FBR Securitization Trust 2005-3
Disclaimer
COMPUTATIONAL MATERIALS
This presentation contains tables and other statistical analyses (the“Computational Materials”). These Computational Materials have been prepared by Friedman, Billings, Ramsey & Co., Inc. (“FBR”) in reliance upon information furnished by the issuer of the securities and its affiliates. These Computational Materials are furnished to you solely by FBR and not by the issuer of the securities. They may not be provided to any third party other than the addressee’s legal, tax, financial and/or accounting advisors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Materials which may or may not be reflected therein. As such, no assurance can be given as to the Computational Materials’ accuracy, appropriateness or completeness in any particular context. In addition, no assurance can be given as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice.
Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfall.
If the Computational Materials were generated using a hypothetical group of mortgage loans, the specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the actual underlying assets and the hypothetical underlying assets used in preparing the Computational Materials. If these Computational Materials are based only on a statistical pool of mortgage loans expected to be included in the trust along with other mortgage loans on the closing date, the specific characteristics of these securities also may differ from those shown in the Computational Materials. A statistical pool may not necessarily represent a statistically relevant population, notwithstanding any contrary references herein. Although FBR believes the information with respect to the statistical pool will be representative of the final pool of mortgage loans, the collateral characteristics of the final pool may nonetheless vary from the collateral characteristics of the statistical pool. Certain mortgage loans contained in a statistical pool or the actual pool may be deleted from the final pool of mortgage loans delivered to the trust on the closing date.
The principal amount and designation of any security described in the Computational Materials are subject to change prior to issuance. Neither FBR nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities.
TIAA CASH FLOW REQUESTS
1a. | | Cash Flows to the requested tranche using the assumptions below and attached Cash Flows template. Model should reflect assumption that deal is collapsed when bonds (including interest carryforwards, basis carryforwards) are fully repaid. |
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| | Forward LIBOR To Maturity 100% PPC 100% Pricing Loss Curve (100% structuring loss assumptions)* 12 months Lag 50% Severity Failing Triggers * Used S&P’s triple-B loss curve and S&P’s single-B Frequency of Foreclosure. |
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1b. | | Cash Flows to the requested tranche using the assumptions below and attached Cash Flows template. Model should reflect assumption that deal is collapsed when bonds (including interest carryforwards, basis carryforwards) are fully repaid. |
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| | Forward LIBOR To Maturity 100% PPC 100% Pricing Loss Curve (100% structuring loss assumptions) 12 months Lag 50% Severity 100% structuring delinquency assumption Triggers per Model (i.e. as forecasted) * Used S&P’s triple-B loss curve and S&P’s single-B Frequency of Foreclosure. |
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2. | | Forecasted Triggers using assumptions below and attached Triggers template. Model should reflect assumption that deal is collapsed when bonds (including interest carryforwards, basis carryforwards) are fully repaid. |
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| | Forward LIBOR To Maturity 100% PPC 100% Pricing Loss Curve (100% structuring loss assumptions) 12 months Lag 50% Severity 100% structuring delinquency assumption * Used S&P’s triple-B loss curve and S&P’s single-B Frequency of Foreclosure. |
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3. | | Net WAC table using assumptions below and attached Basis Risk template. Model should reflect assumption that deal is collapsed when bonds (including interest carryforwards, basis carryforwards) are fully repaid. |
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| | Forward LIBOR To Maturity 100% PPC 100% Pricing Loss Curve (100% structuring loss assumptions) 12 months Lag 50% Severity 100% structuring delinquency assumption |
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4. | | Excess Spread for 360 months assuming: |
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| | Forward LIBOR deal pricing speed failing trigger to maturity no losses |
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5. | | Net WAC table assuming: |
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| | libor = 20% failing trigger deal pricing speed to maturity including cap payment |
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6. | | Breakeven CDR and Cumulative losses for requested tranches assuming: |
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| | deal pricing speed failing trigger to maturity forward libor 12 month lag 50% and 60% severity |
TIAA NIM CASH FLOW TEMPLATE
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
0 | | 9-Nov-05 | | | 969,874,218.55 | | | | | | | | | | �� | | | | | | | | | | | | | | | | | | | | | | 944,610,000.00 | | | | | | | | | | | | | | | | 949,986,000.00 | | | | | |
1 | | 25-Nov-05 | | | 963,692,488.97 | | | | 99.36 | % | | | 4.0968 | | | | 4.4064 | | | | 3,354,054.93 | | | | 0 | | | | 3,354,054.93 | | | | 7,514.90 | | | | 938,340,723.40 | | | | 5,797.07 | | | | 1,868,081.40 | | | | 6,175,932.51 | | | | 943,810,067.49 | | | | 99.35 | % |
2 | | 25-Dec-05 | | | 956,374,825.08 | | | | 98.61 | % | | | 4.3242 | | | | 4.4842 | | | | 1,529,073.44 | | | | 0 | | | | 1,529,073.44 | | | | 191,812.48 | | | | 930,864,983.60 | | | | 0.00 | | | | 3,659,534.35 | | | | 7,317,663.89 | | | | 936,492,403.60 | | | | 98.58 | % |
3 | | 25-Jan-06 | | | 947,913,126.24 | | | | 97.74 | % | | | 4.3210 | | | | 4.5327 | | | | 1,398,326.66 | | | | 0 | | | | 1,398,326.66 | | | | 194,062.08 | | | | 922,195,576.10 | | | | 0.00 | | | | 3,750,605.58 | | | | 8,461,698.84 | | | | 928,030,704.76 | | | | 97.69 | % |
4 | | 25-Feb-06 | | | 938,320,676.55 | | | | 96.75 | % | | | 4.4233 | | | | 4.5789 | | | | 1,303,447.92 | | | | 0 | | | | 1,303,447.92 | | | | 273,492.47 | | | | 912,346,415.20 | | | | 0.00 | | | | 3,799,618.35 | | | | 9,592,449.69 | | | | 918,438,255.07 | | | | 96.68 | % |
5 | | 25-Mar-06 | | | 927,614,965.70 | | | | 95.64 | % | | | 4.5556 | | | | 4.6130 | | | | 1,558,947.40 | | | | 0 | | | | 1,558,947.40 | | | | 338,267.64 | | | | 901,335,877.80 | | | | 0.00 | | | | 3,492,135.01 | | | | 10,705,710.86 | | | | 907,732,544.22 | | | | 95.55 | % |
6 | | 25-Apr-06 | | | 915,817,688.31 | | | | 94.43 | % | | | 4.4792 | | | | 4.6263 | | | | 1,230,086.69 | | | | 0 | | | | 1,230,086.69 | | | | 310,692.98 | | | | 889,187,036.10 | | | | 0.00 | | | | 3,762,989.40 | | | | 11,797,277.39 | | | | 895,935,266.83 | | | | 94.31 | % |
7 | | 25-May-06 | | | 903,011,918.73 | | | | 93.11 | % | | | 4.5669 | | | | 4.6349 | | | | 1,267,812.85 | | | | 0 | | | | 1,267,812.85 | | | | 361,602.73 | | | | 876,075,784.00 | | | | 0.00 | | | | 3,661,352.76 | | | | 12,805,769.57 | | | | 883,129,497.25 | | | | 92.96 | % |
8 | | 25-Jun-06 | | | 889,175,257.65 | | | | 91.68 | % | | | 4.6063 | | | | 4.6276 | | | | 1,098,700.08 | | | | 0 | | | | 1,098,700.08 | | | | 397,869.82 | | | | 861,898,641.30 | | | | 0.00 | | | | 3,761,101.87 | | | | 13,836,661.08 | | | | 869,292,836.17 | | | | 91.51 | % |
9 | | 25-Jul-06 | | | 874,341,602.09 | | | | 90.15 | % | | | 4.5706 | | | | 4.6167 | | | | 1,226,048.61 | | | | 0 | | | | 1,226,048.61 | | | | 353,162.97 | | | | 846,691,909.30 | | | | 0.00 | | | | 3,558,816.11 | | | | 14,833,655.56 | | | | 854,459,180.61 | | | | 89.94 | % |
10 | | 25-Aug-06 | | | 858,548,780.66 | | | | 88.52 | % | | | 4.6390 | | | | 4.6158 | | | | 1,037,349.24 | | | | 0 | | | | 1,037,349.24 | | | | 408,366.56 | | | | 830,496,041.40 | | | | 0.00 | | | | 3,667,189.43 | | | | 15,792,821.43 | | | | 838,666,359.18 | | | | 88.28 | % |
11 | | 25-Sep-06 | | | 841,975,513.80 | | | | 86.81 | % | | | 4.6124 | | | | 4.6025 | | | | 1,036,479.68 | | | | 0 | | | | 1,036,479.68 | | | | 381,532.19 | | | | 813,530,211.60 | | | | 0.00 | | | | 3,582,550.24 | | | | 16,573,266.86 | | | | 822,093,092.31 | | | | 86.54 | % |
12 | | 25-Oct-06 | | | 824,687,258.79 | | | | 85.03 | % | | | 4.5161 | | | | 4.5925 | | | | 1,194,515.14 | | | | 0 | | | | 1,194,515.14 | | | | 296,396.17 | | | | 789,975,150.30 | | | | 0.00 | | | | 3,334,930.12 | | | | 17,288,255.01 | | | | 804,804,837.31 | | | | 84.72 | % |
13 | | 25-Nov-06 | | | 803,895,469.03 | | | | 82.89 | % | | | 4.5287 | | | | 4.6058 | | | | 1,051,126.29 | | | | 1,475,060.51 | | | | -423,934.22 | | | | 305,979.32 | | | | 770,838,692.70 | | | | -1,357,105.61 | | | | 3,385,031.27 | | | | 20,673,834.85 | | | | 784,131,002.45 | | | | 82.54 | % |
14 | | 25-Dec-06 | | | 785,403,735.80 | | | | 80.98 | % | | | 4.5418 | | | | 4.6175 | | | | 1,120,730.14 | | | | 0 | | | | 1,120,730.14 | | | | 297,351.03 | | | | 751,665,686.60 | | | | -117,954.90 | | | | 3,203,409.41 | | | | 18,609,688.14 | | | | 765,521,314.32 | | | | 80.58 | % |
15 | | 25-Jan-07 | | | 766,328,459.82 | | | | 79.01 | % | | | 4.5541 | | | | 4.6300 | | | | 981,890.74 | | | | 0 | | | | 981,890.74 | | | | 307,581.60 | | | | 732,338,289.40 | | | | 0.00 | | | | 3,242,756.96 | | | | 19,075,275.97 | | | | 746,446,038.34 | | | | 78.57 | % |
16 | | 25-Feb-07 | | | 746,717,135.94 | | | | 76.99 | % | | | 4.5652 | | | | 4.6420 | | | | 949,881.94 | | | | 0 | | | | 949,881.94 | | | | 306,672.76 | | | | 712,479,091.60 | | | | 0.00 | | | | 3,172,259.32 | | | | 19,611,323.89 | | | | 726,834,714.46 | | | | 76.51 | % |
17 | | 25-Mar-07 | | | 726,619,409.73 | | | | 74.92 | % | | | 4.5758 | | | | 4.6536 | | | | 1,217,869.33 | | | | 0 | | | | 1,217,869.33 | | | | 275,357.34 | | | | 685,206,117.40 | | | | 0.00 | | | | 2,798,999.82 | | | | 20,097,726.21 | | | | 706,736,988.24 | | | | 74.39 | % |
18 | | 25-Apr-07 | | | 701,880,359.01 | | | | 72.37 | % | | | 4.5879 | | | | 4.6666 | | | | 885,003.45 | | | | 2,120,561.17 | | | | -1,235,557.72 | | | | 300,329.65 | | | | 665,521,541.10 | | | | -1,185,333.10 | | | | 3,024,088.15 | | | | 23,803,822.64 | | | | 682,933,165.60 | | | | 71.89 | % |
19 | | 25-May-07 | | | 681,249,606.94 | | | | 70.24 | % | | | 4.5990 | | | | 4.6638 | | | | 937,985.80 | | | | 0 | | | | 937,985.80 | | | | 288,448.13 | | | | 646,890,528.20 | | | | -935,228.07 | | | | 2,838,433.28 | | | | 21,565,980.14 | | | | 661,367,185.46 | | | | 69.62 | % |
20 | | 25-Jun-07 | | | 660,296,283.59 | | | | 68.08 | % | | | 4.6115 | | | | 4.6604 | | | | 814,403.59 | | | | 0 | | | | 814,403.59 | | | | 296,681.97 | | | | 628,832,764.10 | | | | 0.00 | | | | 2,851,565.26 | | | | 20,953,323.35 | | | | 640,413,862.11 | | | | 67.41 | % |
21 | | 25-Jul-07 | | | 639,075,377.42 | | | | 65.89 | % | | | 4.6220 | | | | 4.6557 | | | | 872,213.94 | | | | 0 | | | | 872,213.94 | | | | 284,599.23 | | | | 611,988,460.90 | | | | 0.00 | | | | 2,681,657.52 | | | | 21,220,906.16 | | | | 619,192,955.94 | | | | 65.18 | % |
22 | | 25-Aug-07 | | | 617,642,705.17 | | | | 63.68 | % | | | 4.6325 | | | | 4.6493 | | | | 752,603.41 | | | | 0 | | | | 752,603.41 | | | | 291,741.70 | | | | 593,750,238.80 | | | | 0.00 | | | | 2,687,811.78 | | | | 21,432,672.26 | | | | 597,760,283.69 | | | | 62.92 | % |
23 | | 25-Sep-07 | | | 597,000,687.23 | | | | 61.55 | % | | | 4.6437 | | | | 4.6422 | | | | 1,563,069.59 | | | | 0 | | | | 1,563,069.59 | | | | 0 | | | | 570,844,954.40 | | | | 0.00 | | | | 2,603,465.85 | | | | 20,642,017.94 | | | | 577,118,265.75 | | | | 60.75 | % |
24 | | 25-Oct-07 | | | 572,504,775.62 | | | | 59.03 | % | | | 4.5775 | | | | 4.6324 | | | | 1,668,859.85 | | | | 2,305,051.52 | | | | -636,191.67 | | | | 0 | | | | 552,164,601.40 | | | | -1,668,859.84 | | | | 2,403,465.52 | | | | 23,859,719.93 | | | | 553,258,545.82 | | | | 58.24 | % |
25 | | 25-Nov-07 | | | 553,526,797.45 | | | | 57.07 | % | | | 4.5824 | | | | 4.6368 | | | | 1,518,082.07 | | | | 0 | | | | 1,518,082.07 | | | | 0 | | | | 532,444,190.50 | | | | -636,191.68 | | | | 2,386,730.30 | | | | 19,614,169.85 | | | | 533,644,375.97 | | | | 56.17 | % |
26 | | 25-Dec-07 | | | 535,204,576.03 | | | | 55.18 | % | | | 4.5871 | | | | 4.6407 | | | | 1,542,139.99 | | | | 0 | | | | 1,542,139.99 | | | | 0 | | | | 513,405,574.90 | | | | 0.00 | | | | 2,232,842.84 | | | | 18,322,221.42 | | | | 515,322,154.55 | | | | 54.25 | % |
27 | | 25-Jan-08 | | | 517,515,245.85 | | | | 53.36 | % | | | 4.5917 | | | | 4.6453 | | | | 1,416,653.63 | | | | 0 | | | | 1,416,653.63 | | | | 0 | | | | 495,024,984.60 | | | | 0.00 | | | | 2,232,994.99 | | | | 17,689,330.18 | | | | 497,632,824.37 | | | | 52.38 | % |
28 | | 25-Feb-08 | | | 500,436,742.88 | | | | 51.60 | % | | | 4.5968 | | | | 4.6487 | | | | 1,367,223.45 | | | | 0 | | | | 1,367,223.45 | | | | 0 | | | | 477,279,482.60 | | | | 0.00 | | | | 2,161,429.34 | | | | 17,078,502.98 | | | | 480,554,321.39 | | | | 50.59 | % |
29 | | 25-Mar-08 | | | 483,992,593.31 | | | | 49.90 | % | | | 4.5999 | | | | 4.6526 | | | | 1,946,940.45 | | | | 0 | | | | 1,946,940.45 | | | | 0 | | | | 460,189,505.10 | | | | 0.00 | | | | 1,956,455.61 | | | | 16,444,149.57 | | | | 464,110,171.83 | | | | 48.85 | % |
30 | | 25-Apr-08 | | | 458,597,433.19 | | | | 47.28 | % | | | 4.6044 | | | | 4.6572 | | | | 1,777,083.91 | | | | 4,794,593.39 | | | | -3,017,509.48 | | | | 0 | | | | 443,688,287.50 | | | | -1,777,083.90 | | | | 2,024,269.85 | | | | 22,377,650.63 | | | | 441,732,521.20 | | | | 46.50 | % |
31 | | 25-May-08 | | | 443,520,316.33 | | | | 45.73 | % | | | 4.6080 | | | | 4.6614 | | | | 1,731,144.92 | | | | 0 | | | | 1,731,144.92 | | | | 0 | | | | 427,755,362.10 | | | | -1,731,144.92 | | | | 1,869,459.59 | | | | 16,808,261.78 | | | | 424,924,259.42 | | | | 44.73 | % |
32 | | 25-Jun-08 | | | 428,961,838.00 | | | | 44.23 | % | | | 4.6123 | | | | 4.6674 | | | | 1,618,373.38 | | | | 0 | | | | 1,618,373.38 | | | | 0 | | | | 412,370,976.70 | | | | -1,286,364.57 | | | | 1,862,793.02 | | | | 15,844,842.90 | | | | 409,079,416.52 | | | | 43.06 | % |
33 | | 25-Jul-08 | | | 414,903,977.72 | | | | 42.78 | % | | | 4.6158 | | | | 4.6713 | | | | 1,626,388.88 | | | | 0 | | | | 1,626,388.88 | | | | 0 | | | | 397,516,070.00 | | | | 0.00 | | | | 1,739,473.64 | | | | 14,057,860.28 | | | | 395,021,556.24 | | | | 41.58 | % |
34 | | 25-Aug-08 | | | 401,329,344.90 | | | | 41.38 | % | | | 4.6205 | | | | 4.6762 | | | | 1,514,598.25 | | | | 0 | | | | 1,514,598.25 | | | | 0 | | | | 383,172,246.90 | | | | 0.00 | | | | 1,739,950.38 | | | | 13,574,632.82 | | | | 381,446,923.42 | | | | 40.15 | % |
35 | | 25-Sep-08 | | | 388,225,215.14 | | | | 40.03 | % | | | 4.6239 | | | | 4.6817 | | | | 1,516,104.77 | | | | 0 | | | | 1,516,104.77 | | | | 0 | | | | 369,323,273.90 | | | | 0.00 | | | | 1,683,939.45 | | | | 13,104,129.77 | | | | 368,342,793.66 | | | | 38.77 | % |
36 | | 25-Oct-08 | | | 368,057,674.62 | | | | 37.95 | % | | | 4.6317 | | | | 4.6850 | | | | 1,521,824.55 | | | | 3,780,112.03 | | | | -2,258,287.48 | | | | 0 | | | | 355,950,396.90 | | | | -1,521,824.56 | | | | 1,578,607.26 | | | | 17,909,253.04 | | | | 350,433,540.62 | | | | 36.89 | % |
37 | | 25-Nov-08 | | | 356,077,597.09 | | | | 36.71 | % | | | 4.6359 | | | | 4.6883 | | | | 1,381,107.38 | | | | 0 | | | | 1,381,107.38 | | | | 0 | | | | 343,037,088.40 | | | | -1,381,107.38 | | | | 1,556,952.58 | | | | 13,361,184.91 | | | | 337,072,355.71 | | | | 35.48 | % |
38 | | 25-Dec-08 | | | 344,508,538.67 | | | | 35.52 | % | | | 4.6388 | | | | 4.6917 | | | | 1,388,488.79 | | | | 0 | | | | 1,388,488.79 | | | | 0 | | | | 330,567,398.60 | | | | -877,180.10 | | | | 1,452,955.87 | | | | 12,446,238.52 | | | | 324,626,117.19 | | | | 34.17 | % |
