EXHIBIT 99.1
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XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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Structural and Collateral Termsheet
Computational Materials
$750,000,000
(Approximate)
IXIS Real Estate Capital Trust
Series 2005-HE3
Issuer
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
IXIS Real Estate Capital Inc. *
Seller
JPMorgan Chase Bank, N.A.
Master Servicer
Saxon Mortgage Services Inc.
Countrywide Home Loans Servicing LP
Servicers
Mortgage Pass-Through Certificates Series 2005-HE3
*Formerly referred to as CDC Mortgage Capital Inc.
This material has been prepared for information purposes only and is not a
solicitation of any offer to buy or sell any security or other financial
instrument or to participate in any trading strategy. This is not a research
report and was not prepared by the Xxxxxx Xxxxxxx research department. It was
prepared by Xxxxxx Xxxxxxx sales, trading or other non-research personnel. Past
performance is not necessarily a guide to future performance. Please see
additional important information and qualifications at the end of this material.
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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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$750,000,000
(Approximate) (5)
IXIS Real Estate Capital Trust, Series 2005-HE3
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
IXIS Real Estate Capital Inc.
Seller
JPMorgan Chase Bank, N.A.
Master Servicer
Saxon Mortgage Services, Inc.
Countrywide Home Loans Servicing LP
Servicers
Transaction Highlights
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Original Modified
Certificate Avg Life to Duration To
Offered Principal Expected Ratings Call / Call / Payment Window To
Classes Description Balance $ (5),(6) (S&P/Moody's/ Fitch) Mty(1)(2) Mty(1)(2)(3) Call / Mty(1)(2)
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A-1(4) FLT / PT 212,182,000 AAA/Aaa/AAA 2.32 / 2.52 2.14 / 2.29 1 - 86 / 1 - 191
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A-2 FLT / SEQ 245,500,000 AAA/Aaa/AAA 1.00 / 1.00 0.98 / 0.98 1 - 26 / 1 - 26
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A-3 FLT / SEQ 83,000,000 AAA/Aaa/AAA 3.00 / 3.00 2.82 / 2.82 26 - 56 / 26 - 56
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A-4 FLT / SEQ 63,847,000 AAA/Aaa/AAA 6.38 / 7.59 5.62 / 6.46 56 - 86 / 56 - 189
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M-1 FLT / MEZ 29,555,000 AA+/Aa1/AA+ 4.97 / 5.49 4.46 / 4.82 43 - 86 / 43 - 163
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M-2 FLT / MEZ 26,484,000 AA/Aa2/AA+ 4.90 / 5.40 4.40 / 4.75 41 - 86 / 41 - 156
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M-3 FLT / MEZ 15,353,000 AA/Aa3/AA 4.86 / 5.35 4.37 / 4.70 40 - 86 / 40 - 148
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M-4 FLT / MEZ 14,585,000 AA/A1/AA- 4.84 / 5.31 4.33 / 4.66 39 - 86 / 39 - 142
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M-5 FLT / MEZ 13,050,000 A+/A2/A+ 4.82 / 5.26 4.31 / 4.62 39 - 86 / 39 - 136
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M-6 FLT / MEZ 12,283,000 A+/A3/A 4.81 / 5.21 4.29 / 4.58 38 - 86 / 38 - 130
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B-1 FLT / MEZ 10,747,000 A-/Baa1/A- 4.80 / 5.15 4.22 / 4.46 38 - 86 / 38 - 122
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B-2 FLT / MEZ 9,980,000 BBB+/Baa2/BBB+ 4.80 / 5.08 4.20 / 4.39 37 - 86 / 37 - 113
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B-3 FLT / MEZ 5,757,000 BBB+/Baa3/BBB+ 4.78 / 4.97 4.13 / 4.26 37 - 86 / 37 - 103
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B-4 FLT / MEZ 7,677,000 BBB-/Ba1/BBB 4.77 / 4.84 3.92 / 3.96 37 - 86 / 37 - 96
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Initial
Offered Subordination Final Legal
Classes Level (6) Benchmark Maturity
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A-1(4) 21.25% 1 M LIBOR 12/2035
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A-2 21.25% 1 M LIBOR 12/2035
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A-3 21.25% 1 M LIBOR 12/2035
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A-4 21.25% 1 M LIBOR 12/2035
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M-1 17.40% 1 M LIBOR 12/2035
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M-2 13.95% 1 M LIBOR 12/2035
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M-3 11.95% 1 M LIBOR 12/2035
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M-4 10.05% 1 M LIBOR 12/2035
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M-5 8.35% 1 M LIBOR 12/2035
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M-6 6.75% 1 M LIBOR 12/2035
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B-1 5.35% 1 M LIBOR 12/2035
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B-2 4.05% 1 M LIBOR 12/2035
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B-3 3.30% 1 M LIBOR 12/2035
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B-4 2.30% 1 M LIBOR 12/2035
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Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assume pricing at par.
(4) The Class A-1 Certificates are insured by FSA. (5) Bond sizes
subject to a variance of plus or minus 5%.
(6) Calculated based on the schedule principal balance of the
Mortgage Loans and any amounts deposited into the Prefunding
Accounts as of the Closing Date.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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Issuer: IXIS Real Estate Capital Trust 2005-HE3 (the
"Trust")
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Seller: IXIS Real Estate Capital Inc. (formerly referred
to as CDC Mortgage Capital Inc.)
Master Servicer: XX Xxxxxx Xxxxx Bank, N.A.
Servicers: Saxon Mortgage Services, Inc. (approx. 70%) and
Countrywide Home Loans Servicing LP (approx. 30%)
Swap Counterparty: TBD
Trustee and Swap JPMorgan Chase Bank, N.A.
Administrator:
Managers: Xxxxxx Xxxxxxx (lead manager); Banc of America
Securities LLC, Countrywide Securities
Corporation, IXIS Securities (co-managers)
Rating Agencies: Fitch Inc., Xxxxx'x Investors Service, Inc. and
Standard & Poor's Ratings Services (a division of
the McGraw Hill Companies, Inc.)
Class A Certificates: Class A-1, A-2, A-3 and A-4 Certificates
Group I Class A Class A-1 Certificates
Certificates:
Group II Class A Class A-2, A-3, and A-4 Certificates
Certificates:
Class A Certificate Group: The Group I Class A Certificates and Group II
Class A Certificates, as applicable
Class M Certificates: Class M-1, M-2, M-3, M-4, M-5 and M-6 Certificates
Class B Certificates: Class B-1, B-2, B-3 and B-4 Certificates
Offered Certificates: Class A, M and B Certificates
Expected Pricing Date: On or about July 25, 2005
Expected Closing Date: August 30, 2005 through DTC, Euroclear and
Clearstream, Luxembourg. The Offered Certificates
will be settled 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
September 26, 2005.
Cut-Off Date: August 1, 2005, for any Mortgage Loan in the
mortgage pool transferred to the Trust on the
Closing Date. For any Mortgage Loan subsequently
transferred to the Trust during the Pre-Funding
Period (as described below), the first day of the
month in which such loan was transferred to the
Trust.
Class A-1 Certificate Financial Security Assurance Inc., a AAA/Aaa/AAA
Insurer: rated surety bond provider, guarantees timely
interest and ultimate principal to the Class A-1
Certificateholders.
Due Period for Mortgage For any Distribution Date, the period commencing
Loans: on the second day of the calendar month preceding
the calendar month in which such Distribution Date
occurs and ending on the first day of the calendar
month in which such Distribution Date occurs.
Prepayment Period: With respect to any Distribution Date, the period
commencing on the 16th day of the month prior to
the month in which the related Distribution Date
occurs (or, on the Cut-off Date, in connection
with the first Prepayment Period) and ending on
the 15th day of the month in which such
Distribution Date occurs.
Interest Accrual Period The interest accrual period for the Offered
for the Offered Certificates with respect to any Distribution Date
Certificates: will be the period beginning with the immediately
preceding 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).
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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Mortgage Loans: The Trust will consist of approximately
$767,656,090 of fixed and adjustable rate,
sub-prime, first-lien, and second-lien residential
mortgage loans. The information on the Mortgage
Loans described herein is based on the Cut-Off
Date pool of approximately $635,338,651. On the
Closing Date, it is expected that the trust will
consist of approximately $635,338,651 of mortgage
loans, and it is expected that up to approximately
$132,317,439 of Mortgage Loans may be purchased by
the trust for a period of up to 3 months after the
closing date (the "Pre-Funding Period").
Group I Mortgage Loans: On the Closing Date, approximately $222,995,732 of
Mortgage Loans with original principal balances
that conform to the original principal balance
limits for one- to four-family residential
mortgage loan guidelines for purchase by Xxxxxx
Xxx or Freddie Mac.
Group II Mortgage Loans: On the Closing Date, approximately $412,342,919 of
Mortgage Loans with original principal balances
that may or may not conform to the original
principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase
by Xxxxxx Xxx or Freddie Mac.
Prefunding: On the Closing Date, approximately $132,317,439
from the sale of the Offered Certificates (the
"Pre-Funded Amount") will be deposited with the
Trustee into two separate accounts (each a
"Pre-Funding Account") to be used by the Trust
to purchase additional Mortgage Loans during
the Pre-Funding Period for the related Mortgage
Loan Pool. Approximately $46,441,727 and
$85,875,712 will be deposited for the purposes
of purchasing additional Group I Mortgage Loans
and additional Group II Mortgage Loans,
respectively.
Pricing Prepayment o Fixed Rate Mortgage Loans: CPR starting at
Speed: approximately 4% CPR in month 1 and increasing to
23% CPR in month 16 (19%/15 CPR increase for each
month), and remaining at 23% CPR thereafter.
o Adjustable Rate Mortgage Loans: CPR of 28%.
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net Swap Payments received from the Swap
Provider (if any);
2) Net monthly excess cashflow from the
Mortgage Loans;
3) 2.30% overcollateralization (funded upfront)
based on the sum of the aggregate principal
balance as of the Cut-Off Date of the
Mortgage Loans acquired by the Trust on
the Closing Date and the Pre-Funded
Amount. After the Step-down Date, so long
as a Trigger Event is not in effect, the
required overcollateralization will equal
4.60% 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 sum of the
aggregate principal balance as of the
Cut-Off Date of the Mortgage Loans
acquired by the Trust on the Closing Date
and the Pre-Funded Amount;
4) Subordination of distributions on the more
subordinate classes of certificates to the
required distributions on the more senior
classes of certificates (if applicable);
and
5) An insurance policy issued by Financial
Security Assurance Inc. for the benefit of
the holders of the Class A-1 Certificates
only.
Senior Enhancement For any Distribution Date, the percentage obtained
Percentage: by dividing (x) the aggregate Certificate
Principal Balance of the subordinate certificates
(including 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 material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
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Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
September 2008; 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 scheduled and unscheduled payments
of principal on the Mortgage Loans on the
last day of the related Due Period but
prior to any applications of Principal
Distribution to the Offered Certificates
on the applicable Distribution Date) is
greater than or equal to approximately
42.50%.
Trigger Event: A Delinquency Trigger Event is in effect on any
Distribution Date if the quotient (expressed as a
percentage) of (x) the three month rolling daily
average of 60+ day delinquent Mortgage Loans as of
the last day of the Due Period, over (y) the
aggregate principal balance of the Mortgage Loans
equals or exceeds [38]% of the prior period's
Senior Enhancement Percentage.
