EXHIBIT 99.1
--------------------------------------------------------------------------------
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 21, 2004
Securitized Products Group [GRAPHIC OMITTED]
--------------------------------------------------------------------------------
Computational Materials
$257,990,000
Approximately
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Series 2004-SD1
Mortgage Pass-Through Certificates
-------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 21, 2004
Securitized Products Group [GRAPHIC OMITTED]
--------------------------------------------------------------------------------
Approximately $257,990,000
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc., Series 2004-SD1
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Depositor
Bank of America, N.A., Washington Mutual Bank FA, Wilshire Credit Corporation
Servicers
Transaction Highlights
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Duration Payment
Expected Ratings Avg. Life Modified Window
Offered (S&P/Fitch/ To Call/ To Call/ To Call/ Subordination
Classes Description Balance Moody's) Mty(1)(2) Mty(1)(2)(3) Mty(1)(2) Level (%) Benchmark
-------- ----------- -------- ---------------- ---------- ------------ ----------------------- -------------- ----------
A Floater 230,348,000 AAA/AAA/Aaa 3.09/3.35 2.98/3.21 02/04-07/12/02/04-07/22 12.50 1 Mo. LIBOR
------------------------------------------------------------------------------------------------------------------------------------
M-1 Floater 10,530,000 AA/AA/Aa2 5.61/6.14 5.33/5.77 02/07-07/12/02/07-01/18 8.50 1 Mo. LIBOR
------------------------------------------------------------------------------------------------------------------------------------
M-2 Floater 8,556,000 A/A/A2 5.61/6.05 5.15/5.49 02/07-07/12/02/07-10/16 5.25 1 Mo. LIBOR
------------------------------------------------------------------------------------------------------------------------------------
B Floater 8,556,000 BBB/BBB/Baa2 5.59/5.79 4.91/5.04 02/07-07/12/02/07-02/15 2.00 1 Mo. LIBOR
------------------------------------------------------------------------------------------------------------------------------------
Notes:
-----
(1) Certificates are priced to the 10% Optional Clean-up Call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
-------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 2
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 21, 2004
Securitized Products Group [GRAPHIC OMITTED]
--------------------------------------------------------------------------------
Description of Collateral Pool
Bank of America (approximately 35%): Scratch & Dent loans from Prime and Alt-A
(including agency) origination channels.
o Prior delinquencies
o Program exceptions (LTV, FICO, DTI, or multiple factors)
o Documentation exceptions
o 689 current FICO, 65.5% current combined LTV for the Bank of America
portion
o Servicing retained
Washington Mutual (approximately 23%): Scratch & Dent loans from Prime and Alt-A
(including agency) origination channels.
o Current or prior delinquencies
o Program exceptions (LTV, FICO, DTI, or multiple factors)
o Documentation exceptions
o 690 current FICO, 66.9% current combined LTV for the Washington Mutual
portion
o 96% of population Servicing retained
New Century (approximately 21%): Scratch & Dent loans from subprime origination:
o Underwriting exceptions
o Appraisal exceptions
o Documentation exceptions
o Compliance exceptions (cured prior to purchase)
o Current or prior delinquencies
o 589 current FICO, 80% current combined LTV for the New Century portion
National City (approximately 7%): Scratch & Dent loans from Prime and Alt-A
(including agency) origination channels.
o Prior delinquencies
o Program exceptions (LTV, FICO, DTI, or multiple factors)
o Documentation exceptions
o 692 current FICO, 79.6% current combined LTV for the National City portion
All Other (approximately 14%):
o Loans originated by 13 originators acquired in approximately 20 separate
transactions
o Prime, Alt-A and subprime loans with program exceptions: LTV, DTI, FICO,
missing or incorrect documentation, compliance exceptions cured prior to
funding
o Delinquency issues (including sub- and re-performing loans)
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 3
Issuer: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc. Trust
2004-SD1.
Depositor: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
Servicers: Bank of America, N.A., Washington Mutual Bank
FA, Wilshire Credit Corporation.
Trustee: Deutsche Bank National Trust Company.
Custodian: Deutsche Bank National Trust Company.
Underwriters: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (lead manager), ▇▇▇▇▇▇▇▇ Capital
Partners, L.P. and ▇▇▇▇▇▇▇▇ & Partners, L.P.
Rating Agencies: Fitch Ratings, ▇▇▇▇▇'▇ Investors Service,
and Standard & Poor's.
Class M Certificates: The Class M-1 and M-2 Certificates
Offered Certificates: Classes A, M-1, M-2 and B Certificates.
Cut-off Date: January 1, 2004.
Expected Closing Date: On or around January 30, 2004 through DTC and
Euroclear or Clearstream. The Certificates will
be sold without accrued interest.
Distribution Dates: The 25th of each month, or if such day is not a
business day, on the next business day,
beginning February 25, 2004.
Final Scheduled Distribution The Distribution Date occurring in August 2034.
Date:
Due Period: For any Distribution Date, the calendar month
preceding the month in which such Distribution
Date occurs.
Interest Accrual Period: The interest accrual period for the Offered
Certificates with respect to any Distribution
Date will be the period beginning with the
previous Distribution Date (or, in the case of
the first Distribution Date, the Closing Date)
and ending on the day prior to the current
Distribution Date (on an actual/360 day count
basis).
Mortgage Loans: Approximately $263,255,465 of Mortgage Loans as
of Cut-off Date. The Mortgage Loans consist of
fixed and adjustable rate, conventional
closed-end mortgage loans, secured by 1st and
2nd lien and balloon mortgages on primarily 1-4
family properties. The Mortgage Loans consist
of 92.98% Performing Mortgage Loans, 4.82%
Sub-Performing Mortgage Loans and 2.20%
Re-Performing Mortgage Loans with aggregate
principal balances as of the Cut-off Date of
approximately $244,769,412, $12,693,493, and
$5,792,560, respectively. The Mortgage Loans
consist of approximately 44.23% fixed rate
mortgage loans and 55.77% adjustable rate
mortgage loans with aggregate principal
balances as of the Cut-off Date of
approximately $116,442,508 and $146,812,957,
respectively.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 4
Performing Mortgage Loans: A "Performing Mortgage Loan" is a Mortgage Loan
(which may be a Payment Plan Mortgage Loan or a
Bankruptcy Plan Mortgage Loan) pursuant to
which no payment due under the related Mortgage
Note (or any modification thereto) prior to the
Cut-off Date, is 30 days Delinquent. A Mortgage
Loan is "Delinquent," if the scheduled monthly
payment of principal and interest on such
Mortgage Loan which is payable by the related
mortgagor under the related Mortgage Note (the
"Monthly Payment") due on a due date is not
paid by the close of business on the next
scheduled due date for such Mortgage Loan.
Thus, a Mortgage Loan for which the mortgagor
failed to make the Monthly Payment on January
1, 2004 will be reported as Delinquent as of
the beginning of business on February 2, 2004,
if the Monthly Payment is not made by such
time.
Re-Performing Mortgage Loan: A "Re-Performing Mortgage Loan" is a Mortgage
Loan (which may be a Payment Plan Mortgage Loan
or a Bankruptcy Plan Mortgage Loan) which had
defaulted in the past and which is currently at
least 90 days Delinquent with respect to
certain Regular Scheduled Payments but which
satisfies one of the following criteria (the
"Re-Performance Test"):
(i) the mortgagor has made in aggregate at
least three Regular Scheduled Payments in
the three calendar months preceding the
Cut-off Date (regardless of either the
timing of receipt of such payments or the
payment history of such loans prior to
October 1, 2003), or
(ii) the mortgagor has made in aggregate at
least four Regular Scheduled Payments in
the four calendar months preceding the
Cut-off Date (regardless of either the
timing of receipt of such payments or the
payment history of such loans prior to
September 1, 2003), or
(iii) the mortgagor has made in aggregate at
least five Regular Scheduled Payments in
the five calendar months preceding the
Cut-off Date (regardless of either the
timing of receipt of such payments or the
payment history of such loans prior to
August 1, 2003).
Sub-Performing Mortgage Loan: A "Sub-Performing Mortgage Loan" is a Mortgage
Loan (which may be a Payment Plan Mortgage Loan
or a Bankruptcy Plan Mortgage Loan) pursuant to
which a payment due prior to the Cut-off Date
under the terms of the related Mortgage Note
(or any modification thereto), is at least 30
but not more than 89 days Delinquent.
Payment Plan Mortgage Loan: A "Payment Plan Mortgage Loan" is a Mortgage
Loan with respect to which the related
mortgagor must make Monthly Payments in an
amount at least equal to the sum of (i) the
amount of the monthly scheduled payment of
principal and interest determined in accordance
with such Mortgage Loan's original amortization
schedule ("Regular Scheduled Payments") plus
(ii) an additional amount to be applied to pay
down (a) the total amount of scheduled monthly
payments due thereon on or before the Cut-off
Date but not received prior to the Cut-off Date
plus (b) the aggregate amount of tax and
insurance advances made with respect to such
Mortgage Loan to the extent such advances are
outstanding as of the Cut-off Date.