39 | | 25-Jan-09 | | | 333,336,242.44 | | | | 34.37 | % | | | 4.6424 | | | | 4.6945 | | | | 1,298,349.26 | | | | 0 | | | | 1,298,349.26 | | | | 0 | | | | 318,525,934.40 | | | | 0.00 | | | | 1,449,819.02 | | | | 11,172,296.23 | | | | 313,453,820.96 | | | | 33.00 | % |
40 | | 25-Feb-09 | | | 322,546,949.23 | | | | 33.26 | % | | | 4.6457 | | | | 4.6972 | | | | 1,254,633.01 | | | | 0 | | | | 1,254,633.01 | | | | 0 | | | | 306,897,840.90 | | | | 0.00 | | | | 1,403,481.42 | | | | 10,789,293.21 | | | | 302,664,527.75 | | | | 31.86 | % |
41 | | 25-Mar-09 | | | 312,128,291.18 | | | | 32.18 | % | | | 4.6478 | | | | 4.7003 | | | | 1,353,898.90 | | | | 0 | | | | 1,353,898.90 | | | | 0 | | | | 295,669,456.90 | | | | 0.00 | | | | 1,226,931.83 | | | | 10,418,658.05 | | | | 292,245,869.70 | | | | 30.76 | % |
42 | | 25-Apr-09 | | | 294,733,942.17 | | | | 30.39 | % | | | 4.6517 | | | | 4.7039 | | | | 1,183,297.87 | | | | 3,688,082.43 | | | | -2,504,784.56 | | | | 0 | | | | 284,826,226.00 | | | | -1,183,297.88 | | | | 1,315,279.34 | | | | 14,889,564.45 | | | | 277,356,305.25 | | | | 29.20 | % |
43 | | 25-May-09 | | | 285,243,696.25 | | | | 29.41 | % | | | 4.6553 | | | | 4.7093 | | | | 1,145,970.72 | | | | 0 | | | | 1,145,970.72 | | | | 0 | | | | 274,354,797.70 | | | | -1,145,970.72 | | | | 1,212,071.47 | | | | 10,636,216.64 | | | | 266,720,088.61 | | | | 28.08 | % |
44 | | 25-Jun-09 | | | 276,078,167.96 | | | | 28.47 | % | | | 4.6577 | | | | 4.7161 | | | | 1,073,789.03 | | | | 0 | | | | 1,073,789.03 | | | | 0 | | | | 264,242,287.60 | | | | -1,073,789.02 | | | | 1,207,486.28 | | | | 10,239,317.31 | | | | 256,480,771.30 | | | | 27.00 | % |
45 | | 25-Jul-09 | | | 267,226,112.72 | | | | 27.55 | % | | | 4.6598 | | | | 4.7213 | | | | 1,080,617.91 | | | | 0 | | | | 1,080,617.91 | | | | 0 | | | | 254,476,260.80 | | | | -285,024.82 | | | | 1,126,538.21 | | | | 9,137,080.05 | | | | 247,343,691.24 | | | | 26.04 | % |
46 | | 25-Aug-09 | | | 258,676,678.10 | | | | 26.67 | % | | | 4.6631 | | | | 4.7276 | | | | 1,009,955.73 | | | | 0 | | | | 1,009,955.73 | | | | 0 | | | | 245,044,716.50 | | | | 0.00 | | | | 1,125,636.74 | | | | 8,549,434.62 | | | | 238,794,256.62 | | | | 25.14 | % |
47 | | 25-Sep-09 | | | 250,419,959.67 | | | | 25.82 | % | | | 4.6660 | | | | 4.7341 | | | | 983,455.82 | | | | 0 | | | | 983,455.82 | | | | 0 | | | | 235,936,072.40 | | | | 0.00 | | | | 1,089,571.45 | | | | 8,256,718.44 | | | | 230,537,538.19 | | | | 24.27 | % |
48 | | 25-Oct-09 | | | 235,481,224.40 | | | | 24.28 | % | | | 4.6873 | | | | 4.7388 | | | | 982,376.89 | | | | 3,503,592.08 | | | | -2,521,215.19 | | | | 0 | | | | 227,139,150.30 | | | | -982,376.88 | | | | 1,024,231.84 | | | | 12,417,520.07 | | | | 218,120,018.12 | | | | 22.96 | % |
49 | | 25-Nov-09 | | | 228,005,720.83 | | | | 23.51 | % | | | 4.6906 | | | | 4.7418 | | | | 880,140.87 | | | | 0 | | | | 880,140.87 | | | | 0 | | | | 218,643,162.00 | | | | -880,140.87 | | | | 1,005,485.09 | | | | 8,355,644.43 | | | | 209,764,373.69 | | | | 22.08 | % |
50 | | 25-Dec-09 | | | 220,785,213.53 | | | | 22.76 | % | | | 4.6932 | | | | 4.7444 | | | | 886,422.61 | | | | 0 | | | | 886,422.61 | | | | 0 | | | | 210,437,695.30 | | | | -886,422.60 | | | | 938,638.40 | | | | 8,106,929.91 | | | | 201,657,443.78 | | | | 21.23 | % |
51 | | 25-Jan-10 | | | 213,810,888.71 | | | | 22.05 | % | | | 4.6969 | | | | 4.7468 | | | | 830,985.33 | | | | 0 | | | | 830,985.33 | | | | 0 | | | | 202,512,701.10 | | | | -754,651.73 | | | | 935,594.77 | | | | 7,728,976.55 | | | | 193,928,467.23 | | | | 20.41 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
52 | | 25-Feb-10 | | | 207,074,239.58 | | | | 21.35 | % | | | 4.6991 | | | | 4.7488 | | | | 807,516.78 | | | | 0 | | | | 807,516.78 | | | | 0 | | | | 194,858,480.50 | | | | 0.00 | | | | 902,594.00 | | | | 6,736,649.13 | | | | 187,191,818.10 | | | | 19.70 | % |
53 | | 25-Mar-10 | | | 200,567,263.73 | | | | 20.68 | % | | | 4.7004 | | | | 4.7512 | | | | 868,745.06 | | | | 0 | | | | 868,745.06 | | | | 0 | | | | 187,465,672.80 | | | | 0.00 | | | | 789,154.54 | | | | 6,506,975.85 | | | | 180,684,842.25 | | | | 19.02 | % |
54 | | 25-Apr-10 | | | 187,686,724.82 | | | | 19.35 | % | | | 4.7037 | | | | 4.7542 | | | | 759,185.57 | | | | 3,318,986.79 | | | | -2,559,801.22 | | | | 0 | | | | 180,325,243.30 | | | | -759,185.57 | | | | 846,108.25 | | | | 10,320,737.69 | | | | 170,364,104.56 | | | | 17.93 | % |
55 | | 25-May-10 | | | 181,811,064.04 | | | | 18.75 | % | | | 4.7061 | | | | 4.7610 | | | | 669,105.03 | | | | 0 | | | | 669,105.03 | | | | 0 | | | | 173,428,472.20 | | | | -669,105.02 | | | | 831,830.80 | | | | 6,544,765.80 | | | | 163,819,338.76 | | | | 17.24 | % |
56 | | 25-Jun-10 | | | 176,135,148.37 | | | | 18.16 | % | | | 4.7083 | | | | 4.7692 | | | | 623,588.62 | | | | 0 | | | | 623,588.62 | | | | 0 | | | | 166,766,943.40 | | | | -623,588.62 | | | | 829,776.67 | | | | 6,299,504.30 | | | | 157,519,834.47 | | | | 16.58 | % |
57 | | 25-Jul-10 | | | 170,652,088.07 | | | | 17.60 | % | | | 4.7101 | | | | 4.7757 | | | | 632,223.05 | | | | 0 | | | | 632,223.05 | | | | 0 | | | | 160,332,534.00 | | | | -632,223.05 | | | | 775,204.30 | | | | 6,115,283.34 | | | | 151,404,551.12 | | | | 15.94 | % |
58 | | 25-Aug-10 | | | 165,355,233.06 | | | | 17.05 | % | | | 4.7124 | | | | 4.7845 | | | | 589,858.93 | | | | 0 | | | | 589,858.93 | | | | 0 | | | | 154,117,403.60 | | | | -589,858.93 | | | | 773,206.41 | | | | 5,886,713.93 | | | | 145,517,837.19 | | | | 15.32 | % |
59 | | 25-Sep-10 | | | 160,215,287.40 | | | | 16.52 | % | | | 4.7144 | | | | 4.7910 | | | | 579,061.91 | | | | 0 | | | | 579,061.91 | | | | 0 | | | | 148,096,613.60 | | | | -45,025.60 | | | | 746,299.75 | | | | 5,184,971.27 | | | | 140,332,865.92 | | | | 14.77 | % |
60 | | 25-Oct-10 | | | 148,658,273.05 | | | | 15.33 | % | | | 4.7447 | | | | 4.7972 | | | | 581,874.27 | | | | 3,318,742.41 | | | | -2,736,868.14 | | | | 0 | | | | 0 | | | | -581,874.26 | | | | 702,612.02 | | | | 8,820,146.20 | | | | 131,512,719.72 | | | | 13.84 | % |
61 | | 25-Nov-10 | | | 144,008,107.74 | | | | 14.85 | % | | | 4.7472 | | | | 4.7998 | | | | 505,117.10 | | | | 0 | | | | 505,117.10 | | | | 0 | | | | 0 | | | | -505,117.10 | | | | 685,380.09 | | | | 5,155,282.41 | | | | 126,357,437.31 | | | | 13.30 | % |
62 | | 25-Dec-10 | | | 139,515,993.92 | | | | 14.38 | % | | | 4.7487 | | | | 4.8019 | | | | 512,498.67 | | | | 0 | | | | 512,498.67 | | | | 0 | | | | 0 | | | | -512,498.67 | | | | 640,263.74 | | | | 5,004,612.50 | | | | 121,352,824.81 | | | | 12.77 | % |
63 | | 25-Jan-11 | | | 135,176,475.69 | | | | 13.94 | % | | | 4.7516 | | | | 4.8039 | | | | 477,804.73 | | | | 0 | | | | 477,804.73 | | | | 0 | | | | 0 | | | | -477,804.73 | | | | 638,518.79 | | | | 4,817,322.96 | | | | 116,535,501.85 | | | | 12.27 | % |
64 | | 25-Feb-11 | | | 130,984,287.07 | | | | 13.51 | % | | | 4.7535 | | | | 4.8057 | | | | 464,999.13 | | | | 0 | | | | 464,999.13 | | | | 0 | | | | 0 | | | | -464,999.13 | | | | 616,136.34 | | | | 4,657,187.75 | | | | 111,878,314.10 | | | | 11.78 | % |
65 | | 25-Mar-11 | | | 126,934,611.88 | | | | 13.09 | % | | | 4.7544 | | | | 4.8073 | | | | 512,159.27 | | | | 0 | | | | 512,159.27 | | | | 0 | | | | 0 | | | | -512,159.28 | | | | 536,870.80 | | | | 4,561,834.47 | | | | 107,316,479.63 | | | | 11.30 | % |
66 | | 25-Apr-11 | | | 117,355,254.51 | | | | 12.10 | % | | | 4.7579 | | | | 4.8099 | | | | 443,227.24 | | | | 2,857,782.01 | | | | -2,414,554.77 | | | | 0 | | | | 0 | | | | -443,227.24 | | | | 573,329.16 | | | | 7,164,802.59 | | | | 100,151,677.04 | | | | 10.54 | % |
67 | | 25-May-11 | | | 113,716,363.09 | | | | 11.72 | % | | | 4.7589 | | | | 4.8125 | | | | 416,156.24 | | | | 0 | | | | 416,156.24 | | | | 0 | | | | 0 | | | | -416,156.25 | | | | 522,390.53 | | | | 4,055,047.67 | | | | 96,096,629.37 | | | | 10.12 | % |
68 | | 25-Jun-11 | | | 110,200,649.22 | | | | 11.36 | % | | | 4.7608 | | | | 4.8143 | | | | 388,099.67 | | | | 0 | | | | 388,099.67 | | | | 0 | | | | 0 | | | | -388,099.67 | | | | 520,934.05 | | | | 3,903,813.55 | | | | 92,192,815.83 | | | | 9.70 | % |
69 | | 25-Jul-11 | | | 106,803,871.86 | | | | 11.01 | % | | | 4.7628 | | | | 4.8160 | | | | 394,159.06 | | | | 0 | | | | 394,159.06 | | | | 0 | | | | 0 | | | | -394,159.06 | | | | 486,372.01 | | | | 3,790,936.43 | | | | 88,401,879.40 | | | | 9.31 | % |
70 | | 25-Aug-11 | | | 103,521,937.31 | | | | 10.67 | % | | | 4.7640 | | | | 4.8189 | | | | 368,373.05 | | | | 0 | | | | 368,373.05 | | | | 0 | | | | 0 | | | | -368,373.06 | | | | 484,630.71 | | | | 3,650,307.60 | | | | 84,751,571.81 | | | | 8.92 | % |
71 | | 25-Sep-11 | | | 100,351,024.39 | | | | 10.35 | % | | | 4.7654 | | | | 4.8201 | | | | 359,998.13 | | | | 0 | | | | 359,998.13 | | | | 0 | | | | 0 | | | | -359,998.13 | | | | 467,353.46 | | | | 3,530,911.06 | | | | 81,220,660.74 | | | | 8.55 | % |
72 | | 25-Oct-11 | | | 93,088,126.02 | | | | 9.60 | % | | | 4.7706 | | | | 4.8212 | | | | 365,394.20 | | | | 2,120,331.61 | | | | -1,754,937.41 | | | | 0 | | | | 0 | | | | -365,394.21 | | | | 436,356.71 | | | | 5,507,960.96 | | | | 75,712,699.78 | | | | 7.97 | % |
73 | | 25-Nov-11 | | | 90,236,530.59 | | | | 9.30 | % | | | 4.7723 | | | | 4.8227 | | | | 317,845.72 | | | | 0 | | | | 317,845.72 | | | | 0 | | | | 0 | | | | -317,845.72 | | | | 424,757.60 | | | | 3,169,441.16 | | | | 72,543,258.63 | | | | 7.64 | % |
74 | | 25-Dec-11 | | | 87,481,020.78 | | | | 9.02 | % | | | 4.7728 | | | | 4.8234 | | | | 323,446.98 | | | | 0 | | | | 323,446.98 | | | | 0 | | | | 0 | | | | -323,446.99 | | | | 396,070.51 | | | | 3,078,956.80 | | | | 69,464,301.83 | | | | 7.31 | % |
75 | | 25-Jan-12 | | | 84,818,297.77 | | | | 8.75 | % | | | 4.7743 | | | | 4.8246 | | | | 302,936.82 | | | | 0 | | | | 302,936.82 | | | | 0 | | | | 0 | | | | -302,936.82 | | | | 394,282.38 | | | | 2,965,659.83 | | | | 66,498,642.00 | | | | 7.00 | % |
76 | | 25-Feb-12 | | | 82,245,177.11 | | | | 8.48 | % | | | 4.7753 | | | | 4.8252 | | | | 295,870.66 | | | | 0 | | | | 295,870.66 | | | | 0 | | | | 0 | | | | -295,870.65 | | | | 379,810.52 | | | | 2,868,991.31 | | | | 63,629,650.69 | | | | 6.70 | % |
77 | | 25-Mar-12 | | | 79,758,626.74 | | | | 8.22 | % | | | 4.7756 | | | | 4.8259 | | | | 312,998.98 | | | | 0 | | | | 312,998.98 | | | | 0 | | | | 0 | | | | -312,998.98 | | | | 342,170.96 | | | | 2,799,549.35 | | | | 60,830,101.34 | | | | 6.40 | % |
78 | | 25-Apr-12 | | | 73,341,078.50 | | | | 7.56 | % | | | 4.7771 | | | | 4.8278 | | | | 282,968.23 | | | | 2,028,311.99 | | | | -1,745,343.76 | | | | 0 | | | | 0 | | | | -282,968.23 | | | | 352,117.60 | | | | 4,672,204.49 | | | | 56,157,896.85 | | | | 5.91 | % |
79 | | 25-May-12 | | | 71,022,214.74 | | | | 7.32 | % | | | 4.7776 | | | | 4.8389 | | | | 264,394.10 | | | | 0 | | | | 264,394.10 | | | | 0 | | | | 0 | | | | -264,394.11 | | | | 318,444.95 | | | | 2,583,257.86 | | | | 53,574,638.99 | | | | 5.64 | % |
80 | | 25-Jun-12 | | | 68,781,309.20 | | | | 7.09 | % | | | 4.7792 | | | | 4.8516 | | | | 247,735.90 | | | | 0 | | | | 247,735.90 | | | | 0 | | | | 0 | | | | -247,735.89 | | | | 316,370.46 | | | | 2,488,641.43 | | | | 51,085,997.56 | | | | 5.38 | % |
81 | | 25-Jul-12 | | | 66,615,692.59 | | | | 6.87 | % | | | 4.7789 | | | | 4.8651 | | | | 251,761.91 | | | | 0 | | | | 251,761.91 | | | | 0 | | | | 0 | | | | -251,761.91 | | | | 294,249.85 | | | | 2,417,378.53 | | | | 48,668,619.03 | | | | 5.12 | % |
82 | | 25-Aug-12 | | | 64,522,788.04 | | | | 6.65 | % | | | 4.7797 | | | | 4.8776 | | | | 236,387.80 | | | | 0 | | | | 236,387.80 | | | | 0 | | | | 0 | | | | -236,387.79 | | | | 292,145.43 | | | | 2,329,292.34 | | | | 46,339,326.69 | | | | 4.88 | % |
83 | | 25-Sep-12 | | | 62,500,474.48 | | | | 6.44 | % | | | 4.7805 | | | | 4.8903 | | | | 233,673.82 | | | | 0 | | | | 233,673.82 | | | | 0 | | | | 0 | | | | -233,673.82 | | | | 280,467.07 | | | | 2,255,987.38 | | | | 44,083,339.31 | | | | 4.64 | % |
84 | | 25-Oct-12 | | | 57,445,679.33 | | | | 5.92 | % | | | 4.8506 | | | | 4.9037 | | | | 234,925.64 | | | | 1,567,351.59 | | | | -1,332,425.95 | | | | 0 | | | | 0 | | | | -234,925.64 | | | | 263,005.47 | | | | 3,722,369.20 | | | | 40,360,970.11 | | | | 4.25 | % |
85 | | 25-Nov-12 | | | 55,559,463.14 | | | | 5.73 | % | | | 4.8522 | | | | 4.9048 | | | | 203,725.42 | | | | 0 | | | | 203,725.42 | | | | 0 | | | | 0 | | | | -203,725.42 | | | | 252,866.22 | | | | 2,089,941.62 | | | | 38,271,028.49 | | | | 4.03 | % |
86 | | 25-Dec-12 | | | 53,736,515.06 | | | | 5.54 | % | | | 4.8535 | | | | 4.9055 | | | | 207,213.21 | | | | 0 | | | | 207,213.21 | | | | 0 | | | | 0 | | | | -207,213.21 | | | | 234,099.16 | | | | 2,030,161.29 | | | | 36,240,867.20 | | | | 3.81 | % |
87 | | 25-Jan-13 | | | 51,974,675.53 | | | | 5.36 | % | | | 4.8547 | | | | 4.9068 | | | | 196,244.65 | | | | 0 | | | | 196,244.65 | | | | 0 | | | | 0 | | | | -196,244.65 | | | | 230,308.30 | | | | 1,958,084.19 | | | | 34,282,783.01 | | | | 3.61 | % |
88 | | 25-Feb-13 | | | 50,271,859.59 | | | | 5.18 | % | | | 4.8564 | | | | 4.9073 | | | | 193,157.66 | | | | 0 | | | | 193,157.66 | | | | 0 | | | | 0 | | | | -193,157.66 | | | | 219,137.81 | | | | 1,895,973.59 | | | | 32,386,809.42 | | | | 3.41 | % |
89 | | 25-Mar-13 | | | 48,626,132.63 | | | | 5.01 | % | | | 4.8557 | | | | 4.9080 | | | | 210,943.80 | | | | 0 | | | | 210,943.80 | | | | 0 | | | | 0 | | | | -210,943.80 | | | | 188,097.46 | | | | 1,856,670.77 | | | | 30,530,138.65 | | | | 3.21 | % |
90 | | 25-Apr-13 | | | 47,035,469.49 | | | | 4.85 | % | | | 4.8575 | | | | 4.9100 | | | | 188,072.77 | | | | 0 | | | | 188,072.77 | | | | 0 | | | | 0 | | | | -188,072.77 | | | | 197,656.95 | | | | 1,778,735.90 | | | | 28,751,402.75 | | | | 3.03 | % |
91 | | 25-May-13 | | | 45,497,992.38 | | | | 4.69 | % | | | 4.8579 | | | | 4.9180 | | | | 191,485.90 | | | | 0 | | | | 191,485.90 | | | | 0 | | | | 0 | | | | -191,485.90 | | | | 181,372.90 | | | | 1,728,963.02 | | | | 27,022,439.73 | | | | 2.84 | % |
92 | | 25-Jun-13 | | | 44,011,890.05 | | | | 4.54 | % | | | 4.8593 | | | | 4.9275 | | | | 183,109.32 | | | | 0 | | | | 183,109.32 | | | | 0 | | | | 0 | | | | -183,109.33 | | | | 177,315.44 | | | | 1,669,211.66 | | | | 25,353,228.07 | | | | 2.67 | % |
93 | | 25-Jul-13 | | | 42,575,413.79 | | | | 4.39 | % | | | 4.8593 | | | | 4.9369 | | | | 186,288.79 | | | | 0 | | | | 186,288.79 | | | | 0 | | | | 0 | | | | -186,288.79 | | | | 162,123.78 | | | | 1,622,765.05 | | | | 23,730,463.02 | | | | 2.50 | % |
94 | | 25-Aug-13 | | | 41,186,875.21 | | | | 4.25 | % | | | 4.8601 | | | | 4.9458 | | | | 178,778.64 | | | | 0 | | | | 178,778.64 | | | | 0 | | | | 0 | | | | -178,778.64 | | | | 158,029.07 | | | | 1,567,317.22 | | | | 22,163,145.80 | | | | 2.33 | % |
95 | | 25-Sep-13 | | | 39,844,819.91 | | | | 4.11 | % | | | 4.8605 | | | | 4.9562 | | | | 177,883.33 | | | | 0 | | | | 177,883.33 | | | | 0 | | | | 0 | | | | -177,883.33 | | | | 148,845.56 | | | | 1,519,938.63 | | | | 20,643,207.17 | | | | 2.17 | % |
96 | | 25-Oct-13 | | | 38,547,498.53 | | | | 3.97 | % | | | 4.9102 | | | | 4.9639 | | | | 179,663.30 | | | | 0 | | | | 179,663.30 | | | | 0 | | | | 0 | | | | -179,663.30 | | | | 136,272.77 | | | | 1,476,984.67 | | | | 19,166,222.50 | | | | 2.02 | % |
97 | | 25-Nov-13 | | | 37,293,378.99 | | | | 3.85 | % | | | 4.9121 | | | | 4.9645 | | | | 173,514.72 | | | | 0 | | | | 173,514.72 | | | | 0 | | | | 0 | | | | -173,514.71 | | | | 131,915.56 | | | | 1,427,634.26 | | | | 17,738,588.24 | | | | 1.87 | % |
98 | | 25-Dec-13 | | | 36,080,994.52 | | | | 3.72 | % | | | 4.9122 | | | | 4.9648 | | | | 176,763.64 | | | | 0 | | | | 176,763.64 | | | | 0 | | | | 0 | | | | -176,763.64 | | | | 118,516.40 | | | | 1,389,148.10 | | | | 16,349,440.14 | | | | 1.72 | % |
99 | | 25-Jan-14 | | | 34,908,928.91 | | | | 3.60 | % | | | 4.9128 | | | | 4.9656 | | | | 172,193.27 | | | | 0 | | | | 172,193.27 | | | | 0 | | | | 0 | | | | -150,867.09 | | | | 113,279.88 | | | | 1,322,932.71 | | | | 15,026,507.43 | | | | 1.58 | % |