A Loss Trigger Event is in effect if the aggregate
amount of realized losses incurred since the
Cut-Off Date through the last day of the related
Prepayment Period divided by the sum of the
aggregate principal balance as of the Cut-Off Date
of the Mortgage Loans acquired by the Trust on the
Closing Date and the Pre-Funded Amount exceeds the
applicable percentages described below with
respect to such Distribution Date:
Months 25 - 36 1.50% for the first month, plus an additional 1/12th of 1.75% for
each month thereafter (e.g., 2.375% in Month 31)
Months 37 - 48 3.25% for the first month, plus an additional 1/12th of 1.75% for
each month thereafter (e.g., 4.125% in Month 43)
Months 49 - 60 5.00% for the first month, plus an additional 1/12th of 1.50% for
each month thereafter (e.g., 5.750% in Month 55)
Months 61 - 72 6.50% for the first month, plus an additional 1/12th of 1.00% for
each month thereafter (e.g., 7.000% in Month 67)
Months 73 - thereafter 7.50%
Initial Subordination Class A: 21.25%
Percentage (includes Class M-1: 17.40%
prefunded amounts): Class M-2: 13.95%
Class M-3: 11.95%
Class M-4: 10.05%
Class M-5: 8.35%
Class M-6: 6.75%
Class B-1: 5.35%
Class B-2: 4.05%
Class B-3: 3.30%
Class B-4: 2.30%
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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Optional Clean-up Call: If the Class X certificates are 100% owned,
directly or indirectly, by IXIS Real Estate
Capital Inc. or any of its affiliates, one or more
of the servicers, acting in accordance with the
terms of the pooling and servicing agreement and
the applicable servicing agreements, may exercise
a clean-up call when the current aggregate
scheduled principal balance of the Mortgage Loans
is less than or equal to 10% of the sum of the
aggregate scheduled principal balance as of the
Cut-Off Date of the Mortgage Loans acquired by the
Trust on the Closing Date and the Pre-Funded
Amount.
If the Class X certificates are not 100% owned,
directly or indirectly, by IXIS Real Estate
Capital Inc. or any of its affiliates, then the
majority owner of the Class X certificates may
exercise a clean-up call when the current
scheduled aggregate principal balance of the
Mortgage Loans is less than or equal to 10% of the
sum of the aggregate scheduled principal balance
as of the Cut-Off Date of the Mortgage Loans
acquired by the Trust on the Closing Date and the
Pre-Funded Amount, provided, however, that IXIS
Real Estate Capital Inc. or any of its affiliates,
may only participate in the exercise of the
clean-up call by the majority owners of the Class
X certificates if IXIS Real Estate Capital Inc. or
any of its affiliates is not the majority owner of
the Class X Certificates, either directly or
indirectly.
Step-up Coupons: For the Offered Certificates, the pass-through
rate will increase after the date on which the
Optional Clean-up Call is first exercisable,
should the call not be exercised. The applicable
coupon for the Class A Certificates will increase
by 2 times its initial margin and the coupons for
the Class M and Class B Certificates will each
increase by 1.5 times their respective initial
margins.
Class A-1 Certificates The Class A-1 Certificates will accrue interest at
Pass-Through Rate: a variable rate equal to the least of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable), (ii) Loan Group I
Cap and (iii) the Net WAC Cap.
Class A-2 Certificates The Class A-2 Certificates will accrue interest at
Pass-Through Rate: a variable rate equal to the least of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable), (ii) Loan Group II
Cap and (iii) the Net WAC Cap.
Class A-3 Certificates The Class A-3 Certificates will accrue interest at
Pass-Through Rate: a variable rate equal to the least of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable), (ii) Loan Group II
Cap and (iii) the Net WAC Cap.
Class A-4 Certificates The Class A-4 Certificates will accrue interest at
Pass-Through Rate: a variable rate equal to the least of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable), (ii) Loan Group II
Cap and (iii) the Net WAC Cap.
Class M-1 Pass-Through The Class M-1 Certificates will accrue interest at
Rate: a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the Net WAC
Cap.
Class M-2 Pass-Through The Class M-2 Certificates will accrue interest at
Rate: a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the Net WAC
Cap.
Class M-3 Pass-Through The Class M-3 Certificates will accrue interest at
Rate: a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the Net WAC
Cap.
Class M-4 Pass-Through The Class M-4 Certificates will accrue interest at
Rate: a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the Net WAC
Cap.
Class M-5 Pass-Through The Class M-5 Certificates will accrue interest at
Rate: a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the Net WAC
Cap.
Class M-6 Pass-Through The Class M-6 Certificates will accrue interest at
Rate: a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the Net WAC
Cap.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
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Class B-1 Pass-Through The Class B-1 Certificates will accrue interest at
Rate: a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the Net WAC
Cap.
Class B-2 Pass-Through The Class B-2 Certificates will accrue interest at
Rate: a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the Net WAC
Cap.
Class B-3 Pass-Through The Class B-3 Certificates will accrue interest at
Rate: a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the Net WAC
Cap.
Class B-4 Pass-Through The Class B-4 Certificates will accrue interest at
Rate: a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the Net WAC
Cap.
Net WAC Cap: For any Distribution Date, the weighted average of
the interest rates for the Mortgage Loans (in each
case, less the applicable expense fee rate and in
regards to the Class A-1 Certificates only, the
Class A-1 Certificate Insurance fee rate) then in
effect at the beginning of the related Due Period
less the Swap Payment Rate, adjusted, in each
case, to accrue on the basis of a 360-day year and
the actual number of days in the related Interest
Accrual Period.
Loan Group I Cap: For any Distribution Date, the weighted average of
the interest rates for the Group I Mortgage Loans
(in each case, less the applicable expense fee
rate including the Class A-1 Certificate Insurance
fee rate) then in effect at the beginning of the
related Due Period less the Swap Payment Rate,
adjusted, in each case, to accrue on the basis of
a 360-day year and the actual number of days in
the related Interest Accrual Period.
Loan Group II Cap: For any Distribution Date, the weighted average of
the interest rates for the Group II Mortgage Loans
(in each case, less the applicable expense fee
rate) then in effect at the beginning of the
related Due Period less the Swap Payment Rate,
adjusted, in each case, to accrue on the basis of
a 360-day year and the actual number of days in
the related Interest Accrual Period.
Swap Payment Rate: For any Distribution Date, a fraction, the
numerator of which is any net swap payment or swap
termination payment owed to the Swap Counterparty
for such Distribution Date and the denominator of
which is the sum of the scheduled principal
balance of the Mortgage Loans at the beginning of
the related Due Period plus amounts in the
Prefunding Accounts, multiplied by 12.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
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Interest Distributions on On each Distribution Date and after payments of
the Certificates: servicing, certificate insurer, trustee fees and
other expenses, including any net swap payments
and any swap termination payment owed to the Swap
Counterparty, interest distributions from the
Interest Remittance Amount will be allocated as
follows:
(i) concurrently, with equal priority of payments;
(A) payable from the remaining Interest
Remittance Amount relating to the Group I
Mortgage Loans and, to the extent such
amount is less than the Accrued
Certificate Interest for the Class A-1
Certificates, from the amounts remaining
with respect to the Group II Mortgage
Loans for that Distribution Date after
giving effect to the payment of the
Accrued Certificate Interest for the Class
A-2, Class A-3 and Class A-4 Certificates,
for that Distribution Date, to the Class
A-1 Certificates its Accrued Certificate
Interest and any Unpaid Interest
Shortfalls; and
(B) payable from the remaining Interest
Remittance Amount relating to the Group II
Mortgage Loans and, to the extent such
amount is less than the Accrued
Certificate Interest for the Class A-2,
Class A-3 and Class A-4 Certificates, from
the amounts remaining with respect to the
Group I Mortgage Loans for that
Distribution Date after giving effect to
the payment of the Accrued Certificate
Interest for the Class A-1 Certificates,
for that Distribution Date, to the Class
A-2, Class A-3 and Class A-4 Certificates
pro rata, its Accrued Certificate Interest
and any Unpaid Interest Shortfalls;
(ii) payable from the remaining Interest
Remittance Amount for all Groups, to the Class M-1
Certificates, its Accrued Certificate Interest;
(iii) payable from the remaining Interest
Remittance Amount for all Groups, to the Class M-2
Certificates, its Accrued Certificate Interest;
(iv) payable from the remaining Interest
Remittance Amount for all Groups, to the Class M-3
Certificates, its Accrued Certificate Interest;
(v) payable from the remaining Interest Remittance
Amount for all Groups, to the Class M-4
Certificates, its Accrued Certificate Interest;
(vi) payable from the remaining Interest
Remittance Amount for all Groups, to the Class M-5
Certificates, its Accrued Certificate Interest;
(vii) payable from the remaining Interest
Remittance Amount for all Groups, to the Class M-6
Certificates, its Accrued Certificate Interest;
(viii) payable from the remaining Interest
Remittance Amount for all Groups, to the Class B-1
Certificates, its Accrued Certificate Interest;
(ix) payable from the remaining Interest
Remittance Amount for all Groups, to the Class B-2
Certificates, its Accrued Certificate Interest;
(x) payable from the remaining Interest Remittance
Amount for all Groups, to the Class B-3
Certificates, its Accrued Certificate Interest;
and
(xi) payable from the remaining Interest
Remittance Amount for all Groups, to the Class B-4
Certificates, its Accrued Certificate Interest.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
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Principal Distributions on On each Distribution Date (a) prior to the
the Certificates: Stepdown Date or (b) on which a Trigger Event is
in effect, principal distributions from the
Principal Distribution Amount will be allocated as
follows:
(i) to cover any net swap payments and any swap
termination payments due to the Swap Counterparty
remaining after the application of payments from
the Interest Remittance Amount;
(ii) to the Class A Certificates, allocated among
the Class A Certificates as described below, until
the Certificate Principal Balances thereof have
been reduced to zero;
(iii) to the Class M-1 Certificates, until the
Certificate Principal Balance has been reduced to
zero;
(iv) to the Class M-2 Certificates, until the
Certificate Principal Balance has been reduced to
zero;
(v) to the Class M-3 Certificates, until the
Certificate Principal Balance has been reduced to
zero;
(vi) to the Class M-4 Certificates, until the
Certificate Principal Balance has been reduced to
zero;
(vii) to the Class M-5 Certificates, until the
Certificate Principal Balance has been reduced to
zero;
(viii) to the Class M-6 Certificates, until the
Certificate Principal Balance has been reduced to
zero;
(ix) to the Class B-1 Certificates, until the
Certificate Principal Balance has been reduced to
zero;
(x) to the Class B-2 Certificates, until the
Certificate Principal Balance has been reduced to
zero;
(xi) to the Class B-3 Certificates, until the
Certificate Principal Balance has been reduced to
zero; and
(xii) to the Class B-4 Certificates, until the
Certificate Principal Balance has been reduced to
zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger Event is
not in effect, principal distributions from the
Principal Distribution Amount will be allocated as
follows:
(i) to cover any net swap payment and any swap
termination payments due to the Swap Counterparty
remaining after the application of payments from
the Interest Remittance Amount;
(ii) to the Class A Certificates, the lesser of
the Principal Distribution Amount and the Class A
Principal Distribution Amount, allocated among the
Class A Certificates as described below, until the
Certificate Principal Balances thereof have been
reduced to zero;
(iii) to the Class M-1 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class M-1 Principal Distribution Amount, until
the Certificate Principal Balance thereof has been
reduced to zero;
(iv) to the Class M-2 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class M-2 Principal Distribution Amount, until
the Certificate Principal Balance thereof has been
reduced to zero;
(v) to the Class M-3 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class M-3 Principal Distribution Amount, until
the Certificate Principal Balance thereof has been
reduced to zero;
(vi) to the Class M-4 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class M-4 Principal Distribution Amount, until
the Certificate Principal Balance thereof has been
reduced to zero;
(vii) to the Class M-5 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class M-5 Principal Distribution Amount, until
the Certificate Principal Balance thereof has been
reduced to zero;
(viii) to the Class M-6 Certificates, the lesser
of the remaining Principal Distribution Amount and
the Class M-6 Principal Distribution Amount, until
the Certificate Principal Balance thereof has been
reduced to zero;
(ix) to the Class B-1 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class B-1 Principal Distribution Amount, until
the Certificate Principal Balance thereof has been
reduced to zero;
(x) to the Class B-2 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class B-2 Principal Distribution Amount, until
the Certificate Principal Balance thereof has been
reduced to zero;
(xi) to the Class B-3 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class B-3 Principal Distribution Amount, until
the Certificate Principal Balance thereof has been
reduced to zero; and
(xii) to the Class B-4 Certificates, the lesser of
the remaining Principal Distribution Amount and
the Class B-4 Principal Distribution Amount, until
the Certificate Principal Balance thereof has been
reduced to zero.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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Class A Principal Except as described below, the Group II Class A
Allocation: Certificates will receive principal sequentially;
the Class A-3 Certificates will not receive
principal distributions until the Certificate
Principal Balance of the Class A-2 Certificates
has been reduced to zero, and the Class A-4
Certificates will not receive principal
distributions until the Certificate Principal
Balance of the Class A-3 Certificates has been
reduced to zero.