Bankruptcy Plan Mortgage Loan: A "Bankruptcy Plan Mortgage Loan" is a Mortgage
Loan with respect to which the related
mortgagor defaulted and, after such default,
became the subject of a bankruptcy case under
Title 11 of the United States Code or a state
bankruptcy code and, as of the Cut-off Date,
had a confirmed bankruptcy plan. Each such
bankruptcy plan generally requires the related
mortgagor to make monthly payments in an amount
at least equal to (i) the Regular Scheduled
Payment plus (ii) an additional amount
sufficient to pay down overdue amounts
resulting from the period of default, generally
over a period of three to five years from the
commencement of such bankruptcy plan.
Servicing Fee: 38.62 bps per annum. (weighted average)
Trust Expense Fee: 1.65 bps per annum.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 5
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at
approximately 1.4667% CPR as of the
initial due date of the Mortgage Loan and
increasing to 22% CPR in month 15 (22%/15
CPR increase for each month), and
remaining at 22% CPR thereafter.
o ARM Mortgage Loans: CPR of 22%.
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net Monthly Excess Cashflow from the
Mortgage Loans,
2) 2.00% overcollateralization (funded
upfront). On and after the Step-down Date,
so long as a Trigger Event is not in
effect, the required overcollateralization
will equal 4.00% of the aggregate
principal balance of the Mortgage Loans as
of the last day of the applicable Due
Period, subject to a 0.50% floor, based on
the aggregate principal balance of the
Mortgage Loans as of the Cut-off Date, and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions
on the more senior classes of
certificates.
Senior Enhancement Percentage: For any Distribution Date, the percentage
obtained by dividing (x) the aggregate
Certificate Principal Balance of the
subordinate certificates (together with any
overcollateralization and taking into account
the distributions of the Principal Distribution
Amount for such Distribution Date) by (y) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period.
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
February 2007; and
(b) The Distribution Date on which the
aggregate Certificate Principal Balance of
the Class A Certificates is reduced to
zero; and
(y) The first Distribution Date on which the
Senior Enhancement Percentage (calculated
for this purpose only after taking into
account payments of principal on the
Mortgage Loans on the last day of the
related Due Period but prior to principal
distributions to the Certificates on the
applicable Distribution Date) is greater
than or equal to approximately 25.00%.
Trigger Event: A "Trigger Event" will be in effect on a
Distribution Date if any one of the following
conditions exist as of the last day of the
immediately preceding collection period:
(a) The "Rolling Six Month 60+ Delinquency
Percentage" equals or exceeds [45]% of the
Senior Enhancement Percentage; or
(b) The aggregate amount of realized losses
incurred since the Cut-off Date through the
last day of such preceding collection period
divided by the aggregate principal balance of
the Mortgage Loans as of the Cut-off Date
exceeds the applicable percentages set forth
below with respect to such Distribution Date:
Distribution Date Percentage
Months [37-48] 3.25% (for the first month, plus 1/12th of [1.00]% for each month
thereafter)
Months [49-60] 4.25% (for the first month, plus 1/12th of [1.00]% for each month
thereafter)
Months [61-72] 5.25% (for the first month, plus 1/12th of [0.50]% for each month
thereafter)
Month [73] and thereafter 5.75%
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 6
60+ Day Delinquent Loan: Without duplication, (i) each Mortgage Loan
with respect to which any portion of a Monthly
Payment is, as of the last calendar day of the
prior Collection Period, two months or more
past due (other than a Re-Performing 60+ Day
Delinquent Loan), (ii) each Mortgage Loan in
foreclosure (other than a Re-Performing 60+ Day
Delinquent Loan), (iii) each Mortgage Loan for
which the Mortgagor has filed for bankruptcy
after the Closing Date (other than a
Re-Performing 60+ Day Delinquent Loan) and (iv)
all REO Property.
Rolling Six Month 60+ Day
Delinquent Percentage: With respect to any Distribution Date, the
average of the percentage equivalents of the
fractions determined for each of the six
immediately preceding collection periods, the
numerator of each of which is equal to the
aggregate Principal Balance of Mortgage Loans
that are 60+ Day Delinquent Loans (other than
Re-Performing 60+ Day Delinquent Loans), and
the denominator of which is the aggregate
Mortgage Loan balance as of the end of the
related collection period.
Re-Performing 60+ Day
Delinquent Loan: Each Mortgage Loan with respect to which, as of
any date of determination, (x) any portion of
aMonthly Payment is, as of the last calendar
day of the prior Collection Period, two months
or more past due and (y) with respect to which
the Mortgagor has made three aggregate Monthly
Payments within the three calendar months
preceding such date of determination.
Initial Subordination Class A: 12.50%
Percentage: Class M-1: 8.50%
Class M-2: 5.25%
Class B: 2.00%
Advances: The Servicer will advance scheduled principal
and interest, but only to the extent that the
Servicer believes such advances to be
recoverable from liquidation proceeds. No
advancing will be made with respect to simple
interest Mortgage Loans, which comprise
approximately 0.03% of the Mortgage Loans.
Optional Clean-up Call: Exercisable when the current aggregate
principal balance of the Mortgage Loans is less
than or equal to 10% of the aggregate principal
balance of the Mortgage Loans as of the Cut-off
Date.
Step-up Coupons: For all Offered Certificates the coupon
will increase after the Optional Clean-up Call
date, should the call not be exercised. The
applicable fixed margin will increase by 2x on
the Class A Certificates and by 1.5x on all
other Certificates on and after the first
Distribution Date on which the Optional Clean-up
Call is exercisable.
Class A Pass-Through Rate: The Class A Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps on and
after the first Distribution Date on which the
Optional Clean-up Call is exercisable), and
(ii) the WAC Cap.
Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps on and
after the first Distribution Date on which the
Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
Class M-2 Pass-Through Rate: The Class M-2 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps on and
after the first Distribution Date on which the
Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
Class B Pass-Through Rate: The Class B Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [ ] bps ([ ] bps on and
after the first Distribution Date on which the
Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 7
WAC Cap: As to any Distribution Date a per annum
rate equal to the product of (i) the weighted
average gross interest rate of the Mortgage
Loans in effect on the beginning of the related
Due Period less the Servicing Fees and Trust
Expense Fees, and (ii) a fraction, the numerator
of which is 30 and the denominator of which is
the actual number of days in the related
Interest Accrual Period.
Basis Risk Carry Forward As to any Distribution Date, the supplemental
Amounts: interest amount for each of the Class A, M-1,
M-2 and B will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
such Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap) over
interest due such Certificates at a rate
equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for
such class remaining unpaid for such
Certificate from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at
the Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap).
Interest Distributions on
Offered Certificates: On each Distribution Date and after payments of
Servicing and Trust Expense Fees, interest
distributions from the Interest Remittance
Amount will be allocated as follows:
(i) To the Class A Certificates, its Accrued
Certificate Interest and unpaid interest
amounts;
(ii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iii) To the Class M-2 Certificates, its Accrued
Certificate Interest; and
(iv) To the Class B Certificates, its Accrued
Certificate Interest.
Principal Distributions on
Offered Certificates: On each Distribution Date (a) prior to the
Step-down Date or (b) on which a Trigger Event
is in effect, principal distributions from the
Principal Distribution Amount will be allocated
as follows:
(i) to the Class A Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero; and
(iv) to the Class B Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero.
On each Distribution Date (a) on or after the
Step-down Date and (b) on which a Trigger Event
is not in effect, the principal distributions
from the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, the lesser
of the Principal Distribution Amount and
the Class A Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
(ii) to the Class M-1 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-1 Principal
Distribution Amount, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class M-2 Principal
Distribution Amount, until the
Certificate Principal Balance thereof has
been reduced to zero; and
(iv) to the Class B Certificates, the lesser
of the remaining Principal Distribution
Amount and the Class B Principal
Distribution Amount, until the
Certificate Principal Balance thereof has
been reduced to zero.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 8
Class A Certificates: Beginning on the first Distribution Date, and
Interest Rate Cap: for a period of 35 months thereafter, an
Interest Rate Cap will be pledged to the Trust
for the benefit of the Class A Certificates.
For its duration, the Class A Interest Rate Cap
pays the Trust the product of (i) the
difference between the then current 1-month
LIBOR rate (not to exceed the cap ceiling) and
the cap strike (on an actual/360 day count
basis) and (ii) the Class A Interest Rate Cap
Notional Balance (the "Class A Interest Rate
Cap Payment") as described on the schedule
herein.
Class A Certificates Interest The Class A Interest Rate Cap Payment shall be
Rate Cap Allocation: available to pay any Basis Risk Carry Forward
Amount due to the Class A Certificates.