100 | | 25-Feb-14 | | | 33,775,814.66 | | | | 3.48 | % | | | 4.9137 | | | | 4.9656 | | | | 171,464.19 | | | | 0 | | | | 171,464.19 | | | | 0 | | | | 0 | | | | 0.00 | | | | 104,533.64 | | | | 1,133,114.25 | | | | 13,893,393.18 | | | | 1.46 | % |
101 | | 25-Mar-14 | | | 32,680,360.53 | | | | 3.37 | % | | | 4.9129 | | | | 4.9659 | | | | 179,392.75 | | | | 0 | | | | 179,392.75 | | | | 0 | | | | 0 | | | | 0.00 | | | | 87,632.70 | | | | 1,095,454.13 | | | | 12,797,939.05 | | | | 1.35 | % |
102 | | 25-Apr-14 | | | 31,621,261.09 | | | | 3.26 | % | | | 4.9143 | | | | 4.9677 | | | | 168,392.28 | | | | 0 | | | | 168,392.28 | | | | 0 | | | | 0 | | | | 0.00 | | | | 89,785.29 | | | | 1,059,099.44 | | | | 11,738,839.61 | | | | 1.24 | % |
103 | | 25-May-14 | | | 30,597,284.54 | | | | 3.15 | % | | | 4.9142 | | | | 4.9764 | | | | 169,522.35 | | | | 0 | | | | 169,522.35 | | | | 0 | | | | 0 | | | | 0.00 | | | | 80,101.57 | | | | 1,023,976.55 | | | | 10,714,863.06 | | | | 1.13 | % |
104 | | 25-Jun-14 | | | 29,607,242.14 | | | | 3.05 | % | | | 4.9148 | | | | 4.9877 | | | | 165,361.69 | | | | 0 | | | | 165,361.69 | | | | 0 | | | | 0 | | | | 0.00 | | | | 75,997.15 | | | | 990,042.40 | | | | 9,724,820.66 | | | | 1.02 | % |
105 | | 25-Jul-14 | | | 28,649,986.01 | | | | 2.95 | % | | | 4.9146 | | | | 4.9964 | | | | 166,193.39 | | | | 0 | | | | 166,193.39 | | | | 0 | | | | 0 | | | | 0.00 | | | | 67,179.06 | | | | 957,256.13 | | | | 8,767,564.53 | | | | 0.92 | % |
106 | | 25-Aug-14 | | | 27,724,407.70 | | | | 2.86 | % | | | 4.9157 | | | | 5.0062 | | | | 163,061.69 | | | | 0 | | | | 163,061.69 | | | | 0 | | | | 0 | | | | 0.00 | | | | 62,593.52 | | | | 925,578.31 | | | | 7,841,986.22 | | | | 0.83 | % |
107 | | 25-Sep-14 | | | 26,829,563.59 | | | | 2.77 | % | | | 4.9187 | | | | 5.0170 | | | | 162,963.73 | | | | 0 | | | | 162,963.73 | | | | 0 | | | | 0 | | | | 0.00 | | | | 56,005.88 | | | | 894,844.11 | | | | 6,947,142.11 | | | | 0.73 | % |
108 | | 25-Oct-14 | | | 25,964,293.57 | | | | 2.68 | % | | | 4.9723 | | | | 5.0254 | | | | 163,465.45 | | | | 0 | | | | 163,465.45 | | | | 0 | | | | 0 | | | | 0.00 | | | | 48,324.90 | | | | 865,270.02 | | | | 6,081,872.09 | | | | 0.64 | % |
109 | | 25-Nov-14 | | | 25,127,590.46 | | | | 2.59 | % | | | 4.9733 | | | | 5.0256 | | | | 161,077.23 | | | | 0 | | | | 161,077.23 | | | | 0 | | | | 0 | | | | 0.00 | | | | 43,721.45 | | | | 836,703.11 | | | | 5,245,168.98 | | | | 0.55 | % |
110 | | 25-Dec-14 | | | 24,318,490.75 | | | | 2.51 | % | | | 4.9729 | | | | 5.0256 | | | | 161,553.67 | | | | 0 | | | | 161,553.67 | | | | 0 | | | | 0 | | | | 0.00 | | | | 36,488.46 | | | | 809,099.71 | | | | 4,436,069.27 | | | | 0.47 | % |
111 | | 25-Jan-15 | | | 23,536,063.96 | | | | 2.43 | % | | | 4.9735 | | | | 5.0256 | | | | 159,621.82 | | | | 0 | | | | 159,621.82 | | | | 0 | | | | 0 | | | | 0.00 | | | | 31,890.84 | | | | 782,426.79 | | | | 3,653,642.48 | | | | 0.38 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
112 | | 25-Feb-15 | | | 22,779,411.51 | | | | 2.35 | % | | | 4.9736 | | | | 5.0251 | | | | 158,936.21 | | | | 0 | | | | 158,936.21 | | | | 0 | | | | 0 | | | | 0.00 | | | | 26,266.30 | | | | 756,652.45 | | | | 2,896,990.03 | | | | 0.30 | % |
113 | | 25-Mar-15 | | | 22,047,681.73 | | | | 2.27 | % | | | 4.9726 | | | | 5.0249 | | | | 160,390.86 | | | | 0 | | | | 160,390.86 | | | | 0 | | | | 0 | | | | 0.00 | | | | 18,808.93 | | | | 731,729.78 | | | | 2,165,260.25 | | | | 0.23 | % |
114 | | 25-Apr-15 | | | 21,340,019.36 | | | | 2.20 | % | | | 4.9735 | | | | 5.0260 | | | | 157,737.17 | | | | 0 | | | | 157,737.17 | | | | 0 | | | | 0 | | | | 0.00 | | | | 15,566.03 | | | | 707,662.37 | | | | 1,457,597.88 | | | | 0.15 | % |
115 | | 25-May-15 | | | 20,655,614.95 | | | | 2.13 | % | | | 4.9740 | | | | 5.0348 | | | | 157,462.63 | | | | 0 | | | | 157,462.63 | | | | 0 | | | | 0 | | | | 0.00 | | | | 10,141.24 | | | | 684,404.40 | | | | 773,193.47 | | | | 0.08 | % |
116 | | 25-Jun-15 | | | 19,993,686.85 | | | | 2.06 | % | | | 4.9731 | | | | 5.0454 | | | | 156,537.33 | | | | 0 | | | | 156,537.33 | | | | 0 | | | | 0 | | | | 0.00 | | | | 5,558.21 | | | | 661,928.11 | | | | 111,265.37 | | | | 0.01 | % |
117 | | 25-Jul-15 | | | 19,353,480.09 | | | | 2.00 | % | | | 4.9725 | | | | 5.0540 | | | | 155,997.69 | | | | 0 | | | | 155,997.69 | | | | 0 | | | | 0 | | | | 528,941.39 | | | | 773.99 | | | | 111,265.37 | | | | 0 | | | | 0.00 | % |
118 | | 25-Aug-15 | | | 18,734,265.56 | | | | 1.93 | % | | | 4.9727 | | | | 5.0639 | | | | 151,626.02 | | | | 0 | | | | 151,626.02 | | | | 0 | | | | 0 | | | | 619,214.54 | | | | | | | | | | | | | | | | | |
119 | | 25-Sep-15 | | | 18,135,790.07 | | | | 1.87 | % | | | 4.9738 | | | | 5.0743 | | | | 147,131.25 | | | | 0 | | | | 147,131.25 | | | | 0 | | | | 0 | | | | 598,475.49 | | | | | | | | | | | | | | | | | |
120 | | 25-Oct-15 | | | 17,557,282.34 | | | | 1.81 | % | | | 5.0297 | | | | 5.0827 | | | | 142,344.53 | | | | 0 | | | | 142,344.53 | | | | 0 | | | | 0 | | | | 578,507.73 | | | | | | | | | | | | | | | | | |
121 | | 25-Nov-15 | | | 16,997,694.97 | | | | 1.75 | % | | | 5.0895 | | | | 5.1710 | | | | 137,687.07 | | | | 0 | | | | 137,687.07 | | | | 0 | | | | 0 | | | | 559,587.37 | | | | | | | | | | | | | | | | | |
122 | | 25-Dec-15 | | | 16,456,394.34 | | | | 1.70 | % | | | 5.0895 | | | | 5.1710 | | | | 133,185.14 | | | | 0 | | | | 133,185.14 | | | | 0 | | | | 0 | | | | 541,300.63 | | | | | | | | | | | | | | | | | |
123 | | 25-Jan-16 | | | 15,932,768.47 | | | | 1.64 | % | | | 5.0895 | | | | 5.1710 | | | | 128,833.45 | | | | 0 | | | | 128,833.45 | | | | 0 | | | | 0 | | | | 523,625.87 | | | | | | | | | | | | | | | | | |
124 | | 25-Feb-16 | | | 15,426,226.23 | | | | 1.59 | % | | | 5.0895 | | | | 5.1710 | | | | 124,626.87 | | | | 0 | | | | 124,626.87 | | | | 0 | | | | 0 | | | | 506,542.24 | | | | | | | | | | | | | | | | | |
125 | | 25-Mar-16 | | | 14,936,330.19 | | | | 1.54 | % | | | 5.0895 | | | | 5.1710 | | | | 121,310.84 | | | | 0 | | | | 121,310.84 | | | | 0 | | | | 0 | | | | 489,896.04 | | | | | | | | | | | | | | | | | |
126 | | 25-Apr-16 | | | 14,462,393.76 | | | | 1.49 | % | | | 5.0895 | | | | 5.1710 | | | | 117,396.12 | | | | 0 | | | | 117,396.12 | | | | 0 | | | | 0 | | | | 473,936.43 | | | | | | | | | | | | | | | | | |
127 | | 25-May-16 | | | 14,003,876.59 | | | | 1.44 | % | | | 5.0895 | | | | 5.1710 | | | | 113,569.27 | | | | 0 | | | | 113,569.27 | | | | 0 | | | | 0 | | | | 458,517.17 | | | | | | | | | | | | | | | | | |
128 | | 25-Jun-16 | | | 13,560,264.51 | | | | 1.40 | % | | | 5.0895 | | | | 5.1710 | | | | 109,869.74 | | | | 0 | | | | 109,869.74 | | | | 0 | | | | 0 | | | | 443,612.08 | | | | | | | | | | | | | | | | | |
129 | | 25-Jul-16 | | | 13,131,060.85 | | | | 1.35 | % | | | 5.0895 | | | | 5.1710 | | | | 106,293.22 | | | | 0 | | | | 106,293.22 | | | | 0 | | | | 0 | | | | 429,203.66 | | | | | | | | | | | | | | | | | |
130 | | 25-Aug-16 | | | 12,715,785.82 | | | | 1.31 | % | | | 5.0895 | | | | 5.1710 | | | | 102,835.54 | | | | 0 | | | | 102,835.54 | | | | 0 | | | | 0 | | | | 415,275.04 | | | | | | | | | | | | | | | | | |
131 | | 25-Sep-16 | | | 12,313,975.90 | | | | 1.27 | % | | | 5.0895 | | | | 5.1710 | | | | 99,492.67 | | | | 0 | | | | 99,492.67 | | | | 0 | | | | 0 | | | | 401,809.91 | | | | | | | | | | | | | | | | | |
132 | | 25-Oct-16 | | | 11,925,183.35 | | | | 1.23 | % | | | 5.0895 | | | | 5.1710 | | | | 96,260.72 | | | | 0 | | | | 96,260.72 | | | | 0 | | | | 0 | | | | 388,792.55 | | | | | | | | | | | | | | | | | |
133 | | 25-Nov-16 | | | 11,548,975.60 | | | | 1.19 | % | | | 5.0895 | | | | 5.1710 | | | | 93,135.94 | | | | 0 | | | | 93,135.94 | | | | 0 | | | | 0 | | | | 376,207.75 | | | | | | | | | | | | | | | | | |
134 | | 25-Dec-16 | | | 11,184,934.75 | | | | 1.15 | % | | | 5.0895 | | | | 5.1710 | | | | 90,114.71 | | | | 0 | | | | 90,114.71 | | | | 0 | | | | 0 | | | | 364,040.85 | | | | | | | | | | | | | | | | | |
135 | | 25-Jan-17 | | | 10,832,657.09 | | | | 1.12 | % | | | 5.0895 | | | | 5.1710 | | | | 87,193.52 | | | | 0 | | | | 87,193.52 | | | | 0 | | | | 0 | | | | 352,277.67 | | | | | | | | | | | | | | | | | |
136 | | 25-Feb-17 | | | 10,491,752.55 | | | | 1.08 | % | | | 5.0895 | | | | 5.1710 | | | | 84,368.99 | | | | 0 | | | | 84,368.99 | | | | 0 | | | | 0 | | | | 340,904.53 | | | | | | | | | | | | | | | | | |
137 | | 25-Mar-17 | | | 10,161,844.32 | | | | 1.05 | % | | | 5.0895 | | | | 5.1710 | | | | 81,637.87 | | | | 0 | | | | 81,637.87 | | | | 0 | | | | 0 | | | | 329,908.23 | | | | | | | | | | | | | | | | | |
138 | | 25-Apr-17 | | | 9,842,568.31 | | | | 1.01 | % | | | 5.0895 | | | | 5.1710 | | | | 78,996.99 | | | | 0 | | | | 78,996.99 | | | | 0 | | | | 0 | | | | 319,276.01 | | | | | | | | | | | | | | | | | |
139 | | 25-May-17 | | | 9,533,572.75 | | | | 0.98 | % | | | 5.0895 | | | | 5.1710 | | | | 76,443.31 | | | | 0 | | | | 76,443.31 | | | | 0 | | | | 0 | | | | 308,995.56 | | | | | | | | | | | | | | | | | |
140 | | 25-Jun-17 | | | 9,234,517.78 | | | | 0.95 | % | | | 5.0895 | | | | 5.1710 | | | | 73,973.90 | | | | 0 | | | | 73,973.90 | | | | 0 | | | | 0 | | | | 299,054.97 | | | | | | | | | | | | | | | | | |
141 | | 25-Jul-17 | | | 8,945,075.00 | | | | 0.92 | % | | | 5.0895 | | | | 5.1710 | | | | 71,585.91 | | | | 0 | | | | 71,585.91 | | | | 0 | | | | 0 | | | | 289,442.78 | | | | | | | | | | | | | | | | | |
142 | | 25-Aug-17 | | | 8,664,927.13 | | | | 0.89 | % | | | 5.0895 | | | | 5.1710 | | | | 69,276.60 | | | | 0 | | | | 69,276.60 | | | | 0 | | | | 0 | | | | 280,147.87 | | | | | | | | | | | | | | | | | |
143 | | 25-Sep-17 | | | 8,393,767.57 | | | | 0.87 | % | | | 5.0895 | | | | 5.1710 | | | | 67,043.33 | | | | 0 | | | | 67,043.33 | | | | 0 | | | | 0 | | | | 271,159.56 | | | | | | | | | | | | | | | | | |
144 | | 25-Oct-17 | | | 8,131,300.09 | | | | 0.84 | % | | | 5.0895 | | | | 5.1710 | | | | 64,883.53 | | | | 0 | | | | 64,883.53 | | | | 0 | | | | 0 | | | | 262,467.48 | | | | | | | | | | | | | | | | | |
145 | | 25-Nov-17 | | | 7,877,238.43 | | | | 0.81 | % | | | 5.0895 | | | | 5.1710 | | | | 62,794.75 | | | | 0 | | | | 62,794.75 | | | | 0 | | | | 0 | | | | 254,061.66 | | | | | | | | | | | | | | | | | |
146 | | 25-Dec-17 | | | 7,631,305.98 | | | | 0.79 | % | | | 5.0895 | | | | 5.1710 | | | | 60,774.58 | | | | 0 | | | | 60,774.58 | | | | 0 | | | | 0 | | | | 245,932.45 | | | | | | | | | | | | | | | | | |
147 | | 25-Jan-18 | | | 7,393,235.44 | | | | 0.76 | % | | | 5.0895 | | | | 5.1710 | | | | 58,820.73 | | | | 0 | | | | 58,820.73 | | | | 0 | | | | 0 | | | | 238,070.54 | | | | | | | | | | | | | | | | | |
148 | | 25-Feb-18 | | | 7,162,768.52 | | | | 0.74 | % | | | 5.0895 | | | | 5.1710 | | | | 56,930.98 | | | | 0 | | | | 56,930.98 | | | | 0 | | | | 0 | | | | 230,466.92 | | | | | | | | | | | | | | | | | |
149 | | 25-Mar-18 | | | 6,939,655.60 | | | | 0.72 | % | | | 5.0895 | | | | 5.1710 | | | | 55,103.17 | | | | 0 | | | | 55,103.17 | | | | 0 | | | | 0 | | | | 223,112.92 | | | | | | | | | | | | | | | | | |
150 | | 25-Apr-18 | | | 6,723,655.47 | | | | 0.69 | % | | | 5.0895 | | | | 5.1710 | | | | 53,335.23 | | | | 0 | | | | 53,335.23 | | | | 0 | | | | 0 | | | | 216,000.13 | | | | | | | | | | | | | | | | | |
151 | | 25-May-18 | | | 6,514,535.00 | | | | 0.67 | % | | | 5.0895 | | | | 5.1710 | | | | 51,625.15 | | | | 0 | | | | 51,625.15 | | | | 0 | | | | 0 | | | | 209,120.47 | | | | | | | | | | | | | | | | | |
152 | | 25-Jun-18 | | | 6,312,068.90 | | | | 0.65 | % | | | 5.0895 | | | | 5.1710 | | | | 49,971.00 | | | | 0 | | | | 49,971.00 | | | | 0 | | | | 0 | | | | 202,466.10 | | | | | | | | | | | | | | | | | |
153 | | 25-Jul-18 | | | 6,116,039.45 | | | | 0.63 | % | | | 5.0895 | | | | 5.1710 | | | | 48,370.90 | | | | 0 | | | | 48,370.90 | | | | 0 | | | | 0 | | | | 196,029.45 | | | | | | | | | | | | | | | | | |
154 | | 25-Aug-18 | | | 5,926,236.21 | | | | 0.61 | % | | | 5.0895 | | | | 5.1710 | | | | 46,823.05 | | | | 0 | | | | 46,823.05 | | | | 0 | | | | 0 | | | | 189,803.24 | | | | | | | | | | | | | | | | | |
155 | | 25-Sep-18 | | | 5,742,455.79 | | | | 0.59 | % | | | 5.0895 | | | | 5.1710 | | | | 45,325.71 | | | | 0 | | | | 45,325.71 | | | | 0 | | | | 0 | | | | 183,780.42 | | | | | | | | | | | | | | | | | |
156 | | 25-Oct-18 | | | 5,564,501.63 | | | | 0.57 | % | | | 5.0895 | | | | 5.1710 | | | | 43,877.19 | | | | 0 | | | | 43,877.19 | | | | 0 | | | | 0 | | | | 177,954.16 | | | | | | | | | | | | | | | | | |
157 | | 25-Nov-18 | | | 5,392,183.74 | | | | 0.56 | % | | | 5.0895 | | | | 5.1710 | | | | 42,475.85 | | | | 0 | | | | 42,475.85 | | | | 0 | | | | 0 | | | | 172,317.89 | | | | | | | | | | | | | | | | | |
158 | | 25-Dec-18 | | | 5,225,318.48 | | | | 0.54 | % | | | 5.0895 | | | | 5.1710 | | | | 41,120.14 | | | | 0 | | | | 41,120.14 | | | | 0 | | | | 0 | | | | 166,865.26 | | | | | | | | | | | | | | | | | |
159 | | 25-Jan-19 | | | 5,063,728.34 | | | | 0.52 | % | | | 5.0895 | | | | 5.1710 | | | | 39,808.52 | | | | 0 | | | | 39,808.52 | | | | 0 | | | | 0 | | | | 161,590.14 | | | | | | | | | | | | | | | | | |
160 | | 25-Feb-19 | | | 4,907,241.75 | | | | 0.51 | % | | | 5.0895 | | | | 5.1710 | | | | 38,539.53 | | | | 0 | | | | 38,539.53 | | | | 0 | | | | 0 | | | | 156,486.59 | | | | | | | | | | | | | | | | | |
161 | | 25-Mar-19 | | | 4,755,692.87 | | | | 0.49 | % | | | 5.0895 | | | | 5.1710 | | | | 37,311.75 | | | | 0 | | | | 37,311.75 | | | | 0 | | | | 0 | | | | 151,548.88 | | | | | | | | | | | | | | | | | |
162 | | 25-Apr-19 | | | 4,608,921.38 | | | | 0.48 | % | | | 5.0895 | | | | 5.1710 | | | | 36,123.81 | | | | 0 | | | | 36,123.81 | | | | 0 | | | | 0 | | | | 146,771.49 | | | | | | | | | | | | | | | | | |
163 | | 25-May-19 | | | 4,466,772.30 | | | | 0.46 | % | | | 5.0895 | | | | 5.1710 | | | | 34,974.39 | | | | 0 | | | | 34,974.39 | | | | 0 | | | | 0 | | | | 142,149.08 | | | | | | | | | | | | | | | | | |
164 | | 25-Jun-19 | | | 4,329,095.83 | | | | 0.45 | % | | | 5.0895 | | | | 5.1710 | | | | 33,862.21 | | | | 0 | | | | 33,862.21 | | | | 0 | | | | 0 | | | | 137,676.47 | | | | | | | | | | | | | | | | | |
165 | | 25-Jul-19 | | | 4,195,747.14 | | | | 0.43 | % | | | 5.0895 | | | | 5.1710 | | | | 32,786.03 | | | | 0 | | | | 32,786.03 | | | | 0 | | | | 0 | | | | 133,348.69 | | | | | | | | | | | | | | | | | |
166 | | 25-Aug-19 | | | 4,066,586.22 | | | | 0.42 | % | | | 5.0895 | | | | 5.1710 | | | | 31,744.66 | | | | 0 | | | | 31,744.66 | | | | 0 | | | | 0 | | | | 129,160.92 | | | | | | | | | | | | | | | | | |
167 | | 25-Sep-19 | | | 3,941,477.71 | | | | 0.41 | % | | | 5.0895 | | | | 5.1710 | | | | 30,736.95 | | | | 0 | | | | 30,736.95 | | | | 0 | | | | 0 | | | | 125,108.51 | | | | | | | | | | | | | | | | | |
168 | | 25-Oct-19 | | | 3,820,290.76 | | | | 0.39 | % | | | 5.0895 | | | | 5.1710 | | | | 29,761.78 | | | | 0 | | | | 29,761.78 | | | | 0 | | | | 0 | | | | 121,186.95 | | | | | | | | | | | | | | | | | |
169 | | 25-Nov-19 | | | 3,702,898.84 | | | | 0.38 | % | | | 5.0895 | | | | 5.1710 | | | | 28,818.08 | | | | 0 | | | | 28,818.08 | | | | 0 | | | | 0 | | | | 117,391.92 | | | | | | | | | | | | | | | | | |
170 | | 25-Dec-19 | | | 3,589,179.63 | | | | 0.37 | % | | | 5.0895 | | | | 5.1710 | | | | 27,904.80 | | | | 0 | | | | 27,904.80 | | | | 0 | | | | 0 | | | | 113,719.21 | | | | | | | | | | | | | | | | | |
171 | | 25-Jan-20 | | | 3,479,014.86 | | | | 0.36 | % | | | 5.0895 | | | | 5.1710 | | | | 27,020.94 | | | | 0 | | | | 27,020.94 | | | | 0 | | | | 0 | | | | 110,164.77 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
172 | | 25-Feb-20 | | | 3,372,290.17 | | | | 0.35 | % | | | 5.0895 | | | | 5.1710 | | | | 26,165.54 | | | | 0 | | | | 26,165.54 | | | | 0 | | | | 0 | | | | 106,724.68 | | | | | | | | | | | | | | | | | |
173 | | 25-Mar-20 | | | 3,268,895.01 | | | | 0.34 | % | | | 5.0895 | | | | 5.1710 | | | | 25,337.65 | | | | 0 | | | | 25,337.65 | | | | 0 | | | | 0 | | | | 103,395.17 | | | | | | | | | | | | | | | | | |
174 | | 25-Apr-20 | | | 3,168,722.44 | | | | 0.33 | % | | | 5.0895 | | | | 5.1710 | | | | 24,536.36 | | | | 0 | | | | 24,536.36 | | | | 0 | | | | 0 | | | | 100,172.57 | | | | | | | | | | | | | | | | | |
175 | | 25-May-20 | | | 3,071,669.09 | | | | 0.32 | % | | | 5.0895 | | | | 5.1710 | | | | 23,760.80 | | | | 0 | | | | 23,760.80 | | | | 0 | | | | 0 | | | | 97,053.35 | | | | | | | | | | | | | | | | | |
