Carrington Mortgage Loan Trust, Series 2007-HE1 Inactive
Filed: 25 Jun 07, 12:00am
Carrington Mortgage Loan Trust, Series 2007-HE1
Asset Backed Pass-Through Certificates, Series 2007-HE1
$361,018,000 (approximate)
Subject to Revision
June 25, 2007 - Free Writing Prospectus
The depositor has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the depositor has filed with the SEC for more complete information about the depositor and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer or any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling 1-212-834-4154 (collect call) or by emailing Randall Outlaw at randall.outlaw@jpmorgan.com.
This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase, supersedes information contained in any prior similar free writing prospectus relating to these securities. This free writing prospectus is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted.
This free writing prospectus is being delivered to you solely to provide you with information about the offering of the asset-backed securities referred to in this free writing prospectus and to solicit an indication of your interest in purchasing such securities, when, as and if issued. Any such indication of interest will not constitute a contractual commitment by you to purchase any of the securities.
THE INFORMATION CONTAINED IN THIS COMMUNICATION IS SUBJECT TO CHANGE, COMPLETION OR AMENDMENT FROM TIME TO TIME. YOU SHOULD CONSULT YOUR OWN COUNSEL, ACCOUNTANT AND OTHER ADVISORS AS TO THE LEGAL, TAX, BUSINESS, FINANCIAL AND RELATED ASPECTS OF A PURCHASE OF THESE SECURITIES.
The attached information may contain certain tables and other statistical analyses (the "Computational Materials") that have been prepared in reliance upon information furnished by the issuer, the preparation of which used numerous assumptions which may or may not be reflected herein. As such, no assurance can be given as to the appropriateness of the Computational Materials for any particular context; or as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions. The specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the final underlying assets and the preliminary underlying assets used in preparing the Computational Materials. Neither JPMorgan nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments or losses on any of the underlying assets or the payments or yield on the securities.
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY JPMORGAN AND NOT BY THE ISSUER OR ANY OF ITS AFFILIATES (OTHER THAN JPMORGAN). JPMORGAN IS ACTING AS UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUER IN CONNECTION WITH THE OFFERING TO WHICH THIS COMMUNICATION RELATES.
Copyright 2006 JPMorgan Chase & Co. - All rights reserved. J.P. Morgan Securities Inc. (JPMSI), member NYSE and SIPC. JPMorgan is the marketing name used by the specific legal entity or entities named in the attached materials. Clients should contact analysts and execute transactions through a JPMorgan Chase & Co. subsidiary or affiliate in their home jurisdiction unless governing law permits otherwise.
JPMORGAN
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
1
New Issue Free Writing Prospectus
$361,018,000
(Approximate)
Carrington Securities, LP
Sponsor
Carrington Mortgage Services, LLC
Servicer
Wells Fargo Bank, N.A.
Master Servicer & Securities Administrator
EMC Mortgage Corporation
Interim Servicer & Responsible Party
Stanwich Asset Acceptance Company, L.L.C.
Depositor
Carrington Mortgage Loan Trust, Series 2007-HE1
Issuing Entity
June 25, 2007
Expected Timing: | Pricing Date: | On or about June 29, 2007 |
| Closing Date: | On or about July 12, 2007 | |
| First Payment Date: | July 25, 2007, or first business day thereafter | |
Structure: | Bond Structure: | $361,018,000 (approximate) senior/subordinate, floating rate certificates |
| Rating Agencies: | Moody’s, Standard & Poor’s, DBRS and Fitch |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
2
Weighted Average Life Sensitivity | |||||
To Optional Redemption | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class A-1 | |||||
| WAL | 16.90 | 1.62 | 1.00 | 0.74 | 0.60 |
| Principal Window | 1 - 296 | 1 - 36 | 1 - 22 | 1 - 16 | 1 - 12 |
| Principal Window End | 2/25/2032 | 6/25/2010 | 4/25/2009 | 10/25/2008 | 6/25/2008 |
Class A-2 | |||||
| WAL | 26.59 | 3.94 | 2.00 | 1.53 | 1.17 |
| Principal Window | 296 - 349 | 36 - 68 | 22 - 28 | 16 - 22 | 12 - 17 |
| Principal Window End | 7/25/2036 | 2/25/2013 | 10/25/2009 | 4/25/2009 | 11/25/2008 |
Class A-3 | |||||
| WAL | 29.76 | 8.49 | 3.00 | 1.89 | 1.54 |
| Principal Window | 349 - 359 | 68 - 154 | 28 - 74 | 22 - 25 | 17 - 21 |
| Principal Window End | 5/25/2037 | 4/25/2020 | 8/25/2013 | 7/25/2009 | 3/25/2009 |
Class A-4 | |||||
| WAL | 29.87 | 13.34 | 6.43 | 2.08 | 1.80 |
| Principal Window | 359 - 359 | 154 - 161 | 74 - 78 | 25 - 26 | 21 - 23 |
| Principal Window End | 5/25/2037 | 11/25/2020 | 12/25/2013 | 8/25/2009 | 5/25/2009 |
Class M-1 | |||||
| WAL | 29.42 | 8.75 | 5.15 | 3.78 | 2.56 |
| Principal Window | 326 - 359 | 51 - 161 | 50 - 78 | 26 - 47 | 23 - 35 |
| Principal Window End | 5/25/2037 | 11/25/2020 | 12/25/2013 | 5/25/2011 | 5/25/2010 |
Class M-2 | |||||
| WAL | 29.42 | 8.75 | 4.71 | 3.38 | 2.75 |
| Principal Window | 326 - 359 | 51 - 161 | 45 - 78 | 36 - 47 | 31 - 35 |
| Principal Window End | 5/25/2037 | 11/25/2020 | 12/25/2013 | 5/25/2011 | 5/25/2010 |
Class M-3 | |||||
| WAL | 29.42 | 8.75 | 4.59 | 3.15 | 2.53 |
| Principal Window | 326 - 359 | 51 - 161 | 43 - 78 | 34 - 47 | 29 - 35 |
| Principal Window End | 5/25/2037 | 11/25/2020 | 12/25/2013 | 5/25/2011 | 5/25/2010 |
Class M-4 | |||||
| WAL | 29.42 | 8.75 | 4.54 | 3.06 | 2.44 |
| Principal Window | 326 - 359 | 51 - 161 | 42 - 78 | 33 - 47 | 27 - 35 |
| Principal Window End | 5/25/2037 | 11/25/2020 | 12/25/2013 | 5/25/2011 | 5/25/2010 |
* 85% CPR maximum in any given period.
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
3
Weighted Average Life Sensitivity | |||||
To Optional Redemption | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class M-5 | |||||
| WAL | 29.42 | 8.75 | 4.50 | 3.00 | 2.38 |
| Principal Window | 326 - 359 | 51 - 161 | 41 - 78 | 32 - 47 | 26 - 35 |
| Principal Window End | 5/25/2037 | 11/25/2020 | 12/25/2013 | 5/25/2011 | 5/25/2010 |
Class M-6 | |||||
| WAL | 29.42 | 8.75 | 4.46 | 2.95 | 2.34 |
| Principal Window | 326 - 359 | 51 - 161 | 40 - 78 | 31 - 47 | 26 - 35 |
| Principal Window End | 5/25/2037 | 11/25/2020 | 12/25/2013 | 5/25/2011 | 5/25/2010 |
Class M-7 | |||||
| WAL | 29.42 | 8.75 | 4.44 | 2.90 | 2.31 |
| Principal Window | 326 - 359 | 51 - 161 | 39 - 78 | 30 - 47 | 25 - 35 |
| Principal Window End | 5/25/2037 | 11/25/2020 | 12/25/2013 | 5/25/2011 | 5/25/2010 |
Class M-8 | |||||
| WAL | 29.42 | 8.75 | 4.42 | 2.87 | 2.29 |
| Principal Window | 326 - 359 | 51 - 161 | 39 - 78 | 29 - 47 | 25 - 35 |
| Principal Window End | 5/25/2037 | 11/25/2020 | 12/25/2013 | 5/25/2011 | 5/25/2010 |
* 85% CPR maximum in any given period.
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
4
Weighted Average Life Sensitivity | |||||
To Maturity | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class A-1 | |||||
| WAL | 16.90 | 1.62 | 1.00 | 0.74 | 0.60 |
| Principal Window | 1 - 296 | 1 - 36 | 1 - 22 | 1 - 16 | 1 - 12 |
| Principal Window End | 2/25/2032 | 6/25/2010 | 4/25/2009 | 10/25/2008 | 6/25/2008 |
Class A-2 | |||||
| WAL | 26.59 | 3.94 | 2.00 | 1.53 | 1.17 |
| Principal Window | 296 - 349 | 36 - 68 | 22 - 28 | 16 - 22 | 12 - 17 |
| Principal Window End | 7/25/2036 | 2/25/2013 | 10/25/2009 | 4/25/2009 | 11/25/2008 |
Class A-3 | |||||
| WAL | 29.76 | 8.49 | 3.00 | 1.89 | 1.54 |
| Principal Window | 349 - 359 | 68 - 154 | 28 - 74 | 22 - 25 | 17 - 21 |
| Principal Window End | 5/25/2037 | 4/25/2020 | 8/25/2013 | 7/25/2009 | 3/25/2009 |
Class A-4 | |||||
| WAL | 29.87 | 17.82 | 8.88 | 2.08 | 1.80 |
| Principal Window | 359 - 359 | 154 - 336 | 74 - 186 | 25 - 26 | 21 - 23 |
| Principal Window End | 5/25/2037 | 6/25/2035 | 12/25/2022 | 8/25/2009 | 5/25/2009 |
Class M-1 | |||||
| WAL | 29.42 | 9.72 | 5.67 | 5.20 | 3.47 |
| Principal Window | 326 - 359 | 51 - 310 | 50 - 165 | 26 - 118 | 23 - 83 |
| Principal Window End | 5/25/2037 | 4/25/2033 | 3/25/2021 | 4/25/2017 | 5/25/2014 |
Class M-2 | |||||
| WAL | 29.42 | 9.69 | 5.22 | 3.71 | 2.98 |
| Principal Window | 326 - 359 | 51 - 296 | 45 - 154 | 36 - 96 | 31 - 68 |
| Principal Window End | 5/25/2037 | 2/25/2032 | 4/25/2020 | 6/25/2015 | 2/25/2013 |
Class M-3 | |||||
| WAL | 29.42 | 9.67 | 5.08 | 3.46 | 2.73 |
| Principal Window | 326 - 359 | 51 - 283 | 43 - 146 | 34 - 91 | 29 - 64 |
| Principal Window End | 5/25/2037 | 1/25/2031 | 8/25/2019 | 1/25/2015 | 10/25/2012 |
Class M-4 | |||||
| WAL | 29.42 | 9.65 | 5.01 | 3.37 | 2.64 |
| Principal Window | 326 - 359 | 51 - 276 | 42 - 141 | 33 - 88 | 27 - 62 |
| Principal Window End | 5/25/2037 | 6/25/2030 | 3/25/2019 | 10/25/2014 | 8/25/2012 |
* 85% CPR maximum in any given period.