Class M-1 Certificates Beginning on the first Distribution Date, and
Interest Rate Cap: for a period of 101 months thereafter, an
Interest Rate Cap will be pledged to the Trust
for the benefit of the Class M-1 Certificates.
For its duration, the Class M-1 Interest Rate
Cap pays the Trust the product of (i) the
difference between the then current 1-month
LIBOR rate (not to exceed the cap ceiling) and
the cap strike (on an actual/360 day count
basis) and (ii) the Class M-1 Interest Rate Cap
Notional Balance (the "Class M-1 Interest Rate
Cap Payment") as described on the schedule
herein.
Class M-1 Certificates The Class M-1 Interest Rate Cap Payment shall
Interest Rate Cap Allocation: be available to pay any Basis Risk Carry
Forward Amount due to the Class M-1
Certificates.
Class M-2 Certificates Beginning on the first Distribution Date, and
Interest Rate Cap: for a period of 101 months thereafter, an
Interest Rate Cap will be pledged to the Trust
for the benefit of the Class M-2 Certificates.
For its duration, the Class M-2 Interest Rate
Cap pays the Trust the product of (i) the
difference between the then current 1-month
LIBOR rate (not to exceed the cap ceiling) and
the cap strike (on an actual/360 day count
basis) and (ii) the Class M-2 Interest Rate Cap
Notional Balance (the "Class M-2 Interest Rate
Cap Payment") as described on the schedule
herein.
Class M-2 Certificates The Class M-2 Interest Rate Cap Payment shall
Interest Rate Cap Allocation: be available to pay any Basis Risk Carry
Forward Amount due to the Class M-2
Certificates.
Class B Certificates Beginning on the first Distribution Date, and
Interest Rate Cap: for a period of 101 months thereafter, an
Interest Rate Cap will be pledged to the Trust
for the benefit of the Class B Certificates.
For its duration, the Class B Interest Rate Cap
pays the Trust the product of (i) the
difference between the then current 1-month
LIBOR rate (not to exceed the cap ceiling) and
the cap strike (on an actual/360 day count
basis) and (ii) the Class B Interest Rate Cap
Notional Balance (the "Class B Interest Rate
Cap Payment") as described on the schedule
herein.
Class B Certificates Interest The Class B Interest Rate Cap Payment shall be
Rate Cap Allocation: available to pay any Basis Risk Carry Forward
Amount due to the Class B Certificates.
Allocation of Net Monthly For any Distribution Date, any Net Monthly
Excess Cashflow: Excess Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the
unpaid interest shortfall amount;
(ii) to the Class M-1 Certificates, the
allocated unreimbursed realized loss
amount;
(iii) to the Class M-2 Certificates, the
unpaid interest shortfall amount;
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 9
(iv) to the Class M-2 Certificates, the
allocated unreimbursed realized loss
amount;
(v) to the Class B Certificates, the unpaid
interest shortfall amount;
(vi) to the Class B Certificates, the
allocated unreimbursed realized loss
amount;
(vii) any Class A Basis Risk Carry Forward
Amount remaining unpaid to the Class A
Certificates, and
(viii) sequentially, to Classes M-1, M-2, B
Certificates, in that order, any Basis
Risk Carry Forward Amount remaining
unpaid for such classes.
Interest Remittance Amount: For any Distribution Date, the portion of
available funds for such Distribution Date
attributable to interest received or advanced
on the Mortgage Loans.
Accrued Certificate Interest: For any Distribution Date and each class of
Offered Certificates, equals the amount of
interest accrued during the related Interest
Accrual Period at the related Pass-Through
Rate, reduced by any prepayment interest
shortfalls and shortfalls resulting from the
application of the Soldiers' and Sailors' Civil
Relief Act of 1940 or similar state law
allocated to such class.
Principal Distribution Amount: On any Distribution Date, the sum of (i) the
Basic Principal Distribution Amount and (ii)
the Extra Principal Distribution Amount.
Basic Principal Distribution On any Distribution Date, the excess of (i) the
Amount: aggregate principal remittance amount over
(ii)the Excess Subordinated Amount, if any.
Net Monthly Excess Cashflow: For any Distribution Date, the amount of funds
available for distribution on such Distribution
Date remaining after making all distributions
of interest and principal on the certificates.
Extra Principal Distribution For any Distribution Date, the lesser of (i)
Amount: the excess of (x) interest collected or
advanced with respect to the Mortgage Loans
with due dates in the related Due Period (less
Servicing Fees and Trust Expense Fees) over (y)
the sum of interest payable on the Certificates
on such Distribution Date, and (ii) the
overcollateralization deficiency amount for
such Distribution Date.
Excess Subordinated Amount: For any Distribution Date, the excess, if any,
of (i) the overcollateralization as of such
Distribution Date over (ii) the required
overcollateralization for such Distribution
Date.
Allocation of Losses: For any Distribution Date, any realized losses
on the mortgage loans will be allocated as
follows:
(i) to Net Monthly Excess Cashflow, in
reduction of the overcollateralization
amount,
(ii) to the Class B Certificates,
(iii) to the Class M-2 Certificates,
(iv) to the Class M-1 Certificates.
The pooling agreement does not permit
allocation of realized losses to the Class A
Certificates.
Class A Principal
Distribution Amount: For any Distribution Date, an amount equal to
the excess of (x) the aggregate Certificate
Principal Balance of the Class A Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 75.00% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last
day of the related Due Period over $1,316,277.
Class M-1 Principal
Distribution Amount: For any Distribution Date, an amount equal to
the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 83.00% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $1,316,277.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 10
Class M-2 Principal
Distribution Amount: For any Distribution Date, an amount equal to
the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date) and (iii) the
Certificate Principal Balance of the Class M-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 89.50% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $1,316,277.
Class B Principal For any Distribution Date, an amount
Distribution Amount: equal to the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of the
Class A Certificates (after taking into account
the payment of the Class A Principal
Distribution Amount on such Distribution Date),
(ii) the Certificate Principal Balance of the
Class M-1 Certificates (after taking into
account the payment of the Class M-1 Principal
Distribution Amount on such Distribution Date),
(iii) the Certificate Principal Balance of the
Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date),
and (iv) the Certificate Principal Balance of
the Class B Certificates immediately prior to
such Distribution Date over (y) the lesser of
(A) the product of (i) approximately 96.00% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $1,316,277.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the
Prospectus, the Class M and B Certificates are
not expected to be ERISA eligible.
SMMEA Eligibility: It is not anticipated that any of the Offered
Certificates will be SMMEA eligible.
Prospectus: The Class A, Class M-1, Class M-2 and Class B
Certificates are being offered pursuant to a
prospectus supplemented by a prospectus
supplement (together, the "Prospectus").
Complete information with respect to the
Offered Certificates and the collateral
securing them is contained in the Prospectus.