176 | | 25-Jun-20 | | | 2,977,634.99 | | | | 0.31 | % | | | 5.0895 | | | | 5.1710 | | | | 23,010.13 | | | | 0 | | | | 23,010.13 | | | | 0 | | | | 0 | | | | 94,034.10 | | | | | | | | | | | | | | | | | |
177 | | 25-Jul-20 | | | 2,886,523.46 | | | | 0.30 | % | | | 5.0895 | | | | 5.1710 | | | | 22,283.52 | | | | 0 | | | | 22,283.52 | | | | 0 | | | | 0 | | | | 91,111.53 | | | | | | | | | | | | | | | | | |
178 | | 25-Aug-20 | | | 2,798,241.01 | | | | 0.29 | % | | | 5.0895 | | | | 5.1710 | | | | 21,580.18 | | | | 0 | | | | 21,580.18 | | | | 0 | | | | 0 | | | | 88,282.45 | | | | | | | | | | | | | | | | | |
179 | | 25-Sep-20 | | | 2,712,913.28 | | | | 0.28 | % | | | 5.0895 | | | | 5.1710 | | | | 20,899.35 | | | | 0 | | | | 20,899.35 | | | | 0 | | | | 0 | | | | 85,327.73 | | | | | | | | | | | | | | | | | |
180 | | 25-Oct-20 | | | 2,630,389.41 | | | | 0.27 | % | | | 5.0895 | | | | 5.1710 | | | | 20,242.11 | | | | 0 | | | | 20,242.11 | | | | 0 | | | | 0 | | | | 82,523.87 | | | | | | | | | | | | | | | | | |
181 | | 25-Nov-20 | | | 2,550,419.21 | | | | 0.26 | % | | | 5.0895 | | | | 5.1710 | | | | 19,606.95 | | | | 0 | | | | 19,606.95 | | | | 0 | | | | 0 | | | | 79,970.20 | | | | | | | | | | | | | | | | | |
182 | | 25-Dec-20 | | | 2,472,921.26 | | | | 0.25 | % | | | 5.0895 | | | | 5.1710 | | | | 18,992.06 | | | | 0 | | | | 18,992.06 | | | | 0 | | | | 0 | | | | 77,497.95 | | | | | | | | | | | | | | | | | |
183 | | 25-Jan-21 | | | 2,397,816.79 | | | | 0.25 | % | | | 5.0895 | | | | 5.1710 | | | | 18,396.77 | | | | 0 | | | | 18,396.77 | | | | 0 | | | | 0 | | | | 75,104.47 | | | | | | | | | | | | | | | | | |
184 | | 25-Feb-21 | | | 2,325,029.63 | | | | 0.24 | % | | | 5.0895 | | | | 5.1710 | | | | 17,820.44 | | | | 0 | | | | 17,820.44 | | | | 0 | | | | 0 | | | | 72,787.16 | | | | | | | | | | | | | | | | | |
185 | | 25-Mar-21 | | | 2,254,486.11 | | | | 0.23 | % | | | 5.0895 | | | | 5.1710 | | | | 17,262.46 | | | | 0 | | | | 17,262.46 | | | | 0 | | | | 0 | | | | 70,543.52 | | | | | | | | | | | | | | | | | |
186 | | 25-Apr-21 | | | 2,186,114.96 | | | | 0.23 | % | | | 5.0895 | | | | 5.1710 | | | | 16,722.23 | | | | 0 | | | | 16,722.23 | | | | 0 | | | | 0 | | | | 68,371.14 | | | | | | | | | | | | | | | | | |
187 | | 25-May-21 | | | 2,119,847.27 | | | | 0.22 | % | | | 5.0895 | | | | 5.1710 | | | | 16,199.16 | | | | 0 | | | | 16,199.16 | | | | 0 | | | | 0 | | | | 66,267.69 | | | | | | | | | | | | | | | | | |
188 | | 25-Jun-21 | | | 2,055,616.37 | | | | 0.21 | % | | | 5.0895 | | | | 5.1710 | | | | 15,692.70 | | | | 0 | | | | 15,692.70 | | | | 0 | | | | 0 | | | | 64,230.91 | | | | | | | | | | | | | | | | | |
189 | | 25-Jul-21 | | | 1,993,357.76 | | | | 0.21 | % | | | 5.0895 | | | | 5.1710 | | | | 15,202.30 | | | | 0 | | | | 15,202.30 | | | | 0 | | | | 0 | | | | 62,258.61 | | | | | | | | | | | | | | | | | |
190 | | 25-Aug-21 | | | 1,933,009.05 | | | | 0.20 | % | | | 5.0895 | | | | 5.1710 | | | | 14,727.44 | | | | 0 | | | | 14,727.44 | | | | 0 | | | | 0 | | | | 60,348.70 | | | | | | | | | | | | | | | | | |
191 | | 25-Sep-21 | | | 1,874,509.91 | | | | 0.19 | % | | | 5.0895 | | | | 5.1710 | | | | 14,267.62 | | | | 0 | | | | 14,267.62 | | | | 0 | | | | 0 | | | | 58,499.14 | | | | | | | | | | | | | | | | | |
192 | | 25-Oct-21 | | | 1,817,801.95 | | | | 0.19 | % | | | 5.0895 | | | | 5.1710 | | | | 13,822.35 | | | | 0 | | | | 13,822.35 | | | | 0 | | | | 0 | | | | 56,707.96 | | | | | | | | | | | | | | | | | |
193 | | 25-Nov-21 | | | 1,762,828.68 | | | | 0.18 | % | | | 5.0895 | | | | 5.1710 | | | | 13,391.15 | | | | 0 | | | | 13,391.15 | | | | 0 | | | | 0 | | | | 54,973.26 | | | | | | | | | | | | | | | | | |
194 | | 25-Dec-21 | | | 1,709,535.48 | | | | 0.18 | % | | | 5.0895 | | | | 5.1710 | | | | 12,973.57 | | | | 0 | | | | 12,973.57 | | | | 0 | | | | 0 | | | | 53,293.20 | | | | | | | | | | | | | | | | | |
195 | | 25-Jan-22 | | | 1,657,869.47 | | | | 0.17 | % | | | 5.0895 | | | | 5.1710 | | | | 12,569.16 | | | | 0 | | | | 12,569.16 | | | | 0 | | | | 0 | | | | 51,666.01 | | | | | | | | | | | | | | | | | |
196 | | 25-Feb-22 | | | 1,607,779.51 | | | | 0.17 | % | | | 5.0895 | | | | 5.1710 | | | | 12,177.51 | | | | 0 | | | | 12,177.51 | | | | 0 | | | | 0 | | | | 50,089.96 | | | | | | | | | | | | | | | | | |
197 | | 25-Mar-22 | | | 1,559,216.10 | | | | 0.16 | % | | | 5.0895 | | | | 5.1710 | | | | 11,798.20 | | | | 0 | | | | 11,798.20 | | | | 0 | | | | 0 | | | | 48,563.40 | | | | | | | | | | | | | | | | | |
198 | | 25-Apr-22 | | | 1,512,131.38 | | | | 0.16 | % | | | 5.0895 | | | | 5.1710 | | | | 11,430.82 | | | | 0 | | | | 11,430.82 | | | | 0 | | | | 0 | | | | 47,084.73 | | | | | | | | | | | | | | | | | |
199 | | 25-May-22 | | | 1,466,479.00 | | | | 0.15 | % | | | 5.0895 | | | | 5.1710 | | | | 11,074.99 | | | | 0 | | | | 11,074.99 | | | | 0 | | | | 0 | | | | 45,652.38 | | | | | | | | | | | | | | | | | |
200 | | 25-Jun-22 | | | 1,422,214.13 | | | | 0.15 | % | | | 5.0895 | | | | 5.1710 | | | | 10,730.35 | | | | 0 | | | | 10,730.35 | | | | 0 | | | | 0 | | | | 44,264.86 | | | | | | | | | | | | | | | | | |
201 | | 25-Jul-22 | | | 1,379,293.40 | | | | 0.14 | % | | | 5.0895 | | | | 5.1710 | | | | 10,396.53 | | | | 0 | | | | 10,396.53 | | | | 0 | | | | 0 | | | | 42,920.73 | | | | | | | | | | | | | | | | | |
202 | | 25-Aug-22 | | | 1,337,674.82 | | | | 0.14 | % | | | 5.0895 | | | | 5.1710 | | | | 10,073.17 | | | | 0 | | | | 10,073.17 | | | | 0 | | | | 0 | | | | 41,618.58 | | | | | | | | | | | | | | | | | |
203 | | 25-Sep-22 | | | 1,297,317.76 | | | | 0.13 | % | | | 5.0895 | | | | 5.1710 | | | | 9,759.96 | | | | 0 | | | | 9,759.96 | | | | 0 | | | | 0 | | | | 40,357.06 | | | | | | | | | | | | | | | | | |
204 | | 25-Oct-22 | | | 1,258,182.91 | | | | 0.13 | % | | | 5.0895 | | | | 5.1710 | | | | 9,456.55 | | | | 0 | | | | 9,456.55 | | | | 0 | | | | 0 | | | | 39,134.85 | | | | | | | | | | | | | | | | | |
205 | | 25-Nov-22 | | | 1,220,232.22 | | | | 0.13 | % | | | 5.0895 | | | | 5.1710 | | | | 9,162.63 | | | | 0 | | | | 9,162.63 | | | | 0 | | | | 0 | | | | 37,950.69 | | | | | | | | | | | | | | | | | |
206 | | 25-Dec-22 | | | 1,183,428.86 | | | | 0.12 | % | | | 5.0895 | | | | 5.1710 | | | | 8,877.90 | | | | 0 | | | | 8,877.90 | | | | 0 | | | | 0 | | | | 36,803.36 | | | | | | | | | | | | | | | | | |
207 | | 25-Jan-23 | | | 1,147,737.19 | | | | 0.12 | % | | | 5.0895 | | | | 5.1710 | | | | 8,602.07 | | | | 0 | | | | 8,602.07 | | | | 0 | | | | 0 | | | | 35,691.67 | | | | | | | | | | | | | | | | | |
208 | | 25-Feb-23 | | | 1,113,122.72 | | | | 0.11 | % | | | 5.0895 | | | | 5.1710 | | | | 8,334.84 | | | | 0 | | | | 8,334.84 | | | | 0 | | | | 0 | | | | 34,614.48 | | | | | | | | | | | | | | | | | |
209 | | 25-Mar-23 | | | 1,079,552.05 | | | | 0.11 | % | | | 5.0895 | | | | 5.1710 | | | | 8,075.95 | | | | 0 | | | | 8,075.95 | | | | 0 | | | | 0 | | | | 33,570.67 | | | | | | | | | | | | | | | | | |
210 | | 25-Apr-23 | | | 1,046,992.86 | | | | 0.11 | % | | | 5.0895 | | | | 5.1710 | | | | 7,825.13 | | | | 0 | | | | 7,825.13 | | | | 0 | | | | 0 | | | | 32,559.19 | | | | | | | | | | | | | | | | | |
211 | | 25-May-23 | | | 1,015,413.86 | | | | 0.10 | % | | | 5.0895 | | | | 5.1710 | | | | 7,582.11 | | | | 0 | | | | 7,582.11 | | | | 0 | | | | 0 | | | | 31,578.99 | | | | | | | | | | | | | | | | | |
212 | | 25-Jun-23 | | | 984,784.78 | | | | 0.10 | % | | | 5.0895 | | | | 5.1710 | | | | 7,346.66 | | | | 0 | | | | 7,346.66 | | | | 0 | | | | 0 | | | | 30,629.08 | | | | | | | | | | | | | | | | | |
213 | | 25-Jul-23 | | | 955,076.29 | | | | 0.10 | % | | | 5.0895 | | | | 5.1710 | | | | 7,118.52 | | | | 0 | | | | 7,118.52 | | | | 0 | | | | 0 | | | | 29,708.49 | | | | | | | | | | | | | | | | | |
214 | | 25-Aug-23 | | | 926,260.01 | | | | 0.10 | % | | | 5.0895 | | | | 5.1710 | | | | 6,897.47 | | | | 0 | | | | 6,897.47 | | | | 0 | | | | 0 | | | | 28,816.28 | | | | | | | | | | | | | | | | | |
215 | | 25-Sep-23 | | | 898,308.46 | | | | 0.09 | % | | | 5.0895 | | | | 5.1710 | | | | 6,683.28 | | | | 0 | | | | 6,683.28 | | | | 0 | | | | 0 | | | | 27,951.54 | | | | | | | | | | | | | | | | | |
216 | | 25-Oct-23 | | | 871,195.05 | | | | 0.09 | % | | | 5.0895 | | | | 5.1710 | | | | 6,475.73 | | | | 0 | | | | 6,475.73 | | | | 0 | | | | 0 | | | | 27,113.41 | | | | | | | | | | | | | | | | | |
217 | | 25-Nov-23 | | | 844,894.02 | | | | 0.09 | % | | | 5.0895 | | | | 5.1710 | | | | 6,274.62 | | | | 0 | | | | 6,274.62 | | | | 0 | | | | 0 | | | | 26,301.03 | | | | | | | | | | | | | | | | | |
218 | | 25-Dec-23 | | | 819,380.43 | | | | 0.08 | % | | | 5.0895 | | | | 5.1710 | | | | 6,079.73 | | | | 0 | | | | 6,079.73 | | | | 0 | | | | 0 | | | | 25,513.59 | | | | | | | | | | | | | | | | | |
219 | | 25-Jan-24 | | | 794,630.13 | | | | 0.08 | % | | | 5.0895 | | | | 5.1710 | | | | 5,890.87 | | | | 0 | | | | 5,890.87 | | | | 0 | | | | 0 | | | | 24,750.30 | | | | | | | | | | | | | | | | | |
220 | | 25-Feb-24 | | | 770,619.75 | | | | 0.08 | % | | | 5.0895 | | | | 5.1710 | | | | 5,707.85 | | | | 0 | | | | 5,707.85 | | | | 0 | | | | 0 | | | | 24,010.38 | | | | | | | | | | | | | | | | | |
221 | | 25-Mar-24 | | | 747,326.65 | | | | 0.08 | % | | | 5.0895 | | | | 5.1710 | | | | 5,530.49 | | | | 0 | | | | 5,530.49 | | | | 0 | | | | 0 | | | | 23,293.10 | | | | | | | | | | | | | | | | | |
222 | | 25-Apr-24 | | | 724,728.91 | | | | 0.07 | % | | | 5.0895 | | | | 5.1710 | | | | 5,358.60 | | | | 0 | | | | 5,358.60 | | | | 0 | | | | 0 | | | | 22,597.74 | | | | | | | | | | | | | | | | | |
223 | | 25-May-24 | | | 702,805.29 | | | | 0.07 | % | | | 5.0895 | | | | 5.1710 | | | | 5,192.01 | | | | 0 | | | | 5,192.01 | | | | 0 | | | | 0 | | | | 21,923.61 | | | | | | | | | | | | | | | | | |
224 | | 25-Jun-24 | | | 681,535.25 | | | | 0.07 | % | | | 5.0895 | | | | 5.1710 | | | | 5,030.56 | | | | 0 | | | | 5,030.56 | | | | 0 | | | | 0 | | | | 21,270.05 | | | | | | | | | | | | | | | | | |
225 | | 25-Jul-24 | | | 660,898.86 | | | | 0.07 | % | | | 5.0895 | | | | 5.1710 | | | | 4,874.08 | | | | 0 | | | | 4,874.08 | | | | 0 | | | | 0 | | | | 20,636.39 | | | | | | | | | | | | | | | | | |
226 | | 25-Aug-24 | | | 640,876.86 | | | | 0.07 | % | | | 5.0895 | | | | 5.1710 | | | | 4,722.42 | | | | 0 | | | | 4,722.42 | | | | 0 | | | | 0 | | | | 20,022.01 | | | | | | | | | | | | | | | | | |
227 | | 25-Sep-24 | | | 621,450.55 | | | | 0.06 | % | | | 5.0895 | | | | 5.1710 | | | | 4,575.43 | | | | 0 | | | | 4,575.43 | | | | 0 | | | | 0 | | | | 19,426.31 | | | | | | | | | | | | | | | | | |
228 | | 25-Oct-24 | | | 602,601.85 | | | | 0.06 | % | | | 5.0895 | | | | 5.1710 | | | | 4,432.95 | | | | 0 | | | | 4,432.95 | | | | 0 | | | | 0 | | | | 18,848.69 | | | | | | | | | | | | | | | | | |
229 | | 25-Nov-24 | | | 584,313.25 | | | | 0.06 | % | | | 5.0895 | | | | 5.1710 | | | | 4,294.85 | | | | 0 | | | | 4,294.85 | | | | 0 | | | | 0 | | | | 18,288.60 | | | | | | | | | | | | | | | | | |
230 | | 25-Dec-24 | | | 566,567.77 | | | | 0.06 | % | | | 5.0895 | | | | 5.1710 | | | | 4,160.99 | | | | 0 | | | | 4,160.99 | | | | 0 | | | | 0 | | | | 17,745.48 | | | | | | | | | | | | | | | | | |
231 | | 25-Jan-25 | | | 549,348.98 | | | | 0.06 | % | | | 5.0895 | | | | 5.1710 | | | | 4,031.24 | | | | 0 | | | | 4,031.24 | | | | 0 | | | | 0 | | | | 17,218.80 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
232 | | 25-Feb-25 | | | 532,640.94 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,905.47 | | | | 0 | | | | 3,905.47 | | | | 0 | | | | 0 | | | | 16,708.04 | | | | | | | | | | | | | | | | | |
233 | | 25-Mar-25 | | | 516,428.24 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,783.55 | | | | 0 | | | | 3,783.55 | | | | 0 | | | | 0 | | | | 16,212.70 | | | | | | | | | | | | | | | | | |
234 | | 25-Apr-25 | | | 500,695.92 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,665.36 | | | | 0 | | | | 3,665.36 | | | | 0 | | | | 0 | | | | 15,732.32 | | | | | | | | | | | | | | | | | |
235 | | 25-May-25 | | | 485,429.51 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,550.79 | | | | 0 | | | | 3,550.79 | | | | 0 | | | | 0 | | | | 15,266.41 | | | | | | | | | | | | | | | | | |
236 | | 25-Jun-25 | | | 470,614.99 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,439.73 | | | | 0 | | | | 3,439.73 | | | | 0 | | | | 0 | | | | 14,814.53 | | | | | | | | | | | | | | | | | |
237 | | 25-Jul-25 | | | 456,238.75 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,332.06 | | | | 0 | | | | 3,332.06 | | | | 0 | | | | 0 | | | | 14,376.23 | | | | | | | | | | | | | | | | | |
238 | | 25-Aug-25 | | | 442,287.64 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,227.68 | | | | 0 | | | | 3,227.68 | | | | 0 | | | | 0 | | | | 13,951.11 | | | | | | | | | | | | | | | | | |
239 | | 25-Sep-25 | | | 428,757.12 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 3,126.48 | | | | 0 | | | | 3,126.48 | | | | 0 | | | | 0 | | | | 13,530.52 | | | | | | | | | | | | | | | | | |
240 | | 25-Oct-25 | | | 415,703.80 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 3,028.42 | | | | 0 | | | | 3,028.42 | | | | 0 | | | | 0 | | | | 13,053.32 | | | | | | | | | | | | | | | | | |
241 | | 25-Nov-25 | | | 403,035.34 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,933.80 | | | | 0 | | | | 2,933.80 | | | | 0 | | | | 0 | | | | 12,668.46 | | | | | | | | | | | | | | | | | |
242 | | 25-Dec-25 | | | 390,740.22 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,842.07 | | | | 0 | | | | 2,842.07 | | | | 0 | | | | 0 | | | | 12,295.12 | | | | | | | | | | | | | | | | | |
243 | | 25-Jan-26 | | | 378,807.27 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,753.12 | | | | 0 | | | | 2,753.12 | | | | 0 | | | | 0 | | | | 11,932.94 | | | | | | | | | | | | | | | | | |
244 | | 25-Feb-26 | | | 367,225.68 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,666.89 | | | | 0 | | | | 2,666.89 | | | | 0 | | | | 0 | | | | 11,581.59 | | | | | | | | | | | | | | | | | |
245 | | 25-Mar-26 | | | 355,984.96 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,583.27 | | | | 0 | | | | 2,583.27 | | | | 0 | | | | 0 | | | | 11,240.72 | | | | | | | | | | | | | | | | | |
246 | | 25-Apr-26 | | | 345,074.95 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,502.20 | | | | 0 | | | | 2,502.20 | | | | 0 | | | | 0 | | | | 10,910.01 | | | | | | | | | | | | | | | | | |
247 | | 25-May-26 | | | 334,485.80 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,423.59 | | | | 0 | | | | 2,423.59 | | | | 0 | | | | 0 | | | | 10,589.15 | | | | | | | | | | | | | | | | | |
248 | | 25-Jun-26 | | | 324,207.97 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,347.36 | | | | 0 | | | | 2,347.36 | | | | 0 | | | | 0 | | | | 10,277.84 | | | | | | | | | | | | | | | | | |
249 | | 25-Jul-26 | | | 314,232.19 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,273.45 | | | | 0 | | | | 2,273.45 | | | | 0 | | | | 0 | | | | 9,975.78 | | | | | | | | | | | | | | | | | |
250 | | 25-Aug-26 | | | 304,549.51 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,201.78 | | | | 0 | | | | 2,201.78 | | | | 0 | | | | 0 | | | | 9,682.68 | | | | | | | | | | | | | | | | | |
251 | | 25-Sep-26 | | | 295,151.22 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,132.29 | | | | 0 | | | | 2,132.29 | | | | 0 | | | | 0 | | | | 9,398.29 | | | | | | | | | | | | | | | | | |
252 | | 25-Oct-26 | | | 286,028.91 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,064.90 | | | | 0 | | | | 2,064.90 | | | | 0 | | | | 0 | | | | 9,122.31 | | | | | | | | | | | | | | | | | |
253 | | 25-Nov-26 | | | 277,174.39 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 1,999.55 | | | | 0 | | | | 1,999.55 | | | | 0 | | | | 0 | | | | 8,854.51 | | | | | | | | | | | | | | | | | |
254 | | 25-Dec-26 | | | 268,579.76 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 1,936.19 | | | | 0 | | | | 1,936.19 | | | | 0 | | | | 0 | | | | 8,594.63 | | | | | | | | | | | | | | | | | |
255 | | 25-Jan-27 | | | 260,237.33 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 1,874.74 | | | | 0 | | | | 1,874.74 | | | | 0 | | | | 0 | | | | 8,342.43 | | | | | | | | | | | | | | | | | |