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
5
Weighted Average Life Sensitivity | |||||
To Maturity | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class M-5 | |||||
| WAL | 29.42 | 9.62 | 4.95 | 3.30 | 2.57 |
| Principal Window | 326 - 359 | 51 - 268 | 41 - 136 | 32 - 84 | 26 - 60 |
| Principal Window End | 5/25/2037 | 10/25/2029 | 10/25/2018 | 6/25/2014 | 6/25/2012 |
Class M-6 | |||||
| WAL | 29.42 | 9.59 | 4.90 | 3.23 | 2.52 |
| Principal Window | 326 - 359 | 51 - 259 | 40 - 131 | 31 - 81 | 26 - 57 |
| Principal Window End | 5/25/2037 | 1/25/2029 | 5/25/2018 | 3/25/2014 | 3/25/2012 |
Class M-7 | |||||
| WAL | 29.42 | 9.54 | 4.85 | 3.17 | 2.48 |
| Principal Window | 326 - 359 | 51 - 249 | 39 - 125 | 30 - 77 | 25 - 55 |
| Principal Window End | 5/25/2037 | 3/25/2028 | 11/25/2017 | 11/25/2013 | 1/25/2012 |
Class M-8 | |||||
| WAL | 29.42 | 9.48 | 4.79 | 3.11 | 2.44 |
| Principal Window | 326 - 359 | 51 - 238 | 39 - 118 | 29 - 73 | 25 - 52 |
| Principal Window End | 5/25/2037 | 4/25/2027 | 4/25/2017 | 7/25/2013 | 10/25/2011 |
* 85% CPR maximum in any given period.
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
6
CPR Sensitivity Table | ||||
To Optional Redemption | ||||
10 CPR | 20 CPR | 30 CPR | 40 CPR | |
Class A-1 | ||||
| WAL | 2.00 | 0.97 | 0.61 | 0.42 |
| Principal Window | 1 - 53 | 1 - 26 | 1 - 16 | 1 - 12 |
| Principal Window End | 11/25/2011 | 8/25/2009 | 10/25/2008 | 6/25/2008 |
Class A-2 | ||||
| WAL | 5.89 | 2.85 | 1.74 | 1.22 |
| Principal Window | 53 - 103 | 26 - 51 | 16 - 27 | 12 - 19 |
| Principal Window End | 1/25/2016 | 9/25/2011 | 9/25/2009 | 1/25/2009 |
Class A-3 | ||||
| WAL | 12.74 | 6.33 | 2.73 | 1.82 |
| Principal Window | 103 - 226 | 51 - 116 | 27 - 73 | 19 - 26 |
| Principal Window End | 4/25/2026 | 2/25/2017 | 7/25/2013 | 8/25/2009 |
Class A-4 | ||||
| WAL | 19.50 | 10.01 | 6.35 | 2.27 |
| Principal Window | 226 - 235 | 116 - 121 | 73 - 77 | 26 - 30 |
| Principal Window End | 1/25/2027 | 7/25/2017 | 11/25/2013 | 12/25/2009 |
Class M-1 | ||||
| WAL | 13.03 | 6.53 | 5.27 | 4.18 |
| Principal Window | 76 - 235 | 37 - 121 | 51 - 77 | 30 - 54 |
| Principal Window End | 1/25/2027 | 7/25/2017 | 11/25/2013 | 12/25/2011 |
Class M-2 | ||||
| WAL | 13.03 | 6.53 | 4.74 | 4.03 |
| Principal Window | 76 - 235 | 37 - 121 | 46 - 77 | 43 - 54 |
| Principal Window End | 1/25/2027 | 7/25/2017 | 11/25/2013 | 12/25/2011 |
Class M-3 | ||||
| WAL | 13.03 | 6.53 | 4.60 | 3.71 |
| Principal Window | 76 - 235 | 37 - 121 | 44 - 77 | 40 - 54 |
| Principal Window End | 1/25/2027 | 7/25/2017 | 11/25/2013 | 12/25/2011 |
Class M-4 | ||||
| WAL | 13.03 | 6.53 | 4.54 | 3.58 |
| Principal Window | 76 - 235 | 37 - 121 | 43 - 77 | 38 - 54 |
| Principal Window End | 1/25/2027 | 7/25/2017 | 11/25/2013 | 12/25/2011 |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
7
CPR Sensitivity Table | ||||
To Optional Redemption | ||||
10 CPR | 20 CPR | 30 CPR | 40 CPR | |
Class M-5 | ||||
| WAL | 13.03 | 6.53 | 4.49 | 3.48 |
| Principal Window | 76 - 235 | 37 - 121 | 41 - 77 | 37 - 54 |
| Principal Window End | 1/25/2027 | 7/25/2017 | 11/25/2013 | 12/25/2011 |
Class M-6 | ||||
| WAL | 13.03 | 6.53 | 4.45 | 3.42 |
| Principal Window | 76 - 235 | 37 - 121 | 41 - 77 | 36 - 54 |
| Principal Window End | 1/25/2027 | 7/25/2017 | 11/25/2013 | 12/25/2011 |
Class M-7 | ||||
| WAL | 13.03 | 6.53 | 4.42 | 3.36 |
| Principal Window | 76 - 235 | 37 - 121 | 40 - 77 | 34 - 54 |
| Principal Window End | 1/25/2027 | 7/25/2017 | 11/25/2013 | 12/25/2011 |
Class M-8 | ||||
| WAL | 13.03 | 6.53 | 4.39 | 3.32 |
| Principal Window | 76 - 235 | 37 - 121 | 39 - 77 | 34 - 54 |
| Principal Window End | 1/25/2027 | 7/25/2017 | 11/25/2013 | 12/25/2011 |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
8
CPR Sensitivity Table | ||||
To Maturity | ||||
10 CPR | 20 CPR | 30 CPR | 40 CPR | |
Class A-1 | ||||
| WAL | 2.00 | 0.97 | 0.61 | 0.42 |
| Principal Window | 1 - 53 | 1 - 26 | 1 - 16 | 1 - 12 |
| Principal Window End | 11/25/2011 | 8/25/2009 | 10/25/2008 | 6/25/2008 |
Class A-2 | ||||
| WAL | 5.89 | 2.85 | 1.74 | 1.22 |
| Principal Window | 53 - 103 | 26 - 51 | 16 - 27 | 12 - 19 |
| Principal Window End | 1/25/2016 | 9/25/2011 | 9/25/2009 | 1/25/2009 |
Class A-3 | ||||
| WAL | 12.74 | 6.33 | 2.73 | 1.82 |
| Principal Window | 103 - 226 | 51 - 116 | 27 - 73 | 19 - 26 |
| Principal Window End | 4/25/2026 | 2/25/2017 | 7/25/2013 | 8/25/2009 |
Class A-4 | ||||
| WAL | 24.10 | 13.53 | 8.65 | 2.27 |
| Principal Window | 226 - 359 | 116 - 267 | 73 - 175 | 26 - 30 |
| Principal Window End | 5/25/2037 | 9/25/2029 | 1/25/2022 | 12/25/2009 |
Class M-1 | ||||
| WAL | 14.05 | 7.28 | 5.76 | 5.64 |
| Principal Window | 76 - 359 | 37 - 241 | 51 - 156 | 30 - 123 |
| Principal Window End | 5/25/2037 | 7/25/2027 | 6/25/2020 | 9/25/2017 |
Class M-2 | ||||
| WAL | 14.05 | 7.25 | 5.22 | 4.37 |
| Principal Window | 76 - 359 | 37 - 228 | 46 - 147 | 43 - 104 |
| Principal Window End | 5/25/2037 | 6/25/2026 | 9/25/2019 | 2/25/2016 |
Class M-3 | ||||
| WAL | 14.04 | 7.23 | 5.06 | 4.04 |
| Principal Window | 76 - 357 | 37 - 217 | 44 - 140 | 40 - 99 |
| Principal Window End | 3/25/2037 | 7/25/2025 | 2/25/2019 | 9/25/2015 |
Class M-4 | ||||
| WAL | 14.02 | 7.22 | 4.99 | 3.90 |
| Principal Window | 76 - 353 | 37 - 211 | 43 - 136 | 38 - 96 |
| Principal Window End | 11/25/2036 | 1/25/2025 | 10/25/2018 | 6/25/2015 |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
9
CPR Sensitivity Table | ||||
To Maturity | ||||
10 CPR | 20 CPR | 30 CPR | 40 CPR | |
Class M-5 | ||||
| WAL | 14.00 | 7.19 | 4.92 | 3.79 |
| Principal Window | 76 - 347 | 37 - 204 | 41 - 131 | 37 - 93 |
| Principal Window End | 5/25/2036 | 6/25/2024 | 5/25/2018 | 3/25/2015 |
Class M-6 | ||||
| WAL | 13.98 | 7.17 | 4.87 | 3.71 |
| Principal Window | 76 - 340 | 37 - 197 | 41 - 126 | 36 - 89 |
| Principal Window End | 10/25/2035 | 11/25/2023 | 12/25/2017 | 11/25/2014 |
Class M-7 | ||||
| WAL | 13.93 | 7.13 | 4.81 | 3.64 |
| Principal Window | 76 - 332 | 37 - 189 | 40 - 121 | 34 - 85 |
| Principal Window End | 2/25/2035 | 3/25/2023 | 7/25/2017 | 7/25/2014 |
Class M-8 | ||||
| WAL | 13.88 | 7.08 | 4.75 | 3.57 |
| Principal Window | 76 - 321 | 37 - 180 | 39 - 115 | 34 - 81 |
| Principal Window End | 3/25/2034 | 6/25/2022 | 1/25/2017 | 3/25/2014 |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
10
Net WAC Rate
Period | Net WAC Rate (%) | Period | Net WAC Rate (%) | |
| 1 | 19.07 | 40 | 9.53 | |
| 2 | 8.00 | 41 | 9.26 | |
| 3 | 8.00 | 42 | 9.56 | |
| 4 | 8.27 | 43 | 9.24 | |
| 5 | 8.00 | 44 | 9.24 | |
| 6 | 8.27 | 45 | 10.22 | |
| 7 | 8.00 | 46 | 9.24 | |
| 8 | 8.00 | 47 | 9.56 | |
| 9 | 8.55 | 48 | 9.24 | |
| 10 | 8.00 | 49 | 9.54 | |
| 11 | 8.27 | 50 | 9.23 | |
| 12 | 8.00 | 51 | 9.22 | |
| 13 | 8.27 | 52 | 9.52 | |
| 14 | 8.00 | 53 | 9.20 | |
| 15 | 8.00 | 54 | 9.50 | |
| 16 | 8.27 | 55 | 9.19 | |
| 17 | 8.00 | 56 | 9.18 | |
| 18 | 8.26 | 57 | 9.80 | |
| 19 | 8.00 | 58 | 9.16 | |
| 20 | 8.00 | 59 | 9.46 | |
| 21 | 8.85 | 60 | 9.15 | |
| 22 | 8.01 | 61 | 9.45 | |
| 23 | 8.33 | 62 | 9.13 | |
| 24 | 8.85 | 63 | 9.12 | |
| 25 | 9.12 | 64 | 9.42 | |
| 26 | 8.80 | 65 | 9.11 | |
| 27 | 8.78 | 66 | 9.41 | |
| 28 | 9.06 | 67 | 9.09 | |
| 29 | 8.81 | 68 | 9.09 | |
| 30 | 9.40 | 69 | 10.05 | |
| 31 | 9.09 | 70 | 9.07 | |
| 32 | 9.08 | 71 | 9.36 | |
| 33 | 10.05 | 72 | 9.05 | |
| 34 | 9.11 | 73 | 9.35 | |
| 35 | 9.52 | 74 | 9.04 | |
| 36 | 9.23 | 75 | 9.03 | |
| 37 | 9.53 | 76 | 9.32 | |
| 38 | 9.21 | 77 | 9.01 | |
| 39 | 9.21 | 78 | 9.30 |
Assumptions: Static Indices: 1mL= 5.32% 6mL=5.40813%
10% Optional Cleanup Call Based On Pricing Prepayment Assumption
Calculated without regard to any net swap payments due to and received from the Swap Counterparty
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
11
Effective Maximum Rate (%)*
Period | Class A1 | Class A2 | Class A3 | Class A4 | Class M1 | Class M2 | Class M3 | Class M4 | Class M5 | Class M6 | Class M7 | Class M8 |
| 1 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 2 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 3 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 4 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 5 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 6 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 7 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 8 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 9 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 10 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 11 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 12 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 13 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 14 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 15 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 16 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 17 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 18 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 19 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 20 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 21 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 22 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
| 23 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | |
| 24 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | |
| 25 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | |
| 26 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | |
| 27 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | |
| 28 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | |
| 29 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 30 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 31 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 32 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 33 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 34 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 35 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 36 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 37 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 38 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 39 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 40 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 41 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 42 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
12
Effective Maximum Rate (%) (continued)*
Period | Class A1 | Class A2 | Class A3 | Class A4 | Class M1 | Class M2 | Class M3 | Class M4 | Class M5 | Class M6 | Class M7 | Class M8 |
| 43 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 44 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 45 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 46 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 47 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 48 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 49 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 51 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 52 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 53 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 54 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 55 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 56 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 57 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 58 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 59 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 60 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 61 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 62 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 63 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 64 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 65 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 66 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 67 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 68 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 69 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 70 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 71 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 72 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 73 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 74 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | ||
| 75 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | |||
| 76 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | |||
| 77 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | |||
| 78 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 | 14.50 |
*Assumptions: Static Indices: 1mL=20.0% 6mL=20.0%
*10% Optional Cleanup Call Based On Pricing Prepayment Assumption
*Includes any payments made from the Swap Agreement
*The Effective Maximum Rate for any class of certificates is the lesser of (i) 14.50%, or (ii) an annual rate calculated by taking
the maximum amount of funds available to pay interest to the related class on the related Distribution
date divided by the beginning class certificate balance (adjusted for the actual number of days in the
period).