All principal distributions to the holders of the
Class A Certificates on any Distribution Date will
be allocated concurrently between the Group I
Class A Certificates, on the one hand, and the
Group II Class A Certificates, on the other hand,
based on the Class A Principal Allocation
Percentage for the Group I Class A Certificates
and the Group II Class A Certificates, as
applicable.
However, if the Class Certificate Balances of the
Class A Certificates in either Class A Certificate
Group are reduced to zero, then the remaining
amount of principal distributions distributable to
the Class A Certificates on that Distribution
Date, and the amount of those principal
distributions distributable on all subsequent
Distribution Dates, will be distributed to the
holders of the Class A certificates in the other
Class A Certificate Group remaining outstanding,
in accordance with the principal distribution
allocations described herein, until their Class
Certificate Balances have been reduced to zero.
Any payments of principal to the Group I Class A
Certificates will be made first from payments
relating to the Group I Mortgage Loans, and any
payments of principal to the Group II Class A
Certificates will be made first from payments
relating to the Group II Mortgage Loans.
Notwithstanding the above, in the event that all
subordinate classes, including the Class X
certificates, have been reduced to zero, principal
distributions to the Group II Class A Certificates
will be distributed pro rata to the Class A-2,
Class A-3 and Class A-4 Certificates.
Swap Payment Allocation: For a given Class of Certificates outstanding, a
pro rata share of the net swap payment owed by the
Swap Counterparty (if any), based on the aggregate
outstanding Certificate Principal Balance of the
Class A, M and B Certificates outstanding prior to
distributions of principal for that Distribution
Date.
Swap Payment Priority: All payments due under the Swap Agreement and any
swap termination payment pursuant to the Swap
Agreement will be deposited into the Swap Account,
and allocated in the following order of priority,
in each case after taking into account any
payments made from Net Excess Monthly Cashflow:
(i) to pay any net swap payment owed to the Swap
Counterparty pursuant to the Swap Agreement;
(ii) to pay any swap termination payment to the
Swap Counterparty, to the extent the termination
is not due to a default on the part of the Swap
Counterparty;
(iii) to the Class A-1, A-2, A-3 and A-4
Certificates, the Accrued Certificate Interest and
the Unpaid Interest Shortfall for each class, on a
pro rata basis, to the extent not yet paid;
(iv) to the Class M-1, M-2, M-3, M-4, M-5, M-6,
B-1, B-2, B-3, and B-4 Certificates, Accrued
Certificate Interest and Unpaid Interest Shortfall
for each class, sequentially and in that order, to
the extent not yet paid;
(v) to be paid as principal, in accordance with
the principal distribution rules in effect for
such Distribution Date, as needed to maintain the
required overcollateralization;
(vi) concurrently, to the Class A-1, A-2, A-3 and
A-4 Certificates, any Basis Risk Carry Forward
Amount for each such Class up to their respective
Swap Payment Allocation, to the extent not yet
paid;
(vii) sequentially, to the Class M-1, M-2, M-3,
M-4, M-5, M-6, B-1, B-2, B-3, and B-4
Certificates, any Basis Risk Carry Forward Amount
for each such Class up to their respective Swap
Payment Allocation, to the extent not yet paid;
(viii) concurrently to Class A Certificates, Class
M Certificates, and Class B Certificates, any
unpaid Basis Risk Carryforward Amount, pro rata
based on need;
(ix) sequentially to the Class M-1, M-2, M-3, M-4,
M-5, M-6, B-1, B-2, B-3, and B-4 Certificates the
allocated unreimbursed realized loss amount, to
the extent not yet paid;
(x) to pay any swap termination payment due to the
Swap Counterparty, to the extent the termination
is due to a default on the part of the Swap
Counterparty; and
(xi) all remaining amounts to the holder of the
Class X Certificate.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-10-
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Allocation of Net Monthly For any Distribution Date, any Net Monthly Excess
Excess Cashflow: Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, their Unpaid
Interest Shortfall;
(ii) to the Class M-1 Certificates, their realized
loss amount reimbursement;
(iii) to the Class M-2 Certificates, their Unpaid
Interest Shortfall;
(iv) to the Class M-2 Certificates, their realized
loss amount reimbursement;
(v) to the Class M-3 Certificates, their Unpaid
Interest Shortfall;
(vi) to the Class M-3 Certificates, their realized
loss amount reimbursement
(vii) to the Class M-4 Certificates, their Unpaid
Interest Shortfall;
(viii) to the Class M-4 Certificates, their
realized loss amount reimbursement
(ix) to the Class M-5 Certificates, their Unpaid
Interest Shortfall;
(x) to the Class M-5 Certificates, their realized
loss amount reimbursement
(xi) to the Class M-6 Certificates, their Unpaid
Interest Shortfall;
(xii) to the Class M-6 Certificates, their
realized loss amount reimbursement
(xiii) to the Class B-1 Certificates, their Unpaid
Interest Shortfall;
(xiv) to the Class B-1 Certificates, their
realized loss amount reimbursement;
(xv) to the Class B-2 Certificates, their Unpaid
Interest Shortfall;
(xvi) to the Class B-2 Certificates, their
realized loss amount reimbursement;
(xvii) to the Class B-3 Certificates, their Unpaid
Interest Shortfall;
(xviii) to the Class B-3 Certificates, their
realized loss amount reimbursement;
(xix) to the Class B-4 Certificates, their Unpaid
Interest Shortfall;
(xx) to the Class B-4 Certificates, their realized
loss amount reimbursement;
(xxi) concurrently to the Class A Certificates,
any Basis Risk Carry Forward Amount for the Group
I Class A Certificates, and any Basis Risk Carry
Forward Amount for the Group II Class A
Certificates; and
(xxii) sequentially, to Classes M-1, M-2, M-3,
M-4, M-5, M-6, B-1, B-2, B-3 and B-4 Certificates,
in such order, any Basis Risk Carry Forward Amount
for such classes.
Class A, M, and B Basis As to any Distribution Date, the supplemental
Risk Carry Forward interest amount for the Class A, M-1, M-2, M-3,
Amount: M-4, M-5, M-6, B-1, B-2, B-3 and B-4 Certificates
equals the sum of:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the
respective Pass-Through Rate (without regard
to the Net WAC Cap, the Loan Group I Cap
or the Loan Group II Cap, as applicable) over
interest due such Certificates at a rate
equal to lesser of (a) the Net WAC Cap and
(b) with respect to the Class A Certificates
only, the Loan Group I Cap or the Loan Group
II Cap, as applicable;
(ii) any Basis Risk Carry Forward Amount with
respect to the related Class of Certificates
remaining unpaid from prior Distribution
Dates; and
(iii)interest on the amount in clause (ii) at the
respective Pass-Through Rate (without regard
to the Net WAC Cap, the Loan Group I Cap or
the Loan Group II Cap, as applicable).
Pre-Funding Account Any funds remaining in each of the Pre-Funding
Payment: Accounts not used to purchase additional Mortgage
Loans during the Pre-Funding Period will be paid
first to the related Class A Certificates, then to
the unrelated Class A Certificates.
Interest Remittance For any Distribution Date, the portion of
Amount: available 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
Interest: Offered Certificates, equals the amount of
interest accrued during the related interest
accrual period at the related Pass-Through Rate,
reduced by that class share of prepayment interest
shortfalls and any shortfalls resulting from the
application of the Servicemembers Civil Relief Act
or similar state or local law.
Principal Distribution On any Distribution Date, the sum of (i) the Basic
Amount: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-11-
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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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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.
Principal Remittance On any Distribution Date, the sum of (i) all
Amount: scheduled payments of principal collected or
advanced on the Mortgage Loans during the prior
Due Period, (ii) the principal portion of all
partial and full prepayments received during the
month prior to the month during which such
Distribution Date occurs, (iii) the principal
portion of all net liquidation proceeds and net
insurance proceeds received during the month prior
to the month during which such Distribution Date
occurs, (iv) the principal portion of repurchased
Mortgage Loans with respect to such Distribution
Date, (v) the principal portion of substitution
adjustments received in connection with the
substitution of a Mortgage Loan with respect to
such Distribution Date, and (vi) the principal
portion of the termination price if the Optional
Clean Up Call is exercised.
Net Monthly Excess For any Distribution Date is the amount of funds
Cashflow: received from the Mortgage Loans available for
distribution on such Distribution Date remaining
after making all payments of interest and
principal to the certificates.
Extra Principal For any Distribution Date, the lesser of (i) the
Distribution Amount: excess of (x) interest collected or advanced on
the Mortgage Loans during the related Due Period
(less fees and reimbursements owed to the
Servicers, the Class A-1 Certificate Insurer, the
Trustee and net swap payments to the Swap
Counterparty), over (y) the sum of interest
distribution on the certificates on such
Distribution Date and (ii) the amount by which the
overcollateralization is deficient for such
Distribution Date.
Excess Subordinated For any Distribution Date, means the excess, if
Amount: any of (i) the overcollateralization over (ii) the
required overcollateralization for such
Distribution Date.
Class A Principal For any Distribution Date, the percentage
Allocation Percentage: equivalent of a fraction, determined as follows:
(i) in the case of the Group I Class A
Certificates the numerator of which is (x) the
portion of the Principal Remittance Amount for
such Distribution Date that is attributable to
principal received or advanced on the Group I
Mortgage Loans and the denominator of which is (y)
the Principal Remittance Amount for such
Distribution Date and (ii) in the case of each
class of Group II Class A Certificates, the
numerator of which is (x) the portion of the
Principal Remittance Amount for such Distribution
Date that is attributable to principal received or
advanced on the Group II Mortgage Loans and the
denominator of which is (y) the Principal
Remittance Amount for such Distribution Date.
