Collateral Cash Flow Calculation
| WAM(Quarters) |
120 |
| WAC (Annual) |
7.11% |
| Default (%) |
5.75% |
| Principal ($) |
500000000 |
| Prepayment (% annual) |
3.40% |
| Loss given default (%) |
27.00% |
| Recovery rate |
73.00% |
Class A Notes Calculations Class C Notes Calculation
| WAM(Quarters) |
40 |
| WAC (Annual) |
6.25% |
| Default (%) |
6.00% |
| Principal ($) |
35000000 |
| Prepayment (% annual) |
4.00% |
| Loss given default (%) |
20.00% |
| Recovery rate |
80.00% |
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| WAM(Quarters) |
120 |
| WAC (Annual) |
4.75% |
| Default (%) |
8.00% |
| Principal ($) |
350000000 |
| Prepayment (% annual) |
5.00% |
| Loss given default (%) |
20.00% |
| Recovery rate |
80.00% |
Class B Notes Calculations
| WAM(Quarters) |
120 |
| WAC (Annual) |
11.50% |
| Default (%) |
8.00% |
| Principal ($) |
15000000 |
| Prepayment (% annual) |
5.00% |
Class D Notes Calculations
| Loss given default (%) |
40.00% |
| Recovery rate |
60.00% |
| WAM(Quarters) |
120 |
| WAC (Annual) |
5.25% |
| Default (%) |
4.00% |
| Principal ($) |
50000000 |
| Prepayment (% annual) |
1.00% |
| Loss given default (%) |
20.00% |
| Recovery rate |
80.00% |
Class E Notes Calculations Floating Rate Class A Computations
| WAM(Quarters) |
120 |
| WAC (Annual) |
6.25% |
| Default (%) |
8.00% |
| Principal ($) |
50000000 |
| Prepayment (% annual) |
5.00% |
| Loss given default (%) |
40.00% |
| Recovery rate |
60.00% |
| WAM(Quarters) |
120 |
| WAC (Annual) |
2%+5bp |
| Default (%) |
8.00% |
| Principal ($) |
350000000 |
| Prepayment (% annual) |
5.00% |
| Loss given default (%) |
20.00% |
| Recovery rate |
80.00% |
Floating Rate Class B Computations
| WAM(Quarters) |
120 |
| WAC (Annual) |
2%+5bp |
| Default (%) |
4.00% |
| Principal ($) |
50000000 |
| Prepayment (% annual) |
1.00% |
| Loss given default (%) |
20.00% |
| Recovery rate |
80.00% |
| WAM(Quarters) |
40 |
| WAC (Annual) |
2%+5bp |
| Default (%) |
6.00% |
| Principal ($) |
35000000 |
| Prepayment (% annual) |
4.00% |
| Loss given default (%) |
20.00% |
| Recovery rate |
80.00% |
Floating Rate Class C Computations
Floating Rate Class D Computations Floating Rate Class E Computations
| WAM(Quarters) |
120 |
| WAC (Annual) |
2%+5bp |
| Default (%) |
8.00% |
| Principal ($) |
15000000 |
| Prepayment (% annual) |
5.00% |
| Loss given default (%) |
40.00% |
| Recovery rate |
60.00% |
| WAM(Quarters) |
120 |
| WAC (Annual) |
6.25% |
| Default (%) |
8.00% |
| Principal ($) |
50000000 |
| Prepayment (% annual) |
5.00% |
| Loss given default (%) |
40.00% |
| Recovery rate |
60.00% |
|
|
|||||
| LIBOR | random error | LIBOR Rate | |||
|
0 |
0.04 |
||||
|
1 |
1 |
0.095 |
|||
|
2 |
1 |
0.15 |
|||
|
3 |
1 |
0.205 |
|||
|
4 |
1 |
0.26 |
|||
|
5 |
-5 |
0.015 |
|||
|
6 |
1 |
0.07 |
|||
|
7 |
1 |
0.125 |
|||
|
8 |
1 |
0.18 |
|||
|
9 |
-1 |
0.135 |
|||
|
10 |
1 |
0.19 |
|||
|
11 |
-1 |
0.145 |
|||
|
12 |
-1 |
0.1 |
|||
|
13 |
-1 |
0.055 |
|||
|
14 |
1 |
0.11 |
|||
|
15 |
-1 |
0.065 |
|||
|
16 |
1 |
0.12 |
|||
|
17 |
-1 |
0.075 |
|||
|
18 |
1 |
0.13 |
|||
|
19 |
-1 |
0.085 |
|||
|
20 |
2 |
0.19 |
|||
|
21 |
-1 |
0.145 |
|||
|
22 |
1 |
0.2 |
|||
|
23 |
-1 |
0.155 |
|||
|
24 |
-1 |
0.11 |
|||
|
25 |
-1 |
0.065 |
|||
|
26 |
2 |
0.17 |
|||
|
27 |
-2 |
0.075 |
|||
|
28 |
2 |
0.18 |
|||
|
29 |
-2 |
0.085 |
|||
|
30 |
1 |
0.14 |
|||
|
31 |
-2 |
0.045 |
|||
|
32 |
1 |
0.1 |
|||
|
33 |
-1 |
0.055 |
|||
|
34 |
-1 |
0.01 |
|||
|
35 |
1 |
0.065 |
|||
|
36 |
1 |
0.12 |
|||
|
37 |
-1 |
0.075 |
|||
|
38 |
1 |
0.13 |
|||
|
39 |
1 |
0.185 |
|||
|
40 |
-1 |
0.14 |
|||
|
41 |
-1 |
0.095 |
|||
|
42 |
-1 |
0.05 |
|||
|
43 |
1 |
0.105 |
|||
|
44 |
1 |
0.16 |
|||
|
45 |
-1 |
0.115 |
|||
|
46 |
1 |
0.17 |
|||
|
47 |
-2 |
0.075 |
|||
|
48 |
1 |
0.13 |
|||
|
49 |
-1 |
0.085 |
|||
|
50 |
1 |
0.14 |
