CIBC - Triaxx Prime CDO 2006 (2007 Models)

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 2006-11

$2.5 Billion CDO of RMBS Securities

Deal Summary Issue Triaxx Prime CDO 2006-1 Lead Placement Agent, Structurer and Arranger Co-Placement Agent

ICP Securities 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.

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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

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) 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 Materials1 May 31, 2006

2CONFIDENTIAL2

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.

3CONFIDENTIAL3

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

4CONFIDENTIAL4

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.

5CONFIDENTIAL5

Table of Contents

Section PageI. Executive Summary 6II. Transaction Details 10 III. RMBS Market Overview 15IV. About the Collateral Manager 20V. Investment Process 25VI. Risk Monitoring / Surveillance 38

Appendices Page i. Appendix I – Manager Biographies 41ii. Risk Factors 51

6

I. Executive Summary

7CONFIDENTIAL7

Executive Summary Overview

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”)

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.

8CONFIDENTIAL8

Executive Summary Overview

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

Defensive view on consumer/corporate creditNeutral/constructive view on interest ratesAggressive view on liquidity

Triaxx investment focus (2)

100% AAA RMBSPrime borrower profile on all underlying RMBS poolsDiversification through obligor and servicer limitiations

(1) Source: ICP(2) Deal in structuring process, subject to change

9CONFIDENTIAL9

Executive Summary Transaction Structure (1)

Class A-1 NotesAaa/AAA


Collateral ManagerTrustee

Rating Agency Surveillance

LiabilitiesCollateral Manager

TrusteeRating Agency Surveillance

Triaxx Prime CDOTriaxx Prime CDO



Class B NotesAa2/AA-

Class B NotesAa2/AA-

Class X NotesA2/A

Class X NotesA2/A

Aaa/AAARMBS

Securities

Aaa/AAARMBS

Securities

Assets

Class C NotesA3/A-

Class C NotesA3/A-

(1) Deal in structuring process, subject to change

10

II. Transaction Details

11CONFIDENTIAL11

Transaction DetailsSummary (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

12CONFIDENTIAL12

Transaction DetailsStructure

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

(1) Deal in structuring process, subject to change(2) Weighted average lives assuming 20% annual prepayment on assets

13CONFIDENTIAL13

Transaction DetailsEligibility Criteria

Eligibility Criteria (1)

Collateral type [100]% RMBSAverage rating Aaa/AAAMax WARF [3] bpsMin senior most tranches [100]% Weighted average FICO [680-700]Weighted average LTV [70-75]Fixed / Float [100]% Floating-rate Max weighted average maturity [8] YearsMax 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%]

(1) Deal in structuring process, subject to change(2) Rating Categories ordered by (Moodys / Fitch / S&P)(3) Largest 3 to be selected from Bank of America, Countrywide, GMAC, and Wells Fargo

14CONFIDENTIAL14

Interest Proceeds Waterfall (1) Principal Proceeds Waterfall 1

Transaction DetailsWaterfall

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)

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

15

III. RMBS Market Overview

16CONFIDENTIAL16

RMBS Market OverviewHighlights

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

17CONFIDENTIAL17

RMBS Market OverviewOne Year Migration Rates

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)

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%

US RMBS (2005)

(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."

18CONFIDENTIAL18

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)

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)

RMBS Market OverviewTwenty Year Migration

(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

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%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%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%

1 Y

ear5 year

US RMBS Rating Transition Matrices (Weighted Averages, 1984-2005)

19CONFIDENTIAL19

RMBS Market OverviewLoss & Recovery Rates

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 RMBS1-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

20

IV. About the Manager: ICP Asset Management LLC

21CONFIDENTIAL21

About the ManagerOverview (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

22CONFIDENTIAL22

About the ManagerAsset Management Structure (1)

ICP ASSET MANAGEMENT LLC

Hedge Funds /Managed Accounts

STRUCTURED CREDIT INCOME FUND(2)

- Credit Arbitrage Strategies- Capital Structure Arbitrage

CREDIT NEUTRAL STRATEGY (3)

- Segregated Account Management

Collateralized Debt Obligations

TRIAXX PRIME (4)

- Term Finance Execution - Structured Credit Vehicle Mgmt- RMBS; ABS; CDO2

Conduits

TANDEM (5)

- Balance Sheet Management - Warehousing- Financing

(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.