Class A Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the 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 57.50% 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 minus approximately
$3,838,280.
Class M-1 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the 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 65.20% and (ii) the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance
of the Mortgage Loans as of the last day of the
related Due Period minus approximately $3,838,280.
Class M-2 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the 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 72.10% and (ii)
the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period
and (B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period minus
approximately $3,838,280.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-12-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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Class M-3 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the Certificate
Principal Balance of the Class A Certificates
(after taking into account the payment of the
Class A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after
taking into account the payment of the Class M-1
Principal Distribution Amount on such Distribution
Date), (iii) the Certificate Principal Balance of
the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date),
and (iv) the Certificate Principal Balance of the
Class M-3 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 76.10% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period minus approximately
$3,838,280.
Class M-4 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the 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
M-4 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 79.90% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period minus approximately
$3,838,280.
Class M-5 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the 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
M-4 Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date) and (vi) the
Certificate Principal Balance of the Class M-5
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 83.30% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period minus approximately
$3,838,280.
Class M-6 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the 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
M-4 Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date) and (vii) the
Certificate Principal Balance of the Class M-6
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 86.50% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period minus approximately
$3,838,280.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-13-
--------------------------------------------------------------------------------
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Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Class B-1 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the 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
M-4 Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date), (vii) the
Certificate Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal Distribution
Amount on such Distribution Date) and (viii) the
Certificate Principal Balance of the Class B-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 89.30% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period minus approximately
$3,838,280.
Class B-2 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the 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
M-4 Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date), (vii) the
Certificate Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal Distribution
Amount on such Distribution Date), (viii) 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 (ix) the
Certificate Principal Balance of the Class B-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 91.90% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period minus approximately
$3,838,280.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-14-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Class B-3 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the 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
M-4 Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date), (vii) the
Certificate Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal Distribution
Amount on such Distribution Date), (viii) 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), (ix) the
Certificate Principal Balance of the Class B-2
Certificates (after taking into account the
payment of the Class B-2 Principal Distribution
Amount on such Distribution Date) and (x) the
Certificate Principal Balance of the Class B-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 93.40% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period minus approximately
$3,838,280.
Class B-4 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the 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
M-4 Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date), (vii) the
Certificate Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal Distribution
Amount on such Distribution Date), (viii) 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), (ix) the
Certificate Principal Balance of the Class B-2
Certificates (after taking into account the
payment of the Class B-2 Principal Distribution
Amount on such Distribution Date), (x) the
Certificate Principal Balance of the Class B-3
Certificates (after taking into account the
payment of the Class B-3 Principal Distribution
Amount on such Distribution Date) and (xi) the
Certificate Principal Balance of the Class B-4
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 95.40% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day
of the related Due Period minus approximately
$3,838,280.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-15-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Original Loan Sellers: Accredited Home Lenders, Inc.
Allstate Home Loans, Inc.
Chapel Mortgage Corporation
Encore Credit Corp.
First Bank Mortgage
First Horizon Home Loan Corp.
First NLC Financial Services
FlexPoint Funding Corp.
Homeowners Loan Corp.
Impac Funding Corporation (and its affiliate,
Novelle Financial Services, Inc.)
Lenders Direct Capital Corporation
Lime Financial Services, Ltd.
Master Financial, Inc.
NC Capital Corporation
Platinum Capital Group
ResMAE Mortgage Corporation
Rose Mortgage Corp.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus,
the Offered Certificates are ERISA eligible.
SMMEA Eligibility: It is anticipated that none of the Offered
Certificates will be SMMEA eligible.
Prospectus: The Offered 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 material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-16-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Sensitivity Analysis
------------------------------------------------------------------------------------------------------------------------------------
To 10% Call
---------------------------------------------------------------------------------------------------------------------------
% of PPC 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A-1 WAL (yrs) 4.80 4.02 3.21 2.32 1.67 1.19 0.98
First Payment Date 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 8/25/2008 2/25/2008
Window 1 - 173 1 - 146 1 - 117 1 - 86 1 - 66 1 - 36 1 - 30
------------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 2.05 1.70 1.36 1.00 0.79 0.64 0.53
First Payment Date 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005
Expected Final Maturity 2/25/2010 5/25/2009 8/25/2008 10/25/2007 4/25/2007 12/25/2006 10/25/2006
Window 1 - 54 1 - 45 1 - 36 1 - 26 1 - 20 1 - 16 1 - 14
------------------------------------------------------------------------------------------------------------------------------------
A-3 WAL (yrs) 6.73 5.60 4.44 3.00 2.12 1.71 1.41
First Payment Date 2/25/2010 5/25/2009 8/25/2008 10/25/2007 4/25/2007 12/25/2006 10/25/2006
Expected Final Maturity 4/25/2015 9/25/2013 1/25/2012 4/25/2010 4/25/2008 9/25/2007 5/25/2007
Window 54 - 116 45 - 97 36 - 77 26 - 56 20 - 32 16 - 25 14 - 21
------------------------------------------------------------------------------------------------------------------------------------
A-4 WAL (yrs) 12.96 10.90 8.70 6.38 4.33 2.51 2.06
First Payment Date 4/25/2015 9/25/2013 1/25/2012 4/25/2010 4/25/2008 9/25/2007 5/25/2007
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 8/25/2008 2/25/2008
Window 116 - 173 97 - 146 77 - 117 56 - 86 32 - 66 25 - 36 21 - 30
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 9.55 8.00 6.38 4.97 4.76 4.29 3.38
First Payment Date 3/25/2010 6/25/2009 9/25/2008 3/25/2009 11/25/2009 8/25/2008 2/25/2008
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 1/25/2010 4/25/2009
Window 55 - 173 46 - 146 37 - 117 43 - 86 51 - 66 36 - 53 30 - 44
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL (yrs) 9.55 8.00 6.38 4.90 4.42 4.40 3.65
First Payment Date 3/25/2010 6/25/2009 9/25/2008 1/25/2009 6/25/2009 1/25/2010 4/25/2009
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 1/25/2010 4/25/2009
Window 55 - 173 46 - 146 37 - 117 41 - 86 46 - 66 53 - 53 44 - 44
------------------------------------------------------------------------------------------------------------------------------------
M-3 WAL (yrs) 9.55 8.00 6.38 4.86 4.26 4.31 3.61
First Payment Date 3/25/2010 6/25/2009 9/25/2008 12/25/2008 4/25/2009 9/25/2009 2/25/2009
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 1/25/2010 4/25/2009
Window 55 - 173 46 - 146 37 - 117 40 - 86 44 - 66 49 - 53 42 - 44
------------------------------------------------------------------------------------------------------------------------------------
M-4 WAL (yrs) 9.55 8.00 6.38 4.84 4.18 4.06 3.41
First Payment Date 3/25/2010 6/25/2009 9/25/2008 11/25/2008 2/25/2009 6/25/2009 11/25/2008
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 1/25/2010 4/25/2009
Window 55 - 173 46 - 146 37 - 117 39 - 86 42 - 66 46 - 53 39 - 44
------------------------------------------------------------------------------------------------------------------------------------
M-5 WAL (yrs) 9.55 8.00 6.38 4.82 4.11 3.90 3.26
First Payment Date 3/25/2010 6/25/2009 9/25/2008 11/25/2008 1/25/2009 4/25/2009 9/25/2008
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 1/25/2010 4/25/2009
Window 55 - 173 46 - 146 37 - 117 39 - 86 41 - 66 44 - 53 37 - 44
------------------------------------------------------------------------------------------------------------------------------------
M-6 WAL (yrs) 9.55 8.00 6.38 4.81 4.06 3.78 3.15
First Payment Date 3/25/2010 6/25/2009 9/25/2008 10/25/2008 12/25/2008 2/25/2009 7/25/2008
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 1/25/2010 4/25/2009
Window 55 - 173 46 - 146 37 - 117 38 - 86 40 - 66 42 - 53 35 - 44
------------------------------------------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 9.55 8.00 6.38 4.80 4.02 3.69 3.07
First Payment Date 3/25/2010 6/25/2009 9/25/2008 10/25/2008 11/25/2008 1/25/2009 6/25/2008
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 1/25/2010 4/25/2009
Window 55 - 173 46 - 146 37 - 117 38 - 86 39 - 66 41 - 53 34 - 44
