CIBC - Triaxx Prime CDO 2006 (2007 Models)

Triaxx Prime CDO 2006-11
$2.5 Billion CDO of RMBS Securities

Deal Summary
Issue Triaxx Prime CDO 2006-1
Lead Placement Agent, Structurer and Arranger ICP Securities
Co-Placement Agent CIBC World Markets (with respect to the Class A-1 Notes only)
Collateral Manager ICP Asset Management, LLC
Deal size $[2,500,000,000]
Expected Closing Date [TBD]
% Ramped at Close [70]%
Non-call Period [3] Years
Asset Reinvestment Period [5] Years
First Payment Date [TBD]
Payment frequency [Monthly for Class A-1, Quarterly for remaining]
Auction Call [8] Years
Deal Structure
Class A-12 Class A-2 Class B Class X Class C
Original Par [2,250,000,000] [200,000,000] [30,000,000] [10,000,000] [10,000,000]
% of Deal [90.0]% [8.00]% [1.20]% [0.40]% [0.40]%
Coupon L + []% L + []% L + []% L + []% L + []%
Legal Maturity [2041] [2041] [2041] [2041] [2041]
MDY / S&P [Aaa/AAA] [Aaa/AAA] [Aa2/AA] [A2/A] [A3/A-]
WAL3 [6.7] [8.0] [8.0] [4.2] [8.0]
Coverage Tests
Expected O/C Required O/C
Class A [101.75]% [101.00]%
Class B [100.49]% [100.45]%
Class C [100.09]% [100.05]%
Collateral Description
Collateral type 100% RMBS
Average rating Aaa/AAA
Max WARF [3]
Min senior most tranches [100%]
Weighted average FICO [680 - 700]
Weighted average LTV [70 - 75]
Fixed / Float [100]% Floating-rate
Max weighted average maturity [8] Years
Max single issuer concentration [2%]
Servicer concentrations by min rating4
Largest 35 with min rating of (SQ2 / RPS2 / Above Avg) [60%] Total, [20%] Each
Max if rated at least (SQ1 / RPS1 / Strong) [15%]
Max if rated at least (SQ2 / RPS2 / Above Avg) [10%]
Servicers rated below (SQ2, RPS2, Above Avg.) [0%]
Fees and Expenses

Management fee [0] bps Senior; [5] bps Subordinate
Incentive management fee [100]% of residual cash flow
Trustee / Admin fee [0.75] bps plus $175,000
1
Transaction in structuring phase; Information is subject to change.
2
Class A-1 to be wrapped by AIG Financial Products Corporation
3
Weighted average lives assuming 20% annual prepayment on assets
4
Rating Categories ordered by (Moodys / Fitch / S&P)
5
Largest 3 to be selected from Bank of America, Countrywide, GMAC, and Wells Fargo
This term sheet may only be distributed as an integral part of the Confidential Discussion Materials. Please review the important Disclaimer and Risk
Factors contained herein. In addition, risks of investing in the offered Securities will be described more fully in the preliminary and final offering
memoranda to be provided in connection with the offering of the Securities.
Interest Proceeds Waterfall 1
1)
Taxes (2)
2)
Trustee, administrative fees and expenses (subject to a cap)(2)
3)
Pro-rata to Class A-1 note interest and Class A-1 commitment fee (2)
4)
Class A-2 note interest (3)
5)
Class B note interest (3)
6)
Redemption of Class A-1, A-2 , and B notes (Class A & B Coverage Tests),
(in order of seniority) (3)
7)
Class X interest (3)
8)
Class C note interest (3)
9)
Class X principal amount (3)
10)
Redemption of Class A-1, A-2, B, X and C notes (Class C Coverage Tests),
(in order of seniority) (3)
11)
Class C note deferred interest (3)
12)
Subordinate management fee (3)
13)
Administrative expenses in excess of capped amount (3)
14)
Payments of incentive management fee (3)
Principal Proceeds Waterfall 1
1)
Unpaid items in the steps 1 - 6 of the interest waterfall (4)
2)
After the reinvestment period, redemption of the Class A-1 notes until paid in
full (2)
3)
After the reinvestment period, redemption of the Class A-2 notes until paid in
full (3)
4)
After the reinvestment period, redemption of Class B notes (3)
5)
Unpaid items in steps 7 of the interest waterfall (3)
6)
After the reinvestment period, redemption of Class X notes (3)
7)
Unpaid items in steps 8 - 11 of the interest waterfall (3)
8)
After the reinvestment period, redemption of Class C notes (3)
9)
During the reinvestment period, to the reinvestment of additional collateral (3)
10)
Unpaid items in steps 12 - 13 of the interest waterfall (3)
11)
Payments to incentive management fee (3)
1
Representation does not include all details of the waterfall. See the Offering Memorandum for a complete description of the Interest Proceeds
waterfall and the Principal Proceeds waterfall. Preliminary – subject to change
2
Payable monthly
3
Payable quarterly
4
Items 1-3 payable monthly, items 4 through 6 payable quarterly
This term sheet may only be distributed as an integral part of the Confidential Discussion Materials. Please review the important Disclaimer and Risk
Factors contained herein. In addition, risks of investing in the offered Securities will be described more fully in the preliminary and final offering
memoranda to be provided in connection with the offering of the Securities.
Triaxx Prime CDO 2006-1
A CDO of RMBS Securities to be Managed by ICP Asset Management LLC
1 Property of Institutional Credit Partners LLC - Confidential Materials May 31, 2006
Disclaimer
Institutional Credit Partners LLC is the parent company of ICP Asset Management LLC (“ICP”), a registered investment adviser with the
Securities and Exchange Commission, and ICP Securities LLC (“ICP Securities”), a member of the National Association of Securities Dealers
and Securities Investor Protection Corporation (“SIPC”). SIPC protects securities customers of its members up to $500,000 (including
$100,000 for claims for cash). SIPC does not protect investments in the proposed collateralized debt obligation transaction outlined in this
Confidential Discussion Material (this “Material”).
CIBC World Markets is the marketing name of the investment banking and securities business of Canadian Imperial Bank of Commerce and its
affiliates worldwide (collectively, “CIBC”), including CIBC World Markets, Corp., CIBC World Markets Inc. and CIBC World Markets plc which is
regulated by the Financial Services Authority (“FSA”). Both Canadian Imperial Bank of Commerce and CIBC World Markets plc have been
accepted by the FSA, as a listed money market institution under the Banking Act 1987 as amended.
This Material outlines certain characteristics of a proposed collateralized debt obligation transaction. This Material is presented solely for purposes of
discussion to assist you, as a prospective investor, in determining whether you have a preliminary interest in investing in a transaction with the general
characteristics described herein. This transaction is in a structuring phase and there may be material changes to the structure, terms and assets prior to
the offering of any securities (the “Securities”). This Material is not and is under no circumstances to be used or considered an offer to sell, or a
solicitation to buy, the Securities or any other investment. Any such offering of the Securities will only be made pursuant to a final offering memorandum
relating to the Securities (the “Offering Memorandum”) to be prepared by the issuer thereof (the “Issuer”). The Offering Memorandum will contain material
information not contained herein and to which your attention is directed. In the event of any such offering, this Material will be deemed superseded,
amended and supplemented in its entirety by the Offering Memorandum (including any preliminary version thereof). This Material is confidential and
proprietary to CIBC and ICP Securities and, accordingly, except as otherwise permitted herein, this Material is to be treated as strictly confidential and not
to be disclosed directly or indirectly to any party other than to your advisers or used for any purpose other than to make a preliminary analysis of the
Securities. No person has been authorized to give any information or make any representations other than the information contained herein, as amended
and superseded by the information contained in the Offering Memorandum relating to the eventual offering, if any, of the Securities. By accepting or
reading this Material, you agree to be bound by all of the limitations described herein. Notwithstanding the foregoing, you and your employees,
representatives or other agents may disclose to any and all persons, without limitation of any kind, the U.S. federal income tax treatment and tax structure
of this transaction and all materials of any kind, including opinions or other tax analyses, that are provided to the recipients relating to such tax treatment
and tax structure. This authorization to disclose such tax treatment and tax structure does not permit disclosure of information identifying the Issuer, the
collateral manager or any other party or the pricing (except to the extent pricing is relevant to tax structure or tax treatment) of this transaction. You
acknowledge and agree that ICP Securities is the structurer, arranger and lead placement agent for the offering and CIBC’s role in this transaction is
limited to the placement of the Class A-1 Notes described herein.
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Disclaimer
You should not construe this Material, the Offering Memorandum or any prior or subsequent communication as legal, accounting or tax advice. Certain
information herein is presented in summary form and is not complete and should not be relied upon as being complete. In addition, certain information
contained herein has been provided by third parties and has not been independently verified by CIBC or ICP Securities and CIBC and ICP Securities
make no representation or warranty, express or implied, as to the reasonableness of assumptions or as to the accuracy or the completeness of such
information. An investment in the Securities presents substantial risks and investors should be prepared to suffer a loss of their entire investment. Prior
to making an investment decision, you should conduct such investigations as you deem necessary in order to determine if an investment in the Securities
offered by the Offering Memorandum is appropriate and suitable for you and you should consult your legal, accounting and tax advisers in order to
determine the consequences of an investment in such Securities and to make an independent evaluation of such investment. CIBC and ICP Securities
are not acting in the capacity of your financial adviser or fiduciary. CIBC, ICP Securities and ICP Asset Management disclaim any and all liability relating
to this Material, including any express or implied representation or warranty for statements contained in and omissions from this Material. None of the
Issuer, CIBC, ICP Securities or ICP Asset Management expects to update or otherwise revise this Material except by means of the Offering
Memorandum. Unless otherwise specified, all information contained herein is as of May 31, 2006. The Securities and the obligations of the Issuer will not
be issued by, obligations of, or guaranteed by CIBC, ICP Securities, ICP or their respective affiliates.
Forward Looking Statements: Any hypothetical illustrations (including, forecasts and estimates) contained in this Material are forward looking statements
and are based upon assumptions. Hypothetical illustrations are necessarily speculative in nature, and it can be expected that some or all of the
assumptions underlying the hypothetical illustrations may not materialize or may vary significantly from actual results. Accordingly, the hypothetical
illustrations are only estimates. Actual results will differ and may vary substantially from the hypothetical illustrations shown. In addition, certain analyses
are based on mathematical models that use hypothetical inputs to calculate results. As with all models, results may vary significantly depending upon the
values of the inputs used. Models used in any analysis may be proprietary, making the results difficult for any third party to reproduce. Moreover,
hypothetical performance analyses will address only certain aspects of the characteristics of the Securities and will not provide a complete assessment of
the results that may follow from all possible contingencies (including default, interest rate and other scenarios and certain economic features of the
Securities, including call features and cash flow diversion events). You should understand the assumptions used in any analysis and evaluate whether
they are appropriate for your investment purposes. You should further consider whether the behavior of these Securities should be tested based on
assumptions different from those used to prepare the analyses.
Note to Historical Data: Any historical investment results of any person or entity described in this Material are not indicative of the Issuer's future
investment results. Such results are intended only to give you information concerning the general experience of the relevant person or entity as an asset
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Disclaimer
manager or adviser and are not intended as representations or warranties by CIBC, ICP Securities, ICP or any other person or entity as to the actual
composition of or performance of any future investments that would be made by the Issuer. The nature of, and risks associated with, the Issuer's future
investments may differ substantially from (and will be subject to constraints that were not applicable to) those investments and strategies undertaken
historically by such persons and entities. There can be no assurance that the Issuer's investments will perform as well as, or in a manner similar to, the
past investments of any such persons or entities. For these reasons, there are limitations on the value of the hypothetical illustrations contained herein.
This Material is provided to you on the understanding that as a sophisticated investor, you will understand and accept its inherent limitations, will not rely
on it in making any investment decision with respect to any Securities that may be issued, and will use it only for the purpose of discussing with CIBC and
ICP Securities your preliminary interest in investing in a transaction of the type described. You are urged to conduct your own investigation regarding the
underlying asset classes, including reviewing any sources cited herein and obtaining additional information regarding the underlying collateral.
For investors and transactions subject to U.S. laws: The Securities described herein, if offered, will not be registered with the U.S. Securities and
Exchange Commission or similar regulatory body of any jurisdiction. Accordingly, this Material may not be disseminated other than (a) within the United
States of America, to investors that are (i)(A) "qualified institutional buyers" as defined in Rule 144A under the U.S. Securities Act of 1933, as amended
(the "Securities Act") or (B) “accredited investors” within the meaning of Rule 501(a) under the Securities Act and, in each case, who are also (ii) "qualified
purchasers" within the meaning of Section 3(c)(7) of the U.S. Investment Company Act of 1940, as amended ("Investment Company Act") and (b) outside
the United States of America, to non-U.S. persons in offshore transactions in reliance on Regulation S under the Securities Act.
The offer or sale of the Securities may be restricted by the laws of the relevant jurisdiction and additional restrictions set forth in the Offering
Memorandum. You are required to inform yourself of and to observe any legal restrictions on your involvement in the proposed transaction. Additional net
worth and/or sophistication requirements may be required.
YOUR ATTENTION IS DIRECTED TO THE RISK FACTORS AND TAX CONSIDERATIONS WHICH WILL BE DESCRIBED MORE FULLY IN THE
PRELIMINARY AND FINAL OFFERING MEMORANDUM TO BE PROVIDED IN CONNECTION WITH ANY OFFERING OF THE SECURITIES.
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Table of Contents
Section Page
I. Executive Summary 6
II. Transaction Details 10
III. RMBS Market Overview 15
IV. About the Collateral Manager 20
V. Investment Process 25
VI. Risk Monitoring / Surveillance 38
Appendices Page
i. Appendix I – Manager Biographies 41
ii. Risk Factors 51
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I. Executive Summary
6
Executive Summary
Overview
¾ Triaxx Prime CDO I (“Triaxx”) is a $2.5 billion Collateralized Debt Obligation secured primarily by a
pool of Aaa/AAA rated Residential Mortgage Backed Securities (“RMBS”)
¾ ICP Asset Management LLC (“ICP”) will act as the Collateral Manager and have all investment and
trading authority (1)
ICP is a structured fixed income investment manager with focus in CDO, RMBS, and MBS
organized in 2004 to provide comprehensive investment advisory services to institutions and
qualified individuals
The partners of the firm have a strong track record in the structured credit market, having
originated and participated in over $10 billion in leveraged transactions since 2000(2) which were
backed by a wide range of collateral including ABS, MBS, high yield bonds, leveraged loans,
emerging market securities, and investment grade corporate debt
The investment management team has an average of 12 years of industry experience and employs
a comprehensive staff to conduct credit research, market analysis, asset valuations, trading and
operational support
(1) Source: ICP

