.43 12.43 12.43 12.43 12.43
60 13.57 13.64 12.84 12.84 12.84 12.84 12.84
61 13.13 13.20 12.43 12.43 12.43 12.43 12.43
62 13.57 13.64 12.84 12.84 12.84 12.84 12.84
63 13.13 13.19 12.42 12.42 12.42 12.42 12.42
64 13.13 13.19 12.42 12.42 12.42 12.42 12.42
65 14.03 14.10 13.27 13.27 13.27 13.27 13.27
66 13.12 13.19 12.42 12.42 12.42 12.42 12.42
67 13.56 13.63 12.83 12.83 12.83 12.83 12.83
68 13.12 13.19 12.41 12.41 12.41 12.41 12.41
69 13.56 13.63 12.82 12.82 12.82 12.82 12.82
70 13.12 13.19 12.41 12.41 12.41 12.41 12.41
71 13.12 13.19 12.41 12.41 12.41 12.41 12.41
72 13.56 13.63 12.82 12.82 12.82 12.82 12.82
73 13.12 13.19 12.40 12.40 12.40 12.40 12.40
74 13.56 13.63 12.82 12.82 12.82 12.82 12.82
75 13.12 13.19 12.40 12.40 12.40 12.40 12.40
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 19
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
----------------------------------------------------------------------------------------------------------------------------------
76 13.12 13.19 12.40 12.40 12.40 12.40 12.40
77 13.26 13.34 13.73 13.73 13.73 13.73 13.73
78 11.80 11.87 12.40 12.40 12.40 12.40 12.40
79 12.21 12.28 12.81 12.81 12.81 12.81 12.81
80 11.83 11.90 12.39 12.39 12.39 12.39 12.39
81 12.24 12.31 12.80 12.80 12.80 12.80 12.80
82 11.86 11.93 12.39 12.39 12.39 12.39 12.39
83 11.87 11.94 12.39 12.39 12.39 12.39 12.39
84 12.29 12.36 12.80 12.80 12.80 12.80 12.80
85 11.91 11.97 12.38 12.38 12.38 12.38 12.38
86 12.32 12.39 12.80 12.80 12.80 12.80 12.80
87 11.94 12.01 12.38 12.38 12.38 12.38 12.38
88 11.96 12.03 12.38 12.38 12.38 12.38 12.38
89 13.26 13.34 13.70 13.70 13.70 13.70 13.70
90 12.00 12.06 12.38 12.38 12.38 12.38 12.38
91 12.42 12.49 12.79 12.79 12.79 12.79 12.79
92 12.04 12.10 12.37 12.37 12.37 12.37 12.37
93 12.46 12.53 12.78 12.78 12.78 12.78 12.78
94 12.08 12.15 12.37 12.37 12.37 12.37 12.37
95 12.10 12.17 12.37 12.37 12.37 12.37 12.37
96 12.53 12.60 12.78 12.78 12.78 12.78 12.78
97 12.15 12.21 12.37 12.37 12.37 12.37 12.37
98 12.58 12.65 12.78 12.78 12.78 12.78 12.78
99 12.19 12.26 12.36 12.36 12.36 12.36 12.36
100 12.22 12.29 12.36 12.36 12.36 12.36 12.36
101 13.56 13.63 13.68 13.68 13.68 13.68 13.68
102 12.27 12.34 12.36 12.36 12.36 12.36 12.36
103 12.71 12.78 12.77 12.77 12.77 12.77 12.77
104 12.33 12.39 12.36 12.36 12.36 12.36 12.36
105 12.77 12.84 12.77 12.77 12.77 12.77 12.77
106 12.38 12.45 12.35 12.35 12.35 12.35 -
107 12.41 12.48 12.35 12.35 12.35 12.35 -
108 12.86 12.93 12.76 12.76 12.76 12.76 -
109 12.48 12.54 12.35 12.35 12.35 12.35 -
110 12.93 13.00 12.76 12.76 12.76 12.76 -
111 12.54 12.61 12.35 12.35 12.35 12.35 -
112 12.58 12.64 12.34 12.34 12.34 12.34 -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 20
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
----------------------------------------------------------------------------------------------------------------------------------
113 13.48 13.55 13.19 13.19 13.19 13.19 -
114 12.65 12.71 12.34 12.34 12.34 12.34 -
115 13.11 13.18 12.75 12.75 12.75 12.75 -
116 12.72 12.79 12.34 12.34 12.34 12.34 -
117 13.19 13.26 12.75 12.75 12.75 12.75 -
118 12.80 12.87 12.34 12.34 12.34 12.34 -
119 12.84 12.91 12.34 12.34 12.34 12.34 -
120 13.31 13.38 12.75 12.75 12.75 12.75 -
121 12.93 12.99 12.33 12.33 12.33 12.33 -
122 13.40 13.47 12.74 12.74 12.74 12.74 -
123 13.01 13.08 12.33 12.33 12.33 12.33 -
124 13.06 13.13 12.33 12.33 12.33 12.33 -
125 14.51 14.59 13.65 13.65 13.65 13.65 -
126 13.16 13.22 12.33 12.33 12.33 12.33 -