------------------------------------------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 9.55 8.00 6.38 4.80 4.00 3.62 3.01
First Payment Date 3/25/2010 6/25/2009 9/25/2008 9/25/2008 10/25/2008 11/25/2008 5/25/2008
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 1/25/2010 4/25/2009
Window 55 - 173 46 - 146 37 - 117 37 - 86 38 - 66 39 - 53 33 - 44
------------------------------------------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 9.55 8.00 6.38 4.78 3.96 3.56 2.98
First Payment Date 3/25/2010 6/25/2009 9/25/2008 9/25/2008 10/25/2008 11/25/2008 5/25/2008
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 1/25/2010 4/25/2009
Window 55 - 173 46 - 146 37 - 117 37 - 86 38 - 66 39 - 53 33 - 44
------------------------------------------------------------------------------------------------------------------------------------
B-4 WAL (yrs) 9.54 7.99 6.37 4.77 3.96 3.53 2.93
First Payment Date 3/25/2010 6/25/2009 9/25/2008 9/25/2008 10/25/2008 10/25/2008 4/25/2008
Expected Final Maturity 1/25/2020 10/25/2017 5/25/2015 10/25/2012 2/25/2011 1/25/2010 4/25/2009
Window 55 - 173 46 - 146 37 - 117 37 - 86 38 - 66 38 - 53 32 - 44
------------------------------------------------------------------------------------------------------------------------------------
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-17-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Sensitivity Analysis (cont)
------------------------------------------------------------------------------------------------------------------------------------
To Maturity
---------------------------------------------------------------------------------------------------------------------------
% of PPC 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A-1 WAL (yrs) 5.12 4.33 3.48 2.52 1.84 1.19 0.98
First Payment Date 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005
Expected Final Maturity 5/25/2032 3/25/2030 7/25/2026 7/25/2021 3/25/2018 8/25/2008 2/25/2008
Window 1 - 321 1 - 295 1 - 251 1 - 191 1 - 151 1 - 36 1 - 30
------------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 2.05 1.70 1.36 1.00 0.79 0.64 0.53
First Payment Date 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005 9/25/2005
Expected Final Maturity 2/25/2010 5/25/2009 8/25/2008 10/25/2007 4/25/2007 12/25/2006 10/25/2006
Window 1 - 54 1 - 45 1 - 36 1 - 26 1 - 20 1 - 16 1 - 14
------------------------------------------------------------------------------------------------------------------------------------
A-3 WAL (yrs) 6.73 5.60 4.44 3.00 2.12 1.71 1.41
First Payment Date 2/25/2010 5/25/2009 8/25/2008 10/25/2007 4/25/2007 12/25/2006 10/25/2006
Expected Final Maturity 4/25/2015 9/25/2013 1/25/2012 4/25/2010 4/25/2008 9/25/2007 5/25/2007
Window 54 - 116 45 - 97 36 - 77 26 - 56 20 - 32 16 - 25 14 - 21
------------------------------------------------------------------------------------------------------------------------------------
A-4 WAL (yrs) 15.00 12.80 10.31 7.59 5.29 2.51 2.06
First Payment Date 4/25/2015 9/25/2013 1/25/2012 4/25/2010 4/25/2008 9/25/2007 5/25/2007
Expected Final Maturity 7/25/2032 4/25/2030 7/25/2026 5/25/2021 12/25/2017 8/25/2008 2/25/2008
Window 116 - 323 97 - 296 77 - 251 56 - 189 32 - 148 25 - 36 21 - 30
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 10.41 8.81 7.06 5.49 5.18 6.86 5.28
First Payment Date 3/25/2010 6/25/2009 9/25/2008 3/25/2009 11/25/2009 8/25/2008 2/25/2008
Expected Final Maturity 1/25/2030 4/25/2027 7/25/2023 3/25/2019 3/25/2016 9/25/2015 12/25/2013
Window 55 - 293 46 - 260 37 - 215 43 - 163 51 - 127 36 - 121 30 - 100
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL (yrs) 10.39 8.78 7.03 5.40 4.83 5.18 4.41
First Payment Date 3/25/2010 6/25/2009 9/25/2008 1/25/2009 6/25/2009 2/25/2010 6/25/2009
Expected Final Maturity 4/25/2029 7/25/2026 11/25/2022 8/25/2018 9/25/2015 9/25/2013 4/25/2012
Window 55 - 284 46 - 251 37 - 207 41 - 156 46 - 121 54 - 97 46 - 80
------------------------------------------------------------------------------------------------------------------------------------
M-3 WAL (yrs) 10.36 8.75 7.01 5.35 4.65 4.62 3.88
First Payment Date 3/25/2010 6/25/2009 9/25/2008 12/25/2008 4/25/2009 9/25/2009 2/25/2009
Expected Final Maturity 6/25/2028 8/25/2025 1/25/2022 12/25/2017 3/25/2015 4/25/2013 12/25/2011
Window 55 - 274 46 - 240 37 - 197 40 - 148 44 - 115 49 - 92 42 - 76
------------------------------------------------------------------------------------------------------------------------------------
M-4 WAL (yrs) 10.33 8.72 6.98 5.31 4.55 4.36 3.64
First Payment Date 3/25/2010 6/25/2009 9/25/2008 11/25/2008 2/25/2009 6/25/2009 11/25/2008
Expected Final Maturity 10/25/2027 12/25/2024 6/25/2021 6/25/2017 11/25/2014 1/25/2013 9/25/2011
Window 55 - 266 46 - 232 37 - 190 39 - 142 42 - 111 46 - 89 39 - 73
------------------------------------------------------------------------------------------------------------------------------------
M-5 WAL (yrs) 10.29 8.68 6.95 5.26 4.46 4.18 3.48
First Payment Date 3/25/2010 6/25/2009 9/25/2008 11/25/2008 1/25/2009 4/25/2009 9/25/2008
Expected Final Maturity 1/25/2027 3/25/2024 10/25/2020 12/25/2016 6/25/2014 9/25/2012 6/25/2011
Window 55 - 257 46 - 223 37 - 182 39 - 136 41 - 106 44 - 85 37 - 70
------------------------------------------------------------------------------------------------------------------------------------
M-6 WAL (yrs) 10.23 8.63 6.91 5.21 4.38 4.03 3.35
First Payment Date 3/25/2010 6/25/2009 9/25/2008 10/25/2008 12/25/2008 2/25/2009 7/25/2008
Expected Final Maturity 3/25/2026 5/25/2023 3/25/2020 6/25/2016 1/25/2014 5/25/2012 2/25/2011
Window 55 - 247 46 - 213 37 - 175 38 - 130 40 - 101 42 - 81 35 - 66
------------------------------------------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 10.15 8.55 6.85 5.15 4.31 3.91 3.25
First Payment Date 3/25/2010 6/25/2009 9/25/2008 10/25/2008 11/25/2008 1/25/2009 6/25/2008
Expected Final Maturity 3/25/2025 6/25/2022 5/25/2019 10/25/2015 7/25/2013 12/25/2011 10/25/2010
Window 55 - 235 46 - 202 37 - 165 38 - 122 39 - 95 41 - 76 34 - 62
------------------------------------------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 10.03 8.44 6.75 5.08 4.22 3.80 3.15
First Payment Date 3/25/2010 6/25/2009 9/25/2008 9/25/2008 10/25/2008 11/25/2008 5/25/2008
Expected Final Maturity 1/25/2024 5/25/2021 6/25/2018 1/25/2015 12/25/2012 7/25/2011 6/25/2010
Window 55 - 221 46 - 189 37 - 154 37 - 113 38 - 88 39 - 71 33 - 58
------------------------------------------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 9.87 8.32 6.63 4.97 4.12 3.69 3.07
First Payment Date 3/25/2010 6/25/2009 9/25/2008 9/25/2008 10/25/2008 11/25/2008 5/25/2008
Expected Final Maturity 7/25/2022 3/25/2020 4/25/2017 3/25/2014 4/25/2012 12/25/2010 1/25/2010
Window 55 - 203 46 - 175 37 - 140 37 - 103 38 - 80 39 - 64 33 - 53
------------------------------------------------------------------------------------------------------------------------------------
B-4 WAL (yrs) 9.64 8.10 6.45 4.84 4.02 3.57 2.95
First Payment Date 3/25/2010 6/25/2009 9/25/2008 9/25/2008 10/25/2008 10/25/2008 4/25/2008
Expected Final Maturity 6/25/2021 3/25/2019 6/25/2016 8/25/2013 10/25/2011 8/25/2010 9/25/2009
Window 55 - 190 46 - 163 37 - 130 37 - 96 38 - 74 38 - 60 32 - 49
------------------------------------------------------------------------------------------------------------------------------------
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-18-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Sensitivity Analysis (cont)
----------------------------------------------------------------- -----------------------------------------------------------------
To 10% Call To Maturity
------------------------------------------------------------ ------------------------------------------------------------
CPR % 20 25 30 CPR % 20 25 30
----------------------------------------------------------------- -----------------------------------------------------------------
A-1 WAL (yrs) 3.25 2.53 1.99 A-1 WAL (yrs) 3.50 2.74 2.16
First Payment Date 9/25/2005 9/25/2005 9/25/2005 First Payment Date 9/25/2005 9/25/2005 9/25/2005
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 7/25/2026 8/25/2022 9/25/2019
Window 1 - 120 1 - 94 1 - 77 Window 1 - 251 1 - 204 1 - 169
----------------------------------------------------------------- -----------------------------------------------------------------
A-2 WAL (yrs) 1.37 1.08 0.89 A-2 WAL (yrs) 1.37 1.08 0.89
First Payment Date 9/25/2005 9/25/2005 9/25/2005 First Payment Date 9/25/2005 9/25/2005 9/25/2005
Expected Final Maturity 8/25/2008 1/25/2008 7/25/2007 Expected Final Maturity 8/25/2008 1/25/2008 7/25/2007
Window 1 - 36 1 - 29 1 - 23 Window 1 - 36 1 - 29 1 - 23
----------------------------------------------------------------- -----------------------------------------------------------------
A-3 WAL (yrs) 4.55 3.44 2.44 A-3 WAL (yrs) 4.55 3.44 2.44
First Payment Date 8/25/2008 1/25/2008 7/25/2007 First Payment Date 8/25/2008 1/25/2008 7/25/2007
Expected Final Maturity 3/25/2012 10/25/2010 11/25/2009 Expected Final Maturity 3/25/2012 10/25/2010 11/25/2009
Window 36 - 79 29 - 62 23 - 51 Window 36 - 79 29 - 62 23 - 51
----------------------------------------------------------------- -----------------------------------------------------------------
A-4 WAL (yrs) 8.93 7.01 5.72 A-4 WAL (yrs) 10.63 8.41 6.86
First Payment Date 3/25/2012 10/25/2010 11/25/2009 First Payment Date 3/25/2012 10/25/2010 11/25/2009
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 1/25/2027 1/25/2023 1/25/2020
Window 79 - 120 62 - 94 51 - 77 Window 79 - 257 62 - 209 51 - 173
----------------------------------------------------------------- -----------------------------------------------------------------
M-1 WAL (yrs) 6.52 5.27 4.77 M-1 WAL (yrs) 7.22 5.84 5.23
First Payment Date 9/25/2008 1/25/2009 6/25/2009 First Payment Date 9/25/2008 1/25/2009 6/25/2009
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 1/25/2024 5/25/2020 10/25/2017
Window 37 - 120 41 - 94 46 - 77 Window 37 - 221 41 - 177 46 - 146
----------------------------------------------------------------- -----------------------------------------------------------------
M-2 WAL (yrs) 6.52 5.23 4.62 M-2 WAL (yrs) 7.19 5.79 5.07
First Payment Date 9/25/2008 12/25/2008 3/25/2009 First Payment Date 9/25/2008 12/25/2008 3/25/2009
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 4/25/2023 10/25/2019 3/25/2017
Window 37 - 120 40 - 94 43 - 77 Window 37 - 212 40 - 170 43 - 139
----------------------------------------------------------------- -----------------------------------------------------------------
M-3 WAL (yrs) 6.52 5.22 4.54 M-3 WAL (yrs) 7.17 5.75 4.97
First Payment Date 9/25/2008 11/25/2008 2/25/2009 First Payment Date 9/25/2008 11/25/2008 2/25/2009
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 6/25/2022 2/25/2019 8/25/2016
Window 37 - 120 39 - 94 42 - 77 Window 37 - 202 39 - 162 42 - 132
----------------------------------------------------------------- -----------------------------------------------------------------
M-4 WAL (yrs) 6.52 5.21 4.50 M-4 WAL (yrs) 7.14 5.72 4.91
First Payment Date 9/25/2008 11/25/2008 1/25/2009 First Payment Date 9/25/2008 11/25/2008 1/25/2009
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 10/25/2021 8/25/2018 3/25/2016
Window 37 - 120 39 - 94 41 - 77 Window 37 - 194 39 - 156 41 - 127