256 | | 25-Feb-27 | | | 252,139.66 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 1,815.15 | | | | 0 | | | | 1,815.15 | | | | 0 | | | | 0 | | | | 8,097.67 | | | | | | | | | | | | | | | | | |
257 | | 25-Mar-27 | | | 244,279.53 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 1,757.37 | | | | 0 | | | | 1,757.37 | | | | 0 | | | | 0 | | | | 7,860.13 | | | | | | | | | | | | | | | | | |
258 | | 25-Apr-27 | | | 236,649.95 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,701.33 | | | | 0 | | | | 1,701.33 | | | | 0 | | | | 0 | | | | 7,629.59 | | | | | | | | | | | | | | | | | |
259 | | 25-May-27 | | | 229,244.12 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,646.99 | | | | 0 | | | | 1,646.99 | | | | 0 | | | | 0 | | | | 7,405.83 | | | | | | | | | | | | | | | | | |
260 | | 25-Jun-27 | | | 222,055.47 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,594.29 | | | | 0 | | | | 1,594.29 | | | | 0 | | | | 0 | | | | 7,188.65 | | | | | | | | | | | | | | | | | |
261 | | 25-Jul-27 | | | 215,077.61 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,543.18 | | | | 0 | | | | 1,543.18 | | | | 0 | | | | 0 | | | | 6,977.86 | | | | | | | | | | | | | | | | | |
262 | | 25-Aug-27 | | | 208,304.36 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,493.62 | | | | 0 | | | | 1,493.62 | | | | 0 | | | | 0 | | | | 6,773.25 | | | | | | | | | | | | | | | | | |
263 | | 25-Sep-27 | | | 201,729.72 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,445.56 | | | | 0 | | | | 1,445.56 | | | | 0 | | | | 0 | | | | 6,574.64 | | | | | | | | | | | | | | | | | |
264 | | 25-Oct-27 | | | 195,347.87 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,398.95 | | | | 0 | | | | 1,398.95 | | | | 0 | | | | 0 | | | | 6,381.85 | | | | | | | | | | | | | | | | | |
265 | | 25-Nov-27 | | | 189,153.17 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,353.75 | | | | 0 | | | | 1,353.75 | | | | 0 | | | | 0 | | | | 6,194.70 | | | | | | | | | | | | | | | | | |
266 | | 25-Dec-27 | | | 183,140.14 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,309.91 | | | | 0 | | | | 1,309.91 | | | | 0 | | | | 0 | | | | 6,013.03 | | | | | | | | | | | | | | | | | |
267 | | 25-Jan-28 | | | 177,303.46 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,267.40 | | | | 0 | | | | 1,267.40 | | | | 0 | | | | 0 | | | | 5,836.67 | | | | | | | | | | | | | | | | | |
268 | | 25-Feb-28 | | | 171,638.01 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,226.17 | | | | 0 | | | | 1,226.17 | | | | 0 | | | | 0 | | | | 5,665.46 | | | | | | | | | | | | | | | | | |
269 | | 25-Mar-28 | | | 166,138.76 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,186.19 | | | | 0 | | | | 1,186.19 | | | | 0 | | | | 0 | | | | 5,499.24 | | | | | | | | | | | | | | | | | |
270 | | 25-Apr-28 | | | 160,800.89 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,147.41 | | | | 0 | | | | 1,147.41 | | | | 0 | | | | 0 | | | | 5,337.87 | | | | | | | | | | | | | | | | | |
271 | | 25-May-28 | | | 155,619.69 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,109.81 | | | | 0 | | | | 1,109.81 | | | | 0 | | | | 0 | | | | 5,181.20 | | | | | | | | | | | | | | | | | |
272 | | 25-Jun-28 | | | 150,590.60 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,073.34 | | | | 0 | | | | 1,073.34 | | | | 0 | | | | 0 | | | | 5,029.09 | | | | | | | | | | | | | | | | | |
273 | | 25-Jul-28 | | | 145,709.20 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,037.98 | | | | 0 | | | | 1,037.98 | | | | 0 | | | | 0 | | | | 4,881.40 | | | | | | | | | | | | | | | | | |
274 | | 25-Aug-28 | | | 140,971.19 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 1,003.68 | | | | 0 | | | | 1,003.68 | | | | 0 | | | | 0 | | | | 4,738.01 | | | | | | | | | | | | | | | | | |
275 | | 25-Sep-28 | | | 136,372.41 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 970.42 | | | | 0 | | | | 970.42 | | | | 0 | | | | 0 | | | | 4,598.78 | | | | | | | | | | | | | | | | | |
276 | | 25-Oct-28 | | | 131,908.82 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 938.16 | | | | 0 | | | | 938.16 | | | | 0 | | | | 0 | | | | 4,463.59 | | | | | | | | | | | | | | | | | |
277 | | 25-Nov-28 | | | 127,576.51 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 906.88 | | | | 0 | | | | 906.88 | | | | 0 | | | | 0 | | | | 4,332.32 | | | | | | | | | | | | | | | | | |
278 | | 25-Dec-28 | | | 123,371.66 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 876.55 | | | | 0 | | | | 876.55 | | | | 0 | | | | 0 | | | | 4,204.85 | | | | | | | | | | | | | | | | | |
279 | | 25-Jan-29 | | | 119,290.58 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 847.13 | | | | 0 | | | | 847.13 | | | | 0 | | | | 0 | | | | 4,081.07 | | | | | | | | | | | | | | | | | |
280 | | 25-Feb-29 | | | 115,329.70 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 818.61 | | | | 0 | | | | 818.61 | | | | 0 | | | | 0 | | | | 3,960.88 | | | | | | | | | | | | | | | | | |
281 | | 25-Mar-29 | | | 111,485.54 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 790.94 | | | | 0 | | | | 790.94 | | | | 0 | | | | 0 | | | | 3,844.16 | | | | | | | | | | | | | | | | | |
282 | | 25-Apr-29 | | | 107,754.73 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 764.12 | | | | 0 | | | | 764.12 | | | | 0 | | | | 0 | | | | 3,730.81 | | | | | | | | | | | | | | | | | |
283 | | 25-May-29 | | | 104,133.99 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 738.11 | | | | 0 | | | | 738.11 | | | | 0 | | | | 0 | | | | 3,620.74 | | | | | | | | | | | | | | | | | |
284 | | 25-Jun-29 | | | 100,620.14 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 712.88 | | | | 0 | | | | 712.88 | | | | 0 | | | | 0 | | | | 3,513.85 | | | | | | | | | | | | | | | | | |
285 | | 25-Jul-29 | | | 97,210.11 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 688.42 | | | | 0 | | | | 688.42 | | | | 0 | | | | 0 | | | | 3,410.03 | | | | | | | | | | | | | | | | | |
286 | | 25-Aug-29 | | | 93,900.90 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 664.70 | | | | 0 | | | | 664.70 | | | | 0 | | | | 0 | | | | 3,309.21 | | | | | | | | | | | | | | | | | |
287 | | 25-Sep-29 | | | 90,689.60 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 641.71 | | | | 0 | | | | 641.71 | | | | 0 | | | | 0 | | | | 3,211.30 | | | | | | | | | | | | | | | | | |
288 | | 25-Oct-29 | | | 87,573.39 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 619.41 | | | | 0 | | | | 619.41 | | | | 0 | | | | 0 | | | | 3,116.20 | | | | | | | | | | | | | | | | | |
289 | | 25-Nov-29 | | | 84,549.55 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 597.78 | | | | 0 | | | | 597.78 | | | | 0 | | | | 0 | | | | 3,023.84 | | | | | | | | | | | | | | | | | |
290 | | 25-Dec-29 | | | 81,615.41 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 576.82 | | | | 0 | | | | 576.82 | | | | 0 | | | | 0 | | | | 2,934.14 | | | | | | | | | | | | | | | | | |
291 | | 25-Jan-30 | | | 78,768.39 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 556.49 | | | | 0 | | | | 556.49 | | | | 0 | | | | 0 | | | | 2,847.02 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
292 | | 25-Feb-30 | | | 76,005.99 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 536.79 | | | | 0 | | | | 536.79 | | | | 0 | | | | 0 | | | | 2,762.40 | | | | | | | | | | | | | | | | | |
293 | | 25-Mar-30 | | | 73,325.78 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 517.68 | | | | 0 | | | | 517.68 | | | | 0 | | | | 0 | | | | 2,680.21 | | | | | | | | | | | | | | | | | |
294 | | 25-Apr-30 | | | 70,725.39 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 499.16 | | | | 0 | | | | 499.16 | | | | 0 | | | | 0 | | | | 2,600.38 | | | | | | | | | | | | | | | | | |
295 | | 25-May-30 | | | 68,202.55 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 481.20 | | | | 0 | | | | 481.20 | | | | 0 | | | | 0 | | | | 2,522.85 | | | | | | | | | | | | | | | | | |
296 | | 25-Jun-30 | | | 65,755.02 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 463.79 | | | | 0 | | | | 463.79 | | | | 0 | | | | 0 | | | | 2,447.53 | | | | | | | | | | | | | | | | | |
297 | | 25-Jul-30 | | | 63,380.64 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 446.91 | | | | 0 | | | | 446.91 | | | | 0 | | | | 0 | | | | 2,374.38 | | | | | | | | | | | | | | | | | |
298 | | 25-Aug-30 | | | 61,077.32 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 430.55 | | | | 0 | | | | 430.55 | | | | 0 | | | | 0 | | | | 2,303.32 | | | | | | | | | | | | | | | | | |
299 | | 25-Sep-30 | | | 58,843.02 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 414.69 | | | | 0 | | | | 414.69 | | | | 0 | | | | 0 | | | | 2,234.30 | | | | | | | | | | | | | | | | | |
300 | | 25-Oct-30 | | | 56,675.76 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 399.32 | | | | 0 | | | | 399.32 | | | | 0 | | | | 0 | | | | 2,167.26 | | | | | | | | | | | | | | | | | |
301 | | 25-Nov-30 | | | 54,573.62 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 384.42 | | | | 0 | | | | 384.42 | | | | 0 | | | | 0 | | | | 2,102.14 | | | | | | | | | | | | | | | | | |
302 | | 25-Dec-30 | | | 52,534.74 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 369.98 | | | | 0 | | | | 369.98 | | | | 0 | | | | 0 | | | | 2,038.88 | | | | | | | | | | | | | | | | | |
303 | | 25-Jan-31 | | | 50,557.31 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 355.98 | | | | 0 | | | | 355.98 | | | | 0 | | | | 0 | | | | 1,977.43 | | | | | | | | | | | | | | | | | |
304 | | 25-Feb-31 | | | 48,639.57 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 342.41 | | | | 0 | | | | 342.41 | | | | 0 | | | | 0 | | | | 1,917.74 | | | | | | | | | | | | | | | | | |
305 | | 25-Mar-31 | | | 46,779.81 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 329.27 | | | | 0 | | | | 329.27 | | | | 0 | | | | 0 | | | | 1,859.76 | | | | | | | | | | | | | | | | | |
306 | | 25-Apr-31 | | | 44,976.38 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 316.53 | | | | 0 | | | | 316.53 | | | | 0 | | | | 0 | | | | 1,803.44 | | | | | | | | | | | | | | | | | |
307 | | 25-May-31 | | | 43,227.65 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 304.18 | | | | 0 | | | | 304.18 | | | | 0 | | | | 0 | | | | 1,748.73 | | | | | | | | | | | | | | | | | |
308 | | 25-Jun-31 | | | 41,532.07 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 292.22 | | | | 0 | | | | 292.22 | | | | 0 | | | | 0 | | | | 1,695.58 | | | | | | | | | | | | | | | | | |
309 | | 25-Jul-31 | | | 39,888.12 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 280.63 | | | | 0 | | | | 280.63 | | | | 0 | | | | 0 | | | | 1,643.95 | | | | | | | | | | | | | | | | | |
310 | | 25-Aug-31 | | | 38,294.32 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 269.39 | | | | 0 | | | | 269.39 | | | | 0 | | | | 0 | | | | 1,593.80 | | | | | | | | | | | | | | | | | |
311 | | 25-Sep-31 | | | 36,749.23 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 258.51 | | | | 0 | | | | 258.51 | | | | 0 | | | | 0 | | | | 1,545.08 | | | | | | | | | | | | | | | | | |
312 | | 25-Oct-31 | | | 35,251.47 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 247.97 | | | | 0 | | | | 247.97 | | | | 0 | | | | 0 | | | | 1,497.76 | | | | | | | | | | | | | | | | | |
313 | | 25-Nov-31 | | | 33,799.68 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 237.76 | | | | 0 | | | | 237.76 | | | | 0 | | | | 0 | | | | 1,451.79 | | | | | | | | | | | | | | | | | |
314 | | 25-Dec-31 | | | 32,392.55 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 227.87 | | | | 0 | | | | 227.87 | | | | 0 | | | | 0 | | | | 1,407.13 | | | | | | | | | | | | | | | | | |
315 | | 25-Jan-32 | | | 31,028.79 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 218.29 | | | | 0 | | | | 218.29 | | | | 0 | | | | 0 | | | | 1,363.75 | | | | | | | | | | | | | | | | | |
316 | | 25-Feb-32 | | | 29,707.18 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 209.01 | | | | 0 | | | | 209.01 | | | | 0 | | | | 0 | | | | 1,321.61 | | | | | | | | | | | | | | | | | |
317 | | 25-Mar-32 | | | 28,426.50 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 200.02 | | | | 0 | | | | 200.02 | | | | 0 | | | | 0 | | | | 1,280.68 | | | | | | | | | | | | | | | | | |
318 | | 25-Apr-32 | | | 27,185.58 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 191.32 | | | | 0 | | | | 191.32 | | | | 0 | | | | 0 | | | | 1,240.92 | | | | | | | | | | | | | | | | | |
319 | | 25-May-32 | | | 25,983.29 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 182.89 | | | | 0 | | | | 182.89 | | | | 0 | | | | 0 | | | | 1,202.29 | | | | | | | | | | | | | | | | | |
320 | | 25-Jun-32 | | | 24,818.52 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 174.73 | | | | 0 | | | | 174.73 | | | | 0 | | | | 0 | | | | 1,164.77 | | | | | | | | | | | | | | | | | |
321 | | 25-Jul-32 | | | 23,690.20 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 166.83 | | | | 0 | | | | 166.83 | | | | 0 | | | | 0 | | | | 1,128.32 | | | | | | | | | | | | | | | | | |
322 | | 25-Aug-32 | | | 22,597.28 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 159.19 | | | | 0 | | | | 159.19 | | | | 0 | | | | 0 | | | | 1,092.92 | | | | | | | | | | | | | | | | | |
323 | | 25-Sep-32 | | | 21,538.75 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 151.78 | | | | 0 | | | | 151.78 | | | | 0 | | | | 0 | | | | 1,058.53 | | | | | | | | | | | | | | | | | |
324 | | 25-Oct-32 | | | 20,513.62 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 144.62 | | | | 0 | | | | 144.62 | | | | 0 | | | | 0 | | | | 1,025.13 | | | | | | | | | | | | | | | | | |
325 | | 25-Nov-32 | | | 19,520.94 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 137.68 | | | | 0 | | | | 137.68 | | | | 0 | | | | 0 | | | | 992.68 | | | | | | | | | | | | | | | | | |
326 | | 25-Dec-32 | | | 18,559.78 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 130.97 | | | | 0 | | | | 130.97 | | | | 0 | | | | 0 | | | | 961.16 | | | | | | | | | | | | | | | | | |
327 | | 25-Jan-33 | | | 17,629.24 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 124.47 | | | | 0 | | | | 124.47 | | | | 0 | | | | 0 | | | | 930.55 | | | | | | | | | | | | | | | | | |
328 | | 25-Feb-33 | | | 16,728.43 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 118.19 | | | | 0 | | | | 118.19 | | | | 0 | | | | 0 | | | | 900.81 | | | | | | | | | | | | | | | | | |
329 | | 25-Mar-33 | | | 15,856.50 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 112.11 | | | | 0 | | | | 112.11 | | | | 0 | | | | 0 | | | | 871.93 | | | | | | | | | | | | | | | | | |
330 | | 25-Apr-33 | | | 15,012.62 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 106.23 | | | | 0 | | | | 106.23 | | | | 0 | | | | 0 | | | | 843.87 | | | | | | | | | | | | | | | | | |
331 | | 25-May-33 | | | 14,196.00 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 100.54 | | | | 0 | | | | 100.54 | | | | 0 | | | | 0 | | | | 816.63 | | | | | | | | | | | | | | | | | |
332 | | 25-Jun-33 | | | 13,405.83 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 95.03 | | | | 0 | | | | 95.03 | | | | 0 | | | | 0 | | | | 790.16 | | | | | | | | | | | | | | | | | |
333 | | 25-Jul-33 | | | 12,641.37 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 89.71 | | | | 0 | | | | 89.71 | | | | 0 | | | | 0 | | | | 764.46 | | | | | | | | | | | | | | | | | |
334 | | 25-Aug-33 | | | 11,901.88 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 84.57 | | | | 0 | | | | 84.57 | | | | 0 | | | | 0 | | | | 739.50 | | | | | | | | | | | | | | | | | |
335 | | 25-Sep-33 | | | 11,186.62 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 79.59 | | | | 0 | | | | 79.59 | | | | 0 | | | | 0 | | | | 715.25 | | | | | | | | | | | | | | | | | |
336 | | 25-Oct-33 | | | 10,494.91 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 74.78 | | | | 0 | | | | 74.78 | | | | 0 | | | | 0 | | | | 691.71 | | | | | | | | | | | | | | | | | |
337 | | 25-Nov-33 | | | 9,826.07 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 70.14 | | | | 0 | | | | 70.14 | | | | 0 | | | | 0 | | | | 668.84 | | | | | | | | | | | | | | | | | |
338 | | 25-Dec-33 | | | 9,179.44 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 65.64 | | | | 0 | | | | 65.64 | | | | 0 | | | | 0 | | | | 646.64 | | | | | | | | | | | | | | | | | |