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
13
Assumed Monthly Excess Interest - Static LIBOR
Period | Balance | Excess ($) | Excess (%) | 1M LIBOR (%) | 6M LIBOR (%) | Period | Balance | Excess ($) | Excess (%) | 1M LIBOR (%) | 6M LIBOR (%) | |
| 1 | 386,322,237.62 | 1,910,102.59 | 13.69 | 5.320000 | 5.408130 | 40 | 121,515,160.74 | 435,338.36 | 4.30 | 5.320000 | 5.408130 | |
| 2 | 384,332,335.27 | 920,665.47 | 2.87 | 5.320000 | 5.408130 | 41 | 117,822,832.48 | 417,184.20 | 4.25 | 5.320000 | 5.408130 | |
| 3 | 381,558,344.23 | 914,426.10 | 2.88 | 5.320000 | 5.408130 | 42 | 114,247,724.33 | 414,684.86 | 4.36 | 5.320000 | 5.408130 | |
| 4 | 377,996,696.11 | 910,221.89 | 2.89 | 5.320000 | 5.408130 | 43 | 110,785,668.29 | 391,985.01 | 4.25 | 5.320000 | 5.408130 | |
| 5 | 373,648,383.89 | 896,467.66 | 2.88 | 5.320000 | 5.408130 | 44 | 107,432,946.41 | 379,577.49 | 4.24 | 5.320000 | 5.408130 | |
| 6 | 368,519,150.32 | 889,335.08 | 2.90 | 5.320000 | 5.408130 | 45 | 104,185,984.77 | 395,516.46 | 4.56 | 5.320000 | 5.408130 | |
| 7 | 362,619,626.32 | 871,267.07 | 2.88 | 5.320000 | 5.408130 | 46 | 101,041,329.34 | 357,033.64 | 4.24 | 5.320000 | 5.408130 | |
| 8 | 355,965,441.94 | 856,018.06 | 2.89 | 5.320000 | 5.408130 | 47 | 97,995,686.94 | 356,653.92 | 4.37 | 5.320000 | 5.408130 | |
| 9 | 348,577,443.90 | 851,219.96 | 2.93 | 5.320000 | 5.408130 | 48 | 95,045,887.97 | 335,614.16 | 4.24 | 5.320000 | 5.408130 | |
| 10 | 340,482,299.56 | 820,462.44 | 2.89 | 5.320000 | 5.408130 | 49 | 92,188,702.57 | 338,108.01 | 4.40 | 5.320000 | 5.408130 | |
| 11 | 331,746,599.74 | 807,670.14 | 2.92 | 5.320000 | 5.408130 | 50 | 89,421,117.17 | 314,618.31 | 4.22 | 5.320000 | 5.408130 | |
| 12 | 322,601,208.54 | 779,137.18 | 2.90 | 5.320000 | 5.408130 | 51 | 86,740,218.97 | 304,603.44 | 4.21 | 5.320000 | 5.408130 | |
| 13 | 313,710,691.43 | 767,125.96 | 2.93 | 5.320000 | 5.408130 | 52 | 84,143,192.48 | 306,928.47 | 4.38 | 5.320000 | 5.408130 | |
| 14 | 305,067,872.99 | 738,516.50 | 2.90 | 5.320000 | 5.408130 | 53 | 81,627,316.33 | 285,540.74 | 4.20 | 5.320000 | 5.408130 | |
| 15 | 296,665,781.57 | 719,065.98 | 2.91 | 5.320000 | 5.408130 | 54 | 79,189,959.75 | 287,782.46 | 4.36 | 5.320000 | 5.408130 | |
| 16 | 288,497,643.48 | 710,272.03 | 2.95 | 5.320000 | 5.408130 | 55 | 76,828,579.81 | 267,709.20 | 4.18 | 5.320000 | 5.408130 | |
| 17 | 280,556,877.31 | 681,802.72 | 2.92 | 5.320000 | 5.408130 | 56 | 74,540,718.29 | 259,229.94 | 4.17 | 5.320000 | 5.408130 | |
| 18 | 272,837,088.47 | 674,854.03 | 2.97 | 5.320000 | 5.408130 | 57 | 72,323,998.85 | 271,676.54 | 4.51 | 5.320000 | 5.408130 | |
| 19 | 265,332,063.78 | 646,619.57 | 2.92 | 5.320000 | 5.408130 | 58 | 70,176,124.20 | 243,215.60 | 4.16 | 5.320000 | 5.408130 | |
| 20 | 258,031,379.02 | 629,762.72 | 2.93 | 5.320000 | 5.408130 | 59 | 68,094,854.61 | 245,396.88 | 4.32 | 5.320000 | 5.408130 | |
| 21 | 250,875,452.33 | 648,793.01 | 3.10 | 5.320000 | 5.408130 | 60 | 66,075,811.70 | 228,278.16 | 4.15 | 5.320000 | 5.408130 | |
| 22 | 243,414,177.75 | 597,896.76 | 2.95 | 5.320000 | 5.408130 | 61 | 64,118,668.20 | 230,228.39 | 4.31 | 5.320000 | 5.408130 | |
| 23 | 229,988,975.24 | 591,294.52 | 3.09 | 5.320000 | 5.408130 | 62 | 62,222,071.73 | 214,114.21 | 4.13 | 5.320000 | 5.408130 | |
| 24 | 217,446,888.33 | 697,079.71 | 3.85 | 5.320000 | 5.408130 | 63 | 60,384,075.28 | 207,377.33 | 4.12 | 5.320000 | 5.408130 | |
| 25 | 205,740,440.55 | 671,589.85 | 3.92 | 5.320000 | 5.408130 | 64 | 58,602,796.36 | 209,285.03 | 4.29 | 5.320000 | 5.408130 | |
| 26 | 194,828,937.42 | 621,370.77 | 3.83 | 5.320000 | 5.408130 | 65 | 56,876,420.12 | 194,695.58 | 4.11 | 5.320000 | 5.408130 | |
| 27 | 184,920,994.13 | 588,356.87 | 3.82 | 5.320000 | 5.408130 | 66 | 55,203,188.50 | 196,478.04 | 4.27 | 5.320000 | 5.408130 | |
| 28 | 179,296,975.90 | 585,497.03 | 3.92 | 5.320000 | 5.408130 | 67 | 53,581,393.55 | 182,651.86 | 4.09 | 5.320000 | 5.408130 | |
| 29 | 173,850,488.46 | 560,858.18 | 3.87 | 5.320000 | 5.408130 | 68 | 52,009,388.14 | 176,879.69 | 4.08 | 5.320000 | 5.408130 | |
| 30 | 168,575,714.75 | 600,342.71 | 4.27 | 5.320000 | 5.408130 | 69 | 50,485,581.22 | 192,908.02 | 4.59 | 5.320000 | 5.408130 | |
| 31 | 163,469,620.15 | 571,053.20 | 4.19 | 5.320000 | 5.408130 | 70 | 49,008,434.22 | 165,938.19 | 4.06 | 5.320000 | 5.408130 | |
| 32 | 158,524,090.17 | 554,573.62 | 4.20 | 5.320000 | 5.408130 | 71 | 47,576,462.46 | 167,523.72 | 4.23 | 5.320000 | 5.408130 | |
| 33 | 153,541,087.85 | 571,855.98 | 4.47 | 5.320000 | 5.408130 | 72 | 46,188,226.31 | 155,670.45 | 4.04 | 5.320000 | 5.408130 | |
| 34 | 148,300,669.91 | 526,686.52 | 4.26 | 5.320000 | 5.408130 | 73 | 44,842,331.60 | 157,176.14 | 4.21 | 5.320000 | 5.408130 | |
| 35 | 143,225,830.82 | 533,675.40 | 4.47 | 5.320000 | 5.408130 | 74 | 43,537,432.65 | 146,032.83 | 4.03 | 5.320000 | 5.408130 | |
| 36 | 138,354,497.37 | 508,676.73 | 4.41 | 5.320000 | 5.408130 | 75 | 42,272,228.00 | 141,463.53 | 4.02 | 5.320000 | 5.408130 | |
| 37 | 133,676,015.34 | 503,097.56 | 4.52 | 5.320000 | 5.408130 | 76 | 41,045,458.91 | 142,924.32 | 4.18 | 5.320000 | 5.408130 | |
| 38 | 129,294,917.93 | 457,290.21 | 4.24 | 5.320000 | 5.408130 | 77 | 39,855,907.93 | 132,800.68 | 4.00 | 5.320000 | 5.408130 | |
| 39 | 125,328,444.77 | 433,214.04 | 4.15 | 5.320000 | 5.408130 | 78 | 38,702,397.53 | 134,205.90 | 4.16 | 5.320000 | 5.408130 |
Assumptions: 1. Run at pricing prepayment assumption | |
2. Excess (30/360) - assumes 13 days in 1st period | |
3. 10% optional clean-up call 4. Takes into account net swap payments | |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
14
Assumed Monthly Excess Interest - Forward LIBOR
Period | Balance | Excess ($) | Excess (%) | 1M LIBOR (%) | 6M LIBOR (%) | Period | Balance | Excess ($) | Excess (%) | 1M LIBOR (%) | 6M LIBOR (%) | |
| 1 | 386,322,237.62 | 1,910,102.59 | 13.69 | 5.320000 | 5.408130 | 40 | 121,520,253.85 | 430,715.35 | 4.25 | 5.586423 | 5.661661 | |
| 2 | 384,332,335.27 | 920,556.73 | 2.87 | 5.336342 | 5.408130 | 41 | 117,828,342.11 | 411,730.23 | 4.19 | 5.607972 | 5.682962 | |
| 3 | 381,558,344.23 | 914,172.06 | 2.88 | 5.352364 | 5.408130 | 42 | 114,253,646.82 | 414,642.66 | 4.35 | 5.628540 | 5.703167 | |
| 4 | 377,996,696.11 | 909,999.74 | 2.89 | 5.344385 | 5.394086 | 43 | 110,792,392.98 | 390,221.12 | 4.23 | 5.647943 | 5.722084 | |
| 5 | 373,648,383.89 | 896,314.92 | 2.88 | 5.333460 | 5.392011 | 44 | 107,440,414.74 | 376,720.54 | 4.21 | 5.665993 | 5.739522 | |
| 6 | 368,519,150.32 | 889,417.34 | 2.90 | 5.313772 | 5.388297 | 45 | 104,194,141.13 | 393,383.80 | 4.53 | 5.682504 | 5.755290 | |
| 7 | 362,619,626.32 | 871,163.15 | 2.88 | 5.326374 | 5.380943 | 46 | 101,050,121.07 | 352,749.32 | 4.19 | 5.697290 | 5.769257 | |
| 8 | 355,965,441.94 | 855,937.68 | 2.89 | 5.324165 | 5.374412 | 47 | 98,005,078.22 | 353,170.89 | 4.32 | 5.710165 | 5.781533 | |
| 9 | 348,577,443.90 | 850,996.41 | 2.93 | 5.330567 | 5.368245 | 48 | 95,055,888.95 | 323,121.25 | 4.08 | 5.720943 | 5.792314 | |