23CONFIDENTIAL23

About the ManagerCompetitive 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 itsexperienced investment management team and key asset originationrelationships, 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

24CONFIDENTIAL24

About the ManagerInstitutional Credit Partners LLC Organizational Chart (1)

Deboleena Dutta

Brent Layman

CDO Analytics

Thomas C. PrioreCEO / CIO

Kevin Farley

Structuring / Analytics Origination

John Roglieri

Lukasz Cianciara

Patrick Ferry

Corporate Credit

Aamer Abdullah

ABS/MBS Analytics

David Parseghian

William Gahan

Operations / Investor Relations

Kenneth Bibko

John Vecchio

Ranjana Ram

Stanley Tobin

Genevieve Carpente

Operational Support

HR

Compliance

Legal

Financial Operations

Business Risk Oversight

Peter W. Gaudet Carlos Mendez

Corporate and Consumer Assets

Residential Mortgages

Trade Receivables

Commercial Real Estate

Leveraged Loans

Middle Market Loans

Direct Access to Assets

Jonathan Maher

ICP Employees

(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

25

V. Investment Process

26CONFIDENTIAL26

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

27CONFIDENTIAL27

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

ICP CAPABILITIES

MACROECONOMIC DRIVERSConsumer &

Corporate CreditLong / Short

Interest Rates Liquidity

Control of Cash Flow Attributes

Direct Access to Assets

Loan/Obligor Analysis

Residential Mortgages

Commercial Mortgages

Senior Bank Loans

Investment Grade Corporate Debt

High Yield Corporate Debt

Financing

TARGET INVESTMENTS

HIGH CLAIM ON CASH FLOW

MITIGATION OF TAIL RISK

IMPROVED COST BASIS

MARK TO MARKET

VOLATILITY

DEFENSIVE NEUTRAL/ CONSTRUCTIVE

AGGRESSIVE

Mortgage Backed Securities

Collateralized Loan Obligations

Collateralized Debt Obligations

Asset Backed Securities

Commercial Paper Conduits

TOP DOWN APPROACH

• Investment opportunities are ascertained based on three macro drivers – credit (corporate and consumer), interest rates and liquidity

• Opportunities are appropriately positioned – defensively, neutral, aggressively – and mapped across vertical market segments

BOTTOM UP APPROACH

• ICP will utilize its modeling capabilities and origination relationships to influence investment cash flow attributes through its structuring expertise, and improve the risk reward profile by mitigating tail risk at the loan/ obligor level

(1) Source: ICP

28CONFIDENTIAL28

Customize Loan Pool

Relative Value Creation Value

Analysis

Risk Monitoring

and Surveillance

Create/Model Capital Structure

Investment Process Investment Steps (1)

(1) Source: ICP

29CONFIDENTIAL29

Customize Loan PoolInvestment Process

Loan Attribute Analysis (1)

Statistically analyze individual attributes of the loan pool

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

30CONFIDENTIAL30


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.

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 0.00FICO 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 0.00FICO 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 0.00FICO 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 0.00FICO <= 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 0.00LTV 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 0.00DTI 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 0.00DTI 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 0.00DTI > 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 %IOInvestor 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 55.78C/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 64.73IO 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 and LTV >= 75% Loan Balance FICO LTV CLTV DTI Documentation Occupancy Purpose Amort. Type MSA Loan Type Original Term

143759090 563,688.67 653 80 100 38.2 FAD(Full or Alt or AUS) Primary Purchase Interest Only San Francisco, CA 360 202390118 551,862.00 626 80 100 46.87 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 143804151 431,200.00 633 80 95 39.08 FAD(Full or Alt or AUS) Primary Purchase Interest Only San Francisco, CA 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

Sample Loan Attribute Analysis

(1) Source: ICP

31CONFIDENTIAL31


Identify Salient Loan Attributes (1)

FICO – Credit score based on the borrower’s debt payment history and borrowing levels

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

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

Spread at Origination (SATO) – Risk premium relative to the market on the loan as determined by the underwriter

Loan Size – Size of the mortgage loan balance (Conforming, Jumbo, Super Jumbo)

Lien Position – Lender’s claim priority on the underlying asset in a foreclosure

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

32CONFIDENTIAL32


Identify Salient Loan Attributes (Cont.) (1)

Servicer – Entity responsible for collecting mortgage payments and remitting payments to the trustee

Geographic Diversity – Concentration of mortgages in the pool by state, zip code, and/or Metropolitan Statistical Area

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

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

Loan Age – Number of months since the issuance of the mortgage loan

Note Rate – Gross interest rate paid by the borrower

Prepayment Penalty – Monetary disincentive for prepayment of mortgage principal

(1) Source: ICP

33CONFIDENTIAL33


Effect of Loan Attributes on Loan Pool Characteristics (1)

Effect of Loan Attributes on Delinquency, Loss Severity, and Convexity by Order or Importance

• FICO

• DTI

• SATO

• LTV

• Documentation Level

• Loan Purpose

• Geographic Location

• Lien Position

• Amortization Schedule

• Loan Age

• Loan Size

• Servicer

• Lien Position

• LTV

• Loan Size


• Servicer


• Loan Purpose


• SATO

• FICO

• DTI

• Loan Age

• Prepayment Penalty

• Note Rate

• SATO

• Loan Age


• Loan Purpose

• LTV

• Loan Size

• FICO

• DTI

• Servicer



Delinquency Loss Severity Convexity

(1) Source: ICP

34CONFIDENTIAL34

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

Determine appropriate subordination level

Identify market price levels of AAA, mezzanine and other subordinate securities backed by similar loan pools.

