EXHIBIT 99
DISCLAIMER LEGEND FOR COMPUTATIONAL MATERIALS FOR PUBLIC CMBS
Copyright 2005 JPMorgan Chase & Co. - All rights reserved. J.P. Morgan
Securities Inc. (JPMSI), member NYSE and SIPC. JPMorgan is the marketing name
used by the specific legal entity or entities named in the attached materials.
Information has been obtained from sources believed to be reliable but JPMorgan
does not warrant its completeness or accuracy. This material is not intended as
an offer or solicitation for the purchase or sale of any financial instrument.
Clients should contact analysts and execute transactions through a JP Morgan
Chase & Co. subsidiary or affiliate in their home jurisdiction unless governing
law permits otherwise.
The information contained herein is qualified in its entirety by the information
in the prospectus and prospectus supplement for this transaction. The
information contained herein is preliminary as of the date hereof, supersedes
any previous such information delivered to you and will be superseded by any
such information subsequently delivered and ultimately by the final prospectus
and prospectus supplement relating to the securities and any other information
subsequently filed with the Securities and Exchange Commission. These materials
are subject to change, completion or amendment from time to time without notice
and JPMorgan is under no obligation to keep you advised of such changes. These
materials have been provided to you for informational purposes only and may not
be relied upon by you in evaluat ing the merits of investing in the securities
described herein. Any investment decision with respect to the securities should
be made by you based solely upon the information contained in the final
prospectus and prospectus supplement relating to the securities. You should
consult your own counsel, accountant and other advisors as to the legal, tax,
business, financial and related aspects of a purchase of these securities.
The attached information contains certain tables and other statistical analyses
(t he "Computational Materials") which have been prepared in reliance upon
information furnished by the issuer. Numerous assumptions were used in preparing
the Computational Materials, which may or may not be reflected herein. As such,
no assurance can be given as to the Computational Materials' accuracy,
appropriateness or completeness in any particular context; or as to whether the
Computational Materials and/or the assumptions upon which they are based reflect
present market conditions or future market performance. These Computational
Materials should not be construed as either projections or predictions or as
legal, tax, financial or accounting advice. Any weighted average lives, yields
and principal payment periods shown in the Computational Materials are based on
prepayment and/or loss assumptions, and changes in such prepayment and/or loss
assumptions may dramatically affect such weighted average lives, yields and
principal payment periods. In addition, it is possible that prepayments or
losses on the underlying assets will occur at rates higher or lower than the
rates shown in the attached Computational Materials. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the final underlying assets
and the preliminary underlying assets used in preparing the Computational
Materials. The principal amount and designation of any security described in the
Computational Materials are subject to change prior to issuance. Neither JP
Morgan nor any of its affiliates makes any representation or warranty as to the
actual rate or timing of payments or losses on any of the underlying assets or
the payments or yield on the securities.
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY JPMORGAN AND NOT BY THE ISSUER OF
THE SECURITIES OR ANY OF ITS AFFILIATES (OTHER THAN JPMORGAN). JPMORGAN IS
ACTING AS UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUER IN CONNECTION WITH
THE PROPOSED TRANSACTION.
red_110305a - A1
JPM SECURITIES
Balance $85,976,000.00 Delay 11 WAC 5.3864 WAM 110
Coupon 3.7753 Dated 11/01/2005 NET 5.3571 WALA 1
Settle 11/29/2005 First Payment 12/12/2005
- -----------------------------------------------------------------------------------------------------
Price 0 25 CPY 50 CPY 75 CPY 100 CPY
- -----------------------------------------------------------------------------------------------------
Yield Yield Yield Yield Yield
- -----------------------------------------------------------------------------------------------------
96.62500 5.15 5.17 5.18 5.18 5.18
96.65625 5.14 5.16 5.16 5.16 5.17
96.68750 5.13 5.14 5.15 5.15 5.15
96.71875 5.11 5.13 5.13 5.14 5.14
96.75000 5.10 5.12 5.12 5.12 5.13
96.78125 5.09 5.10 5.11 5.11 5.11
96.81250 5.07 5.09 5.09 5.10 5.10
96.84375 5.06 5.08 5.08 5.08 5.09
96.87500 5.05 5.06 5.07 5.07 5.07
96.90625 5.03 5.05 5.05 5.06 5.06
96.93750 5.02 5.04 5.04 5.04 5.04
96.96875 5.01 5.02 5.03 5.03 5.03
97.00000 4.99 5.01 5.01 5.02 5.02
97.03125 4.98 5.00 5.00 5.00 5.00
97.06250 4.97 4.98 4.99 4.99 4.99
97.09375 4.95 4.97 4.97 4.98 4.98
97.12500 4.94 4.96 4.96 4.96 4.96
97.15625 4.93 4.94 4.95 4.95 4.95
97.18750 4.92 4.93 4.93 4.94 4.94
97.21875 4.90 4.92 4.92 4.92 4.92
97.25000 4.89 4.90 4.91 4.91 4.91
97.28125 4.88 4.89 4.89 4.90 4.90
97.31250 4.86 4.88 4.88 4.88 4.88
97.34375 4.85 4.86 4.87 4.87 4.87
97.37500 4.84 4.85 4.85 4.86 4.86
Spread @ Center Price 4.0 5.7 6.3 6.6 6.7
WAL 2.68 2.65 2.63 2.63 2.62
Mod Durn 2.439 2.411 2.400 2.394 2.392
Principal Window Dec05 - Jul10 Dec05 - Mar10 Dec05 - Feb10 Dec05 - Jan10 Dec05 - Dec09
- -----------------------------------------------------------------------------------------------------
red_110305a - A1
JPM SECURITIES
Balance $85,976,000.00 Delay 11 WAC 5.3864 WAM 110
Coupon 3.7753 Dated 11/01/2005 NET 5.3571 WALA 1
Settle 11/29/2005 First Payment 12/12/2005
- -------------------------------------------------------------------------------------------------------------------------
Price 0 25 CPY 50 CPY 75 CPY 100 CPY
CMT_3MO 4.292 4.292 4.292 4.292 4.292
CMT_6MO 4.509 4.509 4.509 4.509 4.509
CMT_1YR 4.784 4.784 4.784 4.784 4.784
CMT_2YR 4.455 4.455 4.455 4.455 4.455
CMT_3YR 4.490 4.490 4.490 4.490 4.490
CMT_5YR 4.541 4.541 4.541 4.541 4.541
CMT_10YR 4.643 4.643 4.643 4.643 4.643
CMT_30YR 4.836 4.836 4.836 4.836 4.836
- -------------------------------------------------------------------------------------------------------------------------
Prepay 0 CPY 25 CPY 50 CPY 75 CPY 100 CPY
No Prepays
Lockout and Penalties Include Penalties Include Penalties Include Penalties Include Penalties Include Penalties
Prepay Penalty Haircut 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------------------
Optional Redemption Call (N) Call (N) Call (N) Call (N) Call (N)
- -------------------------------------------------------------------------------------------------------------------------
Swap Curve Mat 2YR 3YR 4YR 5YR 6YR 7YR 8YR 9YR 10YR 12YR
Yld 0.4551 0.4850 0.5000 0.5150 0.5250 0.5325 0.5375 0.5450 0.5500 0.5832