| 10 | 340,482,299.56 | 820,954.67 | 2.89 | 5.301227 | 5.362339 | 49 | 92,199,505.73 | 326,216.01 | 4.25 | 5.729781 | 5.801826 | |
| 11 | 331,746,599.74 | 808,393.64 | 2.92 | 5.295131 | 5.361557 | 50 | 89,432,659.57 | 301,524.69 | 4.05 | 5.737920 | 5.810321 | |
| 12 | 322,601,208.54 | 780,578.94 | 2.90 | 5.277583 | 5.364834 | 51 | 86,752,440.90 | 291,302.78 | 4.03 | 5.745672 | 5.818083 | |
| 13 | 313,710,691.43 | 768,155.30 | 2.94 | 5.291708 | 5.378453 | 52 | 84,156,037.40 | 294,682.25 | 4.20 | 5.753017 | 5.825364 | |
| 14 | 305,067,872.99 | 738,533.76 | 2.91 | 5.319578 | 5.398436 | 53 | 81,640,740.19 | 272,975.01 | 4.01 | 5.759938 | 5.832202 | |
| 15 | 296,665,781.57 | 717,757.29 | 2.90 | 5.349801 | 5.426514 | 54 | 79,203,932.41 | 277,400.13 | 4.20 | 5.766417 | 5.838577 | |
| 16 | 288,497,643.48 | 707,510.52 | 2.94 | 5.381153 | 5.456855 | 55 | 76,843,153.47 | 256,338.52 | 4.00 | 5.772435 | 5.844471 | |
| 17 | 280,556,877.31 | 677,260.05 | 2.90 | 5.412408 | 5.486474 | 56 | 74,555,838.89 | 247,795.24 | 3.99 | 5.777974 | 5.849866 | |
| 18 | 272,837,088.47 | 668,766.40 | 2.94 | 5.442341 | 5.514118 | 57 | 72,339,615.19 | 261,889.21 | 4.34 | 5.783017 | 5.854743 | |
| 19 | 265,332,063.78 | 638,615.89 | 2.89 | 5.469727 | 5.538531 | 58 | 70,192,187.86 | 231,818.22 | 3.96 | 5.787545 | 5.859105 | |
| 20 | 258,031,379.02 | 620,179.52 | 2.88 | 5.493339 | 5.558460 | 59 | 68,111,323.87 | 234,988.92 | 4.14 | 5.791540 | 5.863040 | |
| 21 | 250,875,452.33 | 638,917.40 | 3.06 | 5.511953 | 5.572650 | 60 | 66,092,774.67 | 217,851.71 | 3.96 | 5.794983 | 5.866668 | |
| 22 | 243,414,177.75 | 585,981.91 | 2.89 | 5.524344 | 5.580155 | 61 | 64,136,162.57 | 220,649.52 | 4.13 | 5.797981 | 5.870114 | |
| 23 | 229,988,975.24 | 578,434.21 | 3.02 | 5.529285 | 5.581373 | 62 | 62,240,044.59 | 203,855.15 | 3.93 | 5.801025 | 5.873514 | |
| 24 | 217,446,888.33 | 684,373.86 | 3.78 | 5.525552 | 5.577283 | 63 | 60,402,476.60 | 197,197.42 | 3.92 | 5.804265 | 5.877011 | |
| 25 | 205,740,541.92 | 659,589.41 | 3.85 | 5.513739 | 5.569165 | 64 | 58,621,578.88 | 199,913.85 | 4.09 | 5.807731 | 5.880735 | |
| 26 | 194,829,125.74 | 609,541.46 | 3.75 | 5.500481 | 5.558594 | 65 | 56,895,540.19 | 184,753.39 | 3.90 | 5.811454 | 5.884737 | |
| 27 | 184,921,256.52 | 577,246.99 | 3.75 | 5.487973 | 5.547445 | 66 | 55,222,611.79 | 187,717.55 | 4.08 | 5.815464 | 5.889050 | |
| 28 | 179,297,314.28 | 575,622.57 | 3.85 | 5.476737 | 5.537578 | 67 | 53,601,115.89 | 173,238.83 | 3.88 | 5.819792 | 5.893703 | |
| 29 | 173,850,901.12 | 552,068.14 | 3.81 | 5.467294 | 5.529812 | 68 | 52,029,369.12 | 167,488.74 | 3.86 | 5.824467 | 5.898729 | |
| 30 | 168,576,196.47 | 599,170.89 | 4.27 | 5.460164 | 5.524680 | 69 | 50,505,782.74 | 185,458.92 | 4.41 | 5.829522 | 5.904159 | |
| 31 | 163,470,616.92 | 570,211.67 | 4.19 | 5.455871 | 5.522716 | 70 | 49,028,820.41 | 156,595.85 | 3.83 | 5.834985 | 5.910001 | |
| 32 | 158,525,567.92 | 553,714.87 | 4.19 | 5.454933 | 5.524452 | 71 | 47,597,000.95 | 158,915.90 | 4.01 | 5.840888 | 5.916175 | |
| 33 | 153,543,014.16 | 571,481.51 | 4.47 | 5.457874 | 5.530422 | 72 | 46,208,896.82 | 146,958.27 | 3.82 | 5.847260 | 5.922572 | |
| 34 | 148,303,013.97 | 525,113.39 | 4.25 | 5.465215 | 5.540973 | 73 | 44,863,148.02 | 149,021.39 | 3.99 | 5.854005 | 5.929074 | |
| 35 | 143,228,563.43 | 532,285.31 | 4.46 | 5.477476 | 5.555670 | 74 | 43,558,363.20 | 137,252.02 | 3.78 | 5.860624 | 5.935559 | |
| 36 | 138,357,590.69 | 509,940.93 | 4.42 | 5.495179 | 5.573780 | 75 | 42,293,242.82 | 132,672.14 | 3.76 | 5.866980 | 5.941895 | |
| 37 | 133,679,665.99 | 503,416.85 | 4.52 | 5.517756 | 5.594451 | 76 | 41,066,529.96 | 134,751.20 | 3.94 | 5.873063 | 5.947966 | |
| 38 | 129,299,086.28 | 455,227.51 | 4.22 | 5.541129 | 5.616707 | 77 | 39,877,011.22 | 124,170.07 | 3.74 | 5.878861 | 5.953738 | |
| 39 | 125,333,093.20 | 429,347.71 | 4.11 | 5.564079 | 5.639454 | 78 | 38,723,517.94 | 126,619.01 | 3.92 | 5.884361 | 5.959200 |
Assumptions: 1. Run at pricing prepayment assumption |
2. Excess (30/360) - assumes 13 days in 1st period |
3. 10% optional clean-up call 4. Takes into account net swap payments |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
15
Assumed Monthly Excess Interest - Forward LIBOR + 100 Basis Points
Period | Balance | Excess ($) | Excess (%) | 1M LIBOR (%) | 6M LIBOR (%) | Period | Balance | Excess ($) | Excess (%) | 1M LIBOR (%) | 6M LIBOR (%) | |
| 1 | 386,322,237.62 | 1,907,661.48 | 13.67 | 6.320000 | 6.408130 | 40 | 121,542,026.36 | 428,774.33 | 4.23 | 6.586423 | 6.661661 | |
| 2 | 384,332,335.27 | 917,523.69 | 2.86 | 6.336342 | 6.408130 | 41 | 117,852,473.26 | 409,941.08 | 4.17 | 6.607972 | 6.682962 | |
| 3 | 381,558,344.23 | 910,024.71 | 2.86 | 6.352364 | 6.408130 | 42 | 114,279,988.99 | 416,225.84 | 4.37 | 6.628540 | 6.703167 | |
| 4 | 377,996,696.11 | 903,307.79 | 2.87 | 6.344385 | 6.394086 | 43 | 110,820,756.55 | 389,297.26 | 4.22 | 6.647943 | 6.722084 | |
| 5 | 373,648,383.89 | 888,570.04 | 2.85 | 6.333460 | 6.392011 | 44 | 107,470,641.63 | 374,999.65 | 4.19 | 6.665993 | 6.739522 | |
| 6 | 368,519,150.32 | 878,496.72 | 2.86 | 6.313772 | 6.388297 | 45 | 104,226,081.37 | 395,615.44 | 4.55 | 6.682504 | 6.755290 | |
| 7 | 362,619,626.32 | 858,429.19 | 2.84 | 6.326374 | 6.380943 | 46 | 101,083,633.14 | 349,742.36 | 4.15 | 6.697290 | 6.769257 | |
| 8 | 355,965,441.94 | 840,196.80 | 2.83 | 6.324165 | 6.374412 | 47 | 98,040,037.08 | 352,119.74 | 4.31 | 6.710165 | 6.781533 | |
| 9 | 348,577,443.90 | 830,962.48 | 2.86 | 6.330567 | 6.368245 | 48 | 95,092,250.20 | 292,175.47 | 3.69 | 6.720943 | 6.792314 | |
| 10 | 340,482,299.56 | 798,191.97 | 2.81 | 6.301227 | 6.362339 | 49 | 92,237,107.51 | 298,278.42 | 3.88 | 6.729781 | 6.801826 | |
| 11 | 331,746,599.74 | 781,505.67 | 2.83 | 6.295131 | 6.361557 | 50 | 89,471,383.86 | 271,981.14 | 3.65 | 6.737920 | 6.810321 | |
| 12 | 322,601,208.54 | 749,946.27 | 2.79 | 6.277583 | 6.364834 | 51 | 86,792,176.01 | 262,436.31 | 3.63 | 6.745672 | 6.818083 | |
| 13 | 313,710,691.43 | 733,966.56 | 2.81 | 6.291708 | 6.378453 | 52 | 84,196,677.64 | 269,611.80 | 3.84 | 6.753017 | 6.825364 | |
| 14 | 305,067,872.99 | 701,179.22 | 2.76 | 6.319578 | 6.398436 | 53 | 81,682,211.79 | 247,972.08 | 3.64 | 6.759938 | 6.832202 | |
| 15 | 296,665,781.57 | 677,518.96 | 2.74 | 6.349801 | 6.426514 | 54 | 79,246,227.83 | 255,005.37 | 3.86 | 6.766417 | 6.838577 | |
| 16 | 288,497,643.48 | 664,927.75 | 2.77 | 6.381153 | 6.456855 | 55 | 76,886,160.88 | 232,493.33 | 3.63 | 6.772435 | 6.844471 | |
| 17 | 280,556,877.31 | 632,358.76 | 2.70 | 6.412408 | 6.486474 | 56 | 74,599,468.20 | 224,465.21 | 3.61 | 6.777974 | 6.849866 | |
| 18 | 272,837,088.47 | 621,841.75 | 2.74 | 6.442341 | 6.514118 | 57 | 72,383,781.38 | 242,676.19 | 4.02 | 6.783017 | 6.854743 | |
| 19 | 265,332,063.78 | 589,951.51 | 2.67 | 6.469727 | 6.538531 | 58 | 70,236,810.73 | 209,714.98 | 3.58 | 6.787545 | 6.859105 | |
| 20 | 258,031,379.02 | 569,904.80 | 2.65 | 6.493339 | 6.558460 | 59 | 68,156,336.93 | 215,433.36 | 3.79 | 6.791540 | 6.863040 | |