(2) Transaction activity between January of 2000 and July of 2004 occurred while members of the team were
engaged in employment at other financial institutions where members held management positions and were
responsible for generating origination and structuring business activities.
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Executive Summary
Overview
¾ Triaxx strategy consistent with current ICP market view. (1)

Defensive view on consumer/corporate credit
Neutral/constructive view on interest rates
Aggressive view on liquidity
¾ Triaxx investment focus (2)

100% AAA RMBS
Prime borrower profile on all underlying RMBS pools
Diversification through obligor and servicer limitiations
(1) Source: ICP

(2) Deal in structuring process, subject to change
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Executive Summary
Transaction Structure (1)
Assets Liabilities
Collateral
CollateralManager
Manager
Trustee
Trustee Class A-1 Notes
Rating Class A-1 Notes
RatingAgency
AgencySurveillance
Surveillance Aaa/AAA
Aaa/AAA
Class A-2 Notes

Class A-2 Notes
Aaa/AAA
Aaa/AAA
Aaa/AAA
Aaa/AAA Class B Notes
Class B Notes
RMBS Triaxx Prime CDO Aa2/AA-
RMBS Triaxx Prime CDO Aa2/AA-
Securities
Securities
Class X Notes
Class X Notes
A2/A
A2/A
Class C Notes
Class C Notes
A3/A-
A3/A-
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II. Transaction Details
10
Transaction Details
Summary (1)
Collateral Manager: ICP Asset Management, LLC

Deal Size: [2,500] MM
Structurer and Arranger ICP Securities LLC
Lead / Co-Placement Agents: Lead - ICP Securities LLC / Co-placement - CIBC World Market Corp.(2)
Collateral Management Fees: Subordinate Management Fee of 5bps; Incentive Management Fee [100]% of
excess cash flow
Payment Dates: Class A-1 monthly; Classes A-2, B, X & C quarterly
Closing Date: [ ], 2006
Ramp-up: [70]% at closing and remainder to be purchased over [120] days thereafter
Non-Call Period: [3] Years
Reinvestment Period: [5] Years
Auction Call: [8] Years
Delivery: Euroclear/Cedel for Regulation S; DTC for 144A / Qualified Purchasers
Legal Final Maturity: [ ], 2041
Issuing Entity: Bankruptcy remote Cayman Islands corporation and Delaware co-issuer
Rating Agencies: Moody’s / S&P
Trustee / Admin Fee [0.75] bps and $175,000
(1) Deal in structuring process, subject to change. See confidential Offering Memorandum for complete description of terms for this transaction
(2) CIBC World Markets Corp.’s role is limited to the placement of the Class A-1 notes
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Transaction Details
Structure
Capital Structure (1)
Tranche Target Rating Par (USD) % of Deal Coupon / Spread WAL(2)

Class A-1 Aaa/AAA 2,250,000,000 90.0% 1m L + [] [6.7]
Class A-2 Aaa/AAA 200,000,000 8.0% 3m L + [] [8.0]
Class B Aa2/AA 30,000,000 1.2% 3m L + [] [8.0]
Class X A2/A 10,000,000 0.4% 3m L + [] [4.2]
Class C A3/A- 10,000,000 0.4% 3m L + [] [8.0]
Coverage Tests (1)
Tranche Expected O/C O/C Test

Class A [101.75]% [101.00]%
Class B [100.49]% [100.45]%
Class C [100.09]% [100.05]%

(2) Weighted average lives assuming 20% annual prepayment on assets
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Transaction Details
Eligibility Criteria
Eligibility Criteria (1)
Collateral type [100]% RMBS

Average rating Aaa/AAA
Max WARF [3] bps
Min senior most tranches [100]%
Weighted average FICO [680-700]
Weighted average LTV [70-75]
Fixed / Float [100]% Floating-rate
Max weighted average maturity [8] Years
Max single issuer concentration [2%]
Servicer concentrations by minimum rating (2)
Largest 3(3) with min rating of (SQ2 / RPS2 / Above Avg) [60%] Total, [20%] Each
Max if rated at least (SQ1 / RPS1 / Strong) [15%]
Max if rated at least (SQ2 / RPS2 / Above Avg) [10%]
Servicers rated below (SQ2, RPS2, Above Avg.) [0%]

(2) Rating Categories ordered by (Moodys / Fitch / S&P)
(3) Largest 3 to be selected from Bank of America, Countrywide, GMAC, and Wells Fargo
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Transaction Details
Waterfall
Interest Proceeds Waterfall (1) Principal Proceeds Waterfall 1

1. Taxes (2) 1. Unpaid items in the steps 1 - 6 of the interest waterfall (4)
2. Trustee, administrative fees and expenses (subject to a cap)(2) 2. After the reinvestment period, redemption of the Class A-1
notes until paid in full (2)
3. Pro-rata to Class A-1 note interest and Class A-1 commitment fee (2)
3. After the reinvestment period, redemption of the Class A-2
4. Class A-2 note interest (3)
notes until paid in full.(3)
5. Class B note interest (3)
4. After the reinvestment period, redemption of Class B notes (3)
6. Redemption of Class A-1, A-2 , and B notes (Class A & B Coverage
5. Unpaid items in steps 7 of the interest waterfall (3)
Tests), (in order of seniority) (3)
6. After the reinvestment period, redemption of Class X notes (3)
7. Class X interest (3)
7. Unpaid items in steps 8 - 11 of the interest waterfall (3)
8. Class C note interest (3)
8. After the reinvestment period, redemption of Class C notes (3)
9. Class X principal amount (3)
9. During the reinvestment period, to the reinvestment of
10. Redemption of Class A-1, A-2, B, X and C notes (Class C Coverage
additional collateral (3)
Tests), (in order of seniority) (3)
10. Unpaid items in steps 12 - 13 of the interest waterfall (3)
11. Class C note deferred interest (3)
11. Payments to incentive management fee (3)
12. Subordinate management fee (3)
13. Administrative expenses in excess of capped amount (3)
14. Payments of incentive management fee (3)
(1) Representation does not include all details of the waterfall. See the Offering Memorandum for a complete description of the interest proceeds waterfall and the principal proceeds
waterfall. Preliminary – subject to change
(2) Payable monthly
(3) Payable quarterly
(4) Items 1-3 payable monthly, items 4 through 6 payable quarterly
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III. RMBS Market Overview
15
RMBS Market Overview
Highlights
¾ High Grade ABS Highlights:
Low Overall Credit Risk (1)(2)

- RMBS Securities have shown strong credit performance and strong rating stability
Low Defaults (1)(3)

- High Grade ABS have very low historical default rates
High Recovery Rates (1)(4)

- Defaulted RMBS assets have historically high recovery rates
(1) Historical Performance is not a guarantee or prediction of future results

(2) Source: Moody’s Investors Services- Structured Finance Rating Transitions: 1983-2005
(3) Source: S&P Research-Principal Repayment and Loss Behavior of Defaulted U.S Structured Finance Securities : January 2005
(4) Source: Moody’s Investors Services-Default & Loss rates of Structured Finance Securities: 1993-2005
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One Year Migration Rates
¾ Rating Stability: US RMBS – 1 year migration
RMBS has historically proven to be a very safe and stable asset class
Based on Moody’s report of ratings transitions, corporate ratings were more than 9 times more
likely to experience a downgrade vs. RMBS in 2005 (1)
Overall downgrade rate for 2005 was 0.9%, and has remained below 1% since 2000 (2)
Aaa downgrade rate was 0.05% for 2005 (3)
US RMBS (2005)
Rating at End of Year
Aaa Aa A Baa Ba B Caa or Below
Aaa 99.95% 0.00% 0.05% 0.00% 0.00% 0.00% 0.00%
Aa 11.38% 88.21% 0.10% 0.21% 0.00% 0.10% 0.00%
A 1.68% 8.89% 87.74% 0.96% 0.36% 0.12% 0.24%
Baa 0.00% 0.52% 7.67% 89.99% 0.52% 0.91% 0.39%
Ba 0.00% 0.00% 0.58% 5.52% 91.29% 1.16% 1.45%
B 0.00% 0.00% 0.00% 0.00% 7.08% 91.04% 1.89%
Caa or Below 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00%
(1),(2),(3) Source: Moody’s Investors Services- Structured Finance Rating Transitions: 1983-2005. Historical performance figures are not a guarantee or prediction of future results.
Investment losses may occur, and investors could lose some or all of their investment. Nothing herein is intended to imply that an investment in the Securities described herein or
TRIAXX may be considered "conservative," "safe," "risk free" or "risk averse."
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Twenty Year Migration
¾ Long-term Rating Stability: US RMBS – 20 year migration
Aaa RMBS have exhibited low ratings volatility through many credit cycles
Only 0.45% of Aaa rated US RMBS was downgraded in one year and 1.51% was downgraded
over a five year period (1)
US RMBS Rating Transition Matrices (Weighted Averages, 1984-2005)
Aaa Aa A Baa Ba B Caa/below Withdrawn(3)
Aaa 88.75% 0.34% 0.09% 0.02% 0.00% 0.00% 0.00% 10.81%
Aa 7.62% 83.16% 1.60% 0.34% 0.01% 0.03% 0.01% 7.23%
A 1.87% 6.23% 82.13% 1.57% 0.19% 0.04% 0.17% 7.80%
1 Year
Baa 0.49% 0.79% 5.26% 83.67% 1.40% 0.73% 0.71% 6.96%
Ba 0.12% 0.12% 1.25% 5.60% 83.02% 1.37% 2.28% 6.23%
B 0.00% 0.00% 0.07% 0.56% 4.21% 83.57% 4.42% 7.16%
Caa or below 0.00% 0.00% 0.00% 0.00% 0.13% 0.00% 87.70% 12.17%
Aaa 51.58% 0.88% 0.29% 0.11% 0.01% 0.04% 0.18% 46.92%