127 13.65 13.72 12.74 12.74 12.74 12.74 -
128 13.26 13.33 12.32 12.32 12.32 12.32 -
129 13.75 13.82 12.73 12.73 12.73 12.73 -
130 13.37 13.43 12.32 12.32 12.32 12.32 -
131 13.42 13.49 12.32 12.32 12.32 12.32 -
132 13.93 14.00 12.73 12.73 12.73 12.73 -
133 13.54 13.60 12.32 12.32 12.32 12.32 -
134 14.05 14.12 12.73 12.73 12.73 12.73 -
135 13.66 13.73 12.32 12.32 12.32 12.32 -
136 13.72 13.79 12.32 12.32 12.32 12.32 -
137 15.26 15.34 13.63 13.63 13.63 13.63 -
138 13.85 13.92 12.31 12.31 12.31 12.31 -
139 14.38 14.45 12.72 12.72 12.72 12.72 -
140 13.99 14.06 12.31 12.31 12.31 12.31 -
141 14.53 14.60 12.72 12.72 12.72 - -
142 14.14 14.20 12.31 12.31 12.31 - -
143 14.21 14.28 12.31 12.31 12.31 - -
144 14.77 14.84 12.72 12.72 12.72 - -
145 14.37 14.44 12.31 12.31 12.31 - -
146 14.93 15.00 12.72 12.72 12.72 - -
147 14.53 14.60 12.30 12.30 - - -
148 14.62 14.69 12.30 12.30 - - -
149 16.28 16.36 13.62 13.62 - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 21
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
----------------------------------------------------------------------------------------------------------------------------------
150 14.80 14.87 12.30 12.30 - - -
151 15.39 15.46 12.71 12.71 - - -
152 14.99 15.06 12.30 12.30 - - -
153 15.59 15.66 12.71 12.71 - - -
154 15.19 15.25 12.30 12.30 - - -
155 15.29 15.36 12.30 12.30 - - -
156 15.91 15.98 12.71 12.71 - - -
157 15.50 15.57 12.30 12.30 - - -
158 16.14 16.21 12.70 12.70 - - -
159 15.73 15.80 12.29 12.29 - - -
160 15.85 15.91 12.29 12.29 - - -
161 17.07 17.14 13.14 13.14 - - -
162 16.09 16.16 12.29 12.29 - - -
163 16.76 16.83 12.70 12.70 - - -
164 16.35 16.42 12.29 12.29 - - -
165 17.03 17.10 12.70 - - - -
166 16.62 16.69 12.29 - - - -
167 16.76 16.83 12.29 - - - -
168 17.47 17.54 12.70 - - - -
169 17.05 17.12 12.29 - - - -
170 17.78 17.85 12.70 - - - -
171 17.36 17.43 12.29 - - - -
172 17.53 17.59 12.29 - - - -
173 19.59 19.66 13.60 - - - -
174 17.86 17.93 12.29 - - - -
175 18.64 18.71 12.69 - - - -
176 18.21 18.28 12.28 - - - -
177 19.01 19.08 12.69 - - - -
178 18.59 18.65 12.28 - - - -
179 18.78 18.85 12.28 - - - -
180 19.61 19.68 12.69 - - - -
181 19.23 19.30 - - - - -
182 20.23 20.30 - - - - -
183 19.95 20.02 - - - - -
184 20.34 20.41 - - - - -
185 22.99 23.06 - - - - -
186 21.21 21.28 - - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 22
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
----------------------------------------------------------------------------------------------------------------------------------
187 22.41 22.48 - - - - -
188 22.20 22.27 - - - - -
189 23.51 23.58 - - - - -
190 23.34 23.40 - - - - -
191 23.97 24.04 - - - - -
192 25.48 25.55 - - - - -
193 25.41 25.47 - - - - -
194 27.09 27.16 - - - - -
195 27.10 27.17 - - - - -
196 28.07 28.13 - - - - -
197 32.19 32.27 - - - - -
198 30.17 30.24 - - - - -
199 32.43 32.50 - - - - -
200 32.73 32.80 - - - - -
201 35.39 35.46 - - - - -
202 35.95 36.02 - - - - -
203 37.90 37.96 - - - - -
204 41.46 41.53 - - - - -
205 42.71 42.77 - - - - -
206 47.25 47.32 - - - - -
207 49.32 49.39 - - - - -
208 53.65 53.72 - - - - -
209 63.04 63.11 - - - - -
210 65.67 65.73 - - - - -
211 76.83 76.90 - - - - -
212 86.04 86.11 - - - - -
213 106.06 106.13 - - - - -
214 128.05 128.11 - - - - -
215 171.76 171.83 - - - - -
216 273.53 273.60 - - - - -
217 925.70 925.77 - - - - -
218 - - - - - - -
219 - - - - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 23