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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 offeringmemoranda to be provided in connection with the offering of the Securities.
Triaxx Prime CDO 2006-1
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$2.5 Billion CDO of RMBS Securities
Deal Summary
Issue Triaxx Prime CDO 2006-1Lead Placement Agent, Structurer and ArrangerCo-Placement AgentICP SecuritiesCIBC World Markets (with respect to the Class A-1 Notes only)Collateral Manager ICP Asset Management, LLCDeal size $[2,500,000,000]Expected Closing Date [TBD]% Ramped at Close [70]%Non-call Period [3] YearsAsset Reinvestment Period [5] YearsFirst Payment Date [TBD]Payment frequency [Monthly for Class A-1, Quarterly for remaining]Auction Call [8] Years
Deal Structure
Class A-1
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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-]WAL
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[6.7] [8.0] [8.0] [4.2] [8.0]
Coverage TestsExpected 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% RMBSAverage rating Aaa/AAAMax WARF [3]Min senior most tranches [100%]Weighted average FICO [680 - 700]Weighted average LTV [70 - 75]Fixed / Float [100]% Floating-rateMax weighted average maturity [8] YearsMax single issuer concentration [2%]Servicer concentrations by min rating
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Largest 3
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with min rating of (SQ2 / RPS2 / Above Avg) [60%] Total, [20%] EachMax 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 SubordinateIncentive management fee [100]% of residual cash flowTrustee / Admin fee [0.75] bps plus $175,000
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Transaction in structuring phase; Information is subject to change.
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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)
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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 offeringmemoranda to be provided in connection with the offering of the Securities.
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Representation does not include all details of the waterfall. See the Offering Memorandum for a complete description of the Interest Proceedswaterfall and the Principal Proceeds waterfall. Preliminary – subject to change
2
Payable monthly
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Payable quarterly
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Items 1-3 payable monthly, items 4 through 6 payable quarterly1)
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 infull
(2)3)
After the reinvestment period, redemption of the Class A-2 notes until paid infull
(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)
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)
Triaxx Prime CDO 2006-1
A CDO of RMBS Securities to be Managed by ICP Asset Management LLC
Property of Institutional Credit Partners LLC -Confidential Materials
1
May 31, 2006
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