Aa 22.64% 33.98% 3.34% 1.59% 0.33% 0.29% 0.66% 37.17%
A 10.03% 10.31% 34.82% 2.23% 0.70% 0.52% 1.43% 39.97%
5 year
Baa 3.16% 3.23% 9.48% 42.49% 1.00% 1.58% 6.18% 32.88%
Ba 0.77% 0.69% 6.00% 11.62% 39.38% 1.38% 7.15% 33.00%
B 0.00% 0.00% 0.00% 3.24% 1.41% 44.08% 11.55% 39.72%
Caa or below 0.00% 0.00% 0.00% 0.00% 1.01% 0.00% 58.73% 40.25%
¾ There have been only three defaults on US RMBS classes originally rated Aaa / AAA all of
which occurred in 1997 and 1998 on deals issued in 1990 or 1991 by Guardian Savings and Loan
(Huntington Beach, CA) (2)
(1),(2) Source: Moody’s Investors Services- Structured Finance Rating Transitions: 1983-2005. Historical performance figures are not a guarantee or prediction of future results
(3) The vast majority of withdrawn ratings actions arise from routine debt maturities, calls, or redemptions - Source: Moody’s Investors Services
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Loss & Recovery Rates
¾ Historical Loss & Recovery Rates (1)
Moody’s 5-year estimated cumulative loss rate for Aaa rated US RMBS is 0.03% (2)
According to S&P, the estimated ultimate recovery rate for US RMBS AAA rated securities is 98% (3)
Estimated Multi-Year Cumulative Loss Rates of Structured Finance Securities (4)
US RMBS
1-Year 2-Year 3-Year 4-Year 5-Year
Aaa 0.00% 0.01% 0.02% 0.03% 0.03%
Aa 0.00% 0.02% 0.03% 0.05% 0.06%
A 0.09% 0.25% 0.32% 0.33% 0.34%
Baa 0.36% 0.96% 1.59% 1.96% 2.17%
Ba 0.95% 1.81% 2.53% 2.98% 3.26%
B 1.82% 3.62% 5.18% 5.68% 5.82%
(1) Historical performance figures are not a guarantee or prediction of future results
(2),(4) Source: Moody’s Investors Services-Default & Loss rates of Structured Finance Securities: 1993-2005
(3) Source: S&P Research-Principal Repayment and Loss Behavior of Defaulted U.S Structured Finance Securities: January 2005
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IV. About the Manager: ICP Asset Management LLC
20
About the Manager
Overview (1)
• ICP is a Structured Fixed Income Investment Manager organized in 2004 to provide

comprehensive investment advisory services to qualified institutions and individuals
• ICP specializes primarily in fixed income alternative strategies that combine fundamental and
quantitative investment disciplines, seeking to deliver uncorrelated absolute returns and income
to investors
• ICP is registered as an investment advisor under the Investment Advisers Act of 1940
• ICP combines a group of leading structured credit portfolio managers, analysts, and traders with
its proprietary analytic technology, structuring and origination capabilities, and direct access to
corporate assets to control the construction of many of its structured investments
(1) Source: ICP
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About the Manager
Asset Management Structure (1)
ICP ASSET MANAGEMENT LLC
Hedge Funds / Collateralized

Debt Obligations Conduits
Managed Accounts
TRIAXX PRIME (4) TANDEM (5)
STRUCTURED CREDIT INCOME FUND(2)
- Term Finance Execution - Balance Sheet Management
- Credit Arbitrage Strategies
- Structured Credit Vehicle Mgmt - Warehousing
- Capital Structure Arbitrage
- RMBS; ABS; CDO2 - Financing
CREDIT NEUTRAL STRATEGY (3)
- Segregated Account Management
(1) Source: ICP.

(2) The ICP Structured Credit Income Fund (“Fund”) is currently being marketed to investors. The Fund has not held its first closing at this time.
(3) The Credit Neutral Strategy is currently being marketed to investors. At this time there are no segregated accounts being managed using this strategy.
(4) TRIAXX Prime CDO 2006-1 is currently being marketed to investors and has not closed at this time.
(5) Tandem Funding LLC is currently being marketed to investors. ICP expects this transaction to close in June of 2006.
22
22 CONFIDENTIAL
About the Manager
Competitive Advantage (1)
We believe ICP’s integrated business model provides certain inherent advantages to participating in
Structured Credit:
Traditionally in the Structured Credit markets, investors purchase ABS

and MBS assets packaged by investment banks who have little vested
interest in the long term performance of the securitized product
ICP employs a direct and active investment approach. Through its

experienced investment management team and key asset origination
relationships, ICP creates alpha in 3 primary ways:
1) The ability to access assets at their “creation value” through its
structuring and modeling expertise
2) Refinement of investments at the loan/obligor level to mitigate
"tail risk"
3) Control of cash flow attributes designed to reduce volatility
(1) Source: ICP
23
23 CONFIDENTIAL
About the Manager
Institutional Credit Partners LLC Organizational Chart (1)
ICP Employees
Thomas C. Priore
CEO / CIO
Operational Operations / Investor

Support Relations Structuring / Analytics Origination
HR Peter W. Gaudet
ABS/MBS Analytics Corporate Credit CDO Analytics Carlos Mendez
Compliance John Vecchio William Gahan

Aamer Abdullah Brent Layman John Roglieri
Kenneth Bibko
Legal David Parseghian Deboleena Dutta Kevin Farley
Stanley Tobin
Financial Jonathan Maher Lukasz Cianciara
Operations Ranjana Ram
Business Risk Patrick Ferry
Oversight Genevieve Carpente
Commercial Residential Middle Market Trade Leveraged Corporate and

Real Estate Mortgages Loans Receivables Loans Consumer Assets
Direct Access to Assets

(1) Source: Institutional Credit Partners LLC is the parent company of ICP. Some employees listed on the above organizational chart are employees of affiliates of ICP that will be made available to
ICP to assist in ICP’s business activities. There is no guarantee that any individual will continue to be a part of Institutional Credit Partners or its affiliates
24
24 CONFIDENTIAL
V. Investment Process
25
Investment Process
Overview (1)
ICP employs top-down and bottom-up approaches when identifying opportunities by

combining its macro views on credit with its modeling capabilities and origination
relationships to select and structure investments with attractive cash flow and return
characteristics
Firm-wide macroeconomic views are developed by the CIO and portfolio management team on
a quarterly basis
The portfolio management team and traders develop investment ideas for group review on a
daily/ ad-hoc basis
(1) Source: ICP
26
26 CONFIDENTIAL
Investment Process
Investment Approach (1)
A combination of top-down and bottom-up approaches are used to identify investments that reflect ICP’s macroeconomic
views while providing the loan level credit support and cash flow profile it seeks
MACROECONOMIC DRIVERS
TOP DOWN APPROACH Consumer & Long / Short
Corporate Credit Interest Rates Liquidity
• Investment opportunities are DEFENSIVE NEUTRAL/ AGGRESSIVE
ascertained based on three macro CONSTRUCTIVE
drivers – credit (corporate and

consumer), interest rates and liquidity
• Opportunities are appropriately
positioned – defensively, neutral, Residential Commercial Senior Bank Investment Grade High Yield
Mortgages Mortgages Loans Corporate Debt Corporate Debt
aggressively – and mapped across
vertical market segments
TARGET INVESTMENTS
BOTTOM UP APPROACH
• ICP will utilize its modeling capabilities Mortgage Backed Asset Backed Collateralized Collateralized Commercial
Securities Securities Loan Obligations Debt Obligations Paper Conduits
and origination relationships to
influence investment cash flow
attributes through its structuring
expertise, and improve the risk reward MARK TO
HIGH CLAIM ON MITIGATION OF IMPROVED MARKET
profile by mitigating tail risk at the loan/ CASH FLOW TAIL RISK COST BASIS VOLATILITY
obligor level Control of Cash Loan/Obligor Direct Access Financing
Flow Attributes Analysis to Assets
ICP CAPABILITIES
(1) Source: ICP
27
27 CONFIDENTIAL
Investment Process
Investment Steps (1)
Customize
Loan Pool
Create/Model
Capital Structure
Relative Value
Creation Value
Analysis
Risk
Monitoring
and
Surveillance
(1) Source: ICP
28
28 CONFIDENTIAL
Investment Process Customize
Loan Pool
Loan Attribute Analysis (1)
¾ Statistically analyze individual attributes of the loan pool
¾ Remove loans or create additional credit enhancement for any artificial increases in creditworthiness
caused by:
Tail Risk – e.g., a subset of loans with high FICO scores relative to the average FICO score of
the pool which increases the pool’s weighted-average FICO score
Bimodal Distribution – e.g., a pool of loans with a substantial number of loans concentrated in
the high and low end of the LTV range that leads to an otherwise acceptable weighted-average
LTV
Correlation Risk – Loans that possess more than one negative attribute, e.g. a loan that has a
low FICO score and a high LTV relative to the weighted averages of these attributes in the pool
ICP analyzes the pool by importing loan level information from the underwriter into Intex Dealmaker.
This allows us to configure pool characteristics based on the loan level population as opposed to
composite representations
(1) Source: ICP
29
29 CONFIDENTIAL
Loan Pool
Loan Attribute Analysis (1)
ICP analyzes each loan pool to determine whether average collateral attributes represented by the issuer
represent the true risk of the collateral pool. ICP stratifies various risk attributes in several ways to identify
any unfavorable correlations among a borrower’s credit, capacity, and collateral. Those loans exhibiting a
combination of unfavorable characteristics are individually analyzed.
Sample Loan Attribute Analysis