Using relative value analysis in conjunction with ICP’s OAS model, normalize price levels to account for differences in the capital structure.

Quantify use of principal subordination, over collateralization or excess interest to enhance target investment.

Evaluate the economic impact to securitization then make appropriate changes to the capital structure

Identify optimal subordination methodology

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

Investment Process Subordination Analysis (1)

Create/Model Capital

Structure

(1) Source: ICP

35CONFIDENTIAL35

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

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

Investment Process RMBS Structural Analysis (1)


Structure

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

36CONFIDENTIAL36

Create Hedged Floater

Investment Process Collateral Origination Process (1)


Structure

Create Fixed Relative Bond

Create/Model Capital Structure

STEP 1: STEP 2: STEP 4:STEP 3:Customize Loan

Pool

• Pool of loans analyzed and selected

• Verify pool versus transaction criteria

• Create senior/sub structure to establish AAA credit support

• Purchase Senior A• Sell sub note

• Re-allocate principal allocation to shorten duration of senior

• Retain fixed-rate Accelerated Senior (AS)

• Sell the Non-Accelerated Senior (NAS)

• Swap fixed-rate Accelerated Senior to floating

• Sell corresponding Inverse Floater/IO

• Purchase amortizing hedge to uncap the floating rate senior note

+ =

Subordinate<90-24>

LoanPool

Senior A<97-26>

AS<97-30>

NAS<96-25>

FloaterL+50

<96-30>

Inverse Floater / IO<1-12>

AmortizingHedge<3-2>

HedgedFloaterL+50

<100-0>

Example Economics: <PRICE>

(1) Source: ICP

37CONFIDENTIAL37

Relative Value/Creation Value Analysis

Investment Process Target Asset Valuation Methodology (1)

Deduce the creation value of the security under consideration by valuing each of the other nodes of the bond tree

Analyze relative value on the security vs. comparable assets in the secondary marketplace

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

38

VI. Risk Monitoring / Surveillance

39CONFIDENTIAL39

Risk Monitoring

and Surveillance

Risk Monitoring / SurveillanceABS/MBS Risk Management (1)

Step 1 Step 2 Step 3

Portfolio Mark –To-Market

Determine Creation Value &

Perform OAS Analysis

WAL atOrigination vs.Current WAL

Stressed PrepayAnd Default

AnalysisOriginal C/E vs.

Current C/E

Hold

Sell

Step 4 Step 5Step 6

Hold/Hedge

(1) Source: ICP

40CONFIDENTIAL40

Risk Monitoring

and Surveillance

Risk Monitoring / SurveillancePortfolio Reporting/Monitoring (1)

Portfolio Reporting and AlertsServicer Reports

Portfolio Alerts

Report Configuration

Alert Configuration

ABS

Deal Transaction Reports

Deal Waterfall

Test Compliance

Tranche Cash Flows

Asset Performance

Industry Projections

Collateral Mark-to-Market

Hedge Performance

Risk AnalyticsPortfolio OptimizationPortfolio Cash FlowsCorrelation Analysis

Stress TestsRisk DecompositionInvestor Reporting

Market and Credit Database

Trustee ReportsMoody’s Ratings Reports Research Reports Industry Outlook S&P Ratings Reports Servicer Data BloombergFitch Ratings Reports Credit Reports

Portfolio

Deal InputsDeal WaterfallAmortization

ScheduleDeal Reports

IndenturesCollateral ReportsHedge Schedules

MBS

Deal Transaction Reports

Deal Waterfall

Pool Migration Test

Tranche Cash Flows

Asset Performance

Convexity and Duration Test

Hedge Performance

(1) Source: ICP

41

Appendix I – Management Biographies

42CONFIDENTIAL42

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 atGuggenheim 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

43CONFIDENTIAL43


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

44CONFIDENTIAL44


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

45CONFIDENTIAL45


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

46CONFIDENTIAL46


Capital Markets

Patrick M. Ferry: Mr. Ferry is a Vice President at ICP Securities LLC (ICP). Prior to joining ICP, Mr. Ferry worked at InstinetGroup 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

47CONFIDENTIAL47


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

48CONFIDENTIAL48


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 theUniversity 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.

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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.

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Institutional Credit Partners LLC445 Park Avenue, 12th Floor

New York, NY 10022Main: (212) 821-1900 Fax:(212) 821-1959

Documents

CIBC - Triaxx Prime CDO 2006 (2007 Models)