The information herein is qualified in its
entirety by the information appearing in the
Prospectus. To the extent that the information
herein is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales
of the Offered Certificates may not be
consummated unless the purchaser has received
the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR
A DESCRIPTION OF INFORMATION THAT SHOULD BE
CONSIDERED IN CONNECTION WITH AN INVESTMENT IN
THE OFFERED CERTIFICATES.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 11
Weighted Average Life Sensitivity
To Call
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A WAL (years) 5.76 4.96 4.08 3.09 2.43 1.95 1.58
First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004
Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 1 - 184 1 - 161 1 - 134 1 - 102 1 - 81 1 - 67 1 - 56
----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL (years) 10.33 8.94 7.37 5.61 4.65 4.18 4.02
First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 4/25/2007 6/25/2007 8/25/2007
Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 62 - 184 53 - 161 43 - 134 37 - 102 39 - 81 41 - 67 43 - 56
----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL (years) 10.33 8.94 7.37 5.61 4.61 4.06 3.78
First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 62 - 184 53 - 161 43 - 134 37 - 102 38 - 81 39 - 67 40 - 56
----------------------------------------------------------------------------------------------------------------------------------
B WAL (years) 10.31 8.92 7.35 5.59 4.57 3.98 3.63
First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 2/25/2007 2/25/2007 3/25/2007
Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008
Window 62 - 184 53 - 161 43 - 134 37 - 102 37 - 81 37 - 67 38 - 56
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 12
Weighted Average Life Sensitivity
To Maturity
------------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A WAL (years) 6.14 5.33 4.40 3.35 2.64 2.13 1.73
First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004
Expected Final Maturity 12/25/2030 8/25/2029 12/25/2026 7/25/2022 1/25/2019 6/25/2016 6/25/2014
Window 1 - 323 1 - 307 1 - 275 1 - 222 1 - 180 1 - 149 1 - 125
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL (years) 11.12 9.68 8.01 6.14 5.08 4.52 4.31
First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 4/25/2007 6/25/2007 8/25/2007
Expected Final Maturity 3/25/2027 1/25/2025 1/25/2022 1/25/2018 4/25/2015 4/25/2013 10/25/2011
Window 62 - 278 53 - 252 43 - 216 37 - 168 39 - 135 41 - 111 43 - 93
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL (years) 11.01 9.56 7.90 6.05 4.97 4.35 4.02
First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 9/25/2025 5/25/2023 6/25/2020 10/25/2016 3/25/2014 6/25/2012 1/25/2011
Window 62 - 260 53 - 232 43 - 197 37 - 153 38 - 122 39 - 101 40 - 84
\-----------------------------------------------------------------------------------------------------------------------------------
B WAL (years) 10.62 9.19 7.58 5.79 4.73 4.11 3.73
First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 2/25/2007 2/25/2007 3/25/2007
Expected Final Maturity 5/25/2023 3/25/2021 5/25/2018 2/25/2015 11/25/2012 4/25/2011 2/25/2010
Window 62 - 232 53 - 206 43 - 172 37 - 133 37 - 106 37 - 87 38 - 73
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 13
CPR Sensitivity
To Call
-------------------------------------------------------------------------------
CPR (%) 20 25 30
-------------------------------------------------------------------------------
A WAL (years) 3.36 2.66 2.16
First Payment Date 2/25/2004 2/25/2004 2/25/2004
Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010
Window 1 - 112 1 - 89 1 - 74
-------------------------------------------------------------------------------
M-1 WAL (years) 6.12 4.99 4.38
First Payment Date 2/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010
Window 37 - 112 39 - 89 40 - 74
-------------------------------------------------------------------------------
M-2 WAL (years) 6.12 4.97 4.31
First Payment Date 2/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010
Window 37 - 112 38 - 89 39 - 74
-------------------------------------------------------------------------------
B WAL (years) 6.10 4.94 4.25
First Payment Date 2/25/2007 2/25/2007 2/25/2007
Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010
Window 37 - 112 37 - 89 37 - 74
-------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 14
CPR Sensitivity
To Maturity
-------------------------------------------------------------------------------
CPR (%) 20 25 30
-------------------------------------------------------------------------------
A WAL (years) 3.65 2.90 2.35
First Payment Date 2/25/2004 2/25/2004 2/25/2004
Expected Final Maturity 1/25/2024 6/25/2020 9/25/2017
Window 1 - 240 1 - 197 1 - 164
-------------------------------------------------------------------------------
M-1 WAL (years) 6.68 5.46 4.76
First Payment Date 2/25/2007 4/25/2007 5/25/2007
Expected Final Maturity 4/25/2019 5/25/2016 4/25/2014
Window 37 - 183 39 - 148 40 - 123
-------------------------------------------------------------------------------
M-2 WAL (years) 6.58 5.36 4.63
First Payment Date 2/25/2007 3/25/2007 4/25/2007
Expected Final Maturity 11/25/2017 4/25/2015 4/25/2013
Window 37 - 166 38 - 135 39 - 111
-------------------------------------------------------------------------------
B WAL (years) 6.31 5.12 4.38
First Payment Date 2/25/2007 2/25/2007 2/25/2007
Expected Final Maturity 2/25/2016 10/25/2013 2/25/2012
Window 37 - 145 37 - 117 37 - 97
-------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 15
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A Cap (%) M-1 Cap (%) M-2 Cap (%) B Cap (%)
Period Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ----------- ----------- ----------
0 - - -
1 10.11 9.94 9.94 9.94
2 9.41 9.26 9.26 9.26
3 9.04 8.90 8.90 8.90
4 9.32 9.16 9.16 9.16
5 9.15 8.99 8.99 8.99
6 9.37 9.21 9.21 9.21
7 9.17 9.00 9.00 9.00
8 9.18 9.01 9.01 9.01
9 9.40 9.23 9.23 9.23
10 9.20 9.02 9.02 9.02
11 9.43 9.24 9.24 9.24
12 9.23 9.04 9.04 9.04
13 9.29 9.09 9.09 9.09
14 10.01 9.79 9.79 9.79
15 9.32 9.11 9.11 9.11
16 9.59 9.37 9.37 9.37
17 9.26 9.04 9.04 9.04
18 9.56 9.32 9.32 9.32
19 9.38 9.14 9.14 9.14
20 9.43 9.18 9.18 9.18
21 9.69 9.42 9.42 9.42
22 9.50 9.23 9.23 9.23
23 10.15 9.87 9.87 9.87
24 9.97 9.68 9.68 9.68
25 10.04 9.74 9.74 9.74
26 10.88 10.54 10.54 10.54
27 10.12 9.80 9.80 9.80
28 10.41 10.07 10.07 10.07
29 10.20 9.86 9.86 9.86
30 10.53 10.16 10.16 10.16
31 10.34 9.97 9.97 9.97
32 10.39 10.01 10.01 10.01
33 10.72 10.31 10.31 10.31
34 10.50 10.09 10.09 10.09
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current Certificate Principal
Balance.
(2) Run to call assuming 100% PPC, no losses, and a 1-month/6-month/12-month
LIBOR, 1-year CMT and 11th district COFI rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 16
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A Cap (%) M-1 Cap (%) M-2 Cap (%) B Cap (%)
Period Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ----------- ----------- ----------
35 10.61 10.25 10.25 10.25
36 10.40 10.05 10.05 10.05
37 16.12 10.10 10.10 10.10
38 10.89 11.00 10.98 10.98
39 9.82 10.13 10.13 10.13
40 10.18 10.42 10.42 10.42
41 9.99 10.19 10.19 10.19
42 10.37 10.50 10.50 10.50
43 10.05 10.24 10.24 10.24
44 10.07 10.26 10.26 10.26
45 10.46 10.59 10.59 10.59
46 10.26 10.19 10.19 10.19
47 10.61 10.47 10.47 10.47
48 10.31 10.24 10.24 10.24
49 10.40 10.32 10.32 10.32
50 11.13 10.92 10.92 10.92
51 10.73 10.13 10.13 10.13
52 11.12 10.46 10.46 10.46
53 10.79 10.19 10.19 10.19
54 11.26 10.59 10.59 10.59
55 10.94 10.33 10.33 10.33
56 11.15 10.18 10.18 10.18
57 11.56 10.53 10.53 10.53
58 11.20 10.22 10.22 10.22
59 11.58 10.54 10.54 10.54
60 11.21 10.23 10.23 10.23
61 11.22 10.24 10.24 10.24
62 12.43 11.25 11.25 11.25
63 11.27 10.23 10.23 10.23
64 11.65 10.55 10.55 10.55
65 11.28 10.24 10.24 10.24
66 11.66 10.56 10.56 10.56
67 11.29 10.25 10.25 10.25
68 11.29 10.25 10.25 10.25
69 11.67 10.52 10.52 10.52
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current Certificate Principal
Balance.
(2) Run to call assuming 100% PPC, no losses, and a 1-month/6-month/12-month
LIBOR, 1-year CMT and 11th district COFI rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 17
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A Cap (%) M-1 Cap (%) M-2 Cap (%) B Cap (%)
Period Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ----------- ----------- ----------
70 11.31 10.21 10.21 10.21
71 11.69 10.53 10.53 10.53
72 11.32 10.22 10.22 10.22
73 11.32 10.23 10.23 10.23
74 12.54 11.24 11.24 11.24
75 11.33 10.23 10.23 10.23
76 11.72 10.55 10.55 10.55
77 11.34 10.24 10.24 10.24
78 11.73 10.56 10.56 10.56
79 11.38 10.27 10.27 10.27
80 11.45 10.33 10.33 10.33
81 11.84 10.51 10.51 10.51
82 11.46 10.20 10.20 10.20
83 11.85 10.52 10.52 10.52
84 11.47 10.20 10.20 10.20
85 11.48 10.21 10.21 10.21
86 12.71 11.24 11.24 11.24
87 11.49 10.22 10.22 10.22
88 11.88 10.54 10.54 10.54
89 11.50 10.22 10.22 10.22
90 11.89 10.55 10.55 10.55
91 11.51 10.23 10.23 10.23
92 11.52 10.24 10.24 10.24
93 11.90 10.56 10.56 10.56
94 11.13 10.24 10.24 10.24
95 10.48 10.57 10.57 10.55
96 10.15 10.25 10.25 10.24
97 10.17 10.26 10.26 10.24
98 10.89 10.92 10.92 10.91
99 10.21 10.22 10.22 10.20
100 10.57 10.54 10.54 10.52
101 10.24 10.23 10.23 10.21
102 10.60 10.55 10.55 10.53
103 10.28 9.66 9.66 9.66
104 10.30 9.66 9.66 9.66
1 Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current Certificate Principal
Balance.