Collateral Breakdown
% of pool %MI WA LTV Max LTV WA DTI Max DTI DTI > 45% % Investor % No Doc %Stated Doc % C/O Refi % IO WAC % < 100k % > 750k %LTV > 70% %LTV > 80%
FICO >= 750 26.41% 0.83% 69.21% 80.00% 37.54% 49.26% 7.94% 22.32% 15.23% 36.37% 36.73% 70.58% 6.408% 0.00% 14.20% 48.51% 0.00%
FICO 700 -749 30.14 1.36 71.40 80.00 37.86 51.53 10.51 13.18 15.06 49.82 32.21 81.75 6.623 0.00 28.67 54.44 0.00
FICO 680 - 699 16.98 1.10 69.46 80.00 36.41 50.10 5.11 9.56 9.52 63.03 42.19 66.35 6.641 0.00 34.55 45.76 0.00
FICO 660 - 679 13.68 0.00 70.49 80.00 38.27 49.42 11.76 1.37 10.61 52.81 53.01 70.33 6.586 0.00 36.61 52.87 0.00
FICO 640 - 660 8.17 0.00 69.11 80.00 36.45 50.04 16.71 2.92 2.33 63.89 73.25 57.73 6.535 0.00 20.14 45.61 0.00
FICO <= 639 4.62 0.00 70.20 80.00 41.06 50.03 16.44 10.02 0.00 42.01 62.85 44.72 6.450 0.00 0.00 43.66 0.00
% of pool %MI WA FICO Min FICO WA DTI Max DTI DTI > 45% % Investor % No Doc %Stated Doc % C/O Refi % IO WAC % < 100k % > 750k %LTV > 70% %LTV > 80%
LTV < 75% 55.28% 1.48% 71200.00% 62400.00% 37.93% 51.53% 11.63% 14.30% 12.36% 46.28% 63.82% 61.51% 6.394% 0.00% 34.08% 9.50% 0.00%
LTV 75% - 80% 44.72 0 717 624.00 37.16 50.1 7.68 10.01 11.15 53.94 16.61 82.63 6.741 0 13.58 100.00 0.00
LTV 80.01% - 85% - - - - - - - - - - - - - - - - -
LTV 85.01% - 90% - - - - - - - - - - - - - - - - -
LTV > 90% - - - - - - - - - - - - - - - - -
% of pool %MI WA LTV Max LTV WA FICO Min Fico % Investor % No Doc %Stated Doc % C/O Refi % IO WA WAC WAC % > 500k %LTV > 70% %LTV > 80%
DTI < 35% 54.21% 1.15% 69.60% 80.00% 719 624 14.95% 21.80% 25.89% 45.92% 67.61% 6.586% 6.586% 58.60% 50.03% 0.00%
DTI 35.01% - 40% 16.7 1.16 70.08 80.00 713 633 12.93 0.00 87.79 40.80 81.35 6.585 6.585 49.54 55.42 0.00
DTI 40.01% - 45% 19.23 0.00 71.34 80.00 715 626 5.87 0.00 78.62 29.25 73.07 6.48 6.48 57.35 48.35 0.00
DTI 45.01% - 50% 8.96 0.00 70.82 80.00 715 625 10.99 0.00 58.28 49.96 67.24 6.424 6.424 56.59 43.37 0.00
DTI > 50% 0.91 0.00 69.67 80.00 679 624 0 0.00 74.64 100.00 70.84 6.349 6.349 29.16 45.48 0.00
% of pool %MI Max LTV WA LTV % LTV = 70 - 74.99 % LTV = 75 - 80 %LTV > 80 Min FICO Wtd Avg FICO FICO < 660 Max DTI WA DTI WAC % Investor % No Doc %Stated Doc %C/O Refi %IO
Investor Properties 12.38% 3.34% 80.00% 69.49% 11.15% 4.29% 0.00% 637 741 5.67% 0.50 0.35 6.677% 100.00% 10.93% 37.01% 34.37% 78.10%
No Doc 5.02 1.84 80.00 68.07 7.35 10.54 0.00 659 728 1.61 0.00 0.00 6.727 11.45 100.00 0.00 54.89 55.78
C/O Refi 35.23 0.95 80.00 64.45 13.87 8.28 0.00 624 705 20.81 51.53 36.84 6.452 9.96 15.19 43.02 100.00 64.73
IO Loans 20.95 0.89 80.00 71.69 13.62 10.05 0.00 624 718 9.56 50.10 37.88 6.598 13.63 9.29 49.73 38.97 100.00
Loan Level Breakout for loans for FICO < 660

Loan Balance FICO LTV CLTV DTI Documentation Occupancy Purpose Amort. Type MSA Loan Type Original Term
and LTV >= 75%
143759090 563,688.67 653 80 100 38.2 FAD(Full or Alt or AUS) Primary Purchase Interest Only San Francisco, CA 360
202398566 650,000.00 652 77.84 77.84 19.9 NIV Primary C/O Refi Interest Only No MSA 360
202469862 717,896.14 650 80 96.69 46.19 NIV Primary Purchase FULL AM Washington, DC 360
143640241 400,000.00 641 79.28 99.3 0 No Ratio Primary Purchase Interest Only No MSA 360
143789923 435,317.70 638 80 90 0 No Ratio Investor Purchase FULL AM Chicago, IL 360
143883510 581,369.47 637 80 80 0 No Ratio Primary C/O Refi FULL AM Portland, ME 360
202392650 399,342.31 624 80 80 0 No Ratio Primary C/O Refi FULL AM Washington, DC 360
202480323 417,600.00 644 80 99.14 44.28 FAD(Full or Alt or AUS) Primary C/O Refi Interest Only Washington, DC 360
202490967 391,323.08 635 80 80 31.27 NIV Primary Purchase FULL AM Washington, DC 360
143779288 503,034.97 651 80 80 32.76 NIV Primary C/O Refi FULL AM No MSA 360
202488169 440,000.00 639 78.01 78.01 0 No Ratio Primary C/O Refi Interest Only Washington, DC 360
(1) Source: ICP
30
30 CONFIDENTIAL
Loan Pool
Identify Salient Loan Attributes (1)
¾ FICO – Credit score based on the borrower’s debt payment history and borrowing levels
¾ Debt-to-Income Ratio (DTI) – Amount of debt relative to income before and after current mortgage loan.
DTI measures the borrower’s ability to service debt
¾ Loan-to-Value Ratio (LTV) – Amount of the mortgage loan relative to the asset’s value. LTV reflects the
leverage of the loan vis-à-vis the borrower’s equity
¾ Spread at Origination (SATO) – Risk premium relative to the market on the loan as determined by the
underwriter
¾ Loan Size – Size of the mortgage loan balance (Conforming, Jumbo, Super Jumbo)
¾ Lien Position – Lender’s claim priority on the underlying asset in a foreclosure
¾ Loan Purpose (Purchase, Cash Out Refinance, Rate Refinance, Investment) –
Purchase – Loan to purchase a primary residence
Investor – Loan to purchase or refinance an investment property or a second home
Refinance – Loan to change terms of the mortgage (e.g. monthly payment, maturity of mortgage,
interest rate)
Cash Out Refinance – Loan to monetize equity in asset. Generally increases leverage of the
homeowner
(1) Source: ICP
31
31 CONFIDENTIAL
Loan Pool
Identify Salient Loan Attributes (Cont.) (1)
¾ Servicer – Entity responsible for collecting mortgage payments and remitting payments to the trustee
¾ Geographic Diversity – Concentration of mortgages in the pool by state, zip code, and/or Metropolitan
Statistical Area
¾ Documentation Level – Level of income and asset documentation provided to the underwriter
Full documentation – Substantial information regarding employment, assets, and past and present
income of the borrower
Alternative & Lite documentation – For qualified borrowers, certain omissions of information and/or
verifications are allowed to varying degrees
No documentation – For qualified borrowers, minimal information is required
¾ Amortization Schedule – Schedule of principal payments expected over the life of the mortgage loan.
The schedule is determined by the term of the loan and any interest only or negative amortization
provisions in the loan
¾ Loan Age – Number of months since the issuance of the mortgage loan
¾ Note Rate – Gross interest rate paid by the borrower
¾ Prepayment Penalty – Monetary disincentive for prepayment of mortgage principal
(1) Source: ICP
32
32 CONFIDENTIAL
Loan Pool
Effect of Loan Attributes on Loan Pool Characteristics (1)
Effect of Loan Attributes on Delinquency, Loss Severity, and Convexity by Order or Importance
Delinquency Loss Severity Convexity
• FICO • Lien Position • Prepayment Penalty

• DTI • LTV • Note Rate
• SATO • Loan Size • SATO
• LTV • Geographic Location • Loan Age
• Documentation Level • Servicer • Documentation Level
• Loan Purpose • Amortization Schedule • Loan Purpose
• Geographic Location • Loan Purpose • LTV
• Lien Position • Documentation Level • Loan Size
• Amortization Schedule • SATO • FICO
• Loan Age • FICO • DTI
• Loan Size • DTI • Servicer
• Servicer • Loan Age • Geographic Location
• Amortization Schedule
(1) Source: ICP
33
33 CONFIDENTIAL
Create/Model
Investment Process Capital
Structure
Subordination Analysis (1)
Determine appropriate subordination level

¾ Identify and review historical credit performance of mortgage loan pools similar to the target
mortgage loan pool, emphasizing the following attributes:
Delinquencies
Cumulative Default Rate
Loss Severity Levels
Recovery Lag
Servicer Advances
Identify optimal subordination methodology
¾ Identify market price levels of AAA, mezzanine and other subordinate securities backed by similar loan pools.
¾ Using relative value analysis in conjunction with ICP’s OAS model, normalize price levels to account for
differences in the capital structure.
¾ Quantify use of principal subordination, over collateralization or excess interest to enhance target investment.
¾ Evaluate the economic impact to securitization then make appropriate changes to the capital structure
The ability to recast subordination levels and methodology based on ACTUAL loan characteristics allows ICP’s
investments to withstand multiples of model and historic loss experience
(1) Source: ICP
34
34 CONFIDENTIAL
Create/Model
Structure
RMBS Structural Analysis (1)
¾ Use Intex Dealmaker* (“Intex”) to create ideal capital structure

¾ Download Intex output to Polypaths** option adjusted spread (OAS) calculator, which employs a Monte
Carlo simulation to provide insight into the cashflow variability of a security
*Intex Dealmaker is a third party software application

utilized by the majority of the underwriter community to
create and model RMBS and ABS
** Polypaths is a third party software application
capable of running security cash flows through various
prepayment and term structure models
Analysis of the resultant cashflows under model derived stressed interest rate and pre-payment scenarios allows
ICP to identify and extract asymmetry within the capital structure
(1) Source: ICP
35
35 CONFIDENTIAL
Create/Model
Structure
Collateral Origination Process (1)
STEP 1: STEP 2: STEP 3: STEP 4:

Customize Loan Create/Model Create Fixed Create Hedged
Pool Capital Structure Relative Bond Floater
• Pool of loans analyzed • Create senior/sub • Re-allocate principal • Swap fixed-rate

and selected structure to establish allocation to shorten Accelerated Senior to
AAA credit support duration of senior floating
• Verify pool versus
transaction criteria • Purchase Senior A • Retain fixed-rate • Sell corresponding
Accelerated Senior (AS) Inverse Floater/IO
• Sell sub note
• Sell the Non-Accelerated • Purchase amortizing
Senior (NAS) hedge to uncap the
floating rate senior
Example Economics: <PRICE> note
Hedged
Floater Amortizing
Senior A
<97-26>
AS
<97-30>
L+50 + Hedge
<3-2>
= Floater
L+50
Loan <96-30>
<100-0>
Pool
Subordinate NAS Inverse Floater / IO

(1) Source: ICP <90-24> <96-25> <1-12>
36
36 CONFIDENTIAL
Relative
Investment Process Value/Creation
Value Analysis
Target Asset Valuation Methodology (1)
¾ Deduce the creation value of the security under consideration by valuing each of the other nodes of
the bond tree
¾ Analyze relative value on the security vs. comparable assets in the secondary marketplace
¾ Perform relative value analysis on a nominal basis (static cashflow) and on a OAS basis (Monte
Carlo simulation).
Static cashflow analysis will incorporate supply and demand technical factors for a
particular structure as well as look at nominal spread, yield and price relationships in the
market. Additionally, it will include static scenario analysis from Bloomberg and
computational materials provided by the underwriter
OAS relative value analysis is conducted using Polypaths with proprietary enhancements
to pre-payment models. This analysis quantifies the implicit as well as explicit options in
any security
ICP’s capability to discretely manage the asset risk (loan level) and liability risk (our
investment) may enable us to mitigate return volatility and construct investments that increase
the probability of excess returns
(1) Source: ICP
37
37 CONFIDENTIAL
VI. Risk Monitoring / Surveillance
38
Risk
Risk Monitoring / Surveillance Monitoring
and
ABS/MBS Risk Management (1) Surveillance
Step 1 Step 2 Step 3
Determine
Portfolio Mark – WAL at
Creation Value &
To-Market Origination vs.
Perform OAS
Current WAL
Analysis
Step 6
Step 4 Step 5
Hold
Stressed Prepay
Original C/E vs.
And Default Hold/Hedge
Current C/E
Analysis
Sell
(1) Source: ICP
39
39 CONFIDENTIAL
Risk
Risk Monitoring / Surveillance Monitoring
and
Portfolio Reporting/Monitoring (1) Surveillance
Servicer Reports Report Configuration