----------------------------------------------------------------- -----------------------------------------------------------------
M-5 WAL (yrs) 6.52 5.19 4.46 M-5 WAL (yrs) 7.10 5.68 4.85
First Payment Date 9/25/2008 10/25/2008 12/25/2008 First Payment Date 9/25/2008 10/25/2008 12/25/2008
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 2/25/2021 1/25/2018 10/25/2015
Window 37 - 120 38 - 94 40 - 77 Window 37 - 186 38 - 149 40 - 122
----------------------------------------------------------------- -----------------------------------------------------------------
M-6 WAL (yrs) 6.52 5.19 4.43 M-6 WAL (yrs) 7.06 5.64 4.79
First Payment Date 9/25/2008 10/25/2008 11/25/2008 First Payment Date 9/25/2008 10/25/2008 11/25/2008
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 6/25/2020 6/25/2017 4/25/2015
Window 37 - 120 38 - 94 39 - 77 Window 37 - 178 38 - 142 39 - 116
----------------------------------------------------------------- -----------------------------------------------------------------
B-1 WAL (yrs) 6.52 5.19 4.42 B-1 WAL (yrs) 7.00 5.58 4.73
First Payment Date 9/25/2008 9/25/2008 10/25/2008 First Payment Date 9/25/2008 9/25/2008 10/25/2008
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 8/25/2019 10/25/2016 9/25/2014
Window 37 - 120 37 - 94 38 - 77 Window 37 - 168 37 - 134 38 - 109
----------------------------------------------------------------- -----------------------------------------------------------------
B-2 WAL (yrs) 6.52 5.18 4.39 B-2 WAL (yrs) 6.90 5.49 4.64
First Payment Date 9/25/2008 9/25/2008 10/25/2008 First Payment Date 9/25/2008 9/25/2008 10/25/2008
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 9/25/2018 12/25/2015 1/25/2014
Window 37 - 120 37 - 94 38 - 77 Window 37 - 157 37 - 124 38 - 101
----------------------------------------------------------------- -----------------------------------------------------------------
B-3 WAL (yrs) 6.52 5.18 4.39 B-3 WAL (yrs) 6.78 5.39 4.56
First Payment Date 9/25/2008 9/25/2008 10/25/2008 First Payment Date 9/25/2008 9/25/2008 10/25/2008
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 8/25/2017 1/25/2015 4/25/2013
Window 37 - 120 37 - 94 38 - 77 Window 37 - 144 37 - 113 38 - 92
----------------------------------------------------------------- -----------------------------------------------------------------
B-4 WAL (yrs) 6.51 5.17 4.37 B-4 WAL (yrs) 6.60 5.24 4.42
First Payment Date 9/25/2008 9/25/2008 9/25/2008 First Payment Date 9/25/2008 9/25/2008 9/25/2008
Expected Final Maturity 8/25/2015 6/25/2013 1/25/2012 Expected Final Maturity 9/25/2016 5/25/2014 10/25/2012
Window 37 - 120 37 - 94 37 - 77 Window 37 - 133 37 - 105 37 - 86
----------------------------------------------------------------- -----------------------------------------------------------------
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-19-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Schedule of Available Funds (Cash Cap) (1)(2)
Period A-1 A-2 A-3 A-4 M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3 B-4
------ --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap%
---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/
360 360 360 360 360 360 360 360 360 360 360 360 360 360
1 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3)
2 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3)
3 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3)
4 20.25 20.11 20.26 20.54 21.24 21.30 21.33 21.66 21.74 21.92 23.36 23.80 25.13 30.15
5 20.20 20.11 20.26 20.38 20.48 20.50 20.51 20.62 20.65 20.71 21.20 21.35 21.80 23.50
6 20.20 20.11 20.26 20.38 20.48 20.50 20.51 20.62 20.65 20.71 21.20 21.35 21.80 23.50
7 20.20 20.11 20.26 20.38 20.48 20.50 20.51 20.62 20.65 20.71 21.20 21.35 21.80 23.50
8 20.20 20.11 20.26 20.38 20.48 20.50 20.51 20.62 20.65 20.71 21.20 21.35 21.80 23.50
9 20.20 20.11 20.26 20.38 20.48 20.50 20.51 20.62 20.65 20.71 21.20 21.35 21.80 23.50
10 20.20 20.11 20.26 20.38 20.48 20.50 20.51 20.62 20.65 20.71 21.20 21.35 21.80 23.50
11 20.20 20.11 20.26 20.38 20.48 20.50 20.51 20.62 20.65 20.71 21.20 21.35 21.80 23.50
12 20.20 20.11 20.26 20.38 20.32 20.34 20.34 20.41 20.42 20.46 20.75 20.83 21.10 22.10
13 20.09 20.11 20.21 20.22 19.93 19.93 19.93 19.94 19.94 19.94 19.98 19.99 20.02 20.15
14 20.01 20.11 20.13 20.13 19.80 19.80 19.80 19.80 19.80 19.80 19.80 19.81 19.81 19.84
15 19.69 19.81 19.81 19.81 19.47 19.47 19.47 19.47 19.47 19.47 19.47 19.47 19.47 19.47
16 19.62 19.75 19.75 19.75 19.38 19.38 19.38 19.38 19.38 19.38 19.38 19.38 19.38 19.38
17 19.31 19.43 19.43 19.43 19.06 19.06 19.06 19.06 19.06 19.06 19.06 19.06 19.06 19.06
18 19.13 19.25 19.25 19.25 18.86 18.86 18.86 18.86 18.86 18.86 18.86 18.86 18.86 18.86
19 19.36 19.50 19.50 19.50 19.05 19.05 19.05 19.05 19.05 19.05 19.05 19.05 19.05 19.05
20 18.75 18.88 18.88 18.88 18.46 18.46 18.46 18.46 18.46 18.46 18.46 18.46 18.46 18.46
21 18.72 18.86 18.86 18.86 18.40 18.40 18.40 18.40 18.40 18.40 18.40 18.40 18.40 18.40
22 18.53 19.45 19.45 19.45 18.65 18.65 18.65 18.65 18.65 18.65 18.65 18.65 18.65 18.65
23 13.36 13.61 13.61 13.61 12.97 12.97 12.97 12.97 12.97 12.97 12.97 12.97 12.97 12.97
24 12.42 12.67 12.67 12.67 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01
25 12.08 12.34 12.34 12.34 11.65 11.65 11.65 11.65 11.65 11.65 11.65 11.65 11.65 11.65
26 12.02 12.23 12.23 12.23 11.50 11.50 11.50 11.50 11.50 11.50 11.50 11.50 11.50 11.50
27 11.76 - 11.96 11.96 11.23 11.23 11.23 11.23 11.23 11.23 11.23 11.23 11.23 11.23
28 12.32 - 12.90 12.90 11.94 11.94 11.94 11.94 11.94 11.94 11.94 11.94 11.94 11.94
29 12.49 - 12.73 12.73 11.85 11.85 11.85 11.85 11.85 11.85 11.85 11.85 11.85 11.85
30 12.56 - 12.80 12.80 11.88 11.88 11.88 11.88 11.88 11.88 11.88 11.88 11.88 11.88
31 13.28 - 13.53 13.53 12.49 12.49 12.49 12.49 12.49 12.49 12.49 12.49 12.49 12.49
32 12.67 - 12.89 12.89 11.87 11.87 11.87 11.87 11.87 11.87 11.87 11.87 11.87 11.87
33 13.07 - 13.29 13.29 12.18 12.18 12.18 12.18 12.18 12.18 12.18 12.18 12.18 12.18
34 13.18 - 13.82 13.82 12.48 12.48 12.48 12.48 12.48 12.48 12.48 12.48 12.48 12.48
35 13.55 - 13.78 13.78 12.43 12.43 12.43 12.43 12.43 12.43 12.43 12.43 12.43 12.43
36 13.12 - 13.34 13.34 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96
37 52.42 - 52.64 52.64 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96
38 16.39 - 16.58 16.58 12.24 12.24 12.24 12.24 12.24 12.24 12.24 12.24 12.24 12.24
39 15.82 - 16.02 16.02 11.92 11.92 11.92 11.92 11.92 11.92 11.92 11.92 11.92 11.92
40 16.52 - 17.11 17.11 12.80 12.80 12.80 12.80 12.80 12.80 12.80 12.80 12.80 12.80
41 16.43 - 16.65 16.65 12.68 12.68 12.68 12.68 12.68 12.68 12.68 12.68 12.68 12.68
42 16.38 - 16.59 16.59 12.73 12.73 12.73 12.73 12.73 12.73 12.73 12.73 12.73 12.73
43 17.89 - 18.13 18.13 13.96 13.96 13.96 13.96 13.96 13.96 13.96 13.96 13.96 13.96
44 16.25 - 16.43 16.43 12.77 12.77 12.77 12.77 12.77 12.77 12.77 12.77 12.77 12.77
45 16.64 - 16.85 16.85 13.16 13.16 13.16 13.16 13.16 13.16 13.16 13.16 13.16 13.16
(1) Cash available to pay current and prior interest and Basis Risk
Carry Forward Amount divided by the current Certificate Principal
Balance.
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6
month LIBOR rate of 20%.
(3) A Prefunding Period exists for periods 1 through 3, inclusive.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-20-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Schedule of Available Funds (Cash Cap) (1)(2)
Period A-1 A-2 A-3 A-4 M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3 B-4
------ --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap%
---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/
360 360 360 360 360 360 360 360 360 360 360 360 360 360
46 16.24 - 16.60 16.60 13.05 13.05 13.05 13.05 13.05 13.05 13.05 13.05 13.05 13.05
47 16.89 - 17.12 17.12 13.52 13.52 13.52 13.52 13.52 13.52 13.52 13.52 13.52 13.52
48 16.41 - 16.64 16.64 13.15 13.15 13.15 13.15 13.15 13.15 13.15 13.15 13.15 13.15
49 16.42 - 16.65 16.65 13.17 13.17 13.17 13.17 13.17 13.17 13.17 13.17 13.17 13.17
50 16.92 - 17.15 17.15 13.55 13.55 13.55 13.55 13.55 13.55 13.55 13.55 13.55 13.55
51 16.41 - 16.63 16.63 13.15 13.15 13.15 13.15 13.15 13.15 13.15 13.15 13.15 13.15
52 16.96 - 17.22 17.22 13.60 13.60 13.60 13.60 13.60 13.60 13.60 13.60 13.60 13.60
53 16.50 - 16.71 16.71 13.23 13.23 13.23 13.23 13.23 13.23 13.23 13.23 13.23 13.23
54 15.32 - 15.53 15.53 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04
55 16.97 - 17.20 17.20 13.34 13.34 13.34 13.34 13.34 13.34 13.34 13.34 13.34 13.34
56 15.33 - 15.53 15.53 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04
57 15.83 - 16.05 16.05 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44
58 15.35 - - 15.57 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07
59 15.87 - - 16.09 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47
60 15.36 - - 15.57 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07
61 15.36 - - 15.57 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07
62 15.87 - - 16.09 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47
63 15.35 - - 15.57 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06
64 15.86 - - 16.09 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47
65 15.35 - - 15.57 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06
66 15.34 - - 15.57 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06
67 16.98 - - 17.23 13.35 13.35 13.35 13.35 13.35 13.35 13.35 13.35 13.35 13.35
68 15.34 - - 15.56 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05
69 15.84 - - 16.08 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45
70 15.33 - - 15.56 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05
71 15.84 - - 16.08 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45
72 15.33 - - 15.56 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05
73 15.32 - - 15.56 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04
74 15.83 - - 16.07 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44
75 15.31 - - 15.55 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04
76 15.82 - - 16.07 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44
77 15.31 - - 15.55 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04
78 15.31 - - 15.55 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03
79 16.36 - - 16.62 12.86 12.86 12.86 12.86 12.86 12.86 12.86 12.86 12.86 12.86
80 15.30 - - 15.54 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03
81 15.80 - - 16.06 12.42 12.42 12.42 12.42 12.42 12.42 12.42 12.42 12.42 12.42
82 15.29 - - 15.54 12.02 12.02 12.02 12.02 12.02 12.02 12.02 12.02 12.02 12.02
83 15.14 - - 15.40 12.42 12.42 12.42 12.42 12.42 12.42 12.42 12.42 12.42 12.42
84 12.81 - - 13.05 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01
85 12.83 - - 13.08 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01
86 13.28 - - 13.54 12.41 12.41 12.41 12.41 12.41 12.41 12.41 12.41 12.41 12.41
87 12.87 - - 13.12 12.00 12.00 12.00 12.00 12.00 12.00 12.00 12.00 12.00 12.00
88 13.33 - - 13.59 12.40 12.40 12.40 12.40 12.40 12.40 12.40 12.40 12.40 12.40
89 12.93 - - 13.18 12.00 12.00 12.00 12.00 12.00 12.00 12.00 12.00 12.00 12.00
90 12.95 - - 13.20 11.99 11.99 11.99 11.99 11.99 11.99 11.99 11.99 11.99 11.99
(1) Cash available to pay current and prior interest and Basis Risk
Carry Forward Amount divided by the current Certificate Principal
Balance.