2 Run to call assuming 100% PPC, no losses, and a 1-month/6-month/12-month
LIBOR, 1-year CMT and 11th district COFI rate of 20%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 18
Interest Rate Cap Schedules
Class A Cap Class M-1 Cap Class M-2 Cap
--------------------------------------- --------------------------------------- -------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 230,348,000.00 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
2 225,283,639.93 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
3 220,214,469.58 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
4 215,141,692.71 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
5 210,066,558.28 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
6 204,991,214.77 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
7 199,919,027.94 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
8 194,853,200.95 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
9 189,883,268.81 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
10 185,012,126.99 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
11 180,244,874.84 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
12 175,579,753.73 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
13 171,014,793.47 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
14 166,547,880.70 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
15 162,176,926.96 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
16 157,899,897.49 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35
17 153,714,794.85 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50
18 149,619,674.61 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50
19 145,612,562.85 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50
20 141,691,658.15 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50
21 137,855,173.35 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50
22 134,100,198.95 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50
23 130,392,033.16 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10
24 126,797,735.90 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10
25 123,280,754.61 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10
26 119,839,487.16 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10
27 116,472,189.73 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10
28 113,177,049.49 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10
29 109,953,029.07 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35
30 106,798,265.46 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35
31 103,711,642.52 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35
32 100,691,715.36 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35
33 97,736,972.73 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35
34 94,845,796.71 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35
35 92,017,124.79 7.75 9.75 10,530,000.00 7.25 9.35 8,556,000.00 6.35 8.45
36 89,249,658.61 7.75 9.75 10,530,000.00 7.25 9.35 8,556,000.00 6.35 8.45
37 - 7.75 9.75 10,530,000.00 7.25 9.35 8,556,000.00 6.35 8.45
38 - - - 10,401,282.92 7.25 9.35 7,592,145.05 6.35 8.45
39 - - - 9,136,400.76 7.25 9.35 7,423,650.99 6.35 8.45
40 - - - 8,933,518.78 7.25 9.35 7,258,802.15 6.35 8.45
41 - - - 8,735,035.07 7.50 9.50 7,097,527.07 6.60 8.60
42 - - - 8,541,422.43 7.50 9.50 6,940,209.91 6.60 8.60
43 - - - 8,352,002.51 7.50 9.50 6,786,299.47 6.60 8.60
Interest Rate Cap Schedules (Continued)
Class B Cap
-------------------------------------
Period Balance ($) Strike% Ceiling%
1 8,556,000.00 3.25 6.00
2 8,556,000.00 3.25 6.00
3 8,556,000.00 3.25 6.00
4 8,556,000.00 3.25 6.00
5 8,556,000.00 3.25 6.00
6 8,556,000.00 3.25 6.00
7 8,556,000.00 3.25 6.00
8 8,556,000.00 3.25 6.00
9 8,556,000.00 3.25 6.00
10 8,556,000.00 3.25 6.00
11 8,556,000.00 3.25 6.00
12 8,556,000.00 3.25 6.00
13 8,556,000.00 3.25 6.00
14 8,556,000.00 3.25 6.00
15 8,556,000.00 3.25 6.00
16 8,556,000.00 3.25 6.00
17 8,556,000.00 3.75 6.15
18 8,556,000.00 3.75 6.15
19 8,556,000.00 3.75 6.15
20 8,556,000.00 3.75 6.15
21 8,556,000.00 3.75 6.15
22 8,556,000.00 3.75 6.15
23 8,556,000.00 4.15 6.75
24 8,556,000.00 4.15 6.75
25 8,556,000.00 4.15 6.75
26 8,556,000.00 4.15 6.75
27 8,556,000.00 4.15 6.75
28 8,556,000.00 4.15 6.75
29 8,556,000.00 4.60 7.00
30 8,556,000.00 4.60 7.00
31 8,556,000.00 4.60 7.00
32 8,556,000.00 4.60 7.00
33 8,556,000.00 4.60 7.00
34 8,556,000.00 4.60 7.00
35 8,556,000.00 5.00 7.10
36 8,556,000.00 5.00 7.10
37 8,556,000.00 5.00 7.10
38 7,592,145.05 5.00 7.10
39 7,423,650.99 5.00 7.10
40 7,258,802.15 5.00 7.10
41 7,097,527.07 5.25 7.25
42 6,940,209.91 5.25 7.25
43 6,786,299.47 5.25 7.25
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 19
Interest Rate Cap Schedules
Class A Cap Class M-1 Cap Class M-2 Cap
------------------------------------- --------------------------------------- ------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
44 - - - 8,166,685.89 7.50 9.50 6,635,723.12 6.60 8.60
45 - - - 7,985,385.04 7.50 9.50 6,488,409.72 6.60 8.60
46 - - - 7,808,010.59 7.75 9.50 6,344,286.67 6.85 8.60
47 - - - 7,634,095.30 7.75 9.50 6,202,974.30 6.85 8.60
48 - - - 7,463,958.17 7.75 9.50 6,064,731.82 6.85 8.60
49 - - - 7,297,501.78 7.75 9.50 5,929,480.08 6.85 8.60
50 - - - 7,134,500.52 7.75 9.50 5,797,035.75 6.85 8.60
51 - - - 6,975,047.89 8.25 9.50 5,667,474.81 7.35 8.60
52 - - - 6,818,365.64 8.25 9.50 5,540,164.90 7.35 8.60
53 - - - 6,665,017.22 8.25 9.50 5,415,563.85 7.35 8.60
54 - - - 6,515,023.77 8.25 9.50 5,293,688.83 7.35 8.60
55 - - - 6,368,267.28 8.25 9.50 5,174,443.96 7.35 8.60
56 - - - 6,224,659.53 8.60 9.50 5,057,757.55 7.70 8.60
57 - - - 6,084,076.32 8.60 9.50 4,943,528.68 7.70 8.60
58 - - - 5,946,577.43 8.60 9.50 4,831,805.94 7.70 8.60
59 - - - 5,812,097.09 8.60 9.50 4,722,535.87 7.70 8.60
60 - - - 5,680,570.25 8.60 9.50 4,615,665.63 7.70 8.60
61 - - - 5,551,933.27 8.60 9.50 4,511,143.50 7.70 8.60
62 - - - 5,426,123.86 8.60 9.50 4,408,918.88 7.70 8.60
63 - - - 5,303,081.05 8.65 9.50 4,308,942.21 7.75 8.60
64 - - - 5,182,745.16 8.65 9.50 4,211,165.01 7.75 8.60
65 - - - 5,065,057.79 8.65 9.50 4,115,539.83 7.75 8.60
66 - - - 4,949,961.79 8.65 9.50 4,022,020.23 7.75 8.60
67 - - - 4,837,401.21 8.65 9.50 3,930,560.76 7.75 8.60
68 - - - 4,727,325.03 8.65 9.50 3,841,119.94 7.75 8.60
69 - - - 4,619,675.80 8.70 9.50 3,753,651.11 7.80 8.60
70 - - - 4,514,401.09 8.70 9.50 3,668,111.65 7.80 8.60
71 - - - 4,411,449.57 8.70 9.50 3,584,459.88 7.80 8.60
72 - - - 4,310,771.02 8.70 9.50 3,502,654.97 7.80 8.60
73 - - - 4,212,316.29 8.70 9.50 3,422,656.99 7.80 8.60
74 - - - 4,116,037.26 8.70 9.50 3,344,426.86 7.80 8.60
75 - - - 4,021,886.87 8.70 9.50 3,267,926.31 7.80 8.60
76 - - - 3,929,819.03 8.70 9.50 3,193,117.91 7.80 8.60
77 - - - 3,839,788.65 8.70 9.50 3,119,965.03 7.80 8.60
78 - - - 3,751,751.61 8.70 9.50 3,048,431.79 7.80 8.60
79 - - - 3,665,664.71 8.70 9.50 2,978,483.12 7.80 8.60
80 - - - 3,581,480.01 8.70 9.50 2,910,080.05 7.80 8.60
81 - - - 3,499,147.82 8.85 9.50 2,843,182.22 7.95 8.60
82 - - - 3,418,642.01 8.85 9.50 2,777,768.38 7.95 8.60
83 - - - 3,339,923.50 8.85 9.50 2,713,806.79 7.95 8.60
84 - - - 3,262,953.48 8.85 9.50 2,651,265.90 7.95 8.60
85 - - - 3,187,693.98 8.85 9.50 2,590,114.88 7.95 8.60
86 - - - 3,114,107.86 8.85 9.50 2,530,323.54 7.95 8.60
87 - - - 3,042,158.75 8.85 9.50 2,471,862.33 7.95 8.60
88 - - - 2,971,811.08 8.85 9.50 2,414,702.33 7.95 8.60
89 - - - 2,903,030.01 8.85 9.50 2,358,815.27 7.95 8.60
90 - - - 2,835,781.49 8.85 9.50 2,304,173.45 7.95 8.60
Interest Rate Cap Schedules (Continued)
Class B Cap