Portfolio Reporting and Alerts
Portfolio Alerts Alert Configuration
Portfolio
Deal Inputs Risk Analytics
ABS MBS
Deal Waterfall Portfolio Optimization
Amortization Deal Transaction Reports Deal Transaction Reports Portfolio Cash Flows
Schedule Deal Waterfall Deal Waterfall Correlation Analysis
Deal Reports Stress Tests
Test Compliance Pool Migration Test
Indentures Risk Decomposition
Tranche Cash Flows Tranche Cash Flows
Collateral Reports Investor Reporting
Hedge Schedules Asset Performance Asset Performance
Industry Projections Convexity and Duration Test
Collateral Mark-to-Market Hedge Performance
Hedge Performance
Market and Credit Database
Trustee ReportsMoody’s Ratings Reports Research Reports Industry Outlook

S&P Ratings Reports Servicer Data Bloomberg
Fitch Ratings Reports Credit Reports
(1) Source: ICP
40
40 CONFIDENTIAL
Appendix I – Management Biographies
41
Appendix I – Management Biographies (1)
Portfolio Management
Thomas C. Priore: Mr. Priore is the President and Chief Executive Officer of Institutional Credit Partners LLC and the Chief
Investment Officer of ICP Asset Management LLC. He brings fourteen years of structured credit investment and origination
experience to ICP. Prior to founding ICP, Mr. Priore managed the Fixed Income and Structured Products Group at Guggenheim
Capital Markets where he oversaw a team of thirty professionals focused on investing and underwriting Collateralized Debt
Obligations, Collateralized Loan Obligations, Collateralized Mortgage Obligations and other Asset Backed Securities. The team at
Guggenheim pioneered various structured credit implementations designed to improve secondary CDO market liquidity and to
originate new issue CDOs focusing on eliminating the economic inefficiencies and the inherent conflicts among debt and equity
participants in CDO structures. He oversaw the origination of $5.5 billion in new issue and the proprietary trading efforts of the group.
Before joining Guggenheim in 2000, Mr. Priore was a First Vice President at PaineWebber Inc. for eight years in the Fixed Income
Sales and Trading department where he was responsible for originating the firm’s first cash flow ABS backed CDO in 1998. Mr.
Priore is a graduate of Harvard University with a B.A. in American History and holds an M.B.A. from Columbia University. In
addition he holds Series 7, 63 and 24 licenses with the NASD.
William F. Gahan: Mr. Gahan is a Managing Director at ICP Asset Management LLC. He brings sixteen years of European, US and
Emerging Market credit experience to ICP. Prior to joining ICP, Mr. Gahan worked as a portfolio manager with the Greenwich Capital
proprietary trading group. His portfolio responsibilities included long and short strategies across global distressed, high yield, and
investment grade markets. Mr. Gahan's previous work experience includes consulting distressed debt capital raising and nine years at
Paine Webber/Kidder Peabody as an Executive Vice President in their credit trading and sales team. Mr. Gahan is a graduate of the
University of Virginia with a BS in International Relations.
(1) Source: ICP
42
42 CONFIDENTIAL
Portfolio Management
Aamer Abdullah: Mr. Abdullah is a Vice President at ICP Asset Management LLC where he is a member of the Asset Backed
Securities (ABS) and Mortgage Backed Securities (MBS) portfolio management team. Mr. Abdullah has been a trader in the
securitized products markets since 1997. After graduating from Yale University with degrees in Electrical Engineering and Economics
he joined the Mortgage Trading Desk at Credit Suisse First Boston (CSFB). At CSFB Mr. Abdullah held the role of a senior trader on
the Agency CMO desk which was top ranked in league tables for 2000. He continued onto run the Non-Agency CMO desk which was
consistently ranked in the top three in league tables. While at CSFB he was promoted to Vice President. He then joined Deutsche
Bank’s Securitized Products Group in 2003 as the Head of Private Label MBS with the title of Director. His responsibilities there
included advancing the mortgage effort as well as building out the loan conduit. During his career Mr. Abdullah has structured and
traded various securitized products extensively, including Agency CMOs, Non-Agency CMOs, Hybrid ARMS, MBS Pass-throughs,
unsecuritized loans, mortgage ABS and mortgage derivatives. In addition he has traded assorted other fixed-income products such as
hedges as well as proprietary positions including U.S. Treasury securities, Agency Debentures, Futures and Options in the CBOT,
Eurodollars and interest rate derivatives (swaps, caps, swaptions, etc). He has managed securities positions of over $3 billion as well
as a loan pipeline of over $4 billion and mortgage derivative positions of over $400 million in market value.
David S. Parseghian: Mr. Parseghian is an Assistant Vice President at ICP Asset Management, LLC. He brings nine years of
portfolio and risk management experience to ICP. Prior to joining ICP, Mr. Parseghian managed a $5 billion asset/liability portfolio
for Empire Corporate FCU, a wholesale liquidity provider for member credit unions. Portfolio assets included high grade agency/non-
agency RMBS, ABS, CMBS, and corporate debt. Mr. Parseghian also was responsible for the management of Empire’s $500 million
commercial paper funding program. Before joining Empire Corporate, Mr. Parseghian was a Manager in the Risk Management
function at American Express where he managed credit risk in a $250 million co-brand credit card portfolio. Mr. Parseghian began his
career in the Markets Group of the Federal Reserve Bank of New York as a Trading/Finance Associate. At the Fed, he assisted in the
implementation of monetary policy, and in the management of the System Open Market Account.Mr. Parseghian is a graduate of
Manhattan College with a BS in Business Administration, and he holds an MBA from Rensselaer Polytechnic Institute (RPI).
(1) Source: ICP
43
43 CONFIDENTIAL
Capital Markets
Carlos M. Mendez: Mr. Mendez is a Senior Managing Director at ICP Securities LLC where he is responsible for originating and
distributing structured credit products. He provides the portfolio management team continued access to the capital markets throughout
the United States and Europe. Mr. Mendez is a structured finance professional with over ten years experience analyzing and
structuring credit portfolios for various institutional credit risk transfer solutions in response to regulatory (Basel II, Pillar III), counter-
party credit and market risks. Prior to joining ICP, Mr. Mendez served as Head of Structured Product Origination at Guggenheim
Capital Markets where he oversaw a team of professionals for the issuance of Collateralized Loan Obligations, Collateralized
Mortgage Obligations and other Asset Backed Securities. Prior to joining Guggenheim, Mr. Mendez served as a Senior Program
Manager within Microsoft Corporation Finance Division where he was responsible for structured investment vehicles and
management of the equity derivatives desk. He is a graduate of the United States Naval Academy with a B.S. in Mechanical
Engineering and holds a graduate certificate from the University of Washington.
Lukasz P. Cianciara, CFA: Mr. Cianciara is a Director at ICP Securities LLC where he is responsible for originating and
distributing structured credit products. Mr. Cianciara is a derivatives professional with over 16 years of structuring and marketing
experience in the credit, currency and interest rate markets. His coverage has included insurance companies, finance companies,
regional and foreign banks, and fund managers. Prior to joining ICP, Mr. Cianciara was co-head of the Structured Credit Products
group at Tradition (North America), focusing on second generation credit derivatives including first to default baskets, index tranches,
constant maturity credit default swaps and options on credit default swap products. Prior to Tradition, Mr. Cianciara developed LC
connect Inc., a financial services platform dedicated to providing greater pricing transparency and easier execution for letters of
credit,part of the contingent credit market space. Mr. Cianciara graduated from the University of Wisconsin –Madison undergraduate
business and MBA programs. Mr. Cianciara holds his Series 7, 63, 24 and 53 licenses and has held his CFA designation since 1992.
(1) Source: ICP
44
44 CONFIDENTIAL
Capital Markets
Kevin Farley: Mr. Farley is a Director at ICP Securities LLC where he heads Secondary Trading of Collateralized Debt Obligations.
Mr. Farley has analyzed, valued and traded CDOs from all levels of the capital structure from AAA rated notes through equity
tranches, and has valued deals backed by all types of Asset Classes including HighYield Bonds, Leveraged Loans, Trust Preferred
Securities, Emerging Market Bonds, Investment Grade Bonds, and Asset Backed Securities. Prior to joining ICP, Mr. Farley worked
with head trader at Guggenheim Capital Markets to trade over $3 billion in CDO transactions. Mr. Farley’s role at Guggenheim also
consisted of CDO cash flow analysis, tranche pricing, and in-house education for the firm’s 25 sales professionals on the Structured
Credit Market. Previously, Mr. Farley served as a Divisional Vice President at PaineWebber, Inc. working on the Government Agency
trading desk. Mr. Farley joined the Agency desk from PaineWebber’s Capital Markets management training program. Mr. Farley is a
graduate of Rutgers College where he received a BS in Finance and holds his Series 7 & 63 licenses and is a candidate for Level II of
the Chartered Financial Analyst®Program.
John S. Roglieri: Mr. Roglieri is a Director at ICP Securities LLC where he is responsible for originating and distributing structured
credit products. Prior to joining ICP, Mr. Roglieri worked as a Director in the structured finance group at Fitch Ratings where he
focused on both RMBS and ABCP. Most recently, Mr. Roglieri was responsible for rating transactions, developing rating criteria, and
managing issuer and investor relationships in sub prime RMBS. Previously, Mr. Roglieri was responsible for rating Asset Backed
Commercial Paper conduits and analyzing transactions across a spectrum of ABS asset classes. Mr. Roglieri’s previous work
experience includes employment at AXA Financial, American International Group, and Price Waterhouse where he worked in several
capacities in strategic consulting, investment management, product development, and management consulting. Mr. Roglieri is a
graduate of the University of Wisconsin –Madison where he received a degree in Economics and he holds an MBA from Boston
University.
(1) Source: ICP
45
45 CONFIDENTIAL
Capital Markets
Patrick M. Ferry: Mr. Ferry is a Vice President at ICP Securities LLC (ICP). Prior to joining ICP, Mr. Ferry worked at Instinet
Group Inc., the global electronic brokerage firm, where he was a sales trader for both international and domestic money managers and
hedge funds trading U.S. equities. Prior to that, Mr. Ferry was an associate with the Carnegie Council on Ethics and International
Affairs in New York City. Mr. Ferry is a graduate of Boston College with a BA in History. His professional licenses include the
NASD Series 7, 55, and 63.
(1) Source: ICP
46
46 CONFIDENTIAL
Structuring / Analytics
Brent Layman: Mr. Layman is a Director at ICP Securities LLC where he heads Structuring and Analytics. Prior to joining ICP, Mr. Layman
worked at Guggenheim Capital Markets structuring CDOs and providing analytics for secondary trading. At Guggenheim, Mr. Layman was
responsible for rebuilding the CDO technology platform to enable more flexible and efficient structuring and analytic capabilities. Additionally,
Mr. Layman worked in the development of CDO asset management methodologies and processes and created the management tools currently
utilized by the ICP team. Previously, Mr. Layman served as an Associate in the Ernst & Young Structured Products Advisory Group where he
was responsible for structuring and modeling transactions in CDOs and various other asset classes. Mr. Layman also has prior experience as an
analyst in emerging market derivatives at Lehman Brothers. Mr. Layman is a graduate of the University of Maryland, received an MBA from
George Washington University, and holds his Series 7 & 63 licenses.
Deboleena Dutta: Ms. Dutta is a Vice President at ICP Securities LLC, where she is responsible for analytics, structuring and execution of the
various structured product transactions. Prior to joining ICP, Ms. Dutta was an Associate at Moody’s Investors Service, where she was involved
in rating several synthetic and cash flow deals, including 17 CDOs backed by loans, bonds, emerging market and asset-backed securities. While
at Moody’s, Ms. Dutta developed the new Moody’s Emerging Market CDO Diversity Score Methodology as well as an user-friendly “EM
Diversity Calculator”currently being used in the industry. Ms. Dutta also co-authored a key publication on the swap termination payments and
other CDO-related publications. Prior to that, Ms. Dutta was an Analyst at Merrill Lynch in the Debt Capital Markets Group providing market
research and statistical expertise to improve Merrill’s fixed income business strategy. Ms. Dutta has a M.S. in Statistics from North Carolina State
University and a B.S. in Statistics from the University of Bombay.Ms. Dutta holds her Series 7 and 63 licenses.
Jonathan B. Maher: Mr. Maher joined ICP Asset Management LLC in 2005 as part of the Structuring and Analytics team. Prior to joining the
firm, he started and ran Host1, one of the first Internet Service Providers. Mr. Maher has done consulting work for Deutsche Bank and Bear
Stearns and interned at the New York Stock Exchange. He received his BA in Business Administration from the University of San Diego.
(1) Source: ICP
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Marketing / Investor Relations
Peter Gaudet: Mr. Gaudet is a Managing Director at ICP Asset Management LLC responsible for the management of fund products.
He brings twelve years of alternative asset management experience to ICP. Prior to joining ICP, Mr. Gaudet was a Director at Credit
Suisse Asset Management (“CSAM”) responsible for the management of nine alternative investment funds with assets under
management in excess of $1 billion. In over nine years at CSAM and Donaldson, Lufkin and Jenrette Asset Management Group
(“DLJAMG”)(prior to its acquisition by CSFB), Mr. Gaudet’s team managed alternative funds with over 700 private and institutional
clients across seven different underlying asset classes; equities, private equity, opportunistic real estate, REIT private preferred units,
commodities, forwards, and swaps in different alternative investment products. Before joining CSAM in 2000, Mr. Gaudet was a
founding member of the team at WSW Capital, Inc. that built the alternative investment asset management business at DLJAMG,
bringing over 50 alternative funds to market with over $6 billion under management. Prior to DLJ, Mr. Gaudet served as a Financial
Consultant in the Merrill Lynch Private Client Group. Mr. Gaudet is a graduate of the United States Military Academy at West Point
with a B.S. in Economics. He also holds Series 3, 7, 63, 65 and 24 licenses with the NASD.
Stanley G. Tobin: Mr. Tobin is currently a Director at ICP Asset Management LLC where in addition to being responsible for
origination of structured products, he heads the Sales, Marketing and Distribution effort for ICP’s asset management activity. Prior to
joining ICP, Mr. Tobin was a Senior Vice President in the Private Equity group at Guggenheim Capital Markets. Before joining
Guggenheim, Mr. Tobin was with Alex. Brown and Deutsche Bank Securities for 10 years as a Director in their Private Wealth
Management group where he headed a 4-member team responsible for the execution of hedging and diversification strategies on
behalf of High Net Worth clients with concentrated equity positions. In addition his team oversaw the management of over $300
million in assets. Mr. Tobin also sourced over $400 million of Private Equity and Investment Banking transactions for the firm. Prior
to his time at Deutsche Bank, Mr. Tobin spent 9 years at Merrill Lynch as a Vice President in the Private Client Division. Mr. Tobin
was awarded the designation of Certified Investment Management Analyst (CIMA) in 2000 at the Wharton Executive Education
Center and graduated with a B.S. in Marketing from Lehigh University in 1983. Mr. Tobin holds series 7, 63 and 65 licenses.
(1) Source: ICP
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Marketing / Investor Relations
Ranjana Ram: Ms. Ram is an Associate with ICP Asset Management LLC responsible for providing investor relations and
marketing support. Prior to joining ICP, Ms. Ram worked at Credit Suisse Asset Management where she was involved with the
management and marketing of structured alternative investment products to high net worth investors. Ms. Ram is a graduate of the
University of Michigan where she received a B.A. in Economics. She also holds Series 7 & 63 licenses with the NASD and is a
candidate for Level II of the Chartered Financial Analyst®Program.
(1) Source: ICP
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Operations
John Vecchio: Mr. Vecchio is the Chief Operating Officer at Institutional Credit Partners LLC and the Chief Compliance Officer for
ICP Asset Management LLC whose responsibilities include managing the infrastructure support for the firm’s corporate structure. At