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6
month LIBOR rate of 20%.
(3) A Prefunding Period exists for periods 1 through 3, inclusive.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-21-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Schedule of Available Funds (Cash Cap) (1)(2)
Period A-1 A-2 A-3 A-4 M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3 B-4
------ --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap%
---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/
360 360 360 360 360 360 360 360 360 360 360 360 360 360
91 14.37 - - 14.65 13.27 13.27 13.27 13.27 13.27 13.27 13.27 13.27 13.27 13.27
92 13.01 - - 13.26 11.99 11.99 11.99 11.99 11.99 11.99 11.99 11.99 11.99 11.99
93 13.47 - - 13.73 12.38 12.38 12.38 12.38 12.38 12.38 12.38 12.38 12.38 12.38
94 13.07 - - 13.32 11.98 11.98 11.98 11.98 11.98 11.98 11.98 11.98 11.98 11.98
95 13.53 - - 13.80 12.38 12.38 12.38 12.38 12.38 12.38 12.38 12.38 12.38 12.38
96 13.13 - - 13.38 11.97 11.97 11.97 11.97 11.97 11.97 11.97 11.97 11.97 11.97
97 13.16 - - 13.42 11.97 11.97 11.97 11.97 11.97 11.97 11.97 11.97 11.97 11.97
98 13.63 - - 13.90 12.36 12.36 12.36 12.36 12.36 12.36 12.36 12.36 12.36 -
99 13.23 - - 13.49 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96 -
100 13.71 - - 13.97 12.36 12.36 12.36 12.36 12.36 12.36 12.36 12.36 12.36 -
101 13.30 - - 13.56 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96 -
102 13.34 - - 13.60 11.95 11.95 11.95 11.95 11.95 11.95 11.95 11.95 11.95 -
103 14.81 - - 15.10 13.23 13.23 13.23 13.23 13.23 13.23 13.23 13.23 13.23 -
104 13.42 - - 13.68 11.95 11.95 11.95 11.95 11.95 11.95 11.95 11.95 11.95 -
105 13.91 - - 14.18 12.34 12.34 12.34 12.34 12.34 12.34 12.34 12.34 - -
106 13.50 - - 13.76 11.94 11.94 11.94 11.94 11.94 11.94 11.94 11.94 - -
107 14.00 - - 14.27 12.33 12.33 12.33 12.33 12.33 12.33 12.33 12.33 - -
108 13.59 - - 13.85 11.93 11.93 11.93 11.93 11.93 11.93 11.93 11.93 - -
109 13.64 - - 13.90 11.93 11.93 11.93 11.93 11.93 11.93 11.93 11.93 - -
110 14.14 - - 14.41 12.32 12.32 12.32 12.32 12.32 12.32 12.32 12.32 - -
111 13.74 - - 14.00 11.92 11.92 11.92 11.92 11.92 11.92 11.92 11.92 - -
112 14.25 - - 14.52 12.31 12.31 12.31 12.31 12.31 12.31 12.31 12.31 - -
113 13.84 - - 14.10 11.91 11.91 11.91 11.91 11.91 11.91 11.91 11.91 - -
114 13.89 - - 14.16 11.91 11.91 11.91 11.91 11.91 11.91 11.91 11.91 - -
115 15.44 - - 15.74 13.18 13.18 13.18 13.18 13.18 13.18 13.18 - - -
116 14.01 - - 14.27 11.90 11.90 11.90 11.90 11.90 11.90 11.90 - - -
117 14.53 - - 14.81 12.30 12.30 12.30 12.30 12.30 12.30 12.30 - - -
118 14.13 - - 14.39 11.90 11.90 11.90 11.90 11.90 11.90 11.90 - - -
119 14.66 - - 14.94 12.29 12.29 12.29 12.29 12.29 12.29 12.29 - - -
120 14.25 - - 14.52 11.89 11.89 11.89 11.89 11.89 11.89 11.89 - - -
121 14.32 - - 14.59 11.89 11.89 11.89 11.89 11.89 11.89 11.89 - - -
122 14.87 - - 15.14 12.28 12.28 12.28 12.28 12.28 12.28 12.28 - - -
123 14.46 - - 14.73 11.88 11.88 11.88 11.88 11.88 11.88 11.88 - - -
124 15.01 - - 15.29 12.27 12.27 12.27 12.27 12.27 12.27 - - - -
125 14.60 - - 14.87 11.87 11.87 11.87 11.87 11.87 11.87 - - - -
126 14.68 - - 14.95 11.87 11.87 11.87 11.87 11.87 11.87 - - - -
127 15.77 - - 16.07 12.68 12.68 12.68 12.68 12.68 12.68 - - - -
128 14.84 - - 15.11 11.86 11.86 11.86 11.86 11.86 11.86 - - - -
129 15.42 - - 15.70 12.25 12.25 12.25 12.25 12.25 12.25 - - - -
130 15.01 - - 15.28 11.85 11.85 11.85 11.85 11.85 11.85 - - - -
131 15.60 - - 15.88 12.25 12.25 12.25 12.25 12.25 12.25 - - - -
132 15.19 - - 15.46 11.85 11.85 11.85 11.85 11.85 - - - - -
133 15.28 - - 15.56 11.84 11.84 11.84 11.84 11.84 - - - - -
134 15.89 - - 16.17 12.23 12.23 12.23 12.23 12.23 - - - - -
135 15.47 - - 15.75 11.84 11.84 11.84 11.84 11.84 - - - - -
(1) Cash available to pay current and prior interest and Basis Risk
Carry Forward Amount divided by the current Certificate Principal
Balance.
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6
month LIBOR rate of 20%.
(3) A Prefunding Period exists for periods 1 through 3, inclusive.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-22-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Schedule of Available Funds (Cash Cap) (1)(2)
Period A-1 A-2 A-3 A-4 M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3 B-4
------ --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap%
---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/
360 360 360 360 360 360 360 360 360 360 360 360 360 360
136 16.10 - - 16.38 12.23 12.23 12.23 12.23 12.23 - - - - -
137 15.68 - - 15.96 11.83 11.83 11.83 11.83 11.83 - - - - -
138 15.79 - - 16.07 11.83 11.83 11.83 11.83 - - - - - -
139 17.60 - - 17.91 13.09 13.09 13.09 13.09 - - - - - -
140 16.01 - - 16.29 11.82 11.82 11.82 11.82 - - - - - -
141 16.67 - - 16.96 12.21 12.21 12.21 12.21 - - - - - -
142 16.25 - - 16.53 11.81 11.81 11.81 11.81 - - - - - -
143 16.92 - - 17.21 12.20 12.20 12.20 12.20 - - - - - -
144 16.50 - - 16.79 11.80 11.80 11.80 11.80 - - - - - -
145 16.64 - - 16.92 11.80 11.80 11.80 - - - - - - -
146 17.33 - - 17.62 12.19 12.19 12.19 - - - - - - -
147 16.91 - - 17.19 11.79 11.79 11.79 - - - - - - -
148 17.62 - - 17.92 12.18 12.18 12.18 - - - - - - -
149 17.20 - - 17.49 11.79 11.79 11.79 - - - - - - -
150 17.35 - - 17.64 11.78 11.78 - - - - - - - -
151 19.39 - - 19.70 13.04 13.04 - - - - - - - -
152 17.67 - - 17.96 11.78 11.78 - - - - - - - -
153 18.43 - - 18.73 12.16 12.16 - - - - - - - -
154 18.01 - - 18.29 11.77 11.77 - - - - - - - -
155 18.79 - - 19.09 12.16 12.16 - - - - - - - -
156 18.36 - - 18.65 11.76 11.76 - - - - - - - -
157 18.55 - - 18.84 11.76 11.76 - - - - - - - -
158 19.37 - - 19.66 12.15 - - - - - - - - -
159 18.94 - - 19.23 11.75 - - - - - - - - -
160 19.78 - - 20.08 12.14 - - - - - - - - -
161 19.35 - - 19.64 11.74 - - - - - - - - -
162 19.56 - - 19.85 11.74 - - - - - - - - -
163 21.90 - - 22.22 12.99 - - - - - - - - -
164 20.01 - - 20.30 11.73 - - - - - - - - -
165 20.95 - - 21.25 - - - - - - - - - -
166 20.71 - - 21.00 - - - - - - - - - -
167 21.88 - - 22.19 - - - - - - - - - -
168 21.68 - - 21.98 - - - - - - - - - -
169 22.23 - - 22.52 - - - - - - - - - -
170 23.58 - - 23.88 - - - - - - - - - -
171 23.46 - - 23.76 - - - - - - - - - -
172 24.97 - - 25.27 - - - - - - - - - -
173 24.93 - - 25.22 - - - - - - - - - -
174 25.77 - - 26.07 - - - - - - - - - -
175 28.59 - - 28.91 - - - - - - - - - -
176 27.97 - - 28.28 - - - - - - - - - -
177 31.04 - - 31.41 - - - - - - - - - -
178 32.58 - - 32.89 - - - - - - - - - -
179 35.73 - - 36.05 - - - - - - - - - -
180 36.88 - - 37.19 - - - - - - - - - -
(1) Cash available to pay current and prior interest and Basis Risk
Carry Forward Amount divided by the current Certificate Principal
Balance.
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6
month LIBOR rate of 20%.
(3) A Prefunding Period exists for periods 1 through 3, inclusive.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-23-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Schedule of Available Funds (Cash Cap) (1)(2)
Period A-1 A-2 A-3 A-4 M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3 B-4
------ --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap% Cap%
---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/ Actual/
360 360 360 360 360 360 360 360 360 360 360 360 360 360
181 39.43 - - 39.73 - - - - - - - - - -
182 43.72 - - 44.03 - - - - - - - - - -
183 45.74 - - 46.04 - - - - - - - - - -
184 51.56 - - 51.87 - - - - - - - - - -
185 55.05 - - 55.36 - - - - - - - - - -
186 61.61 - - 61.91 - - - - - - - - - -
187 77.74 - - 78.08 - - - - - - - - - -
188 82.01 - - 82.31 - - - - - - - - - -
189 102.46 - - 102.78 - - - - - - - - - -
190 126.35 - - 126.66 - - - - - - - - - -
191 181.94 - - 182.25 - - - - - - - - - -
192 295.91 - - - - - - - - - - - - -
193 * - - - - - - - - - - - - -
194 - - - - - - - - - - - - - -
* In period 193, the Class A-1 Certificates have an approximate beginning
Class Principal Balance of $46,135 and are paid approximately $102,706 in
interest.
(1) Cash available to pay current and prior interest and Basis Risk
Carry Forward Amount divided by the current Certificate Principal
Balance.
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6
month LIBOR rate of 20%.