---------------------------------------
Period Balance ($) Strike % Ceiling %
44 6,635,723.12 5.25 7.25
45 6,488,409.72 5.25 7.25
46 6,344,286.67 5.50 7.25
47 6,202,974.30 5.50 7.25
48 6,064,731.82 5.50 7.25
49 5,929,480.08 5.50 7.25
50 5,797,035.75 5.50 7.25
51 5,667,474.81 6.00 7.25
52 5,540,164.90 6.00 7.25
53 5,415,563.85 6.00 7.25
54 5,293,688.83 6.00 7.25
55 5,174,443.96 6.00 7.25
56 5,057,757.55 6.35 7.25
57 4,943,528.68 6.35 7.25
58 4,831,805.94 6.35 7.25
59 4,722,535.87 6.35 7.25
60 4,615,665.63 6.35 7.25
61 4,511,143.50 6.35 7.25
62 4,408,918.88 6.35 7.25
63 4,308,942.21 6.40 7.25
64 4,211,165.01 6.40 7.25
65 4,115,539.83 6.40 7.25
66 4,022,020.23 6.40 7.25
67 3,930,560.76 6.40 7.25
68 3,841,119.94 6.40 7.25
69 3,753,651.11 6.45 7.25
70 3,668,111.65 6.45 7.25
71 3,584,459.88 6.45 7.25
72 3,502,654.97 6.45 7.25
73 3,422,656.99 6.45 7.25
74 3,344,426.86 6.45 7.25
75 3,267,926.31 6.45 7.25
76 3,193,117.91 6.45 7.25
77 3,119,965.03 6.45 7.25
78 3,048,431.79 6.45 7.25
79 2,978,483.12 6.45 7.25
80 2,910,080.05 6.45 7.25
81 2,843,182.22 6.60 7.25
82 2,777,768.38 6.60 7.25
83 2,713,806.79 6.60 7.25
84 2,651,265.90 6.60 7.25
85 2,590,114.88 6.60 7.25
86 2,530,323.54 6.60 7.25
87 2,471,862.33 6.60 7.25
88 2,414,702.33 6.60 7.25
89 2,358,815.27 6.60 7.25
90 2,304,173.45 6.60 7.25
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 20
Interest Rate Cap Schedules
Class A Cap Class M-1 Cap Class M-2 Cap
------------------------------------ --------------------------------------- -------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
91 - - - 2,770,032.16 8.85 9.50 2,250,749.78 7.95 8.60
92 - - - 2,705,749.39 8.85 9.50 2,198,517.74 7.95 8.60
93 - - - 2,642,901.25 8.85 9.50 2,147,451.39 7.95 8.60
94 - - - 2,581,456.50 8.85 9.50 2,097,525.34 7.95 8.60
95 - - - 2,521,384.55 8.85 9.50 2,048,714.74 7.95 8.60
96 - - - 2,462,675.53 8.85 9.50 2,001,011.57 7.95 8.60
97 - - - 2,405,279.50 8.85 9.50 1,954,375.25 7.95 8.60
98 - - - 2,349,167.81 8.85 9.50 1,908,782.51 7.95 8.60
99 - - - 2,294,312.45 8.90 9.50 1,864,210.57 8.00 8.60
100 - - - 2,240,686.00 8.90 9.50 1,820,637.17 8.00 8.60
101 - - - 2,188,261.61 8.90 9.50 1,778,040.49 8.00 8.60
102 - - - 2,137,013.04 8.90 9.50 1,736,399.20 8.00 8.60
Interest Rate Cap Schedules (Continued)
Class B Cap
--------------------------------------
Period Balance Strike % Ceiling %
91 2,250,749.78 6.60 7.25
92 2,198,517.74 6.60 7.25
93 2,147,451.39 6.60 7.25
94 2,072,003.06 6.60 7.25
95 1,993,155.87 6.60 7.25
96 1,916,097.58 6.60 7.25
97 1,840,762.64 6.60 7.25
98 1,767,113.47 6.60 7.25
99 1,695,113.29 6.65 7.25
100 1,624,726.10 6.65 7.25
101 1,555,916.68 6.65 7.25
102 1,488,650.57 6.65 7.25
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 21
Description of Total Collateral
The following summarizes the characteristics of the Mortgage Loans (percentages
are based on the aggregate Principal Balances as of January 1, 2004). The
characteristics of the Mortgage Loans in the Prospectus Supplement will
supersede the descriptions of the characteristics below.
Aggregate Current Principal Balance: $263,255,465
Average Outstanding Principal Balance: $185,915
Range of Outstanding Principal Balances: $9,878 to $1,261,600
Loans with Current Prepayment Penalties: 25.9%
Fixed Rate / Adjustable Rate: 44.23% / 55.77%
Second Liens: 1.95%
FHA/VA Insured Mortgage Loans: 0.38%
Simple Interest Loans: 0.03%
Loans with Insurance: 8.2%
Negative Amortization Loans: 3.2%
Balloon Loans: 0.83%
Performing Loans: 92.98%
Sub-Performing Loans: 4.82%
Sub-Performing Loans that are Payment Plan Loans: 1.51%
Sub-Performing Loans that are Bankruptcy Plan Loans: 0.06%
Re-Performing Loans: 2.20%
Re-Performing Loans that are Payment Plan Loans: 0.41%
Re-Performing Loans that are Bankruptcy Plan Loans: 1.17%
Weighted Average Loan Rate: 6.640%
Range of Loan Rates: 2.875% to 13.990%
Weighted Average Combined Amortized LTV(1): 71.66%
Weighted Average Original Term to Maturity: 336
Weighted Average Remaining Term to Stated Maturity: 319
Weighted Average FICO Score: 652
Max Zip Code Concentration (%): 0.81%
Max Zip Code Concentration (zip): 94583
Top 5 Geographic Concentrations (State):
California 35.96%
New York 8.03%
Florida 6.27%
Texas 4.15%
Illinois 3.83%
Notes:
1. The sum of the first and, if any, second amortized liens divided by the
appraised value of the property.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 22
2004-SD1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
January 1, 2004 Scheduled Balances 1,416 records
All records Balance: 263,255,465
================================================================================
1. Summary Statistics
----------------------------------------------
Number of Mortgage Loans: 1,416
Aggregate Principal Balance: 263,255,465.00
Maximum Balance: 1,261,600.00
Minimum Balance: 9,877.96
Average Current Balance: 185,914.88
Average Original Balance: 192,635.00
-----------------------------------------:
% FRM: 44.23
% ARM: 55.77
% Performing: 92.98
% Subperforming: 4.82
% Reperforming: 2.20
-----------------------------------------:
Weighted Average Coupon: 6.640
Weighted Average Net Coupon: 6.232
Maximum Coupon: 13.990
Minimum Coupon: 2.875
Weighted Average Margin: 4.298
Weighted Average Maximum Rate: 12.654
-----------------------------------------:
Weighted Average Months to Roll: 29.301
Weighted Average Original Term: 336
Weighted Average Stated Remaining Term: 319
Weighted Average Amortized Remaining Term: 319
Weighted Average Seasoning: 17
Weighted Average Combined Amortized LTV: 71.66
-----------------------------------------:
% First Lien: 98.1
% Second Lien: 1.9
% Cash-Out Refinance: 40.2
% Owner Occupied: 90.0
% with MI: 8.2
% with Prepay Penalty: 25.9
% BK: 1.3
% with Payment Plans: 4.1
Non-Zero Weighted Average FICO Score: 652.1
----------------------------------------------
% of
Number Total Total Wtd
of Current Current Avg
Acquisition Sources Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Bank of America 385 91,585,690 34.79 5.728
New Century 410 55,234,776 20.98 8.282
OTHER 364 55,184,635 20.96 7.775
Washington Mutual 257 61,250,364 23.27 5.502
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
of Current Current Avg
SubGroup Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Performing 1,272 244,769,412 92.98 6.484
Reperforming 58 5,792,560 2.2 10.282
Subperforming 86 12,693,493 4.82 7.994
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
2004-SD1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
January 1, 2004 Scheduled Balances 1,416 records
All records Balance: 263,255,465
================================================================================
% of
Number Total Total Wtd
of Current Current Avg
Current Mortgage Rates (%) Loans Balance Balance Coupon
--------------------------------------------------------------------------------
<= 3.500 2 357,962 0.14 2.918
3.501 - 4.000 35 6,664,085 2.53 3.871
4.001 - 4.500 77 18,404,777 6.99 4.355
4.501 - 5.000 103 18,780,475 7.13 4.818
5.001 - 5.500 163 45,820,653 17.41 5.313
5.501 - 6.000 139 35,792,487 13.60 5.847
6.001 - 6.500 100 23,366,791 8.88 6.315
6.501 - 7.000 100 20,314,482 7.72 6.848
7.001 - 7.500 108 17,667,735 6.71 7.355
7.501 - 8.000 125 24,059,624 9.14 7.833
8.001 - 8.500 81 13,398,149 5.09 8.334
8.501 - 9.000 80 13,479,755 5.12 8.805
9.001 - 9.500 61 6,713,977 2.55 9.280
9.501 - 10.000 48 4,730,890 1.80 9.830
10.001 - 10.500 33 2,993,462 1.14 10.324
10.501 - 11.000 82 5,470,262 2.08 10.875
11.001 - 11.500 26 1,632,477 0.62 11.309
11.501 - 12.000 25 1,715,176 0.65 11.850
12.001 - 12.500 10 451,303 0.17 12.313