the Firm, Mr. Vecchio manages a team of professionals supporting information technology, financial operations, compliance, human
resources and general management. John has over twenty-five years experience in financial services operations and general
management. Before joining ICP, John was a First Vice President with Wachovia Securities , LLC where he managed Prime
Brokerage Services, International Correspondent Clearing Services and Securities Lending Operations. In 1995 John was charged with
starting the Prime Brokerage unit at Prudential Securities and while under his direction the group maintained approximately 650
institutional accounts globally with assets of $6.5 billion. Also while at Prudential Securities, he implemented the platform for
Securities Lending Division that allowed the unit to grow its business into an industry recognized leader with over $11 billion in
volume. Mr. Vecchio studied Accounting and Business Administration at both Pace and Baruch Universities.
Kenneth Bibko: Mr. Bibko is a Vice President at Institutional Credit Partners LLC and serves as the Chief Compliance Officer for ICP
Securities LLC. Prior to joining the Firm, Mr. Bibko was the Chief Compliance Officer for BNY Capital Markets, Inc., a subsidiary of The
Bank of New York Company, Inc., where his responsibilities included overseeing the Firm’s compliance program and implementing
policies and procedures designed for compliance with SEC and NASD rules and regulations. Mr. Bibko received his JD from Brooklyn
Law School and is a member of the New York State Bar Association. Mr. Bibko is also a graduate of Binghamton University with a BA in
Economics. His NASD licenses include the Series 7, 24, and 63.
Genevieve Carpente: Ms. Carpente is an Associate at Institutional Credit Partners LLC responsible for firm administration as well as
providing operational support. Ms. Carpente has 9 years of industry experience working in sales and trading for equities, fixed income and
derivatives. Prior to joining the Firm, Ms. Carpente worked on the Credit Sales desk at Morgan Stanley where she was involved with execution
and processing of corporate and credit derivative trades. Ms. Carpente is a graduate of Fordham University with a BS in Finance. She also
holds Series 7 and 63 licenses with the NASD.
(1) Source: ICP
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Appendix II - Risk Factors
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Risk Factors
RISK FACTORS
An investment in the offered Securities will involve certain risks. Set forth below is a summary description of certain of the risks to which an
investor in the offered Securities would be subject. A detailed list of risk factors will be included in the Offering Memorandum (including the
preliminary and final versions thereof). An investor should not make any decision to invest in the offered Securities until after such investor has
had an opportunity to read and review carefully the Offering Memorandum.
Limited Liquidity. There is currently no market for the offered Securities. Although ICP Securities, LLC or (with respect to the Class A-1 Notes)
CIBC World Markets Corp. (the "Placement Agents") may from time to time make a market in any class of offered Securities, neither is under any
obligation to do so. In the event that a Placement Agent commences any market-making, it may discontinue the same at any time. There can be no
assurance that a secondary market for any of the offered Securities will develop, or if a secondary market does develop, that it will provide the
holders of such offered Securities with liquidity of investment or that it will continue for the life of the offered Securities. In addition, the offered
Securities are subject to transfer restrictions and can only be transferred to certain transferees. Consequently, an investor in the offered
Securities must be prepared to hold its offered Securities for an indefinite period of time.
Limited-Recourse Obligations. The Class A-1 Notes, Class A-2 Notes and Class B Notes (the "Secured Notes") will be limited-recourse
obligations of the Co-Issuers, payable solely from the Collateral pledged by the Issuer to secure the Notes. None of the security holders, members,
officers, directors, managers or incorporators of the Issuer, the Co-Issuer, the trustee, the administrator of the Issuer, the Collateral Manager, the
Placement Agents, any of their respective affiliates and any other person or entity will be obligated to make payments on the Notes. Consequently,
the holders of the Notes must rely solely on amounts received in respect of the Collateral for the payment of principal thereof and interest (and, in
the case of the undrawn Class A-1 Notes, commitment fees) secured thereon. There can be no assurance that the distributions on the Collateral will
be sufficient to make payments on any class of Notes, in particular after making payments on more senior classes of Notes and certain other
required amounts ranking senior to such Notes. The Issuer's ability to make payments in respect of any class of Notes will be constrained by the
terms of the Notes of classes more senior to such class and the indenture. If distributions on the Collateral are insufficient to make payments on the
Notes, no other assets will be available for payment of the deficiency and, following liquidation of all the Collateral, the obligations of the Issuer to
pay such deficiencies will be extinguished. The Co-Issuer will have no material assets.
The Class X Notes and the Class C Notes are limited obligations of the Issuer and are not secured by the Collateral, and will be issued under
Cayman Island Law and administered pursuant to a fiscal agency agreement. The Issuer has pledged substantially all of its assets to secure the
obligations.
Volatility of the Class C Notes. The Class C Notes represent a leveraged investment in the underlying Collateral. Therefore, it is expected that
changes in the value of the Class C Notes will be greater than the change in the value of the underlying Collateral, which will be subject to credit,
liquidity, interest rate and other risks. Utilization of leverage is a speculative investment technique and involves certain risks to investors. The
indebtedness of the Issuer under the Notes will result in interest expense and other costs incurred in connection with such indebtedness that may not
be covered by proceeds received from the Collateral. The use of leverage generally magnifies the Issuer's opportunities for gain and risk of loss.
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Risk Factors (cont.)
Subordination of Each Class of Subordinate Notes. No payment of interest on any class of Notes will be made until all accrued and unpaid interest
on the Notes of each class that is senior to such class and that remain outstanding has been paid in full. If an event of default occurs, so long as any
Notes are outstanding, the holders of the most senior class of Notes then outstanding will be entitled to determine the remedies to be exercised
under the indenture. It is anticipated that so long as the failure on any quarterly distribution date to make payment in respect of interest on the
Class C Notes will not constitute an event of default under the indenture and such interest will be deferred and capitalized. Remedies pursued by
the holders of the class or classes of Notes entitled to determine the exercise of such remedies could be adverse to the interest of the holders of the
other classes of Notes. It is anticipated that, to the extent that any losses are suffered by any of the holders of any offered Securities, such losses
will be borne, first, by the holders of the Class C Notes, second, by the holders of the Class X Notes, third, by the holders of the Class B Notes,
fourth, by the holders of the Class A-2 Notes and, fifth, by the holders of the Class A-1 Notes.
Ongoing Commitments ― the Class A-1 Notes. The Class A-1 Notes may not be fully drawn at closing. If this is the case, it is anticipated that
holders of the Class A-1 Notes will be obligated during a commitment period expected to run from the closing date to four months following the
closing date, subject to compliance by the Issuer with certain borrowing conditions, to advance funds to the Issuer until the aggregate principal
amount advanced under the Class A-1 Notes equals the aggregate amount of commitments to make such advances. Holders of Class A-1 Notes will
be entitled to a commitment fee in respect of unfunded amounts thereunder, which will be payable prior to interest on all other classes of Notes.
In the event that the Issuer fails to satisfy the conditions to borrowing or the Class A-1 Noteholders fail to fund borrowings for any other reason, the
Issuer will not be able to complete the acquisition of the Collateral portfolio and is not likely to have sufficient interest proceeds to pay interest on
all classes of Notes.
Nature of Collateral. The Collateral will be subject to credit, liquidity, interest rate, market, fraud, operations and structural risk. The amount and
nature of the Collateral securing the Notes will be established with a view to withstanding certain assumed deficiencies in payment occasioned by
defaults in respect of the securities included in the Collateral. If any deficiencies exceed such assumed levels, however, payments on the Notes
could be adversely affected. To the extent that a default occurs with respect to any security included in the Collateral, it is not likely that the Issuer
will receive the full amount of principal and interest owing to the Issuer in respect of such security. The market value of the Collateral generally
will fluctuate with, among other things, the financial condition of the obligors on or issuers of the securities included in the Collateral, the
remaining term thereof to maturity, general economic conditions, the condition of certain financial markets, political events, developments or trends
in any particular industry and changes in prevailing interest rates.
It is currently anticipated that [70]% of the Collateral will have been purchased by the closing date. The Issuer expects that it will have purchased
100% of the Collateral by the ramp-up completion date, and that the Collateral will satisfy the overcollateralization tests. However, there can be no
assurance that this will occur. Failure to satisfy the overcollateralization tests may result in repayment or redemption of all or a portion of the Notes
(in accordance with the priority of payments to be specified in the Offering Memorandum).
Average Life of the Notes. The average life of each class of Notes is expected to be shorter than the number of years until their stated maturity.
Such average lives will be affected by numerous factors described in the Offering Memorandum.
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Cap Corridor Securities. In some cases, RMBS securities may accrue interest based on LIBOR. However, interest payable on a distribution date
may be capped based on the weighted average coupon of the underlying mortgage pool. A substantial portion of these mortgage loans may pay
interest at a fixed rate. As a result, if LIBOR increases, this increase will not be reflected in the interest receivable by the holders of the RMBS
securities. Some RMBS are structured with a reserve account to mitigate the negative impact caused by an increase in LIBOR. In addition, the
issuer of RMBS may enter into one or more interest rate caps or yield maintenance agreements to further mitigate this risk. These agreements
generally provide for payments of interest at LIBOR, subject to a minimum strike price and a maximum cap rate. Very often, ratings assigned to
RMBS securities will not apply to any payments payable under such agreements to the RMBS issuer. To the extent that LIBOR is lower than the
strike price or exceeds the cap rate, these agreements will not cover any shortfalls resulting from an interest rate mismatch between the underlying
mortgage pool and the LIBOR based coupon on the securities. Securities earning interest at a wider spread above LIBOR will begin to experience
losses in respect of interest payments on their securities at a lower LIBOR rate than those securities having a lower spread, and accordingly are
more exposed to the risk of increases in LIBOR. Furthermore, the amount payable under these agreements may be calculated based on a preset
principal amortization schedule. These amortization schedules would be calculated based on an assumed prepayment rate for the fixed rate
mortgage loans. If, however, the actual prepayment rate is slower than the prepayment rate assumed for purposes of setting the amortization
schedule, payments under the agreement will not fully cover the mismatch between interest on the underlying mortgage pool and the LIBOR
payments accrued on the securities. In addition, the agreement may be scheduled to terminate on the clean-up call date or on another date occurring
prior to the stated maturity of the securities. These transactions will also be subject to the risk of non-performance by the counterparties to these
agreements. The RMBS transactions described above are referred to as "Cap Corridor Securities." It is expected that a substantial portion of the
Collateral Debt Securities purchased by the Issuer on the Closing Date will be Cap Corridor Securities. Although Cap Corridor Securities are
Floating Rate Securities, under certain LIBOR and prepayment scenarios, they will not as a practical matter have the characteristics of LIBOR-
based assets, and may accordingly have an adverse effect on the Issuer's ability to pay interest on the Notes.
Early Redemption of the Notes. The Notes may be subject to early redemption [three] years after the closing date at the election of the holders of
662/3% or more of the aggregate outstanding amount of the Class C Notes. It is anticipated that if an overcollateralization test is breached, interest
proceeds and then principal proceeds will be applied to pay principal on the Notes until the applicable overcollateralization test is met. In addition,
it is anticipated that if the Notes have not been paid in full prior to [eight] years following the closing date, an auction of the Collateral will be
conducted and, subject to satisfaction of certain conditions, will be sold and used to redeem the Notes. The Notes may also be subject to early
redemption on the occurrence of certain adverse tax events to be described in the Offering Memorandum.
Certain Conflicts of Interest. The activities of the Collateral Manager, the Placement Agents and their respective affiliates may result in certain
conflicts of interest.
Conflicts of Interest Involving the Collateral Manager. Various potential and actual conflicts of interest may arise from the overall investment
activities of the Collateral Manager and its affiliates for their own accounts or for the accounts of others. The Collateral Manager and its affiliates
may invest for their own accounts or for the accounts of others in debt obligations that would be appropriate investments for the Issuer and they
have no duty, in making such investments, to act in a way that is favorable to the Issuer or the holders of the offered Securities. Such investments
may be different from those made on behalf of the Issuer. The Collateral Manager and its affiliates may have economic interests in or other
relationships with Issuers in whose obligations or securities the Issuer may invest. In particular, such persons may make and/or hold an investment
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in securities that may be, pari passu, senior or junior in ranking to an investment in securities of the same Issuer that are held by the Issuer or in
which partners, security holders, officers, directors, agents or employees of such persons serve on boards of directors or otherwise have ongoing
relationships. Each of such ownership and other relationships may result in securities laws restrictions on transactions in such securities by the
Issuer and otherwise create conflicts of interest for the Issuer. In such instances, the Collateral Manager and its affiliates may in their discretion,
subject to certain restrictions, make investment recommendations and decisions that may be the same as or different from those made with respect
to the Issuer's investments.
Although the officers and employees of the Collateral Manager will devote as much time to the Issuer as the Collateral Manager deems appropriate,
the principals and employees may have conflicts in allocating their time and services among the Issuer and other accounts advised by the Collateral
Manager and/or its affiliates. In addition, the Collateral Manager and its affiliates, in connection with their other business activities, may acquire
material non-public confidential information that may restrict the Collateral Manager from purchasing securities or selling securities for itself or its
clients (including the Issuer) or otherwise using such information for the benefit of its clients or itself.
The Collateral Manager and any of its affiliates may engage in any other business and furnish investment management and advisory services to
others, which may include, without limitation, serving as Collateral manager or investment manager for, investing in, lending to, or being affiliated
with, other entities organized to issue Collateralized bond obligations secured by securities such as those included in the Collateral and other trusts
and pooled investment vehicles that acquire interests in, provide financing to, or otherwise deal with securities issued by Issuers that would be