| 21 | 250,875,452.33 | 588,085.14 | 2.81 | 6.511953 | 6.572650 | 60 | 66,138,360.77 | 197,083.42 | 3.58 | 6.794983 | 6.866668 | |
| 22 | 243,414,177.75 | 532,410.78 | 2.62 | 6.524344 | 6.580155 | 61 | 64,182,298.24 | 201,927.63 | 3.78 | 6.797981 | 6.870114 | |
| 23 | 229,988,975.24 | 519,912.52 | 2.71 | 6.529285 | 6.581373 | 62 | 62,286,646.48 | 183,965.02 | 3.54 | 6.801025 | 6.873514 | |
| 24 | 217,446,888.33 | 618,569.58 | 3.41 | 6.525552 | 6.577283 | 63 | 60,449,466.15 | 177,732.86 | 3.53 | 6.804265 | 6.877011 | |
| 25 | 205,740,564.43 | 592,987.72 | 3.46 | 6.513739 | 6.569165 | 64 | 58,668,882.10 | 182,331.96 | 3.73 | 6.807731 | 6.880735 | |
| 26 | 194,829,167.57 | 540,175.66 | 3.33 | 6.500481 | 6.558594 | 65 | 56,943,087.26 | 166,113.85 | 3.50 | 6.811454 | 6.884737 | |
| 27 | 184,921,314.83 | 507,336.40 | 3.29 | 6.487973 | 6.547445 | 66 | 55,270,336.09 | 170,864.01 | 3.71 | 6.815464 | 6.889050 | |
| 28 | 179,297,389.52 | 507,755.72 | 3.40 | 6.476737 | 6.537578 | 67 | 53,648,950.46 | 155,395.72 | 3.48 | 6.819792 | 6.893703 | |
| 29 | 173,851,012.02 | 487,261.26 | 3.36 | 6.467294 | 6.529812 | 68 | 52,077,256.73 | 150,028.80 | 3.46 | 6.824467 | 6.898729 | |
| 30 | 168,576,340.65 | 563,034.63 | 4.01 | 6.460164 | 6.524680 | 69 | 50,553,669.74 | 172,166.87 | 4.09 | 6.829522 | 6.904159 | |
| 31 | 163,472,778.71 | 535,658.28 | 3.93 | 6.455871 | 6.522716 | 70 | 49,076,656.54 | 139,878.58 | 3.42 | 6.834985 | 6.910001 | |
| 32 | 158,529,615.74 | 519,646.48 | 3.93 | 6.454933 | 6.524452 | 71 | 47,644,738.95 | 143,759.95 | 3.62 | 6.840888 | 6.916175 | |
| 33 | 153,548,822.83 | 543,051.67 | 4.24 | 6.457874 | 6.530422 | 72 | 46,256,491.75 | 130,974.56 | 3.40 | 6.847260 | 6.922572 | |
| 34 | 148,310,464.46 | 491,836.11 | 3.98 | 6.465215 | 6.540973 | 73 | 44,910,552.91 | 134,505.74 | 3.59 | 6.854005 | 6.929074 | |
| 35 | 143,237,546.46 | 502,920.85 | 4.21 | 6.477476 | 6.555670 | 74 | 43,605,540.36 | 121,949.53 | 3.36 | 6.860624 | 6.935559 | |
| 36 | 138,367,998.46 | 515,216.76 | 4.47 | 6.495179 | 6.573780 | 75 | 42,340,157.17 | 117,698.31 | 3.34 | 6.866980 | 6.941895 | |
| 37 | 133,693,226.92 | 509,596.37 | 4.57 | 6.517756 | 6.594451 | 76 | 41,113,148.94 | 121,152.93 | 3.54 | 6.873063 | 6.947966 | |
| 38 | 129,315,585.33 | 455,402.86 | 4.23 | 6.541129 | 6.616707 | 77 | 39,923,305.52 | 109,899.02 | 3.30 | 6.878861 | 6.953738 | |
| 39 | 125,352,325.93 | 426,550.28 | 4.08 | 6.564079 | 6.639454 | 78 | 38,769,461.13 | 113,630.42 | 3.52 | 6.884361 | 6.959200 |
Assumptions: 1. Run at pricing prepayment assumption |
2. Excess (30/360) - assumes 13 days in 1st period |
3. 10% optional clean-up call 4. Takes into account net swap payments |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
16
Assumed Monthly Excess Interest - Forward LIBOR + 150 Basis Points
Period | Balance | Excess ($) | Excess (%) | 1M LIBOR (%) | 6M LIBOR (%) | Period | Balance | Excess ($) | Excess (%) | 1M LIBOR (%) | 6M LIBOR (%) | |
| 1 | 386,322,237.62 | 1,906,440.93 | 13.67 | 6.820000 | 6.908130 | 40 | 121,545,687.38 | 414,892.10 | 4.10 | 7.086423 | 7.161661 | |
| 2 | 384,332,335.27 | 918,709.67 | 2.87 | 6.836342 | 6.908130 | 41 | 117,856,870.20 | 396,016.23 | 4.03 | 7.107972 | 7.182962 | |
| 3 | 381,558,344.23 | 910,689.49 | 2.86 | 6.852364 | 6.908130 | 42 | 114,285,070.65 | 415,586.85 | 4.36 | 7.128540 | 7.203167 | |
| 4 | 377,996,696.11 | 901,908.76 | 2.86 | 6.844385 | 6.894086 | 43 | 110,826,908.93 | 387,455.45 | 4.20 | 7.147943 | 7.222084 | |
| 5 | 373,648,383.89 | 887,389.12 | 2.85 | 6.833460 | 6.892011 | 44 | 107,477,791.02 | 372,807.27 | 4.16 | 7.165993 | 7.239522 | |
| 6 | 368,519,150.32 | 874,902.55 | 2.85 | 6.813772 | 6.888297 | 45 | 104,234,157.67 | 395,431.48 | 4.55 | 7.182504 | 7.255290 | |
| 7 | 362,619,626.32 | 854,733.11 | 2.83 | 6.826374 | 6.880943 | 46 | 101,092,569.72 | 346,953.04 | 4.12 | 7.197290 | 7.269257 | |
| 8 | 355,965,441.94 | 834,990.65 | 2.81 | 6.824165 | 6.874412 | 47 | 98,049,772.15 | 350,980.67 | 4.30 | 7.210165 | 7.281533 | |
| 9 | 348,577,443.90 | 822,407.40 | 2.83 | 6.830567 | 6.868245 | 48 | 95,102,744.34 | 276,102.44 | 3.48 | 7.220943 | 7.292314 | |
| 10 | 340,482,299.56 | 789,412.72 | 2.78 | 6.801227 | 6.862339 | 49 | 92,248,284.72 | 283,729.25 | 3.69 | 7.229781 | 7.301826 | |
| 11 | 331,746,599.74 | 769,877.02 | 2.78 | 6.795131 | 6.861557 | 50 | 89,483,189.75 | 256,649.55 | 3.44 | 7.237920 | 7.310321 | |
| 12 | 322,601,208.54 | 737,170.27 | 2.74 | 6.777583 | 6.864834 | 51 | 86,804,558.94 | 247,471.74 | 3.42 | 7.245672 | 7.318083 | |
| 13 | 313,710,691.43 | 718,681.24 | 2.75 | 6.791708 | 6.878453 | 52 | 84,209,588.90 | 256,089.81 | 3.65 | 7.253017 | 7.325364 | |
| 14 | 305,067,872.99 | 685,156.60 | 2.70 | 6.819578 | 6.898436 | 53 | 81,695,609.08 | 234,201.70 | 3.44 | 7.259938 | 7.332202 | |
| 15 | 296,665,781.57 | 660,136.12 | 2.67 | 6.849801 | 6.926514 | 54 | 79,260,097.53 | 242,662.56 | 3.67 | 7.266417 | 7.338577 | |
| 16 | 288,497,643.48 | 645,679.62 | 2.69 | 6.881153 | 6.956855 | 55 | 76,900,455.21 | 219,465.69 | 3.42 | 7.272435 | 7.344471 | |
| 17 | 280,556,877.31 | 612,692.01 | 2.62 | 6.912408 | 6.986474 | 56 | 74,614,145.83 | 211,733.55 | 3.41 | 7.277974 | 7.349866 | |
| 18 | 272,837,088.47 | 600,582.87 | 2.64 | 6.942341 | 7.014118 | 57 | 72,398,803.17 | 232,038.44 | 3.85 | 7.283017 | 7.354743 | |
| 19 | 265,332,063.78 | 568,446.84 | 2.57 | 6.969727 | 7.038531 | 58 | 70,252,139.65 | 198,081.41 | 3.38 | 7.287545 | 7.359105 | |
| 20 | 258,031,379.02 | 547,612.98 | 2.55 | 6.993339 | 7.058460 | 59 | 68,171,949.89 | 205,615.25 | 3.62 | 7.291540 | 7.363040 | |
| 21 | 250,875,452.33 | 564,314.12 | 2.70 | 7.011953 | 7.072650 | 60 | 66,154,361.38 | 186,652.96 | 3.39 | 7.294983 | 7.366668 | |
| 22 | 243,414,177.75 | 508,529.24 | 2.51 | 7.024344 | 7.080155 | 61 | 64,198,671.06 | 192,521.06 | 3.60 | 7.297981 | 7.370114 | |
| 23 | 229,988,975.24 | 492,911.84 | 2.57 | 7.029285 | 7.081373 | 62 | 62,303,351.21 | 173,975.82 | 3.35 | 7.301025 | 7.373514 | |
| 24 | 217,446,888.33 | 587,448.71 | 3.24 | 7.025552 | 7.077283 | 63 | 60,466,464.70 | 167,957.19 | 3.33 | 7.304265 | 7.377011 | |
| 25 | 205,740,572.35 | 561,291.56 | 3.27 | 7.013739 | 7.069165 | 64 | 58,686,138.47 | 173,498.48 | 3.55 | 7.307731 | 7.380735 | |
| 26 | 194,829,182.31 | 507,222.80 | 3.12 | 7.000481 | 7.058594 | 65 | 56,960,567.35 | 156,752.90 | 3.30 | 7.311454 | 7.384737 | |
| 27 | 184,921,335.39 | 474,085.30 | 3.08 | 6.987973 | 7.047445 | 66 | 55,288,007.29 | 162,409.12 | 3.53 | 7.315464 | 7.389050 | |
| 28 | 179,297,416.06 | 475,309.18 | 3.18 | 6.976737 | 7.037578 | 67 | 53,666,781.36 | 146,447.14 | 3.27 | 7.319792 | 7.393703 | |
| 29 | 173,851,044.15 | 456,493.46 | 3.15 | 6.967294 | 7.029812 | 68 | 52,095,218.92 | 141,272.36 | 3.25 | 7.324467 | 7.398729 | |
| 30 | 168,576,377.97 | 533,532.79 | 3.80 | 6.960164 | 7.024680 | 69 | 50,571,736.46 | 165,493.92 | 3.93 | 7.329522 | 7.404159 | |
| 31 | 163,472,834.87 | 508,020.27 | 3.73 | 6.955871 | 7.022716 | 70 | 49,094,802.61 | 131,494.28 | 3.21 | 7.334985 | 7.410001 | |