339 | | 25-Jan-34 | | | 8,554.36 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 61.30 | | | | 0 | | | | 61.30 | | | | 0 | | | | 0 | | | | 625.07 | | | | | | | | | | | | | | | | | |
340 | | 25-Feb-34 | | | 7,950.23 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 57.11 | | | | 0 | | | | 57.11 | | | | 0 | | | | 0 | | | | 604.13 | | | | | | | | | | | | | | | | | |
341 | | 25-Mar-34 | | | 7,366.44 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 53.06 | | | | 0 | | | | 53.06 | | | | 0 | | | | 0 | | | | 583.80 | | | | | | | | | | | | | | | | | |
342 | | 25-Apr-34 | | | 6,802.39 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 49.15 | | | | 0 | | | | 49.15 | | | | 0 | | | | 0 | | | | 564.05 | | | | | | | | | | | | | | | | | |
343 | | 25-May-34 | | | 6,257.51 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 45.37 | | | | 0 | | | | 45.37 | | | | 0 | | | | 0 | | | | 544.88 | | | | | | | | | | | | | | | | | |
344 | | 25-Jun-34 | | | 5,731.25 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 41.72 | | | | 0 | | | | 41.72 | | | | 0 | | | | 0 | | | | 526.26 | | | | | | | | | | | | | | | | | |
345 | | 25-Jul-34 | | | 5,223.07 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 38.20 | | | | 0 | | | | 38.20 | | | | 0 | | | | 0 | | | | 508.18 | | | | | | | | | | | | | | | | | |
346 | | 25-Aug-34 | | | 4,732.44 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 34.80 | | | | 0 | | | | 34.80 | | | | 0 | | | | 0 | | | | 490.63 | | | | | | | | | | | | | | | | | |
347 | | 25-Sep-34 | | | 4,258.84 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 31.52 | | | | 0 | | | | 31.52 | | | | 0 | | | | 0 | | | | 473.59 | | | | | | | | | | | | | | | | | |
348 | | 25-Oct-34 | | | 3,801.79 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 28.36 | | | | 0 | | | | 28.36 | | | | 0 | | | | 0 | | | | 457.05 | | | | | | | | | | | | | | | | | |
349 | | 25-Nov-34 | | | 3,360.79 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 25.31 | | | | 0 | | | | 25.31 | | | | 0 | | | | 0 | | | | 440.99 | | | | | | | | | | | | | | | | | |
350 | | 25-Dec-34 | | | 2,935.39 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 22.36 | | | | 0 | | | | 22.36 | | | | 0 | | | | 0 | | | | 425.40 | | | | | | | | | | | | | | | | | |
351 | | 25-Jan-35 | | | 2,525.12 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 19.53 | | | | 0 | | | | 19.53 | | | | 0 | | | | 0 | | | | 410.27 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
352 | | 25-Feb-35 | | | 2,129.54 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 16.79 | | | | 0 | | | | 16.79 | | | | 0 | | | | 0 | | | | 395.58 | | | | | | | | | | | | | | | | | |
353 | | 25-Mar-35 | | | 1,748.22 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 14.16 | | | | 0 | | | | 14.16 | | | | 0 | | | | 0 | | | | 381.32 | | | | | | | | | | | | | | | | | |
354 | | 25-Apr-35 | | | 1,380.73 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 11.62 | | | | 0 | | | | 11.62 | | | | 0 | | | | 0 | | | | 367.48 | | | | | | | | | | | | | | | | | |
355 | | 25-May-35 | | | 1,026.68 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 9.17 | | | | 0 | | | | 9.17 | | | | 0 | | | | 0 | | | | 354.05 | | | | | | | | | | | | | | | | | |
356 | | 25-Jun-35 | | | 685.66 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 6.81 | | | | 0 | | | | 6.81 | | | | 0 | | | | 0 | | | | 341.02 | | | | | | | | | | | | | | | | | |
357 | | 25-Jul-35 | | | 357.3 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 4.54 | | | | 0 | | | | 4.54 | | | | 0 | | | | 0 | | | | 328.37 | | | | | | | | | | | | | | | | | |
358 | | 25-Aug-35 | | | 41.21 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 2.36 | | | | 0 | | | | 2.36 | | | | 0 | | | | 0 | | | | 316.09 | | | | | | | | | | | | | | | | | |
359 | | 25-Sep-35 | | | 0 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 0.26 | | | | 0 | | | | 0.26 | | | | 0 | | | | 0 | | | | 41.21 | | | | | | | | | | | | | | | | | |
TIAA NIM CASH FLOW TEMPLATE
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
0 | | 9-Nov-05 | | | 969,874,218.55 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 944,610,000.00 | | | | | | | | | | | | | | | | 949,986,000.00 | | | | | |
1 | | 25-Nov-05 | | | 963,692,488.97 | | | | 99.36 | % | | | 4.0968 | | | | 4.4064 | | | | 3,354,054.93 | | | | 0 | | | | 3,354,054.93 | | | | 7,514.90 | | | | 938,340,723.40 | | | | 5,797.07 | | | | 1,868,081.40 | | | | 6,175,932.51 | | | | 943,810,067.49 | | | | 99.35 | % |
2 | | 25-Dec-05 | | | 956,374,825.08 | | | | 98.61 | % | | | 4.3242 | | | | 4.4842 | | | | 1,529,073.44 | | | | 0 | | | | 1,529,073.44 | | | | 191,812.48 | | | | 930,864,983.60 | | | | 0.00 | | | | 3,659,534.35 | | | | 7,317,663.89 | | | | 936,492,403.60 | | | | 98.58 | % |
3 | | 25-Jan-06 | | | 947,913,126.24 | | | | 97.74 | % | | | 4.3210 | | | | 4.5327 | | | | 1,398,326.66 | | | | 0 | | | | 1,398,326.66 | | | | 194,062.08 | | | | 922,195,576.10 | | | | 0.00 | | | | 3,750,605.58 | | | | 8,461,698.84 | | | | 928,030,704.76 | | | | 97.69 | % |
4 | | 25-Feb-06 | | | 938,320,676.55 | | | | 96.75 | % | | | 4.4233 | | | | 4.5789 | | | | 1,303,447.92 | | | | 0 | | | | 1,303,447.92 | | | | 273,492.47 | | | | 912,346,415.20 | | | | 0.00 | | | | 3,799,618.35 | | | | 9,592,449.69 | | | | 918,438,255.07 | | | | 96.68 | % |
5 | | 25-Mar-06 | | | 927,614,965.70 | | | | 95.64 | % | | | 4.5556 | | | | 4.6130 | | | | 1,558,947.40 | | | | 0 | | | | 1,558,947.40 | | | | 338,267.64 | | | | 901,335,877.80 | | | | 0.00 | | | | 3,492,135.01 | | | | 10,705,710.86 | | | | 907,732,544.22 | | | | 95.55 | % |
6 | | 25-Apr-06 | | | 915,817,688.31 | | | | 94.43 | % | | | 4.4792 | | | | 4.6263 | | | | 1,230,086.69 | | | | 0 | | | | 1,230,086.69 | | | | 310,692.98 | | | | 889,187,036.10 | | | | 0.00 | | | | 3,762,989.40 | | | | 11,797,277.39 | | | | 895,935,266.83 | | | | 94.31 | % |
7 | | 25-May-06 | | | 903,011,918.73 | | | | 93.11 | % | | | 4.5669 | | | | 4.6349 | | | | 1,267,812.85 | | | | 0 | | | | 1,267,812.85 | | | | 361,602.73 | | | | 876,075,784.00 | | | | 0.00 | | | | 3,661,352.76 | | | | 12,805,769.57 | | | | 883,129,497.25 | | | | 92.96 | % |
8 | | 25-Jun-06 | | | 889,175,257.65 | | | | 91.68 | % | | | 4.6063 | | | | 4.6276 | | | | 1,098,700.08 | | | | 0 | | | | 1,098,700.08 | | | | 397,869.82 | | | | 861,898,641.30 | | | | 0.00 | | | | 3,761,101.87 | | | | 13,836,661.08 | | | | 869,292,836.17 | | | | 91.51 | % |
9 | | 25-Jul-06 | | | 874,341,602.09 | | | | 90.15 | % | | | 4.5706 | | | | 4.6167 | | | | 1,226,048.61 | | | | 0 | | | | 1,226,048.61 | | | | 353,162.97 | | | | 846,691,909.30 | | | | 0.00 | | | | 3,558,816.11 | | | | 14,833,655.56 | | | | 854,459,180.61 | | | | 89.94 | % |
10 | | 25-Aug-06 | | | 858,548,780.66 | | | | 88.52 | % | | | 4.6390 | | | | 4.6158 | | | | 1,037,349.24 | | | | 0 | | | | 1,037,349.24 | | | | 408,366.56 | | | | 830,496,041.40 | | | | 0.00 | | | | 3,667,189.43 | | | | 15,792,821.43 | | | | 838,666,359.18 | | | | 88.28 | % |
11 | | 25-Sep-06 | | | 841,975,513.80 | | | | 86.81 | % | | | 4.6124 | | | | 4.6025 | | | | 1,036,479.68 | | | | 0 | | | | 1,036,479.68 | | | | 381,532.19 | | | | 813,530,211.60 | | | | 0.00 | | | | 3,582,550.24 | | | | 16,573,266.86 | | | | 822,093,092.31 | | | | 86.54 | % |
12 | | 25-Oct-06 | | | 824,687,258.79 | | | | 85.03 | % | | | 4.5161 | | | | 4.5925 | | | | 1,194,515.14 | | | | 0 | | | | 1,194,515.14 | | | | 296,396.17 | | | | 789,975,150.30 | | | | 0.00 | | | | 3,334,930.12 | | | | 17,288,255.01 | | | | 804,804,837.31 | | | | 84.72 | % |
13 | | 25-Nov-06 | | | 803,895,469.03 | | | | 82.89 | % | | | 4.5287 | | | | 4.6058 | | | | 1,051,126.29 | | | | 1,475,060.51 | | | | -423,934.22 | | | | 305,979.32 | | | | 770,838,692.70 | | | | -1,357,105.61 | | | | 3,385,031.27 | | | | 20,673,834.85 | | | | 784,131,002.45 | | | | 82.54 | % |
14 | | 25-Dec-06 | | | 785,403,735.80 | | | | 80.98 | % | | | 4.5418 | | | | 4.6175 | | | | 1,120,730.14 | | | | 0 | | | | 1,120,730.14 | | | | 297,351.03 | | | | 751,665,686.60 | | | | -117,954.90 | | | | 3,203,409.41 | | | | 18,609,688.14 | | | | 765,521,314.32 | | | | 80.58 | % |
15 | | 25-Jan-07 | | | 766,328,459.82 | | | | 79.01 | % | | | 4.5541 | | | | 4.6300 | | | | 981,890.74 | | | | 0 | | | | 981,890.74 | | | | 307,581.60 | | | | 732,338,289.40 | | | | 0.00 | | | | 3,242,756.96 | | | | 19,075,275.97 | | | | 746,446,038.34 | | | | 78.57 | % |
16 | | 25-Feb-07 | | | 746,717,135.94 | | | | 76.99 | % | | | 4.5652 | | | | 4.6420 | | | | 949,881.94 | | | | 0 | | | | 949,881.94 | | | | 306,672.76 | | | | 712,479,091.60 | | | | 0.00 | | | | 3,172,259.32 | | | | 19,611,323.89 | | | | 726,834,714.46 | | | | 76.51 | % |
17 | | 25-Mar-07 | | | 726,619,409.73 | | | | 74.92 | % | | | 4.5758 | | | | 4.6536 | | | | 1,217,869.33 | | | | 0 | | | | 1,217,869.33 | | | | 275,357.34 | | | | 685,206,117.40 | | | | 0.00 | | | | 2,798,999.82 | | | | 20,097,726.21 | | | | 706,736,988.24 | | | | 74.39 | % |
18 | | 25-Apr-07 | | | 701,880,359.01 | | | | 72.37 | % | | | 4.5879 | | | | 4.6666 | | | | 885,003.45 | | | | 2,120,561.17 | | | | -1,235,557.72 | | | | 300,329.65 | | | | 665,521,541.10 | | | | -1,185,333.10 | | | | 3,024,088.15 | | | | 23,803,822.64 | | | | 682,933,165.60 | | | | 71.89 | % |
19 | | 25-May-07 | | | 681,249,606.94 | | | | 70.24 | % | | | 4.5990 | | | | 4.6638 | | | | 937,985.80 | | | | 0 | | | | 937,985.80 | | | | 288,448.13 | | | | 646,890,528.20 | | | | -935,228.07 | | | | 2,838,433.28 | | | | 21,565,980.14 | | | | 661,367,185.46 | | | | 69.62 | % |
20 | | 25-Jun-07 | | | 660,296,283.59 | | | | 68.08 | % | | | 4.6115 | | | | 4.6604 | | | | 814,403.59 | | | | 0 | | | | 814,403.59 | | | | 296,681.97 | | | | 628,832,764.10 | | | | 0.00 | | | | 2,851,565.26 | | | | 20,953,323.35 | | | | 640,413,862.11 | | | | 67.41 | % |
21 | | 25-Jul-07 | | | 639,075,377.42 | | | | 65.89 | % | | | 4.6220 | | | | 4.6557 | | | | 872,213.94 | | | | 0 | | | | 872,213.94 | | | | 284,599.23 | | | | 611,988,460.90 | | | | 0.00 | | | | 2,681,657.52 | | | | 21,220,906.16 | | | | 619,192,955.94 | | | | 65.18 | % |
22 | | 25-Aug-07 | | | 617,642,705.17 | | | | 63.68 | % | | | 4.6325 | | | | 4.6493 | | | | 752,603.41 | | | | 0 | | | | 752,603.41 | | | | 291,741.70 | | | | 593,750,238.80 | | | | 0.00 | | | | 2,687,811.78 | | | | 21,432,672.26 | | | | 597,760,283.69 | | | | 62.92 | % |
23 | | 25-Sep-07 | | | 597,000,687.23 | | | | 61.55 | % | | | 4.6437 | | | | 4.6422 | | | | 1,563,069.59 | | | | 0 | | | | 1,563,069.59 | | | | 0 | | | | 570,844,954.40 | | | | 0.00 | | | | 2,603,465.85 | | | | 20,642,017.94 | | | | 577,118,265.75 | | | | 60.75 | % |
24 | | 25-Oct-07 | | | 572,504,775.62 | | | | 59.03 | % | | | 4.5775 | | | | 4.6324 | | | | 1,668,859.85 | | | | 2,305,051.52 | | | | -636,191.67 | | | | 0 | | | | 552,164,601.40 | | | | -1,668,859.84 | | | | 2,403,465.52 | | | | 23,859,719.93 | | | | 553,258,545.82 | | | | 58.24 | % |
25 | | 25-Nov-07 | | | 553,526,797.45 | | | | 57.07 | % | | | 4.5824 | | | | 4.6368 | | | | 1,518,082.07 | | | | 0 | | | | 1,518,082.07 | | | | 0 | | | | 532,444,190.50 | | | | -636,191.68 | | | | 2,386,730.30 | | | | 19,614,169.85 | | | | 533,644,375.97 | | | | 56.17 | % |
26 | | 25-Dec-07 | | | 535,204,576.03 | | | | 55.18 | % | | | 4.5871 | | | | 4.6407 | | | | 1,542,139.99 | | | | 0 | | | | 1,542,139.99 | | | | 0 | | | | 513,405,574.90 | | | | 0.00 | | | | 2,232,842.84 | | | | 18,322,221.42 | | | | 515,322,154.55 | | | | 54.25 | % |
27 | | 25-Jan-08 | | | 517,515,245.85 | | | | 53.36 | % | | | 4.5917 | | | | 4.6453 | | | | 1,416,653.63 | | | | 0 | | | | 1,416,653.63 | | | | 0 | | | | 495,024,984.60 | | | | 0.00 | | | | 2,232,994.99 | | | | 17,689,330.18 | | | | 497,632,824.37 | | | | 52.38 | % |
28 | | 25-Feb-08 | | | 500,436,742.88 | | | | 51.60 | % | | | 4.5968 | | | | 4.6487 | | | | 1,367,223.45 | | | | 0 | | | | 1,367,223.45 | | | | 0 | | | | 477,279,482.60 | | | | 0.00 | | | | 2,161,429.34 | | | | 17,078,502.98 | | | | 480,554,321.39 | | | | 50.59 | % |
29 | | 25-Mar-08 | | | 483,992,593.31 | | | | 49.90 | % | | | 4.5999 | | | | 4.6526 | | | | 1,946,940.45 | | | | 0 | | | | 1,946,940.45 | | | | 0 | | | | 460,189,505.10 | | | | 0.00 | | | | 1,956,455.61 | | | | 16,444,149.57 | | | | 464,110,171.83 | | | | 48.85 | % |
30 | | 25-Apr-08 | | | 458,597,433.19 | | | | 47.28 | % | | | 4.6044 | | | | 4.6572 | | | | 1,777,083.91 | | | | 4,794,593.39 | | | | -3,017,509.48 | | | | 0 | | | | 443,688,287.50 | | | | -1,777,083.90 | | | | 2,024,269.85 | | | | 22,377,650.63 | | | | 441,732,521.20 | | | | 46.50 | % |
31 | | 25-May-08 | | | 443,520,316.33 | | | | 45.73 | % | | | 4.6080 | | | | 4.6614 | | | | 1,731,144.92 | | | | 0 | | | | 1,731,144.92 | | | | 0 | | | | 427,755,362.10 | | | | -1,731,144.92 | | | | 1,869,459.59 | | | | 16,808,261.78 | | | | 424,924,259.42 | | | | 44.73 | % |
32 | | 25-Jun-08 | | | 428,961,838.00 | | | | 44.23 | % | | | 4.6123 | | | | 4.6674 | | | | 1,618,373.38 | | | | 0 | | | | 1,618,373.38 | | | | 0 | | | | 412,370,976.70 | | | | -1,286,364.57 | | | | 1,862,793.02 | | | | 15,844,842.90 | | | | 409,079,416.52 | | | | 43.06 | % |
33 | | 25-Jul-08 | | | 414,903,977.72 | | | | 42.78 | % | | | 4.6158 | | | | 4.6713 | | | | 1,626,388.88 | | | | 0 | | | | 1,626,388.88 | | | | 0 | | | | 397,516,070.00 | | | | 0.00 | | | | 1,739,473.64 | | | | 14,057,860.28 | | | | 395,021,556.24 | | | | 41.58 | % |
34 | | 25-Aug-08 | | | 401,329,344.90 | | | | 41.38 | % | | | 4.6205 | | | | 4.6762 | | | | 1,514,598.25 | | | | 0 | | | | 1,514,598.25 | | | | 0 | | | | 383,172,246.90 | | | | 0.00 | | | | 1,739,950.38 | | | | 13,574,632.82 | | | | 381,446,923.42 | | | | 40.15 | % |
35 | | 25-Sep-08 | | | 388,225,215.14 | | | | 40.03 | % | | | 4.6239 | | | | 4.6817 | | | | 1,516,104.77 | | | | 0 | | | | 1,516,104.77 | | | | 0 | | | | 369,323,273.90 | | | | 0.00 | | | | 1,683,939.45 | | | | 13,104,129.77 | | | | 368,342,793.66 | | | | 38.77 | % |
36 | | 25-Oct-08 | | | 368,057,674.62 | | | | 37.95 | % | | | 4.6317 | | | | 4.6850 | | | | 1,521,824.55 | | | | 3,780,112.03 | | | | -2,258,287.48 | | | | 0 | | | | 355,950,396.90 | | | | -1,521,824.56 | | | | 1,578,607.26 | | | | 17,909,253.04 | | | | 350,433,540.62 | | | | 36.89 | % |
37 | | 25-Nov-08 | | | 356,077,597.09 | | | | 36.71 | % | | | 4.6359 | | | | 4.6883 | | | | 1,381,107.38 | | | | 0 | | | | 1,381,107.38 | | | | 0 | | | | 343,037,088.40 | | | | 3,024,952.52 | | | | 1,556,952.58 | | | | 8,955,125.00 | | | | 341,478,415.61 | | | | 35.95 | % |
38 | | 25-Dec-08 | | | 344,508,538.67 | | | | 35.52 | % | | | 4.6388 | | | | 4.6917 | | | | 1,381,361.30 | | | | 0 | | | | 1,381,361.30 | | | | 0 | | | | 330,567,398.60 | | | | 474,331.40 | | | | 1,460,083.36 | | | | 11,094,727.03 | | | | 330,383,688.59 | | | | 34.78 | % |
39 | | 25-Jan-09 | | | 333,336,242.44 | | | | 34.37 | % | | | 4.6424 | | | | 4.6945 | | | | 1,290,409.87 | | | | 0 | | | | 1,290,409.87 | | | | 0 | | | | 318,525,934.40 | | | | 458,064.15 | | | | 1,457,758.41 | | | | 10,714,232.09 | | | | 319,669,456.50 | | | | 33.65 | % |
40 | | 25-Feb-09 | | | 322,546,949.23 | | | | 33.26 | % | | | 4.6457 | | | | 4.6972 | | | | 1,248,078.07 | | | | 0 | | | | 1,248,078.07 | | | | 0 | | | | 306,897,840.90 | | | | 442,361.02 | | | | 1,410,036.36 | | | | 10,346,932.19 | | | | 309,322,524.31 | | | | 32.56 | % |
41 | | 25-Mar-09 | | | 312,128,291.18 | | | | 32.18 | % | | | 4.6478 | | | | 4.7003 | | | | 1,348,767.65 | | | | 0 | | | | 1,348,767.65 | | | | 0 | | | | 295,669,456.90 | | | | 427,164.98 | | | | 1,232,063.08 | | | | 9,991,493.07 | | | | 299,331,031.24 | | | | 31.51 | % |
42 | | 25-Apr-09 | | | 294,733,942.17 | | | | 30.39 | % | | | 4.6517 | | | | 4.7039 | | | | 1,178,279.47 | | | | 3,688,082.43 | | | | -2,509,802.96 | | | | 0 | | | | 284,826,226.00 | | | | -1,178,279.47 | | | | 1,320,297.74 | | | | 14,884,546.04 | | | | 284,446,485.20 | | | | 29.94 | % |
43 | | 25-May-09 | | | 285,243,696.25 | | | | 29.41 | % | | | 4.6553 | | | | 4.7093 | | | | 1,141,818.92 | | | | 0 | | | | 1,141,818.92 | | | | 0 | | | | 274,354,797.70 | | | | -1,141,818.92 | | | | 1,216,223.27 | | | | 10,632,064.84 | | | | 273,814,420.35 | | | | 28.82 | % |