12.501 - 13.000 10 994,253 0.38 12.859
13.001 >= 8 446,690 0.17 13.689
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
Minimum: 2.875
Maximum: 13.990
Weighted Average: 6.640
--------------------------------------------------------------------------------
================================================================================
% of
Number Total Total Wtd
Range of Cut-off Date of Current Current Avg
Principal Balances ($) Loans Balance Balance Coupon
--------------------------------------------------------------------------------
1 - 25,000 61 1,280,393 0.49 9.099
25,001 - 50,000 156 5,705,167 2.17 8.999
50,001 - 75,000 156 9,774,881 3.71 8.253
75,001 - 100,000 163 14,171,959 5.38 7.283
100,001 - 125,000 134 15,129,897 5.75 6.970
125,001 - 150,000 121 16,567,328 6.29 7.020
150,001 - 175,000 102 16,589,684 6.30 6.966
175,001 - 200,000 82 15,252,966 5.79 6.964
200,001 - 225,000 52 10,894,261 4.14 6.986
225,001 - 250,000 48 11,354,008 4.31 6.881
250,001 - 275,000 34 8,958,205 3.40 6.926
275,001 - 300,000 34 9,795,216 3.72 7.013
300,001 - 325,000 42 13,176,138 5.01 6.021
325,001 - 350,000 40 13,447,379 5.11 6.577
350,001 - 375,000 27 9,825,751 3.73 6.379
375,001 - 400,000 35 13,529,416 5.14 6.633
400,001 - 425,000 14 5,826,557 2.21 6.628
425,001 - 450,000 18 7,865,712 2.99 6.607
450,001 - 475,000 8 3,703,452 1.41 6.161
475,001 - 500,000 13 6,354,922 2.41 5.255
500,001 - 750,000 56 33,832,402 12.85 5.771
750,001 - 1,000,000 12 11,086,456 4.21 5.368
1,000,001 >= 8 9,133,316 3.47 5.577
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
Minimum: 9,878
Maximum: 1,261,600
Average: 185,915
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
2004-SD1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
January 1, 2004 Scheduled Balances 1,416 records
All records Balance: 263,255,465
================================================================================
% of
Number Total Total Wtd
Combined Amortized of Current Current Avg
Loan-to-Value Ratio (%) Loans Balance Balance Coupon
--------------------------------------------------------------------------------
<= 40.00 77 13,164,417 5.00 5.755
40.01 - 45.00 37 8,899,467 3.38 5.920
45.01 - 50.00 37 7,435,868 2.82 5.486
50.01 - 55.00 39 6,352,589 2.41 6.215
55.01 - 60.00 75 16,015,849 6.08 6.101
60.01 - 65.00 91 17,072,254 6.49 6.476
65.01 - 70.00 128 31,833,046 12.09 6.431
70.01 - 75.00 181 40,905,124 15.54 6.330
75.01 - 80.00 282 57,475,565 21.83 6.546
80.01 - 85.00 127 20,705,529 7.87 8.071
85.01 - 90.00 135 24,346,453 9.25 7.206
90.01 - 95.00 64 9,916,367 3.77 7.135
95.01 - 100.00 141 8,978,991 3.41 8.523
100.01 >= 2 153,946 0.06 9.045
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
Minimum: 2.79
Maximum: 108.20
Weighted Average by Original Balance: 70.88
Weighted Average by Current Balance: 71.66
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
of Current Current Avg
Adjustment Type Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Fixed Rate 726 116,442,508 44.23 6.824
ARM 690 146,812,957 55.77 6.495
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
of Current Current Avg
Product Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Fixed - 10 Year 2 179,422 0.07 11.035
Fixed - 15 Year 171 24,667,717 9.37 5.861
Fixed - 20 Year 99 5,235,340 1.99 9.307
Fixed - 30 Year 412 84,187,953 31.98 6.901
Balloon - 5/30 4 294,957 0.11 7.339
Balloon - 15/30 38 1,877,120 0.71 8.608
ARM - 1 Month LIBOR 58 7,574,280 2.88 4.973
ARM - 6 Month LIBOR 12 1,143,158 0.43 10.318
ARM - 2 Year/6 Month LIBOR 377 65,647,885 24.94 8.138
ARM - 3 Year/6 Month LIBOR 16 1,974,273 0.75 9.115
ARM - 5 Year/6 Month LIBOR 4 695,236 0.26 7.076
ARM - 8 Year/1 Year 1 12,294 0.00 6.000
ARM - 1 Year CMT 32 2,516,660 0.96 4.582
ARM - 3 Year/1 Year 32 10,299,642 3.91 4.421
ARM - 5 Year/1 Year 84 25,122,160 9.54 5.005
ARM - 5 Year/1 Year 46 26,073,111 9.90 5.214
Interest-Only
ARM - 3 Year/1 Year 3 1,076,046 0.41 5.422
Interest-Only
ARM - 7 Year/1 Year 25 4,678,212 1.78 4.750
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
2004-SD1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
January 1, 2004 Scheduled Balances 1,416 records
All records Balance: 263,255,465
================================================================================
% of
Number Total Total Wtd
of Current Current Avg
Loan Index Type Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Fixed Rate 726 116,442,508 44.23 6.824
Monthly Treasury Average 2 776,940 0.30 3.770
1 Year CMT 101 35,116,260 13.34 5.271
6 Month LIBOR 409 69,460,552 26.39 8.191
1 Year LIBOR 120 33,884,924 12.87 4.688
COFI - 1 Month 58 7,574,280 2.88 4.973
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
Range of Stated Original of Current Current Avg
Terms (months) Loans Balance Balance Coupon
--------------------------------------------------------------------------------
1 - 60 1 54,106 0.02 12.85
61 - 120 20 2,474,904 0.94 6.412
121 - 180 207 26,204,805 9.95 6.084
181 - 240 105 6,711,980 2.55 8.544
241 - 300 10 1,388,817 0.53 6.256
301 - 360 1,061 224,897,790 85.43 6.652
361 >= 12 1,523,062 0.58 6.578
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
Minimum: 60
Maximum: 482
Weighted Average: 336
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
Remaining Term of Current Current Avg
to Stated Maturity Loans Balance Balance Coupon
--------------------------------------------------------------------------------
1 - 60 8 600,988 0.23 7.766
61 - 120 44 5,194,796 1.97 7.176
121 - 180 212 24,470,804 9.30 5.863
181 - 240 129 9,542,224 3.62 7.753
241 - 300 66 9,037,313 3.43 6.451
301 - 360 954 214,009,982 81.29 6.675
361 >= 3 399,358 0.15 4.636
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
Minimum: 22
Maximum: 414
Weighted Average: 319.2
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
2004-SD1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
January 1, 2004 Scheduled Balances 1,416 records
All records Balance: 263,255,465
================================================================================
% of
Number Total Total Wtd
of Current Current Avg
Seasoning Loans Balance Balance Coupon
--------------------------------------------------------------------------------
1 - 12 999 193,116,954 73.36 6.481
13 - 24 167 32,440,688 12.32 6.462
25 - 36 50 14,154,084 5.38 8.036
37 - 48 23 4,752,226 1.81 8.780
49 - 60 22 2,463,587 0.94 9.768
61 - 72 34 5,793,528 2.20 7.619
73 - 84 20 2,026,676 0.77 5.417
85 - 96 7 807,947 0.31 6.973
97 - 108 12 899,251 0.34 7.116
109 - 120 19 2,093,749 0.80 5.819
121 - 132 11 1,303,657 0.50 5.012
133 - 144 4 446,800 0.17 5.369
145 - 156 3 399,317 0.15 7.259
157 - 168 10 1,065,283 0.40 6.227
169 - 180 5 298,412 0.11 9.352
181 - 192 8 392,424 0.15 5.078
193 - 204 2 108,212 0.04 7.535
205 - 216 2 124,360 0.05 9.507
217 - 228 6 199,370 0.08 4.627
229 - 240 9 306,557 0.12 4.638
241 - 252 1 24,921 0.01 3.490
301 - 312 1 19,796 0.01 9.500
361 >= 1 17,664 0.01 7.250
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
Minimum: 2
Maximum: 375
Weighted Average: 17.3
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
of Current Current Avg
Property Type Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Single Family 1,097 204,506,778 77.68 6.650
Condominium 115 19,221,847 7.30 6.196
Planned Unit Development 87 17,966,772 6.82 6.559
2-4 Family 95 17,523,637 6.66 7.291
Co-op 17 3,528,457 1.34 5.537
Rowhouse 2 247,548 0.09 9.570
Townhouse 2 194,599 0.07 5.078
Manufactured Housing 1 65,827 0.03 7.500
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
of Current Current Avg