suitable for inclusion in the Collateral. The Collateral Manager will be free, in its sole discretion, to make recommendations to others, or effect
transactions on behalf of itself or for others, that may be the same as or different from those effected on behalf of the Issuer, and the Collateral
Manager may furnish investment management and advisory services to others who may have investment policies similar to those followed by the
Collateral Manager with respect to the Issuer and who may own securities of the same class, or which are the same type as, the securities included
in the Collateral.
Although the Collateral Manager or one of its affiliates may at times be a holder of the offered Securities, its interests and incentives will not
necessarily be completely aligned with those of the other holders of the offered Securities (or of the holders of any particular class of Notes).
Conflicts of Interest Involving the Placement Agents. Certain of the high grade RMBS securities (each, a “Collateral Debt Security”) acquired or to
be acquired by the Issuer will consist of obligations of issuers or obligors, or obligations sponsored or serviced by companies, for which the
Placement Agents or affiliates thereof has acted as underwriter, agent, placement agent or dealer or for which the Placement Agents or affiliates
thereof has acted as lender or provided other commercial or investment banking services. The Placement Agents or affiliates thereof may structure
issuers of Collateral Debt Securities and arrange to place such Collateral Debt Securities with the Issuer. The Placement Agents or their affiliates
may from time to time enter into derivative transactions with third parties with respect to the offered Securities or with respect to Collateral Debt
Securities acquired by the Issuer, and the Placement Agents or their affiliates may, in connection therewith, acquire (or establish long, short or
derivative financial positions with respect to) offered Securities, Collateral Debt Securities or one or more portfolios of financial assets similar to
the portfolio of Collateral Debt Securities acquired by (or intended to be acquired by) the Issuer. The Placement Agents, their employees, affiliates
and employees of affiliates will receive compensation in connection with the structuring of the CDO and/or distribution of the offered Securities.
These activities may create certain conflicts of interest, and there can be no assurance that the terms on which the Issuer entered into (or enters into)
any of the foregoing transactions with a Placement Agent (or an affiliate thereof) were or are the most favorable terms available in the market at the
time from other potential counterparties.
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Conflicts Relating to Purchase of Collateral Debt Securities. It is anticipated that many of the securities that will be purchased by the Issuer on the
date on which the offered Securities are issued will be purchased from a portfolio of securities held by an affiliate of CIBC World Markets Corp.
pursuant to a warehousing agreement between such affiliate of CIBC World Markets Corp. and the Collateral Manager. The Issuer will purchase
securities included in such warehouse portfolio only to the extent that such purchases are consistent with the investment guidelines of the Issuer, the
restrictions contained in the indenture and the collateral management agreement and applicable law. The purchase price payable by the Issuer for
such securities will be based on the purchase price paid when such securities were acquired under the warehousing agreement, accrued and unpaid
interest on such securities as of the date they are acquired by the Issuer and gains or losses incurred in connection with hedging arrangements
entered into with respect to such securities. Accordingly, it is likely that the Issuer will bear the risk of market changes subsequent
to the acquisition of such securities and related hedging arrangements pursuant to the warehousing agreement as if it had acquired such securities
directly.
It is expected that an affiliate of a Placement Agent will enter into a master forward sale agreement with the Issuer on the closing date pursuant to
which the Issuer will agree to acquire securities from such affiliate on a forward sale basis during the ramp-up period. Pursuant to such agreement,
such securities could be acquired on any date during the ramp-up period at the price specified in the master forward sale agreement, which may not
represent the market value of such securities on the date that they would be delivered to the Issuer. The securities may or may not satisfy the
eligibility criteria for inclusion in the Collateral at the time purchased by the Issuer, and compliance with such eligibility criteria would not be
independently monitored by such affiliate.
Significant Fees Reduce Proceeds Available for Purchase of Collateral Debt Securities. On the Closing Date, the Co-Issuers will use a portion of
the gross proceeds from the offering to pay various fees and expenses, including expenses, fees and commissions incurred in connection with the
acquisition of the Collateral, structuring and placement agency fees payable to the Placement Agents, and legal, accounting, rating agency and other
fees. Closing fees and expenses reduce the amount of the gross proceeds of the offering available to purchase Collateral and, therefore, the return
to purchasers of the offered Securities. Rating agencies will consider the amount of net proceeds available to purchase Collateral in determining
any ratings assigned by them to the offered Securities. For information about the amount of such fees and expenses, please review the final
Offering Memorandum before investing.
Redemption and Diversion of Interest Proceeds. The offered Securities will be subject to redemption under certain circumstances described in the
Offering Memorandum (including, under certain circumstances, upon the failure of certain overcollateralization tests to be satisfied). Any such
redemption may cause the economic return from an investment in the offered Securities to vary from the economic returns that may be modeled in
these marketing materials. In addition, the failure to satisfy certain overcollateralization tests could result in an elimination, deferral or reduction in
the payments to be made to holders of one or more classes of Notes, which could adversely impact the economic return realized by such holders.
Auction Call Redemption. If the Notes have not been redeemed in full within [eight] years following the closing date, then an auction of the
Collateral Debt Securities will be conducted and, provided that certain conditions are satisfied, in particular with respect to the sufficiency of
anticipated proceeds from the proposed sale of the Collateral Debt Securities, the Collateral Debt Securities will be sold and the Notes will be
redeemed. If such conditions are not satisfied and the auction is not successfully conducted on such auction date, the Collateral Manager will
conduct quarterly auctions thereafter; however the Notes will not be redeemed until the conditions are satisfied.
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Application of Principal Proceeds. After the end of the reinvestment period, principal proceeds will be used to pay principal on the Notes. The
timing of receipts of principal on the Collateral Debt Securities will depend on, among other factors, the rate of prepayments on Collateral Debt
Securities which may be influenced by the level of interest rates and economic conditions. The Co-Issuers cannot predict the actual rate of
principal payments that will be experienced on the Collateral Debt Securities.
Relation to Prior Investment Results. Any prior investment results of any person or entity described herein will not be indicative of the Issuer's
future investment results. Such results are intended only to give potential investors information concerning the general experience of the relevant
person or entity as an asset manager or adviser and is not intended as a representation or warranty by the Placement Agents or any other person or
entity as to the actual composition of or performance of any future investments that would be made by the Issuer. The nature of, and risks
associated with, the Issuer's future investments may differ substantially from (and will be subject to constraints that were not applicable to) those
investments and strategies undertaken historically by such persons and entities. There can be no assurance that the Issuer's investments will
perform as well as, or in a manner similar to, the past investments of any such persons or entities.
Hypothetical Illustrations, Forecasts and Estimates. Any hypothetical illustrations, forecasts and estimates contained herein are forward looking
statements and are based upon assumptions that are disclosed herein. Hypothetical illustrations are necessarily speculative in nature, and it can be
expected that some or all of the assumptions underlying the hypothetical illustrations will not materialize or will vary significantly from actual
results. Accordingly, the hypothetical illustrations are only an estimate. Actual results may vary from the hypothetical illustrations and the
variations may be material.
Certain hypothetical performance analyses are based on assumptions that may prove to be incorrect. Prospective investors should understand those
assumptions and evaluate whether they are appropriate for their purposes. Certain analyses are based on mathematical models that use hypothetical
inputs to calculate results. As with all models, results may vary significantly depending upon the values of the inputs used. Models used in any
analysis may be proprietary, making the results difficult for any third party to reproduce. Moreover, hypothetical performance analyses will address
only certain aspects of the characteristics of the offered Securities and will not provide a complete assessment of the results that may follow from all
possible contingencies (including default, interest rate and other scenarios and certain economic features of the offered Securities, including call
features and cash flow diversion events). Prospective investors should consider whether the behavior of these securities should be tested based on
assumptions different from those used to prepare these analyses.
Mandatory Repayment of the Notes. If any overcollateralization test applicable to a class of Notes is not met, interest proceeds and, to the extent
that the application of interest proceeds is insufficient, principal proceeds will be used to the extent that funds are available in accordance with the
priority of payments and to the extent necessary to restore the relevant overcollateralization tests to certain minimum required levels, will be used to
repay principal of one or more classes of Notes.
In addition, if the Issuer is unable to obtain confirmation of the ratings of the Notes from each of the rating agencies rating the Notes, first,
uninvested proceeds, then, to the extent that the application of uninvested proceeds is insufficient, interest proceeds, then, to the extent that the
application of uninvested proceeds and interest proceeds is insufficient, principal proceeds, will be applied on the first quarterly distribution date
following such rating confirmation failure and on each quarterly distribution date thereafter, first, the Class A-1 Notes, then, the Class A-2 Notes,
then, the Class B Notes, then, the Class X Notes and, then, the Class C Notes, in each case to the extent necessary to obtain such rating
confirmation from each of the rating agencies.
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Either of the foregoing could result in an elimination, deferral or reduction in the payments in respect of interest or commitment fee or the principal
repayments made to the holders of one or more classes of Notes that are subordinate to any other outstanding class of Notes, which could adversely
impact the returns of such holders.
The Collateral Manager may, on any distribution date occurring prior to the last day of the reinvestment period, in its sole discretion elect to apply
all or a portion of the principal proceeds available for reinvestment to the payment of principal of the Notes in accordance with the priority of
payments, which application may result in additional payments of principal on the Notes.
Interest Rate Risk. The Notes will bear interest at a rate based on LIBOR. Certain of the Collateral Debt Securities included in the Collateral will
include obligations that bear interest at fixed rates. Accordingly, the Notes are subject to interest rate risk to the extent that there is an interest rate
mismatch between the floating rate at which interest accrues on the Notes and the rates at which interest accrues on fixed rate securities included in
the Collateral. A portion of such interest rate mismatch may be mitigated by one or more hedge agreements which the Issuer may enter into after
the closing date. There can be no assurance that the Collateral Debt Securities and eligible investments, together with such hedge agreements, will
in all circumstances generate sufficient interest proceeds to make timely payments of interest on the Notes.
Reinvestment Risk. For the first [five] years following the closing date (the "Reinvestment Period"), the Collateral Manager will have discretion to
reinvest principal proceeds in substitute Collateral Debt Securities in compliance with certain specified eligibility criteria. Such potential
reinvestment (or lack thereof) may have an adverse effect on the value of the Collateral Debt Securities and on the ability of the Issuer to make
payments on the Notes. The impact, including any adverse impact, of the reinvestment (or lack of reinvestment) of principal proceeds on the
Noteholders would be magnified with respect to the respective classes of Notes, by the leveraged nature of such respective classes of Notes.
The earnings with respect to substitute Collateral Debt Securities will depend, among other factors, on reinvestment rates available in the
marketplace at the time and on the availability of investments satisfying the eligibility criteria and acceptable to the Collateral Manager. The need
to satisfy such eligibility criteria and identify acceptable investments may require the purchase of Collateral Debt Securities having lower yields
than those initially acquired or require that principal proceeds be maintained temporarily in cash or certain eligible investments that are likely to
have a low yield, which may reduce the yield on the investment portfolio. Further, issuers of Collateral Debt Securities may be more likely to
exercise any rights they may have to redeem such obligations when interest rates or spreads are declining. Any decrease in the yield on the
Collateral Debt Securities will have the effect of reducing the amounts available to make payments of principal and interest on the Notes.
Credit Ratings. Credit ratings of debt securities (including any securities issued by the Issuer or any Collateral Debt Security comprising the
investment portfolio of the Issuer) represent the rating agencies' opinions regarding their credit quality and are not a guarantee of quality. Rating
agencies attempt to evaluate the safety of principal and interest payments and do not evaluate the risks of fluctuations in market value, and
therefore, credit ratings do not fully reflect all risks of an investment. Also, rating agencies may fail to make timely changes in credit ratings in
response to subsequent events, and the credit quality of a debt security may be worse than a rating indicates.
Taxation. Taxation of the offered Securities is complex. Clients should consult their tax advisors.
58
58 CONFIDENTIAL
Tax Treatment of Notes. Noteholders (other than holders of Class C Notes) will be required to treat such Notes as debt for U.S. Federal income tax
purposes. It is possible that the treatment of the Class B Notes or Class X Notes as debt of the Issuer could be challenged by the U.S. Internal
Revenue Service. If such a challenge were successful, such Notes would be treated as equity securities of the Issuer, and the U.S. Federal income
tax consequences of investing in such Notes would be similar to the consequences of investing in the Class C Notes without electing to treat the
Issuer as a qualified electing fund.
U.S. Taxes on the Issuer. The Issuer expects to conduct its affairs so that its income generally will not be subject to tax on a net income basis in the
United States or any other jurisdiction. The Issuer also expects that payments received under the Collateral Debt Securities generally will not be
subject to withholding tax imposed by the United States or other countries that may be treated as the source of the payments. The Issuer's income
might become subject to net income or withholding taxes in the United States or other jurisdictions, however, due to unanticipated circumstances,
change in law, contrary positions of relevant tax authorities or other causes. The imposition of unanticipated net income or withholding taxes on the
Issuer could materially impair the Issuer's ability to make payments on the offered Securities.
ERISA. The Class B Notes and the Class X Notes are not eligible for purchase by benefit plan investors.
59
59 CONFIDENTIAL
Institutional Credit Partners LLC
445 Park Avenue, 12th Floor
New York, NY 10022
Main: (212) 821-1900
Fax:(212) 821-1959
60