| 32 | 158,529,689.50 | 492,672.26 | 3.73 | 6.954933 | 7.024452 | 71 | 47,662,940.58 | 136,151.89 | 3.43 | 7.340888 | 7.416175 | |
| 33 | 153,548,912.99 | 518,568.28 | 4.05 | 6.957874 | 7.030422 | 72 | 46,274,726.07 | 122,947.89 | 3.19 | 7.347260 | 7.422572 | |
| 34 | 148,310,569.90 | 466,043.17 | 3.77 | 6.965215 | 7.040973 | 73 | 44,928,795.86 | 127,213.85 | 3.40 | 7.354005 | 7.429074 | |
| 35 | 143,237,674.87 | 477,943.10 | 4.00 | 6.977476 | 7.055670 | 74 | 43,623,772.62 | 114,265.27 | 3.14 | 7.360624 | 7.435559 | |
| 36 | 138,368,148.26 | 502,980.70 | 4.36 | 6.995179 | 7.073780 | 75 | 42,358,360.65 | 110,179.06 | 3.12 | 7.366980 | 7.441895 | |
| 37 | 133,694,345.33 | 498,334.80 | 4.47 | 7.017756 | 7.094451 | 76 | 41,131,306.69 | 114,310.72 | 3.33 | 7.373063 | 7.447966 | |
| 38 | 129,317,609.81 | 441,643.53 | 4.10 | 7.041129 | 7.116707 | 77 | 39,941,401.63 | 102,708.04 | 3.09 | 7.378861 | 7.453738 | |
| 39 | 125,355,196.99 | 411,789.15 | 3.94 | 7.064079 | 7.139454 | 78 | 38,787,480.43 | 107,086.53 | 3.31 | 7.384361 | 7.459200 |
Assumptions: 1. Run at pricing prepayment assumption | |
2. Excess (30/360) - assumes 13 days in 1st period | |
3. 10% optional clean-up call 4. Takes into account net swap payments | |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
17
Assumed Monthly Excess Interest - Forward LIBOR + 200 Basis Points
Period | Balance | Excess ($) | Excess (%) | 1M LIBOR (%) | 6M LIBOR (%) | Period | Balance | Excess ($) | Excess (%) | 1M LIBOR (%) | 6M LIBOR (%) | |
| 1 | 386,322,237.62 | 1,905,220.37 | 13.66 | 7.320000 | 7.408130 | 40 | 121,546,995.61 | 393,343.40 | 3.88 | 7.586423 | 7.661661 | |
| 2 | 384,332,335.27 | 922,761.48 | 2.88 | 7.336342 | 7.408130 | 41 | 117,858,444.81 | 374,469.45 | 3.81 | 7.607972 | 7.682962 | |
| 3 | 381,558,344.23 | 914,299.23 | 2.88 | 7.352364 | 7.408130 | 42 | 114,286,893.20 | 409,831.83 | 4.30 | 7.628540 | 7.703167 | |
| 4 | 377,996,696.11 | 902,953.81 | 2.87 | 7.344385 | 7.394086 | 43 | 110,829,705.30 | 380,677.86 | 4.12 | 7.647943 | 7.722084 | |
| 5 | 373,648,383.89 | 889,048.65 | 2.86 | 7.333460 | 7.392011 | 44 | 107,481,497.35 | 365,852.50 | 4.08 | 7.665993 | 7.739522 | |
| 6 | 368,519,150.32 | 873,737.34 | 2.85 | 7.313772 | 7.388297 | 45 | 104,238,713.16 | 390,650.85 | 4.50 | 7.682504 | 7.755290 | |
| 7 | 362,619,626.32 | 853,829.81 | 2.83 | 7.326374 | 7.380943 | 46 | 101,097,916.52 | 339,711.49 | 4.03 | 7.697290 | 7.769257 | |
| 8 | 355,965,441.94 | 832,562.00 | 2.81 | 7.324165 | 7.374412 | 47 | 98,055,855.10 | 345,717.64 | 4.23 | 7.710165 | 7.781533 | |
| 9 | 348,577,443.90 | 815,780.52 | 2.81 | 7.330567 | 7.368245 | 48 | 95,109,511.14 | 259,759.40 | 3.28 | 7.720943 | 7.792314 | |
| 10 | 340,482,299.56 | 783,269.60 | 2.76 | 7.301227 | 7.362339 | 49 | 92,255,745.35 | 268,918.75 | 3.50 | 7.729781 | 7.801826 | |
| 11 | 331,746,599.74 | 760,667.81 | 2.75 | 7.295131 | 7.361557 | 50 | 89,491,293.30 | 241,065.93 | 3.23 | 7.737920 | 7.810321 | |
| 12 | 322,601,208.54 | 727,018.82 | 2.70 | 7.277583 | 7.364834 | 51 | 86,813,257.04 | 232,254.33 | 3.21 | 7.745672 | 7.818083 | |
| 13 | 313,710,691.43 | 705,814.17 | 2.70 | 7.291708 | 7.378453 | 52 | 84,218,835.60 | 242,288.68 | 3.45 | 7.753017 | 7.825364 | |
| 14 | 305,067,872.99 | 671,889.19 | 2.64 | 7.319578 | 7.398436 | 53 | 81,705,361.56 | 220,079.90 | 3.23 | 7.759938 | 7.832202 | |
| 15 | 296,665,781.57 | 645,697.30 | 2.61 | 7.349801 | 7.426514 | 54 | 79,270,339.76 | 229,899.77 | 3.48 | 7.766417 | 7.838577 | |
| 16 | 288,497,643.48 | 628,893.62 | 2.62 | 7.381153 | 7.456855 | 55 | 76,911,140.06 | 206,032.95 | 3.21 | 7.772435 | 7.844471 | |
| 17 | 280,556,877.31 | 595,990.40 | 2.55 | 7.412408 | 7.486474 | 56 | 74,625,234.85 | 198,610.77 | 3.19 | 7.777974 | 7.849866 | |
| 18 | 272,837,088.47 | 581,816.11 | 2.56 | 7.442341 | 7.514118 | 57 | 72,410,259.92 | 221,022.99 | 3.66 | 7.783017 | 7.854743 | |
| 19 | 265,332,063.78 | 549,926.68 | 2.49 | 7.469727 | 7.538531 | 58 | 70,263,929.56 | 185,834.41 | 3.17 | 7.787545 | 7.859105 | |
| 20 | 258,031,379.02 | 528,313.68 | 2.46 | 7.493339 | 7.558460 | 59 | 68,184,047.96 | 195,053.59 | 3.43 | 7.791540 | 7.863040 | |
| 21 | 250,875,452.33 | 541,883.57 | 2.59 | 7.511953 | 7.572650 | 60 | 66,166,855.65 | 175,566.19 | 3.18 | 7.794983 | 7.866668 | |
| 22 | 243,414,177.75 | 487,647.91 | 2.40 | 7.524344 | 7.580155 | 61 | 64,211,549.36 | 182,480.68 | 3.41 | 7.797981 | 7.870114 | |
| 23 | 229,988,975.24 | 468,413.93 | 2.44 | 7.529285 | 7.581373 | 62 | 62,316,576.43 | 163,375.15 | 3.15 | 7.801025 | 7.873514 | |
| 24 | 217,446,888.33 | 557,732.46 | 3.08 | 7.525552 | 7.577283 | 63 | 60,480,001.69 | 157,591.62 | 3.13 | 7.804265 | 7.877011 | |
| 25 | 205,740,574.08 | 530,118.44 | 3.09 | 7.513739 | 7.569165 | 64 | 58,699,953.96 | 164,304.90 | 3.36 | 7.807731 | 7.880735 | |
| 26 | 194,829,185.52 | 475,811.61 | 2.93 | 7.500481 | 7.558594 | 65 | 56,974,632.96 | 147,346.91 | 3.10 | 7.811454 | 7.884737 | |
| 27 | 184,921,339.87 | 442,443.73 | 2.87 | 7.487973 | 7.547445 | 66 | 55,302,311.37 | 153,908.33 | 3.34 | 7.815464 | 7.889050 | |
| 28 | 179,297,421.84 | 443,413.60 | 2.97 | 7.476737 | 7.537578 | 67 | 53,681,293.22 | 137,454.21 | 3.07 | 7.819792 | 7.893703 | |
| 29 | 173,851,051.14 | 427,079.23 | 2.95 | 7.467294 | 7.529812 | 68 | 52,109,910.81 | 132,472.89 | 3.05 | 7.824467 | 7.898729 | |
| 30 | 168,576,386.10 | 505,286.45 | 3.60 | 7.460164 | 7.524680 | 69 | 50,586,582.19 | 158,778.90 | 3.77 | 7.829522 | 7.904159 | |
| 31 | 163,472,848.28 | 481,712.06 | 3.54 | 7.455871 | 7.522716 | 70 | 49,109,777.46 | 123,107.55 | 3.01 | 7.834985 | 7.910001 | |
| 32 | 158,529,707.84 | 467,000.86 | 3.53 | 7.454933 | 7.524452 | 71 | 47,678,021.05 | 128,501.05 | 3.23 | 7.840888 | 7.916175 | |
| 33 | 153,548,935.94 | 493,936.57 | 3.86 | 7.457874 | 7.530422 | 72 | 46,289,889.43 | 114,949.24 | 2.98 | 7.847260 | 7.922572 | |
| 34 | 148,310,597.15 | 441,589.36 | 3.57 | 7.465215 | 7.540973 | 73 | 44,944,018.91 | 119,885.29 | 3.20 | 7.854005 | 7.929074 | |
| 35 | 143,237,711.92 | 453,669.34 | 3.80 | 7.477476 | 7.555670 | 74 | 43,639,036.16 | 106,652.71 | 2.93 | 7.860624 | 7.935559 | |
| 36 | 138,368,194.47 | 482,089.69 | 4.18 | 7.495179 | 7.573780 | 75 | 42,373,646.65 | 102,751.52 | 2.91 | 7.866980 | 7.941895 | |
| 37 | 133,694,739.55 | 478,475.45 | 4.29 | 7.517756 | 7.594451 | 76 | 41,146,598.22 | 107,433.78 | 3.13 | 7.873063 | 7.947966 | |
| 38 | 129,318,329.67 | 420,106.03 | 3.90 | 7.541129 | 7.616707 | 77 | 39,956,682.56 | 95,614.58 | 2.87 | 7.878861 | 7.953738 | |
| 39 | 125,356,221.18 | 389,529.67 | 3.73 | 7.564079 | 7.639454 | 78 | 38,802,734.24 | 100,485.18 | 3.11 | 7.884361 | 7.959200 |
Assumptions: 1. Run at pricing prepayment assumption |
2. Excess (30/360) - assumes 13 days in 1st period |
3. 10% optional clean-up call 4. Takes into account net swap payments |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
18
Forward LIBOR Curves |
Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | |
| 1 | 5.320000 | 5.408130 | 40 | 5.586423 | 5.703167 | |
| 2 | 5.336342 | 5.394086 | 41 | 5.607972 | 5.722084 | |
| 3 | 5.352364 | 5.392011 | 42 | 5.628540 | 5.739522 | |
| 4 | 5.344385 | 5.388297 | 43 | 5.647943 | 5.755290 | |
| 5 | 5.333460 | 5.380943 | 44 | 5.665993 | 5.769257 | |
| 6 | 5.313772 | 5.374412 | 45 | 5.682504 | 5.781533 | |
| 7 | 5.326374 | 5.368245 | 46 | 5.697290 | 5.792314 | |
| 8 | 5.324165 | 5.362339 | 47 | 5.710165 | 5.801826 | |
| 9 | 5.330567 | 5.361557 | 48 | 5.720943 | 5.810321 | |
| 10 | 5.301227 | 5.364834 | 49 | 5.729781 | 5.818083 | |
| 11 | 5.295131 | 5.378453 | 50 | 5.737920 | 5.825364 | |
| 12 | 5.277583 | 5.398436 | 51 | 5.745672 | 5.832202 | |
| 13 | 5.291708 | 5.426514 | 52 | 5.753017 | 5.838577 | |
| 14 | 5.319578 | 5.456855 | 53 | 5.759938 | 5.844471 | |
| 15 | 5.349801 | 5.486474 | 54 | 5.766417 | 5.849866 | |
| 16 | 5.381153 | 5.514118 | 55 | 5.772435 | 5.854743 | |
| 17 | 5.412408 | 5.538531 | 56 | 5.777974 | 5.859105 | |
| 18 | 5.442341 | 5.558460 | 57 | 5.783017 | 5.863040 | |
| 19 | 5.469727 | 5.572650 | 58 | 5.787545 | 5.866668 | |
| 20 | 5.493339 | 5.580155 | 59 | 5.791540 | 5.870114 | |
| 21 | 5.511953 | 5.581373 | 60 | 5.794983 | 5.873514 | |
| 22 | 5.524344 | 5.577283 | 61 | 5.797981 | 5.877011 | |
| 23 | 5.529285 | 5.569165 | 62 | 5.801025 | 5.880735 | |
| 24 | 5.525552 | 5.558594 | 63 | 5.804265 | 5.884737 | |
| 25 | 5.513739 | 5.547445 | 64 | 5.807731 | 5.889050 | |
| 26 | 5.500481 | 5.537578 | 65 | 5.811454 | 5.893703 | |
| 27 | 5.487973 | 5.529812 | 66 | 5.815464 | 5.898729 | |
| 28 | 5.476737 | 5.524680 | 67 | 5.819792 | 5.904159 | |
| 29 | 5.467294 | 5.522716 | 68 | 5.824467 | 5.910001 | |
| 30 | 5.460164 | 5.524452 | 69 | 5.829522 | 5.916175 | |
| 31 | 5.455871 | 5.530422 | 70 | 5.834985 | 5.922572 | |
| 32 | 5.454933 | 5.540973 | 71 | 5.840888 | 5.929074 | |
| 33 | 5.457874 | 5.555670 | 72 | 5.847260 | 5.935559 | |
| 34 | 5.465215 | 5.573780 | 73 | 5.854005 | 5.941895 | |
| 35 | 5.477476 | 5.594451 | 74 | 5.860624 | 5.947966 | |
| 36 | 5.495179 | 5.616707 | 75 | 5.866980 | 5.953738 | |
| 37 | 5.517756 | 5.639454 | 76 | 5.873063 | 5.959200 | |
| 38 | 5.541129 | 5.661661 | 77 | 5.878861 | 5.964339 | |
| 39 | 5.564079 | 5.682962 | 78 | 5.884361 | 5.969142 |
| * Note 45 day lookback on the adjustable rate collateral. |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
19
Forward LIBOR Curves (continued) |
Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | |
| 79 | 5.889551 | 5.973599 | 118 | 6.001049 | 6.096747 | |
| 80 | 5.894421 | 5.977722 | 119 | 6.007312 | 6.105024 | |
| 81 | 5.898958 | 5.981627 | 120 | 6.015338 | 6.113352 | |
| 82 | 5.903150 | 5.985463 | 121 | 6.024747 | 6.121275 | |
| 83 | 5.906986 | 5.989383 | 122 | 6.033811 | 6.128398 | |
| 84 | 5.910454 | 5.993551 | 123 | 6.042067 | 6.134618 | |
| 85 | 5.913689 | 5.998136 | 124 | 6.049487 | 6.139904 | |
| 86 | 5.917284 | 6.003289 | 125 | 6.056039 | 6.144225 | |
| 87 | 5.921412 | 6.009065 | 126 | 6.061696 | 6.147552 | |
| 88 | 5.926103 | 6.015495 | 127 | 6.066427 | 6.149853 | |
| 89 | 5.931387 | 6.022609 | 128 | 6.070203 | 6.151146 | |
| 90 | 5.937294 | 6.030439 | 129 | 6.072993 | 6.151640 | |
| 91 | 5.943854 | 6.039014 | 130 | 6.074769 | 6.151601 | |
| 92 | 5.951096 | 6.048305 | 131 | 6.075501 | 6.151303 | |
| 93 | 5.959050 | 6.058035 | 132 | 6.075159 | 6.151028 | |
| 94 | 5.967747 | 6.067850 | 133 | 6.073991 | 6.151066 | |
| 95 | 5.977216 | 6.077384 | 134 | 6.073096 | 6.151669 | |
| 96 | 5.987487 | 6.086254 | 135 | 6.072766 | 6.152906 | |
| 97 | 5.998235 | 6.094062 | 136 | 6.073024 | 6.154798 | |
| 98 | 6.008039 | 6.100458 | 137 | 6.073889 | 6.157365 | |
| 99 | 6.016494 | 6.105322 | 138 | 6.075382 | 6.160628 | |
| 100 | 6.023542 | 6.108594 | 139 | 6.077523 | 6.164609 | |
| 101 | 6.029124 | 6.110215 | 140 | 6.080333 | 6.169271 | |
| 102 | 6.033183 | 6.110125 | 141 | 6.083832 | 6.174348 | |
| 103 | 6.035661 | 6.108265 | 142 | 6.088041 | 6.179506 | |
| 104 | 6.036499 | 6.104665 | 143 | 6.092981 | 6.184403 | |
| 105 | 6.035640 | 6.099720 | 144 | 6.098671 | 6.188687 | |
| 106 | 6.033026 | 6.093935 | 145 | 6.104799 | 6.191997 | |
| 107 | 6.028598 | 6.087831 | 146 | 6.110032 | 6.194019 | |
| 108 | 6.022299 | 6.081951 | 147 | 6.114006 | 6.194661 | |
| 109 | 6.014595 | 6.076858 | 148 | 6.116688 | 6.193887 | |
| 110 | 6.007566 | 6.073043 | 149 | 6.118041 | 6.191662 | |
| 111 | 6.001784 | 6.070655 | 150 | 6.118032 | 6.187951 | |
| 112 | 5.997306 | 6.069751 | 151 | 6.116625 | 6.182717 | |
| 113 | 5.994190 | 6.070390 | 152 | 6.113786 | 6.176025 | |
| 114 | 5.992493 | 6.072633 | 153 | 6.109480 | 6.168341 | |
| 115 | 5.992273 | 6.076536 | 154 | 6.103673 | 6.160246 | |
| 116 | 5.993588 | 6.082085 | 155 | 6.096330 | 6.152335 | |
| 117 | 5.996494 | 6.088959 | 156 | 6.087416 | 6.145219 |
| * Note 45 day lookback on the adjustable rate collateral. |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
20
Forward LIBOR Curves (continued) |
Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | |
| 157 | 6.077478 | 6.139523 | 196 | 6.135052 | 6.206678 | |
| 158 | 6.068838 | 6.135787 | 197 | 6.132137 | 6.203804 | |
| 159 | 6.062125 | 6.134167 | 198 | 6.129263 | 6.200981 | |
| 160 | 6.057392 | 6.134717 | 199 | 6.126435 | 6.198210 | |
| 161 | 6.054695 | 6.137492 | 200 | 6.123655 | 6.195494 | |
| 162 | 6.054087 | 6.142550 | 201 | 6.120924 | 6.192836 | |
| 163 | 6.055623 | 6.149944 | 202 | 6.118245 | 6.190239 | |
| 164 | 6.059356 | 6.159622 | 203 | 6.115622 | 6.187706 | |
| 165 | 6.065342 | 6.171084 | 204 | 6.113056 | 6.185238 | |
| 166 | 6.073633 | 6.183707 | 205 | 6.110550 | 6.182840 | |
| 167 | 6.084285 | 6.196850 | 206 | 6.108108 | 6.180514 | |
| 168 | 6.097351 | 6.209859 | 207 | 6.105732 | 6.178261 | |
| 169 | 6.112243 | 6.222064 | 208 | 6.103425 | 6.176085 | |
| 170 | 6.126410 | 6.232886 | 209 | 6.101189 | 6.173986 | |
| 171 | 6.139180 | 6.242180 | 210 | 6.099027 | 6.171967 | |
| 172 | 6.150515 | 6.249908 | 211 | 6.096942 | 6.170030 | |
| 173 | 6.160378 | 6.256029 | 212 | 6.094932 | 6.168177 | |
| 174 | 6.168733 | 6.260508 | 213 | 6.093000 | 6.166413 | |
| 175 | 6.175541 | 6.263304 | 214 | 6.091148 | 6.164743 | |
| 176 | 6.180765 | 6.264432 | 215 | 6.089379 | 6.163172 | |
| 177 | 6.184369 | 6.264112 | 216 | 6.087696 | 6.161704 | |
| 178 | 6.186316 | 6.262621 | 217 | 6.086102 | 6.160346 | |
| 179 | 6.186567 | 6.260244 | 218 | 6.084612 | 6.159101 | |
| 180 | 6.185086 | 6.257272 | 219 | 6.083228 | 6.157964 | |
| 181 | 6.182136 | 6.254005 | 220 | 6.081955 | 6.156927 | |
| 182 | 6.178891 | 6.250695 | 221 | 6.080795 | 6.155986 | |
| 183 | 6.175650 | 6.247396 | 222 | 6.079751 | 6.155131 | |
| 184 | 6.172416 | 6.244110 | 223 | 6.078817 | 6.154356 | |
| 185 | 6.169191 | 6.240840 | 224 | 6.077957 | 6.153662 | |
| 186 | 6.165978 | 6.237589 | 225 | 6.077166 | 6.153078 | |
| 187 | 6.162779 | 6.234359 | 226 | 6.076445 | 6.152643 | |
| 188 | 6.159597 | 6.231153 | 227 | 6.075796 | 6.152396 | |
| 189 | 6.156435 | 6.227973 | 228 | 6.075220 | 6.152377 | |
| 190 | 6.153294 | 6.224823 | 229 | 6.074754 | 6.152627 | |