44 | | 25-Jun-09 | | | 276,078,167.96 | | | | 28.47 | % | | | 4.6577 | | | | 4.7161 | | | | 1,071,764.95 | | | | 0 | | | | 1,071,764.95 | | | | 0 | | | | 264,242,287.60 | | | | 110,071.01 | | | | 1,209,510.36 | | | | 9,055,457.28 | | | | 264,758,963.07 | | | | 27.87 | % |
45 | | 25-Jul-09 | | | 267,226,112.72 | | | | 27.55 | % | | | 4.6598 | | | | 4.7213 | | | | 1,075,108.77 | | | | 0 | | | | 1,075,108.77 | | | | 0 | | | | 254,476,260.80 | | | | 362,934.26 | | | | 1,132,047.35 | | | | 8,489,120.97 | | | | 256,269,842.10 | | | | 26.98 | % |
46 | | 25-Aug-09 | | | 258,676,678.10 | | | | 26.67 | % | | | 4.6631 | | | | 4.7276 | | | | 1,002,402.57 | | | | 0 | | | | 1,002,402.57 | | | | 0 | | | | 245,044,716.50 | | | | 350,526.82 | | | | 1,133,189.90 | | | | 8,198,907.80 | | | | 248,070,934.30 | | | | 26.11 | % |
47 | | 25-Sep-09 | | | 250,419,959.67 | | | | 25.82 | % | | | 4.6660 | | | | 4.7341 | | | | 975,285.91 | | | | 0 | | | | 975,285.91 | | | | 0 | | | | 235,936,072.40 | | | | 338,525.46 | | | | 1,097,741.36 | | | | 7,918,192.98 | | | | 240,152,741.32 | | | | 25.28 | % |
48 | | 25-Oct-09 | | | 235,481,224.40 | | | | 24.28 | % | | | 4.6873 | | | | 4.7388 | | | | 973,744.28 | | | | 3,503,592.08 | | | | -2,529,847.80 | | | | 0 | | | | 227,139,150.30 | | | | -973,744.27 | | | | 1,032,864.45 | | | | 12,408,887.46 | | | | 227,743,853.86 | | | | 23.97 | % |
49 | | 25-Nov-09 | | | 228,005,720.83 | | | | 23.51 | % | | | 4.6906 | | | | 4.7418 | | | | 871,154.86 | | | | 0 | | | | 871,154.86 | | | | 0 | | | | 218,643,162.00 | | | | -871,154.86 | | | | 1,014,471.10 | | | | 8,346,658.42 | | | | 219,397,195.44 | | | | 23.09 | % |
50 | | 25-Dec-09 | | | 220,785,213.53 | | | | 22.76 | % | | | 4.6932 | | | | 4.7444 | | | | 878,882.18 | | | | 0 | | | | 878,882.18 | | | | 0 | | | | 210,437,695.30 | | | | -443,668.36 | | | | 946,178.83 | | | | 7,664,175.66 | | | | 211,733,019.78 | | | | 22.29 | % |
51 | | 25-Jan-10 | | | 213,810,888.71 | | | | 22.05 | % | | | 4.6969 | | | | 4.7468 | | | | 823,150.68 | | | | 0 | | | | 823,150.68 | | | | 0 | | | | 202,512,701.10 | | | | 285,947.32 | | | | 943,429.42 | | | | 6,688,377.50 | | | | 205,044,642.27 | | | | 21.58 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
52 | | 25-Feb-10 | | | 207,074,239.58 | | | | 21.35 | % | | | 4.6991 | | | | 4.7488 | | | | 795,910.58 | | | | 0 | | | | 795,910.58 | | | | 0 | | | | 194,858,480.50 | | | | 276,202.61 | | | | 914,200.20 | | | | 6,460,446.52 | | | | 198,584,195.76 | | | | 20.90 | % |
53 | | 25-Mar-10 | | | 200,567,263.73 | | | | 20.68 | % | | | 4.7004 | | | | 4.7512 | | | | 857,959.07 | | | | 0 | | | | 857,959.07 | | | | 0 | | | | 187,465,672.80 | | | | 266,786.01 | | | | 799,940.53 | | | | 6,240,189.84 | | | | 192,344,005.92 | | | | 20.25 | % |
54 | | 25-Apr-10 | | | 187,686,724.82 | | | | 19.35 | % | | | 4.7037 | | | | 4.7542 | | | | 746,929.44 | | | | 3,318,986.79 | | | | -2,572,057.35 | | | | 0 | | | | 180,325,243.30 | | | | -746,929.44 | | | | 858,364.38 | | | | 10,308,481.56 | | | | 182,035,524.36 | | | | 19.16 | % |
55 | | 25-May-10 | | | 181,811,064.04 | | | | 18.75 | % | | | 4.7061 | | | | 4.7610 | | | | 660,598.29 | | | | 0 | | | | 660,598.29 | | | | 0 | | | | 173,428,472.20 | | | | -660,598.28 | | | | 840,337.54 | | | | 6,536,259.06 | | | | 175,499,265.30 | | | | 18.47 | % |
56 | | 25-Jun-10 | | | 176,135,148.37 | | | | 18.16 | % | | | 4.7083 | | | | 4.7692 | | | | 615,561.79 | | | | 0 | | | | 615,561.79 | | | | 0 | | | | 166,766,943.40 | | | | -615,561.79 | | | | 837,803.50 | | | | 6,291,477.47 | | | | 169,207,787.83 | | | | 17.81 | % |
57 | | 25-Jul-10 | | | 170,652,088.07 | | | | 17.60 | % | | | 4.7101 | | | | 4.7757 | | | | 626,547.25 | | | | 0 | | | | 626,547.25 | | | | 0 | | | | 160,332,534.00 | | | | -69,375.08 | | | | 780,880.10 | | | | 5,552,435.37 | | | | 163,655,352.46 | | | | 17.23 | % |
58 | | 25-Aug-10 | | | 165,355,233.06 | | | | 17.05 | % | | | 4.7124 | | | | 4.7845 | | | | 582,936.13 | | | | 0 | | | | 582,936.13 | | | | 0 | | | | 154,117,403.60 | | | | 217,171.06 | | | | 780,129.21 | | | | 5,079,683.95 | | | | 158,575,668.51 | | | | 16.69 | % |
59 | | 25-Sep-10 | | | 160,215,287.40 | | | | 16.52 | % | | | 4.7144 | | | | 4.7910 | | | | 569,174.69 | | | | 0 | | | | 569,174.69 | | | | 0 | | | | 148,096,613.60 | | | | 210,737.77 | | | | 756,186.97 | | | | 4,929,207.90 | | | | 153,646,460.61 | | | | 16.17 | % |
60 | | 25-Oct-10 | | | 148,658,273.05 | | | | 15.33 | % | | | 4.7447 | | | | 4.7972 | | | | 571,561.51 | | | | 3,318,742.41 | | | | -2,747,180.90 | | | | 0 | | | | 0 | | | | -571,561.50 | | | | 712,924.78 | | | | 8,809,833.44 | | | | 144,836,627.17 | | | | 15.25 | % |
61 | | 25-Nov-10 | | | 144,008,107.74 | | | | 14.85 | % | | | 4.7472 | | | | 4.7998 | | | | 494,338.81 | | | | 0 | | | | 494,338.81 | | | | 0 | | | | 0 | | | | -494,338.81 | | | | 696,158.38 | | | | 5,144,504.12 | | | | 139,692,123.05 | | | | 14.70 | % |
62 | | 25-Dec-10 | | | 139,515,993.92 | | | | 14.38 | % | | | 4.7487 | | | | 4.8019 | | | | 502,281.84 | | | | 0 | | | | 502,281.84 | | | | 0 | | | | 0 | | | | -502,281.85 | | | | 650,480.57 | | | | 4,994,395.67 | | | | 134,697,727.38 | | | | 14.18 | % |
63 | | 25-Jan-11 | | | 135,176,475.69 | | | | 13.94 | % | | | 4.7516 | | | | 4.8039 | | | | 468,016.63 | | | | 0 | | | | 468,016.63 | | | | 0 | | | | 0 | | | | -468,016.63 | | | | 648,306.89 | | | | 4,807,534.86 | | | | 129,890,192.52 | | | | 13.67 | % |
64 | | 25-Feb-11 | | | 130,984,287.07 | | | | 13.51 | % | | | 4.7535 | | | | 4.8057 | | | | 456,811.16 | | | | 0 | | | | 456,811.16 | | | | 0 | | | | 0 | | | | -84,072.60 | | | | 624,324.31 | | | | 4,276,261.22 | | | | 125,613,931.30 | | | | 13.22 | % |
65 | | 25-Mar-11 | | | 126,934,611.88 | | | | 13.09 | % | | | 4.7544 | | | | 4.8073 | | | | 504,093.71 | | | | 0 | | | | 504,093.71 | | | | 0 | | | | 0 | | | | 166,036.68 | | | | 544,936.36 | | | | 3,883,638.51 | | | | 121,730,292.79 | | | | 12.81 | % |
66 | | 25-Apr-11 | | | 117,355,254.51 | | | | 12.10 | % | | | 4.7579 | | | | 4.8099 | | | | 431,521.46 | | | | 2,857,782.01 | | | | -2,426,260.55 | | | | 0 | | | | 0 | | | | -431,521.46 | | | | 585,034.94 | | | | 7,153,096.81 | | | | 114,577,195.98 | | | | 12.06 | % |
67 | | 25-May-11 | | | 113,716,363.09 | | | | 11.72 | % | | | 4.7589 | | | | 4.8125 | | | | 404,452.43 | | | | 0 | | | | 404,452.43 | | | | 0 | | | | 0 | | | | -404,452.44 | | | | 534,094.34 | | | | 4,043,343.86 | | | | 110,533,852.12 | | | | 11.64 | % |
68 | | 25-Jun-11 | | | 110,200,649.22 | | | | 11.36 | % | | | 4.7608 | | | | 4.8143 | | | | 375,959.35 | | | | 0 | | | | 375,959.35 | | | | 0 | | | | 0 | | | | -375,959.35 | | | | 533,074.37 | | | | 3,891,673.22 | | | | 106,642,178.90 | | | | 11.23 | % |
69 | | 25-Jul-11 | | | 106,803,871.86 | | | | 11.01 | % | | | 4.7628 | | | | 4.8160 | | | | 382,583.46 | | | | 0 | | | | 382,583.46 | | | | 0 | | | | 0 | | | | -382,583.46 | | | | 497,947.61 | | | | 3,779,360.82 | | | | 102,862,818.08 | | | | 10.83 | % |
70 | | 25-Aug-11 | | | 103,521,937.31 | | | | 10.67 | % | | | 4.7640 | | | | 4.8189 | | | | 357,167.76 | | | | 0 | | | | 357,167.76 | | | | 0 | | | | 0 | | | | -357,167.76 | | | | 495,836.00 | | | | 3,639,102.30 | | | | 99,223,715.78 | | | | 10.44 | % |
71 | | 25-Sep-11 | | | 100,351,024.39 | | | | 10.35 | % | | | 4.7654 | | | | 4.8201 | | | | 349,967.76 | | | | 0 | | | | 349,967.76 | | | | 0 | | | | 0 | | | | -349,967.76 | | | | 477,383.83 | | | | 3,520,880.69 | | | | 95,702,835.09 | | | | 10.07 | % |
72 | | 25-Oct-11 | | | 93,088,126.02 | | | | 9.60 | % | | | 4.7706 | | | | 4.8212 | | | | 356,770.81 | | | | 2,120,331.61 | | | | -1,763,560.80 | | | | 0 | | | | 0 | | | | -356,770.81 | | | | 444,980.10 | | | | 5,499,337.57 | | | | 90,203,497.52 | | | | 9.50 | % |
73 | | 25-Nov-11 | | | 90,236,530.59 | | | | 9.30 | % | | | 4.7723 | | | | 4.8227 | | | | 308,273.85 | | | | 0 | | | | 308,273.85 | | | | 0 | | | | 0 | | | | -308,273.85 | | | | 434,329.47 | | | | 3,159,869.29 | | | | 87,043,628.23 | | | | 9.16 | % |
74 | | 25-Dec-11 | | | 87,481,020.78 | | | | 9.02 | % | | | 4.7728 | | | | 4.8234 | | | | 313,587.98 | | | | 0 | | | | 313,587.98 | | | | 0 | | | | 0 | | | | -313,587.98 | | | | 405,929.51 | | | | 3,069,097.79 | | | | 83,974,530.44 | | | | 8.84 | % |
75 | | 25-Jan-12 | | | 84,818,297.77 | | | | 8.75 | % | | | 4.7743 | | | | 4.8246 | | | | 292,542.31 | | | | 0 | | | | 292,542.31 | | | | 0 | | | | 0 | | | | -292,542.31 | | | | 404,676.89 | | | | 2,955,265.32 | | | | 81,019,265.12 | | | | 8.53 | % |
76 | | 25-Feb-12 | | | 82,245,177.11 | | | | 8.48 | % | | | 4.7753 | | | | 4.8252 | | | | 285,807.82 | | | | 0 | | | | 285,807.82 | | | | 0 | | | | 0 | | | | -285,807.81 | | | | 389,873.36 | | | | 2,858,928.47 | | | | 78,160,336.65 | | | | 8.23 | % |
77 | | 25-Mar-12 | | | 79,758,626.74 | | | | 8.22 | % | | | 4.7756 | | | | 4.8259 | | | | 304,129.32 | | | | 0 | | | | 304,129.32 | | | | 0 | | | | 0 | | | | -304,129.32 | | | | 351,040.62 | | | | 2,790,679.69 | | | | 75,369,656.97 | | | | 7.93 | % |
78 | | 25-Apr-12 | | | 73,341,078.50 | | | | 7.56 | % | | | 4.7771 | | | | 4.8278 | | | | 274,085.52 | | | | 2,028,311.99 | | | | -1,754,226.47 | | | | 0 | | | | 0 | | | | -274,085.52 | | | | 361,000.31 | | | | 4,663,321.78 | | | | 70,706,335.19 | | | | 7.44 | % |
79 | | 25-May-12 | | | 71,022,214.74 | | | | 7.32 | % | | | 4.7776 | | | | 4.8389 | | | | 254,491.74 | | | | 0 | | | | 254,491.74 | | | | 0 | | | | 0 | | | | -254,491.75 | | | | 328,347.31 | | | | 2,573,355.50 | | | | 68,132,979.68 | | | | 7.17 | % |
80 | | 25-Jun-12 | | | 68,781,309.20 | | | | 7.09 | % | | | 4.7792 | | | | 4.8516 | | | | 236,823.67 | | | | 0 | | | | 236,823.67 | | | | 0 | | | | 0 | | | | -236,823.66 | | | | 327,282.69 | | | | 2,477,729.20 | | | | 65,655,250.48 | | | | 6.91 | % |
81 | | 25-Jul-12 | | | 66,615,692.59 | | | | 6.87 | % | | | 4.7789 | | | | 4.8651 | | | | 240,741.84 | | | | 0 | | | | 240,741.84 | | | | 0 | | | | 0 | | | | -240,741.85 | | | | 305,269.92 | | | | 2,406,358.46 | | | | 63,248,892.02 | | | | 6.66 | % |
82 | | 25-Aug-12 | | | 64,522,788.04 | | | | 6.65 | % | | | 4.7797 | | | | 4.8776 | | | | 224,898.97 | | | | 0 | | | | 224,898.97 | | | | 0 | | | | 0 | | | | -224,898.96 | | | | 303,634.26 | | | | 2,317,803.51 | | | | 60,931,088.51 | | | | 6.41 | % |
83 | | 25-Sep-12 | | | 62,500,474.48 | | | | 6.44 | % | | | 4.7805 | | | | 4.8903 | | | | 222,148.46 | | | | 0 | | | | 222,148.46 | | | | 0 | | | | 0 | | | | -222,148.46 | | | | 291,992.43 | | | | 2,244,462.02 | | | | 58,686,626.49 | | | | 6.18 | % |
84 | | 25-Oct-12 | | | 57,445,679.33 | | | | 5.92 | % | | | 4.8506 | | | | 4.9037 | | | | 222,886.98 | | | | 1,567,351.59 | | | | -1,344,464.61 | | | | 0 | | | | 0 | | | | -222,886.98 | | | | 275,044.13 | | | | 3,710,330.54 | | | | 54,976,295.96 | | | | 5.79 | % |
85 | | 25-Nov-12 | | | 55,559,463.14 | | | | 5.73 | % | | | 4.8522 | | | | 4.9048 | | | | 189,836.12 | | | | 0 | | | | 189,836.12 | | | | 0 | | | | 0 | | | | -189,836.12 | | | | 266,755.52 | | | | 2,076,052.31 | | | | 52,900,243.64 | | | | 5.57 | % |
86 | | 25-Dec-12 | | | 53,736,515.06 | | | | 5.54 | % | | | 4.8535 | | | | 4.9055 | | | | 192,688.76 | | | | 0 | | | | 192,688.76 | | | | 0 | | | | 0 | | | | -192,688.76 | | | | 248,623.61 | | | | 2,015,636.84 | | | | 50,884,606.81 | | | | 5.36 | % |
87 | | 25-Jan-13 | | | 51,974,675.53 | | | | 5.36 | % | | | 4.8547 | | | | 4.9068 | | | | 179,367.69 | | | | 0 | | | | 179,367.69 | | | | 0 | | | | 0 | | | | -179,367.69 | | | | 247,185.26 | | | | 1,941,207.23 | | | | 48,943,399.58 | | | | 5.15 | % |
88 | | 25-Feb-13 | | | 50,271,859.59 | | | | 5.18 | % | | | 4.8564 | | | | 4.9073 | | | | 174,695.98 | | | | 0 | | | | 174,695.98 | | | | 0 | | | | 0 | | | | -174,695.98 | | | | 237,599.49 | | | | 1,877,511.91 | | | | 47,065,887.67 | | | | 4.95 | % |
89 | | 25-Mar-13 | | | 48,626,132.63 | | | | 5.01 | % | | | 4.8557 | | | | 4.9080 | | | | 192,909.71 | | | | 0 | | | | 192,909.71 | | | | 0 | | | | 0 | | | | -192,909.71 | | | | 206,131.55 | | | | 1,838,636.68 | | | | 45,227,250.99 | | | | 4.76 | % |
90 | | 25-Apr-13 | | | 47,035,469.49 | | | | 4.85 | % | | | 4.8575 | | | | 4.9100 | | | | 166,622.94 | | | | 0 | | | | 166,622.94 | | | | 0 | | | | 0 | | | | -166,622.93 | | | | 219,106.78 | | | | 1,757,286.06 | | | | 43,469,964.92 | | | | 4.58 | % |
91 | | 25-May-13 | | | 45,497,992.38 | | | | 4.69 | % | | | 4.8579 | | | | 4.9180 | | | | 169,270.28 | | | | 0 | | | | 169,270.28 | | | | 0 | | | | 0 | | | | -169,270.28 | | | | 203,588.52 | | | | 1,706,747.40 | | | | 41,763,217.52 | | | | 4.40 | % |
92 | | 25-Jun-13 | | | 44,011,890.05 | | | | 4.54 | % | | | 4.8593 | | | | 4.9275 | | | | 158,590.39 | | | | 0 | | | | 158,590.39 | | | | 0 | | | | 0 | | | | -158,590.40 | | | | 201,834.37 | | | | 1,644,692.73 | | | | 40,118,524.80 | | | | 4.22 | % |
93 | | 25-Jul-13 | | | 42,575,413.79 | | | | 4.39 | % | | | 4.8593 | | | | 4.9369 | | | | 161,118.18 | | | | 0 | | | | 161,118.18 | | | | 0 | | | | 0 | | | | -161,118.18 | | | | 187,294.39 | | | | 1,597,594.44 | | | | 38,520,930.36 | | | | 4.05 | % |
94 | | 25-Aug-13 | | | 41,186,875.21 | | | | 4.25 | % | | | 4.8601 | | | | 4.9458 | | | | 151,314.82 | | | | 0 | | | | 151,314.82 | | | | 0 | | | | 0 | | | | -151,314.82 | | | | 185,492.89 | | | | 1,539,853.40 | | | | 36,981,076.97 | | | | 3.89 | % |
95 | | 25-Sep-13 | | | 39,844,819.91 | | | | 4.11 | % | | | 4.8605 | | | | 4.9562 | | | | 148,997.05 | | | | 0 | | | | 148,997.05 | | | | 0 | | | | 0 | | | | -148,997.04 | | | | 177,731.84 | | | | 1,491,052.34 | | | | 35,490,024.62 | | | | 3.74 | % |
96 | | 25-Oct-13 | | | 38,547,498.53 | | | | 3.97 | % | | | 4.9102 | | | | 4.9639 | | | | 149,739.54 | | | | 0 | | | | 149,739.54 | | | | 0 | | | | 0 | | | | -149,739.54 | | | | 166,196.53 | | | | 1,447,060.92 | | | | 34,042,963.70 | | | | 3.58 | % |
97 | | 25-Nov-13 | | | 37,293,378.99 | | | | 3.85 | % | | | 4.9121 | | | | 4.9645 | | | | 140,987.25 | | | | 0 | | | | 140,987.25 | | | | 0 | | | | 0 | | | | -140,987.24 | | | | 164,443.03 | | | | 1,395,106.79 | | | | 32,647,856.92 | | | | 3.44 | % |
98 | | 25-Dec-13 | | | 36,080,994.52 | | | | 3.72 | % | | | 4.9122 | | | | 4.9648 | | | | 142,999.11 | | | | 0 | | | | 142,999.11 | | | | 0 | | | | 0 | | | | -142,999.11 | | | | 152,280.93 | | | | 1,355,383.57 | | | | 31,292,473.35 | | | | 3.29 | % |
99 | | 25-Jan-14 | | | 34,908,928.91 | | | | 3.60 | % | | | 4.9128 | | | | 4.9656 | | | | 135,000.94 | | | | 0 | | | | 135,000.94 | | | | 0 | | | | 0 | | | | -60,849.92 | | | | 150,472.21 | | | | 1,232,915.53 | | | | 30,059,557.82 | | | | 3.16 | % |
100 | | 25-Feb-14 | | | 33,775,814.66 | | | | 3.48 | % | | | 4.9137 | | | | 4.9656 | | | | 131,622.08 | | | | 0 | | | | 131,622.08 | | | | 0 | | | | 0 | | | | 0.00 | | | | 144,375.75 | | | | 1,133,114.25 | | | | 28,926,443.57 | | | | 3.04 | % |
101 | | 25-Mar-14 | | | 32,680,360.53 | | | | 3.37 | % | | | 4.9129 | | | | 4.9659 | | | | 141,597.84 | | | | 0 | | | | 141,597.84 | | | | 0 | | | | 0 | | | | 0.00 | | | | 125,427.61 | | | | 1,095,454.13 | | | | 27,830,989.44 | | | | 2.93 | % |
102 | | 25-Apr-14 | | | 31,621,261.09 | | | | 3.26 | % | | | 4.9143 | | | | 4.9677 | | | | 124,577.70 | | | | 0 | | | | 124,577.70 | | | | 0 | | | | 0 | | | | 0.00 | | | | 133,599.87 | | | | 1,059,099.44 | | | | 26,771,890.00 | | | | 2.82 | % |
103 | | 25-May-14 | | | 30,597,284.54 | | | | 3.15 | % | | | 4.9142 | | | | 4.9764 | | | | 125,295.97 | | | | 0 | | | | 125,295.97 | | | | 0 | | | | 0 | | | | 0.00 | | | | 124,327.95 | | | | 1,023,976.55 | | | | 25,747,913.45 | | | | 2.71 | % |
104 | | 25-Jun-14 | | | 29,607,242.14 | | | | 3.05 | % | | | 4.9148 | | | | 4.9877 | | | | 117,828.60 | | | | 0 | | | | 117,828.60 | | | | 0 | | | | 0 | | | | 0.00 | | | | 123,530.24 | | | | 990,042.40 | | | | 24,757,871.05 | | | | 2.61 | % |
105 | | 25-Jul-14 | | | 28,649,986.01 | | | | 2.95 | % | | | 4.9146 | | | | 4.9964 | | | | 118,468.18 | | | | 0 | | | | 118,468.18 | | | | 0 | | | | 0 | | | | 0.00 | | | | 114,904.27 | | | | 957,256.13 | | | | 23,800,614.92 | | | | 2.51 | % |