(3) A Prefunding Period exists for periods 1 through 3, inclusive.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-24-
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XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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Interest Rate Swap Schedule
Swap Rate: 4.30%
--------------------------------------------------------------------------------
Start Accrual End Accrual Swap Notional
Period Balance $
--------------------------------------------------------------------------------
1 8/30/2005 9/25/2005 617,682,000.00
2 9/25/2005 10/25/2005 635,428,000.00
3 10/25/2005 11/25/2005 652,726,000.00
4 11/25/2005 12/25/2005 669,582,774.08
5 12/25/2005 1/25/2006 641,708,531.56
6 1/25/2006 2/25/2006 615,080,359.77
7 2/25/2006 3/25/2006 589,458,778.34
8 3/25/2006 4/25/2006 564,797,887.70
9 4/25/2006 5/25/2006 541,065,530.47
10 5/25/2006 6/25/2006 518,210,237.95
11 6/25/2006 7/25/2006 496,194,963.82
12 7/25/2006 8/25/2006 474,984,865.94
13 8/25/2006 9/25/2006 454,553,983.43
14 9/25/2006 10/25/2006 434,891,085.68
15 10/25/2006 11/25/2006 415,992,832.29
16 11/25/2006 12/25/2006 397,898,554.90
17 12/25/2006 1/25/2007 380,584,641.75
18 1/25/2007 2/25/2007 364,022,657.73
19 2/25/2007 3/25/2007 348,098,921.19
20 3/25/2007 4/25/2007 332,539,787.87
21 4/25/2007 5/25/2007 316,379,647.64
22 5/25/2007 6/25/2007 289,268,391.91
23 6/25/2007 7/25/2007 114,204,428.92
24 7/25/2007 8/25/2007 90,095,558.56
25 8/25/2007 9/25/2007 75,940,074.53
26 9/25/2007 10/25/2007 63,306,759.56
27 10/25/2007 11/25/2007 60,297,024.79
28 11/25/2007 12/25/2007 57,941,383.57
29 12/25/2007 1/25/2008 55,687,669.54
30 1/25/2008 2/25/2008 53,522,401.93
31 2/25/2008 3/25/2008 51,304,747.39
32 3/25/2008 4/25/2008 49,304,425.68
33 4/25/2008 5/25/2008 47,382,517.83
34 5/25/2008 6/25/2008 45,215,359.30
35 6/25/2008 7/25/2008 31,623,921.05
36 7/25/2008 8/25/2008 27,006,730.02
37 8/25/2008 9/25/2008 25,196,158.06
38 9/25/2008 10/25/2008 23,493,072.48
39 10/25/2008 11/25/2008 22,520,691.85
40 11/25/2008 12/25/2008 21,739,425.38
41 12/25/2008 1/25/2009 20,985,834.82
42 1/25/2009 2/25/2009 20,257,937.46
43 2/25/2009 3/25/2009 19,554,877.36
44 3/25/2009 4/25/2009 18,875,822.69
45 4/25/2009 5/25/2009 18,219,969.22
46 5/25/2009 6/25/2009 17,586,538.88
47 6/25/2009 7/25/2009 16,974,778.64
48 7/25/2009 8/25/2009 16,383,960.65
49 8/25/2009 9/25/2009 15,813,380.73
50 9/25/2009 10/25/2009 15,262,357.87
51 10/25/2009 11/25/2009 14,730,233.50
52 11/25/2009 12/25/2009 14,216,370.74
53 12/25/2009 1/25/2010 13,720,153.72
54 - - -
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This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-25-
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XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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--------------------------------------------------------------------------------
DESCRIPTION OF THE TOTAL COLLATERAL
Statistical Collateral Summary
--------------------------------------------------------------------------------
Statistics given below are for the Mortgage Loans in the pool as of the Cut-off
Date. Balances and percentages are based on the Cut-off Date scheduled balances
of such Mortgage Loans.
Summary Statistics Range (if applicable) Average
------------------ --------------------- -------
Number of Mortgage Loans: 3,614
Aggregate Current Principal Balance: $635,338,651 $9,913 - $975,000 $175,799
Aggregate Original Principal Balance: $636,337,901 $10,000 - $975,000 $176,076
1st Lien: 97.34%
2nd Lien: 2.66%
Fixed Rate Mortgage Loans: 10.98%
Adjustable Rate Mortgage Loans: 89.02%
Interest Only Mortgage Loans: 29.78%
Wtd. Avg. Mortgage Rate: 7.481% 5.050% - 14.000%
Wtd. Avg. Original Term to Maturity (months): 355 84 - 360
Wtd. Avg. Remaining Term to Maturity (months): 352 82 - 360
Wtd. Avg. Margin (ARM Loans Only): 6.371% 2.000% - 10.150%
Wtd. Avg. Maximum Mortgage Rate (ARM Loans Only): 13.895% 11.050% - 20.125%
Wtd. Avg. Minimum Mortgage Rate (ARM Loans Only): 7.271% 1.500% - 12.035%
Wtd. Avg. Combined Original LTV: 80.43% 13.97% - 100%
Wtd. Avg. Borrower FICO: 630 500 - 813
Owner Occupied: 95.37%
Cashout Refinance: 54.02%
Purchase: 42.95%
Rate Term Refinance: 3.04%
Full Documentation: 48.72%
Limited/Alternate Documentation: 1.44%
Stated Documentation: 49.18%
Geographic Distribution (Top 5): CA 36.91%
FL 16.42%
NV 3.22%
NJ 3.08%
VA 2.95%
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-26-
FOR ADDITIONAL INFORMATION PLEASE CALL:
--------------------------------------------------------------------------------
Xxxxxx Xxxxxxx
--------------------------------------------------------------------------------
Asset Backed Finance
--------------------
Xxxxxxx Xxx 000-000-0000
Xxxxxx Xxxx 000-000-0000
Xxxx Xxxxxxxx 212-761-4023
ABS Syndicate & Trading
-----------------------
Xxxx Xxxxx 000-000-0000
Xxxxxxx Xxxxxxxx 000-000-0000
Xxxxxxx Xxxxxx 000-000-0000
Xxxxxx Xxxxxxx 000-000-0000
Xxxx Xxxxxxxxx 000-000-0000
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Rating Agency Contacts
--------------------------------------------------------------------------------
Standard & Poor's
-----------------
Xxxxx Xxxxxx 000-000-0000
Xxxxx'x
-------
Xxxxxx Xxxxxxxxxxx 000-000-0000
Fitch Ratings
-------------
Xxx Xxx 000-000-0000
Xxxxxxxx Xxxxxxxxx 000-000-0000
--------------------------------------------------------------------------------
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-27-
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 25, 2005
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS DISCLAIMER
This material was prepared by sales, trading or other non-research personnel of
one of the following: Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Limited and/or Xxxxxx Xxxxxxx Xxxx
Xxxxxx Asia Limited (together with their affiliates, hereinafter "Xxxxxx
Xxxxxxx"). This material was not produced by a Xxxxxx Xxxxxxx research analyst,
although it may refer to a Xxxxxx Xxxxxxx research analyst or research report.
Unless otherwise indicated, these views (if any) are the author's and may differ
from those of the Xxxxxx Xxxxxxx fixed income or equity research department or
others in the firm.
This material was prepared by or in conjunction with Xxxxxx Xxxxxxx trading
desks that may deal as principal in or own or act as market maker or liquidity
provider for the securities/instruments (or related derivatives) mentioned
herein. The trading desk may have accumulated a position in the subject
securities/instruments based on the information contained herein. Trading desk
materials are not independent of the proprietary interests of Xxxxxx Xxxxxxx,
which may conflict with your interests. Xxxxxx Xxxxxxx may also perform or seek
to perform investment banking services for the issuers of the securities and
instruments mentioned herein.
This material has been prepared for information purposes only and is not a
solicitation of any offer to buy or sell any security/instrument or to
participate in any trading strategy. Any such offer would be made only after a
prospective participant had completed its own independent investigation of the
securities, instruments or transactions and received all information it required
to make its own investment decision, including, where applicable, a review of
any offering circular or memorandum describing such security or instrument. That
information would contain material information not contained herein and to which
prospective participants are referred. This material is based on public
information as of the specified date, and may be stale thereafter. We have no
obligation to tell you when information herein may change. We make no
representation or warranty with respect to the accuracy or completeness of this
material. Xxxxxx Xxxxxxx has no obligation to provide updated information on the
securities/instruments mentioned herein.
Any securities referred to in this material may not have been registered under
the U.S. Securities Act of 1933, as amended, and, if not, may not be offered or
sold absent an exemption therefrom. Recipients are required to comply with any
legal or contractual restrictions on their purchase, holding, sale, exercise of
rights or performance of obligations under any securities/instruments
transaction.
The securities/instruments discussed in this material may not be suitable for
all investors. This material has been prepared and issued by Xxxxxx Xxxxxxx for
distribution to market professionals and institutional investor clients only.
Other recipients should seek independent financial advice prior to making any
investment decision based on this material. This material does not provide
individually tailored investment advice or offer tax, regulatory, accounting or
legal advice. Prior to entering into any proposed transaction, recipients should
determine, in consultation with their own investment, legal, tax, regulatory and
accounting advisors, the economic risks and merits, as well as the legal, tax,
regulatory and accounting characteristics and consequences, of the transaction.
You should consider this material as only a single factor in making an
investment decision.
Options are not for everyone. Before purchasing or writing options, investors
should understand the nature and extent of their rights and obligations and be
aware of the risks involved, including the risks pertaining to the business and
financial condition of the issuer and the security/instrument. A secondary
market may not exist for these securities. For Xxxxxx Xxxxxxx customers who are
purchasing or writing exchange-traded options, please review the publication
`Characteristics and Risks of Standardized Options,' which is available from
your account representative.
The value of and income from investments may vary because of changes in interest
rates, foreign exchange rates, default rates, prepayment rates,
securities/instruments prices, market indexes, operational or financial
conditions of companies or other factors. There may be time limitations on the
exercise of options or other rights in securities/instruments transactions. Past
performance is not necessarily a guide to future performance. Estimates of
future performance are based on assumptions that may not be realized. Actual
events may differ from those assumed and changes to any assumptions may have a
material impact on any projections or estimates. Other events not taken into
account may occur and may significantly affect the projections or estimates.
Certain assumptions may have been made for modeling purposes only to simplify
the presentation and/or calculation of any projections or estimates, and Xxxxxx
Xxxxxxx does not represent that any such assumptions will reflect actual future
events. Accordingly, there can be no assurance that estimated returns or
projections will be realized or that actual returns or performance results will
not materially differ from those estimated herein. Some of the information
contained in this document may be aggregated data of transactions in securities
or other financial instruments executed by Xxxxxx Xxxxxxx that has been compiled
so as not to identify the underlying transactions of any particular customer.
Notwithstanding anything herein to the contrary, Xxxxxx Xxxxxxx and each
recipient hereof agree that they (and their employees, representatives, and
other agents) may disclose to any and all persons, without limitation of any
kind from the commencement of discussions, the U.S. federal and state income tax
treatment and tax structure of the transaction and all materials of any kind
(including opinions or other tax analyses) that are provided to it relating to
the tax treatment and tax structure. For this purpose, "tax structure" is
limited to facts relevant to the U.S. federal and state income tax treatment of
the transaction and does not include information relating to the identity of the
parties, their affiliates, agents or advisors
In the UK, this communication is directed in the UK to those persons who are
market counterparties or intermediate customers (as defined in the UK Financial
Services Authority's rules). For additional information, research reports and
important disclosures see xxxxx://xxxxxx.xx.xxx/xxxxxxx/xxx. The trademarks and
service marks contained herein are the property of their respective owners.
Third-party data providers make no warranties or representations of any kind
relating to the accuracy, completeness, or timeliness of the data they provide
and shall not have liability for any damages of any kind relating to such data.
This material may not be sold or redistributed without the prior written consent
of Xxxxxx Xxxxxxx.
This material is not a solicitation of any offer to buy or sell any security or
other financial instrument or to participate in any trading strategy. This
material was not prepared by the Xxxxxx Xxxxxxx research department. Please
refer to important information and qualifications at the end of this material.
-28-
