Allegheny DASHES

Enclosed are the revised DASHES for the two Allegheny Deals. These are very
similar to what has already circulated. The relevant differences between
this version and the previous version are 1) Exclusion of June from Coverage
, 2) Lower system strike price (set at ATM at deal closing close) 3) Total
package price dropped from 6.75MM to 5.25MM, 4) Lower mean losses and lower
P99.

Any questions, please call me at 212.702.3921.

Larry