CIBC - Triaxx Prime CDO 2006 (2007 Models)

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CIBC - Triaxx Prime CDO 2006 (2007 Models)

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Triaxx Prime CDO 2006-11

$2.5 Billion CDO of RMBS Securities

Fees and Expenses

Principal Proceeds Waterfall 1

(1) Source: ICP

¾ Triaxx strategy consistent with current ICP market view. (1)

¾ Triaxx investment focus (2)

(1) Source: ICP

Class A-2 Notes

(1) Deal in structuring process, subject to change

Collateral Manager: ICP Asset Management, LLC

Capital Structure (1)

Tranche Target Rating Par (USD) % of Deal Coupon / Spread WAL(2)

Coverage Tests (1)

Tranche Expected O/C O/C Test

(1) Deal in structuring process, subject to change

Eligibility Criteria (1)

Collateral type [100]% RMBS

(1) Deal in structuring process, subject to change

Interest Proceeds Waterfall (1) Principal Proceeds Waterfall 1

¾ High Grade ABS Highlights:

 Low Overall Credit Risk (1)(2)

 Low Defaults (1)(3)

 High Recovery Rates (1)(4)

(1) Historical Performance is not a guarantee or prediction of future results

¾ Rating Stability: US RMBS – 1 year migration

 Aaa downgrade rate was 0.05% for 2005 (3)

Aaa 51.58% 0.88% 0.29% 0.11% 0.01% 0.04% 0.18% 46.92%

¾ Historical Loss & Recovery Rates (1)

Estimated Multi-Year Cumulative Loss Rates of Structured Finance Securities (4)

• ICP is a Structured Fixed Income Investment Manager organized in 2004 to provide

(1) Source: ICP

ICP ASSET MANAGEMENT LLC

Hedge Funds / Collateralized

(1) Source: ICP.

 Traditionally in the Structured Credit markets, investors purchase ABS

 ICP employs a direct and active investment approach. Through its

(1) Source: ICP

Operational Operations / Investor

Compliance John Vecchio William Gahan

Commercial Residential Middle Market Trade Leveraged Corporate and

Direct Access to Assets

 ICP employs top-down and bottom-up approaches when identifying opportunities by

(1) Source: ICP

drivers – credit (corporate and

(1) Source: ICP

Loan Attribute Analysis (1)

¾ Statistically analyze individual attributes of the loan pool

(1) Source: ICP

Loan Attribute Analysis (1)

Sample Loan Attribute Analysis

Loan Level Breakout for loans for FICO < 660

(1) Source: ICP

Identify Salient Loan Attributes (1)

Identify Salient Loan Attributes (Cont.) (1)

(1) Source: ICP

Effect of Loan Attributes on Loan Pool Characteristics (1)

Delinquency Loss Severity Convexity

• FICO • Lien Position • Prepayment Penalty

(1) Source: ICP

Determine appropriate subordination level

¾ Use Intex Dealmaker* (“Intex”) to create ideal capital structure

*Intex Dealmaker is a third party software application

Low Overall Credit Risk (1)(2)

Low Defaults (1)(3)

High Recovery Rates (1)(4)

Aaa downgrade rate was 0.05% for 2005 (3)

Traditionally in the Structured Credit markets, investors purchase ABS

ICP employs a direct and active investment approach. Through its

ICP employs top-down and bottom-up approaches when identifying opportunities by