| 191 | 6.150177 | 6.221704 | 230 | 6.074541 | 6.153156 | |
| 192 | 6.147088 | 6.218619 | 231 | 6.074622 | 6.153863 | |
| 193 | 6.144028 | 6.215572 | 232 | 6.075001 | 6.154611 | |
| 194 | 6.141001 | 6.212564 | 233 | 6.075685 | 6.155264 | |
| 195 | 6.138008 | 6.209598 | 234 | 6.076678 | 6.155683 |
| * Note 45 day lookback on the adjustable rate collateral. |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
21
Forward LIBOR Curves (continued) |
Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | |
| 235 | 6.077852 | 6.155725 | 274 | 6.013585 | 6.084514 | |
| 236 | 6.078673 | 6.155286 | 275 | 6.011664 | 6.082551 | |
| 237 | 6.078999 | 6.154407 | 276 | 6.009745 | 6.080591 | |
| 238 | 6.078823 | 6.153173 | 277 | 6.007828 | 6.078634 | |
| 239 | 6.078135 | 6.151665 | 278 | 6.005914 | 6.076681 | |
| 240 | 6.076928 | 6.149971 | 279 | 6.004003 | 6.074733 | |
| 241 | 6.075280 | 6.148177 | 280 | 6.002096 | 6.072789 | |
| 242 | 6.073534 | 6.146357 | 281 | 6.000193 | 6.070851 | |
| 243 | 6.071776 | 6.144525 | 282 | 5.998294 | 6.068919 | |
| 244 | 6.070006 | 6.142683 | 283 | 5.996401 | 6.066992 | |
| 245 | 6.068224 | 6.140830 | 284 | 5.994512 | 6.065072 | |
| 246 | 6.066432 | 6.138967 | 285 | 5.992629 | 6.063159 | |
| 247 | 6.064630 | 6.137094 | 286 | 5.990753 | 6.061254 | |
| 248 | 6.062817 | 6.135212 | 287 | 5.988883 | 6.059356 | |
| 249 | 6.060995 | 6.133322 | 288 | 5.987020 | 6.057467 | |
| 250 | 6.059164 | 6.131423 | 289 | 5.985165 | 6.055587 | |
| 251 | 6.057324 | 6.129517 | 290 | 5.983317 | 6.053715 | |
| 252 | 6.055476 | 6.127603 | 291 | 5.981478 | 6.051854 | |
| 253 | 6.053620 | 6.125682 | 292 | 5.979647 | 6.050002 | |
| 254 | 6.051757 | 6.123755 | 293 | 5.977826 | 6.048161 | |
| 255 | 6.049886 | 6.121822 | 294 | 5.976014 | 6.046330 | |
| 256 | 6.048009 | 6.119883 | 295 | 5.974212 | 6.044512 | |
| 257 | 6.046126 | 6.117938 | 296 | 5.972421 | 6.042704 | |
| 258 | 6.044238 | 6.115989 | 297 | 5.970640 | 6.040910 | |
| 259 | 6.042343 | 6.114036 | 298 | 5.968871 | 6.039127 | |
| 260 | 6.040444 | 6.112079 | 299 | 5.967114 | 6.037358 | |
| 261 | 6.038541 | 6.110118 | 300 | 5.965368 | 6.035603 | |
| 262 | 6.036634 | 6.108155 | 301 | 5.963635 | 6.033861 | |
| 263 | 6.034723 | 6.106188 | 302 | 5.961915 | 6.032134 | |
| 264 | 6.032808 | 6.104220 | 303 | 5.960209 | 6.030421 | |
| 265 | 6.030891 | 6.102250 | 304 | 5.958516 | 6.028724 | |
| 266 | 6.028972 | 6.100279 | 305 | 5.956838 | 6.027043 | |
| 267 | 6.027051 | 6.098306 | 306 | 5.955174 | 6.025377 | |
| 268 | 6.025128 | 6.096334 | 307 | 5.953525 | 6.023729 | |
| 269 | 6.023205 | 6.094361 | 308 | 5.951892 | 6.022097 | |
| 270 | 6.021280 | 6.092389 | 309 | 5.950275 | 6.020483 | |
| 271 | 6.019356 | 6.090418 | 310 | 5.948674 | 6.018886 | |
| 272 | 6.017431 | 6.088448 | 311 | 5.947090 | 6.017308 | |
| 273 | 6.015508 | 6.086480 | 312 | 5.945523 | 6.015749 |
| * Note 45 day lookback on the adjustable rate collateral. |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
22
Forward LIBOR Curves (continued) |
Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | |
| 313 | 5.943974 | 6.014209 | 337 | 5.913198 | 5.984135 | |
| 314 | 5.942443 | 6.012688 | 338 | 5.912228 | 5.983214 | |
| 315 | 5.940930 | 6.011188 | 339 | 5.911287 | 5.982323 | |
| 316 | 5.939437 | 6.009708 | 340 | 5.910373 | 5.981463 | |
| 317 | 5.937963 | 6.008249 | 341 | 5.909487 | 5.980637 | |
| 318 | 5.936508 | 6.006811 | 342 | 5.908630 | 5.979845 | |
| 319 | 5.935074 | 6.005396 | 343 | 5.907804 | 5.979088 | |
| 320 | 5.933660 | 6.004002 | 344 | 5.907012 | 5.978368 | |
| 321 | 5.932267 | 6.002631 | 345 | 5.906255 | 5.977683 | |
| 322 | 5.930896 | 6.001283 | 346 | 5.905534 | 5.977028 | |
| 323 | 5.929547 | 5.999959 | 347 | 5.904850 | 5.976401 | |
| 324 | 5.928220 | 5.998659 | 348 | 5.904202 | 5.975799 | |
| 325 | 5.926916 | 5.997383 | 349 | 5.903589 | 5.975218 | |
| 326 | 5.925635 | 5.996132 | 350 | 5.902997 | 5.974658 | |
| 327 | 5.924378 | 5.994906 | 351 | 5.902421 | 5.974131 | |
| 328 | 5.923144 | 5.993706 | 352 | 5.901864 | 5.973649 | |
| 329 | 5.921935 | 5.992532 | 353 | 5.901324 | 5.973227 | |
| 330 | 5.920751 | 5.991385 | 354 | 5.900803 | 5.972879 | |
| 331 | 5.919591 | 5.990265 | 355 | 5.900313 | 5.972619 | |
| 332 | 5.918458 | 5.989173 | 356 | 5.899907 | 5.972619 | |
| 333 | 5.917352 | 5.988108 | 357 | 5.899600 | 5.972619 | |
| 334 | 5.916272 | 5.987072 | 358 | 5.899393 | 5.972619 | |
| 335 | 5.915219 | 5.986065 | 359 | 5.899286 | 5.972619 | |
| 336 | 5.914195 | 5.985086 | 360 | 5.899281 | 5.972619 |
| * Note 45 day lookback on the adjustable rate collateral. |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
23
BREAKEVEN (LAST CDR PRIOR TO 1ST DOLLAR LOSS) |
BOND | CDR BE RATE (%) | WAL | Cum Loss (%) |
| M-1 | 37.35 | 4.35 | 24.89 |
| M-2 | 28.33 | 5.85 | 21.15 |
| M-3 | 24.73 | 7.46 | 19.39 |
| M-4 | 21.68 | 8.09 | 17.77 |
| M-5 | 19.00 | 8.68 | 16.22 |
| M-6 | 16.61 | 9.30 | 14.72 |
| M-7 | 14.46 | 9.86 | 13.28 |
| M-8 | 12.66 | 10.48 | 11.99 |
Assumptions:
1. Trigger event is always in effect
2. 40 % loss severity
3. 6 months lag
4. Pricing prepayment assumption
5. Certificates use 1-month LIBOR forward and collateral uses 6-month LIBOR forward
6. P&I advance
7. 10% optional clean-up call is not exercised
8. Takes into account net swap payments
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
24
Contact List
North American ABS - Home Equity | Syndicate/Sales Desk | |||||
Origination/ | Brian Bernard | (212) 834-5139 | Andy Cherna | (212) 834-4154 | ||
Structuring: | Paul White | (212) 834-5936 | Randall Outlaw | (212) 834-4154 | ||
| Vikas Garg | (212) 834-9593 | Melissa Traylor | (212) 834-4154 | |||
| Jamie Gordon | (212) 834-5409 | Lizmary Rodriguez | (212) 834-4154 | |||
| Shayna Stephanak | (212) 834-5727 | |||||
| Haroon Jawadi | (212) 834-5308 | |||||
| Kathryn Bauer | (212) 834-9986 | Asset-Backed Trading | ||||
| Danielle Stiles | (212) 834-5738 | Peter Basso | (212) 834-3720 | |||
| Maria Lopes | (212) 834-3720 | |||||
Home Equity | Robert Miller | (212) 834-2428 | Misha Renda | (212) 834-3720 | ||
Whole Loan Trading: | Raj Kothari | (212) 834-3339 | ||||
| Kevin Lynn | (212) 834-2394 | |||||
| Osmin Rivera | (212) 834-2151 | |||||
Rating Agency Contacts | ||
Name: | Telephone: | E-Mail: |
DBRS Sagar Kongettira | 212-806-3266 | skongettira@dbrs.com |
Fitch Joanna Su Kei Ishidoya | 212-908-0656 212-908-0238 | joanna.su@fitchratings.com kei.ishidoya@fitchratings.com |
Moody’s Jefferson Ganoza | 212-553-4631 | Jefferson.Ganoza@moodys.com |
Standard and Poor’s David Hongwei Wang | 212-438-1580 | david_hongweiwang@standardandpoors.com |
Please Direct All Questions to the Syndicate Desk (x4-4154) Andy Cherna Randall Outlaw Melissa Traylor |
The information herein will be superseded in its entirety by the final prospectus and prospectus supplement relating to the securities. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR JPMORGAN SALES REPRESENTATIVE.
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