Occupancy Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Primary 1,250 236,970,986 90.02 6.669
Investment 123 15,246,673 5.79 6.704
Second Home 39 10,700,723 4.06 5.908
Unknown 4 337,082 0.13 6.747
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
of Current Current Avg
Purpose Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Refinance - Cashout 546 102,473,509 38.93 7.037
Refinance - Rate Term 369 79,233,925 30.10 6.112
Purchase 483 78,287,374 29.74 6.650
Construction/Permanent 18 3,260,657 1.24 6.768
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
of Current Current Avg
Documentation Level Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Full Documentation 927 158,272,709 60.12 6.662
Stated Documentation 373 77,966,336 29.62 6.614
Limited Documentation 68 16,629,287 6.32 6.719
Streamline Documentation 26 7,067,418 2.68 6.488
No Documentation 22 3,319,715 1.26 6.169
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
Lien of Current Current Avg
Position Loans Balance Balance Coupon
--------------------------------------------------------------------------------
1st Lien 1,284 258,124,590 98.05 6.567
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
2004-SD1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
January 1, 2004 Scheduled Balances 1,416 records
All records Balance: 263,255,465
================================================================================
2nd Lien 132 5,130,875 1.95 10.322
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100 6.64
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
FICO of Current Current Avg
Score Loans Balance Balance Coupon
--------------------------------------------------------------------------------
NA 5 1,014,576 0.36 6.072
Below 500 53 7,717,241 2.93 8.883
500 - 524 105 13,173,619 5.00 8.570
525 - 549 154 21,992,594 8.35 8.192
550 - 574 122 19,110,889 7.26 7.908
575 - 599 99 16,656,194 6.33 7.631
600 - 624 127 19,600,410 7.45 7.592
625 - 649 120 18,488,621 7.02 6.767
650 - 674 104 23,052,609 8.76 6.040
675 - 699 129 31,690,407 12.04 6.034
700 - 724 125 30,688,645 11.66 5.702
725 - 749 111 24,060,386 9.14 5.447
750 - 774 91 18,954,382 7.20 5.374
775 - 799 65 15,893,583 6.04 5.256
800 + 6 1,161,309 0.44 5.421
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
Minimum: 441
Maximum: 810
Weighted Average: 652.1
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
Months of Current Current Avg
Delinquent Loans Balance Balance Coupon
--------------------------------------------------------------------------------
0 1,272 244,769,412 92.98 6.484
1 61 9,061,732 3.44 7.684
2 25 3,631,760 1.38 8.768
3 8 966,387 0.37 9.858
4 5 763,976 0.29 9.315
5 3 313,787 0.12 12.050
6 1 166,573 0.06 10.900
7 1 409,066 0.16 9.750
8 2 138,054 0.05 11.500
9 2 398,219 0.15 11.585
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
2004-SD1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
January 1, 2004 Scheduled Balances 1,416 records
All records Balance: 263,255,465
================================================================================
10 3 172,922 0.07 11.626
11 1 19,893 0.01 7.500
12 2 140,157 0.05 12.148
15 2 221,358 0.08 8.789
19 2 157,951 0.06 6.108
21 1 23,269 0.01 11.650
22 2 93,716 0.04 12.259
23 2 148,718 0.06 11.812
24 1 67,075 0.03 10.250
25 1 70,051 0.03 10.500
26 1 54,459 0.02 7.125
27 3 151,686 0.06 10.471
28 2 203,059 0.08 11.795
29 1 149,793 0.06 11.100
30 3 266,415 0.1 5.8700
31 1 72,071 0.03 10.625
32 3 292,970 0.11 12.209
33 1 50,704 0.02 9.750
34 1 50,644 0.02 9.625
35 1 149,638 0.06 12.650
36 1 31,861 0.01 9.000
37 1 48,089 0.02 13.625
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
Minimum: 0
Maximum: 37
Weighted Average: 0.4
--------------------------------------------------------------------------------
% of
Geographic Number Total Total Wtd
Distribution of Current Current Avg
by State Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Alabama 9 384,640 0.15 6.705
Arizona 38 5,783,358 2.20 5.953
Arkansas 6 536,066 0.20 6.480
California 356 94,659,225 35.96 6.321
Colorado 29 5,575,997 2.12 6.138
Connecticut 15 3,889,185 1.48 5.638
District of Columbia 5 728,706 0.28 8.447
Delaware 14 3,396,573 1.29 5.566
Florida 121 16,506,008 6.27 6.466
Georgia 36 5,076,394 1.93 6.759
Hawaii 2 539,640 0.20 7.252
Idaho 8 572,869 0.22 7.401
Illinois 55 10,083,609 3.83 6.898
Indiana 15 1,268,148 0.48 7.960
Iowa 7 641,856 0.24 5.998
Kansas 9 1,051,092 0.40 5.688
Kentucky 3 547,271 0.21 7.595
Louisiana 9 1,505,375 0.57 7.714
Maine 3 414,174 0.16 8.023
Maryland 42 6,532,806 2.48 6.974
Massachusetts 25 7,255,545 2.76 6.416
Michigan 49 5,468,567 2.08 8.381
Minnesota 18 2,386,890 0.91 7.801
Mississippi 4 283,190 0.11 8.951
Missouri 40 5,082,251 1.93 6.303
Nebraska 2 119,836 0.05 10.219
Nevada 13 2,160,200 0.82 7.041
New Hampshire 2 260,956 0.10 7.011
New Jersey 41 9,302,791 3.53 7.532
New Mexico 18 2,648,384 1.01 7.417
New York 85 21,152,053 8.03 6.528
North Carolina 45 7,394,671 2.81 6.387
Ohio 21 2,294,684 0.87 8.694
Oklahoma 11 1,097,023 0.42 7.645
Oregon 17 2,083,785 0.79 7.947
Pennsylvania 28 3,172,455 1.21 7.115
Rhode Island 4 974,823 0.37 6.104
South Carolina 22 3,581,446 1.36 6.605
Tennessee 29 3,954,816 1.50 7.183
Texas 87 10,929,258 4.15 7.374
Utah 8 753,844 0.29 7.589
Vermont 4 869,297 0.33 8.225
Virginia 35 5,283,920 2.01 6.590
Washington 21 3,822,737 1.45 6.507
West Virginia 1 146,716 0.06 6.375
Wisconsin 3 883,909 0.34 5.613
Wyoming 1 198,428 0.08 6.750
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
Number of States Represented: 47
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
2004-SD1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
January 1, 2004 Scheduled Balances 1,416 records
All records Balance: 263,255,465
================================================================================
% of
Geographic Number Total Total Wtd
Distribution of Current Current Avg
by Balance Loans Balance Balance Coupon
--------------------------------------------------------------------------------
California 356 94,659,225 35.96 6.321
New York 85 21,152,053 8.03 6.528
Florida 121 16,506,008 6.27 6.466
Texas 87 10,929,258 4.15 7.374
Illinois 55 10,083,609 3.83 6.898
New Jersey 41 9,302,791 3.53 7.532
North Carolina 45 7,394,671 2.81 6.387
Massachusetts 25 7,255,545 2.76 6.416
Maryland 42 6,532,806 2.48 6.974
Arizona 38 5,783,358 2.20 5.953
Colorado 29 5,575,997 2.12 6.138
Michigan 49 5,468,567 2.08 8.381
Virginia 35 5,283,920 2.01 6.590
Missouri 40 5,082,251 1.93 6.303
Georgia 36 5,076,394 1.93 6.759
Tennessee 29 3,954,816 1.50 7.183
Connecticut 15 3,889,185 1.48 5.638
Washington 21 3,822,737 1.45 6.507
South Carolina 22 3,581,446 1.36 6.605
District of Columbia 14 3,396,573 1.29 5.566
Other 231 28,524,257 10.84 7.431
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
Number of States Represented: 47
--------------------------------------------------------------------------------
% of
Number Total Total Wtd
Primary Mortgage of Current Current Avg
Insurance Loans Balance Balance Coupon
--------------------------------------------------------------------------------
Government Insured 7 982,115 0.37 6.124
Over 80, No PMI 214 38,761,802 14.72 7.983
Over 80, PMI 116 19,226,494 7.30 6.386
Under 80, No PMI 1,079 204,285,055 77.60 6.412
--------------------------------------------------------------------------------
Total: 1,416 263,255,465 100.00 6.640
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
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material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