106 | | 25-Aug-14 | | | 27,724,407.70 | | | | 2.86 | % | | | 4.9157 | | | | 5.0062 | | | | 111,528.46 | | | | 0 | | | | 111,528.46 | | | | 0 | | | | 0 | | | | 0.00 | | | | 114,126.75 | | | | 925,578.31 | | | | 22,875,036.61 | | | | 2.41 | % |
107 | | 25-Sep-14 | | | 26,829,563.59 | | | | 2.77 | % | | | 4.9187 | | | | 5.0170 | | | | 109,258.05 | | | | 0 | | | | 109,258.05 | | | | 0 | | | | 0 | | | | 0.00 | | | | 109,711.56 | | | | 894,844.11 | | | | 21,980,192.50 | | | | 2.31 | % |
108 | | 25-Oct-14 | | | 25,964,293.57 | | | | 2.68 | % | | | 4.9723 | | | | 5.0254 | | | | 108,824.50 | | | | 0 | | | | 108,824.50 | | | | 0 | | | | 0 | | | | 0.00 | | | | 102,965.85 | | | | 865,270.02 | | | | 21,114,922.48 | | | | 2.22 | % |
109 | | 25-Nov-14 | | | 25,127,590.46 | | | | 2.59 | % | | | 4.9733 | | | | 5.0256 | | | | 102,607.36 | | | | 0 | | | | 102,607.36 | | | | 0 | | | | 0 | | | | 0.00 | | | | 102,191.32 | | | | 836,703.11 | | | | 20,278,219.37 | | | | 2.13 | % |
110 | | 25-Dec-14 | | | 24,318,490.75 | | | | 2.51 | % | | | 4.9729 | | | | 5.0256 | | | | 103,108.39 | | | | 0 | | | | 103,108.39 | | | | 0 | | | | 0 | | | | 0.00 | | | | 94,933.74 | | | | 809,099.71 | | | | 19,469,119.66 | | | | 2.05 | % |
111 | | 25-Jan-15 | | | 23,536,063.96 | | | | 2.43 | % | | | 4.9735 | | | | 5.0256 | | | | 97,347.88 | | | | 0 | | | | 97,347.88 | | | | 0 | | | | 0 | | | | 0.00 | | | | 94,164.78 | | | | 782,426.79 | | | | 18,686,692.87 | | | | 1.97 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
112 | | 25-Feb-15 | | | 22,779,411.51 | | | | 2.35 | % | | | 4.9736 | | | | 5.0251 | | | | 94,837.41 | | | | 0 | | | | 94,837.41 | | | | 0 | | | | 0 | | | | 0.00 | | | | 90,365.10 | | | | 756,652.45 | | | | 17,930,040.42 | | | | 1.89 | % |
113 | | 25-Mar-15 | | | 22,047,681.73 | | | | 2.27 | % | | | 4.9726 | | | | 5.0249 | | | | 100,914.01 | | | | 0 | | | | 100,914.01 | | | | 0 | | | | 0 | | | | 0.00 | | | | 78,285.78 | | | | 731,729.78 | | | | 17,198,310.64 | | | | 1.81 | % |
114 | | 25-Apr-15 | | | 21,340,019.36 | | | | 2.20 | % | | | 4.9735 | | | | 5.0260 | | | | 90,170.74 | | | | 0 | | | | 90,170.74 | | | | 0 | | | | 0 | | | | 0.00 | | | | 83,132.46 | | | | 707,662.37 | | | | 16,490,648.27 | | | | 1.74 | % |
115 | | 25-May-15 | | | 20,655,614.95 | | | | 2.13 | % | | | 4.9740 | | | | 5.0348 | | | | 90,473.36 | | | | 0 | | | | 90,473.36 | | | | 0 | | | | 0 | | | | 0.00 | | | | 77,130.51 | | | | 684,404.40 | | | | 15,806,243.86 | | | | 1.66 | % |
116 | | 25-Jun-15 | | | 19,993,686.85 | | | | 2.06 | % | | | 4.9731 | | | | 5.0454 | | | | 85,731.60 | | | | 0 | | | | 85,731.60 | | | | 0 | | | | 0 | | | | 0.00 | | | | 76,363.94 | | | | 661,928.11 | | | | 15,144,315.75 | | | | 1.59 | % |
117 | | 25-Jul-15 | | | 19,353,480.09 | | | | 2.00 | % | | | 4.9725 | | | | 5.0540 | | | | 85,983.61 | | | | 0 | | | | 85,983.61 | | | | 0 | | | | 0 | | | | 0.00 | | | | 70,788.07 | | | | 640,206.75 | | | | 14,504,109.00 | | | | 1.53 | % |
118 | | 25-Aug-15 | | | 18,734,265.56 | | | | 1.93 | % | | | 4.9727 | | | | 5.0639 | | | | 81,575.80 | | | | 0 | | | | 81,575.80 | | | | 0 | | | | 0 | | | | 0.00 | | | | 70,050.22 | | | | 619,214.54 | | | | 13,884,894.46 | | | | | |
119 | | 25-Sep-15 | | | 18,135,790.07 | | | | 1.87 | % | | | 4.9738 | | | | 5.0743 | | | | 80,066.28 | | | | 0 | | | | 80,066.28 | | | | 0 | | | | 0 | | | | 0.00 | | | | 67,064.97 | | | | 598,475.49 | | | | 13,286,418.97 | | | | | |
120 | | 25-Oct-15 | | | 17,557,282.34 | | | | 1.81 | % | | | 5.0297 | | | | 5.0827 | | | | 79,629.06 | | | | 0 | | | | 79,629.06 | | | | 0 | | | | 0 | | | | 0.00 | | | | 62,715.47 | | | | 578,507.73 | | | | 12,707,911.25 | | | | | |
121 | | 25-Nov-15 | | | 16,997,694.97 | | | | 1.75 | % | | | 5.0895 | | | | 5.1710 | | | | 75,056.40 | | | | 0 | | | | 75,056.40 | | | | 0 | | | | 0 | | | | 0.00 | | | | 62,630.67 | | | | 559,587.37 | | | | 12,148,323.87 | | | | | |
122 | | 25-Dec-15 | | | 16,456,394.34 | | | | 1.70 | % | | | 5.0895 | | | | 5.1710 | | | | 75,251.55 | | | | 0 | | | | 75,251.55 | | | | 0 | | | | 0 | | | | 0.00 | | | | 57,933.59 | | | | 541,300.63 | | | | 11,607,023.25 | | | | | |
123 | | 25-Jan-16 | | | 15,932,768.47 | | | | 1.64 | % | | | 5.0895 | | | | 5.1710 | | | | 71,644.31 | | | | 0 | | | | 71,644.31 | | | | 0 | | | | 0 | | | | 0.00 | | | | 57,189.14 | | | | 523,625.87 | | | | 11,083,397.38 | | | | | |
124 | | 25-Feb-16 | | | 15,426,226.23 | | | | 1.59 | % | | | 5.0895 | | | | 5.1710 | | | | 70,022.61 | | | | 0 | | | | 70,022.61 | | | | 0 | | | | 0 | | | | 0.00 | | | | 54,604.26 | | | | 506,542.24 | | | | 10,576,855.14 | | | | | |
125 | | 25-Mar-16 | | | 14,936,330.19 | | | | 1.54 | % | | | 5.0895 | | | | 5.1710 | | | | 72,566.17 | | | | 0 | | | | 72,566.17 | | | | 0 | | | | 0 | | | | 0.00 | | | | 48,744.67 | | | | 489,896.04 | | | | 10,086,959.10 | | | | | |
126 | | 25-Apr-16 | | | 14,462,393.76 | | | | 1.49 | % | | | 5.0895 | | | | 5.1710 | | | | 67,705.54 | | | | 0 | | | | 67,705.54 | | | | 0 | | | | 0 | | | | 0.00 | | | | 49,690.58 | | | | 473,936.43 | | | | 9,613,022.67 | | | | | |
127 | | 25-May-16 | | | 14,003,876.59 | | | | 1.44 | % | | | 5.0895 | | | | 5.1710 | | | | 67,743.31 | | | | 0 | | | | 67,743.31 | | | | 0 | | | | 0 | | | | 0.00 | | | | 45,825.96 | | | | 458,517.17 | | | | 9,154,505.49 | | | | | |
128 | | 25-Jun-16 | | | 13,560,264.51 | | | | 1.40 | % | | | 5.0895 | | | | 5.1710 | | | | 64,777.30 | | | | 0 | | | | 64,777.30 | | | | 0 | | | | 0 | | | | 0.00 | | | | 45,092.44 | | | | 443,612.08 | | | | 8,710,893.42 | | | | | |
129 | | 25-Jul-16 | | | 13,131,060.85 | | | | 1.35 | % | | | 5.0895 | | | | 5.1710 | | | | 64,772.35 | | | | 0 | | | | 64,772.35 | | | | 0 | | | | 0 | | | | 0.00 | | | | 41,520.87 | | | | 429,203.66 | | | | 8,281,689.76 | | | | | |
130 | | 25-Aug-16 | | | 12,715,785.82 | | | | 1.31 | % | | | 5.0895 | | | | 5.1710 | | | | 62,046.10 | | | | 0 | | | | 62,046.10 | | | | 0 | | | | 0 | | | | 0.00 | | | | 40,789.44 | | | | 415,275.04 | | | | 7,866,414.73 | | | | | |
131 | | 25-Sep-16 | | | 12,313,975.90 | | | | 1.27 | % | | | 5.0895 | | | | 5.1710 | | | | 60,749.42 | | | | 0 | | | | 60,749.42 | | | | 0 | | | | 0 | | | | 0.00 | | | | 38,743.25 | | | | 401,809.91 | | | | 7,464,604.81 | | | | | |
132 | | 25-Oct-16 | | | 11,925,183.35 | | | | 1.23 | % | | | 5.0895 | | | | 5.1710 | | | | 60,683.22 | | | | 0 | | | | 60,683.22 | | | | 0 | | | | 0 | | | | 0.00 | | | | 35,577.50 | | | | 388,792.55 | | | | 7,075,812.26 | | | | | |
133 | | 25-Nov-16 | | | 11,548,975.60 | | | | 1.19 | % | | | 5.0895 | | | | 5.1710 | | | | 58,288.22 | | | | 0 | | | | 58,288.22 | | | | 0 | | | | 0 | | | | 0.00 | | | | 34,847.72 | | | | 376,207.75 | | | | 6,699,604.51 | | | | | |
134 | | 25-Dec-16 | | | 11,184,934.75 | | | | 1.15 | % | | | 5.0895 | | | | 5.1710 | | | | 58,184.99 | | | | 0 | | | | 58,184.99 | | | | 0 | | | | 0 | | | | 0.00 | | | | 31,929.72 | | | | 364,040.85 | | | | 6,335,563.66 | | | | | |
135 | | 25-Jan-17 | | | 10,832,657.09 | | | | 1.12 | % | | | 5.0895 | | | | 5.1710 | | | | 55,993.19 | | | | 0 | | | | 55,993.19 | | | | 0 | | | | 0 | | | | 0.00 | | | | 31,200.33 | | | | 352,277.67 | | | | 5,983,285.99 | | | | | |
136 | | 25-Feb-17 | | | 10,491,752.55 | | | | 1.08 | % | | | 5.0895 | | | | 5.1710 | | | | 54,904.42 | | | | 0 | | | | 54,904.42 | | | | 0 | | | | 0 | | | | 0.00 | | | | 29,464.57 | | | | 340,904.53 | | | | 5,642,381.46 | | | | | |
137 | | 25-Mar-17 | | | 10,161,844.32 | | | | 1.05 | % | | | 5.0895 | | | | 5.1710 | | | | 56,541.87 | | | | 0 | | | | 56,541.87 | | | | 0 | | | | 0 | | | | 0.00 | | | | 25,096.00 | | | | 329,908.23 | | | | 5,312,473.23 | | | | | |
138 | | 25-Apr-17 | | | 9,842,568.31 | | | | 1.01 | % | | | 5.0895 | | | | 5.1710 | | | | 52,837.67 | | | | 0 | | | | 52,837.67 | | | | 0 | | | | 0 | | | | 0.00 | | | | 26,159.32 | | | | 319,276.01 | | | | 4,993,197.22 | | | | | |
139 | | 25-May-17 | | | 9,533,572.75 | | | | 0.98 | % | | | 5.0895 | | | | 5.1710 | | | | 52,650.23 | | | | 0 | | | | 52,650.23 | | | | 0 | | | | 0 | | | | 0.00 | | | | 23,793.08 | | | | 308,995.56 | | | | 4,684,201.66 | | | | | |
140 | | 25-Jun-17 | | | 9,234,517.78 | | | | 0.95 | % | | | 5.0895 | | | | 5.1710 | | | | 50,910.19 | | | | 0 | | | | 50,910.19 | | | | 0 | | | | 0 | | | | 0.00 | | | | 23,063.71 | | | | 299,054.97 | | | | 4,385,146.69 | | | | | |
141 | | 25-Jul-17 | | | 8,945,075.00 | | | | 0.92 | % | | | 5.0895 | | | | 5.1710 | | | | 50,692.16 | | | | 0 | | | | 50,692.16 | | | | 0 | | | | 0 | | | | 0.00 | | | | 20,893.75 | | | | 289,442.78 | | | | 4,095,703.91 | | | | | |
142 | | 25-Aug-17 | | | 8,664,927.13 | | | | 0.89 | % | | | 5.0895 | | | | 5.1710 | | | | 49,112.52 | | | | 0 | | | | 49,112.52 | | | | 0 | | | | 0 | | | | 0.00 | | | | 20,164.08 | | | | 280,147.87 | | | | 3,815,556.04 | | | | | |
143 | | 25-Sep-17 | | | 8,393,767.57 | | | | 0.87 | % | | | 5.0895 | | | | 5.1710 | | | | 48,259.58 | | | | 0 | | | | 48,259.58 | | | | 0 | | | | 0 | | | | 0.00 | | | | 18,783.75 | | | | 271,159.56 | | | | 3,544,396.48 | | | | | |
144 | | 25-Oct-17 | | | 8,131,300.09 | | | | 0.84 | % | | | 5.0895 | | | | 5.1710 | | | | 47,998.65 | | | | 0 | | | | 47,998.65 | | | | 0 | | | | 0 | | | | 0.00 | | | | 16,884.88 | | | | 262,467.48 | | | | 3,281,929.00 | | | | | |
145 | | 25-Nov-17 | | | 7,877,238.43 | | | | 0.81 | % | | | 5.0895 | | | | 5.1710 | | | | 46,640.25 | | | | 0 | | | | 46,640.25 | | | | 0 | | | | 0 | | | | 0.00 | | | | 16,154.50 | | | | 254,061.66 | | | | 3,027,867.34 | | | | | |
146 | | 25-Dec-17 | | | 7,631,305.98 | | | | 0.79 | % | | | 5.0895 | | | | 5.1710 | | | | 46,352.60 | | | | 0 | | | | 46,352.60 | | | | 0 | | | | 0 | | | | 0.00 | | | | 14,421.98 | | | | 245,932.45 | | | | 2,781,934.89 | | | | | |
147 | | 25-Jan-18 | | | 7,393,235.44 | | | | 0.76 | % | | | 5.0895 | | | | 5.1710 | | | | 45,129.75 | | | | 0 | | | | 45,129.75 | | | | 0 | | | | 0 | | | | 0.00 | | | | 13,690.98 | | | | 238,070.54 | | | | 2,543,864.35 | | | | | |
148 | | 25-Feb-18 | | | 7,162,768.52 | | | | 0.74 | % | | | 5.0895 | | | | 5.1710 | | | | 44,413.00 | | | | 0 | | | | 44,413.00 | | | | 0 | | | | 0 | | | | 0.00 | | | | 12,517.98 | | | | 230,466.92 | | | | 2,313,397.43 | | | | | |
149 | | 25-Mar-18 | | | 6,939,655.60 | | | | 0.72 | % | | | 5.0895 | | | | 5.1710 | | | | 44,822.24 | | | | 0 | | | | 44,822.24 | | | | 0 | | | | 0 | | | | 0.00 | | | | 10,280.93 | | | | 223,112.92 | | | | 2,090,284.51 | | | | | |
150 | | 25-Apr-18 | | | 6,723,655.47 | | | | 0.69 | % | | | 5.0895 | | | | 5.1710 | | | | 43,052.07 | | | | 0 | | | | 43,052.07 | | | | 0 | | | | 0 | | | | 0.00 | | | | 10,283.16 | | | | 216,000.13 | | | | 1,874,284.38 | | | | | |
151 | | 25-May-18 | | | 6,514,535.00 | | | | 0.67 | % | | | 5.0895 | | | | 5.1710 | | | | 42,703.61 | | | | 0 | | | | 42,703.61 | | | | 0 | | | | 0 | | | | 0.00 | | | | 8,921.54 | | | | 209,120.47 | | | | 1,665,163.91 | | | | | |
152 | | 25-Jun-18 | | | 6,312,068.90 | | | | 0.65 | % | | | 5.0895 | | | | 5.1710 | | | | 41,782.42 | | | | 0 | | | | 41,782.42 | | | | 0 | | | | 0 | | | | 0.00 | | | | 8,188.58 | | | | 202,466.10 | | | | 1,462,697.81 | | | | | |
153 | | 25-Jul-18 | | | 6,116,039.45 | | | | 0.63 | % | | | 5.0895 | | | | 5.1710 | | | | 41,411.85 | | | | 0 | | | | 41,411.85 | | | | 0 | | | | 0 | | | | 0.00 | | | | 6,959.05 | | | | 196,029.45 | | | | 1,266,668.36 | | | | | |
154 | | 25-Aug-18 | | | 5,926,236.21 | | | | 0.61 | % | | | 5.0895 | | | | 5.1710 | | | | 40,597.87 | | | | 0 | | | | 40,597.87 | | | | 0 | | | | 0 | | | | 0.00 | | | | 6,225.18 | | | | 189,803.24 | | | | 1,076,865.11 | | | | | |
155 | | 25-Sep-18 | | | 5,742,455.79 | | | | 0.59 | % | | | 5.0895 | | | | 5.1710 | | | | 40,035.69 | | | | 0 | | | | 40,035.69 | | | | 0 | | | | 0 | | | | 0.00 | | | | 5,290.02 | | | | 183,780.42 | | | | 893,084.70 | | | | | |
156 | | 25-Oct-18 | | | 5,564,501.63 | | | | 0.57 | % | | | 5.0895 | | | | 5.1710 | | | | 39,634.09 | | | | 0 | | | | 39,634.09 | | | | 0 | | | | 0 | | | | 0.00 | | | | 4,243.10 | | | | 177,954.16 | | | | 715,130.54 | | | | | |
157 | | 25-Nov-18 | | | 5,392,183.74 | | | | 0.56 | % | | | 5.0895 | | | | 5.1710 | | | | 38,968.09 | | | | 0 | | | | 38,968.09 | | | | 0 | | | | 0 | | | | 0.00 | | | | 3,507.76 | | | | 172,317.89 | | | | 542,812.65 | | | | | |
158 | | 25-Dec-18 | | | 5,225,318.48 | | | | 0.54 | % | | | 5.0895 | | | | 5.1710 | | | | 38,547.15 | | | | 0 | | | | 38,547.15 | | | | 0 | | | | 0 | | | | 0.00 | | | | 2,572.99 | | | | 166,865.26 | | | | 375,947.38 | | | | | |
159 | | 25-Jan-19 | | | 5,063,728.34 | | | | 0.52 | % | | | 5.0895 | | | | 5.1710 | | | | 37,971.90 | | | | 0 | | | | 37,971.90 | | | | 0 | | | | 0 | | | | 0.00 | | | | 1,836.62 | | | | 161,590.14 | | | | 214,357.24 | | | | | |
160 | | 25-Feb-19 | | | 4,907,241.75 | | | | 0.51 | % | | | 5.0895 | | | | 5.1710 | | | | 37,499.05 | | | | 0 | | | | 37,499.05 | | | | 0 | | | | 0 | | | | 0.00 | | | | 1,040.48 | | | | 156,486.59 | | | | 57,870.66 | | | | | |
161 | | 25-Mar-19 | | | 4,755,692.87 | | | | 0.49 | % | | | 5.0895 | | | | 5.1710 | | | | 37,060.16 | | | | 0 | | | | 37,060.16 | | | | 0 | | | | 0 | | | | 93,678.22 | | | | 251.59 | | | | 57,870.66 | | | | 0 | | | | | |
162 | | 25-Apr-19 | | | 4,608,921.38 | | | | 0.48 | % | | | 5.0895 | | | | 5.1710 | | | | 36,123.81 | | | | 0 | | | | 36,123.81 | | | | 0 | | | | 0 | | | | 146,771.49 | | | | | | | | | | | | | | | | | |
163 | | 25-May-19 | | | 4,466,772.30 | | | | 0.46 | % | | | 5.0895 | | | | 5.1710 | | | | 34,974.39 | | | | 0 | | | | 34,974.39 | | | | 0 | | | | 0 | | | | 142,149.08 | | | | | | | | | | | | | | | | | |
164 | | 25-Jun-19 | | | 4,329,095.83 | | | | 0.45 | % | | | 5.0895 | | | | 5.1710 | | | | 33,862.21 | | | | 0 | | | | 33,862.21 | | | | 0 | | | | 0 | | | | 137,676.47 | | | | | | | | | | | | | | | | | |
165 | | 25-Jul-19 | | | 4,195,747.14 | | | | 0.43 | % | | | 5.0895 | | | | 5.1710 | | | | 32,786.03 | | | | 0 | | | | 32,786.03 | | | | 0 | | | | 0 | | | | 133,348.69 | | | | | | | | | | | | | | | | | |
166 | | 25-Aug-19 | | | 4,066,586.22 | | | | 0.42 | % | | | 5.0895 | | | | 5.1710 | | | | 31,744.66 | | | | 0 | | | | 31,744.66 | | | | 0 | | | | 0 | | | | 129,160.92 | | | | | | | | | | | | | | | | | |
167 | | 25-Sep-19 | | | 3,941,477.71 | | | | 0.41 | % | | | 5.0895 | | | | 5.1710 | | | | 30,736.95 | | | | 0 | | | | 30,736.95 | | | | 0 | | | | 0 | | | | 125,108.51 | | | | | | | | | | | | | | | | | |
168 | | 25-Oct-19 | | | 3,820,290.76 | | | | 0.39 | % | | | 5.0895 | | | | 5.1710 | | | | 29,761.78 | | | | 0 | | | | 29,761.78 | | | | 0 | | | | 0 | | | | 121,186.95 | | | | | | | | | | | | | | | | | |
169 | | 25-Nov-19 | | | 3,702,898.84 | | | | 0.38 | % | | | 5.0895 | | | | 5.1710 | | | | 28,818.08 | | | | 0 | | | | 28,818.08 | | | | 0 | | | | 0 | | | | 117,391.92 | | | | | | | | | | | | | | | | | |
170 | | 25-Dec-19 | | | 3,589,179.63 | | | | 0.37 | % | | | 5.0895 | | | | 5.1710 | | | | 27,904.80 | | | | 0 | | | | 27,904.80 | | | | 0 | | | | 0 | | | | 113,719.21 | | | | | | | | | | | | | | | | | |
171 | | 25-Jan-20 | | | 3,479,014.86 | | | | 0.36 | % | | | 5.0895 | | | | 5.1710 | | | | 27,020.94 | | | | 0 | | | | 27,020.94 | | | | 0 | | | | 0 | | | | 110,164.77 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
172 | | 25-Feb-20 | | | 3,372,290.17 | | | | 0.35 | % | | | 5.0895 | | | | 5.1710 | | | | 26,165.54 | | | | 0 | | | | 26,165.54 | | | | 0 | | | | 0 | | | | 106,724.68 | | | | | | | | | | | | | | | | | |
173 | | 25-Mar-20 | | | 3,268,895.01 | | | | 0.34 | % | | | 5.0895 | | | | 5.1710 | | | | 25,337.65 | | | | 0 | | | | 25,337.65 | | | | 0 | | | | 0 | | | | 103,395.17 | | | | | | | | | | | | | | | | | |
174 | | 25-Apr-20 | | | 3,168,722.44 | | | | 0.33 | % | | | 5.0895 | | | | 5.1710 | | | | 24,536.36 | | | | 0 | | | | 24,536.36 | | | | 0 | | | | 0 | | | | 100,172.57 | | | | | | | | | | | | | | | | | |
175 | | 25-May-20 | | | 3,071,669.09 | | | | 0.32 | % | | | 5.0895 | | | | 5.1710 | | | | 23,760.80 | | | | 0 | | | | 23,760.80 | | | | 0 | | | | 0 | | | | 97,053.35 | | | | | | | | | | | | | | | | | |
176 | | 25-Jun-20 | | | 2,977,634.99 | | | | 0.31 | % | | | 5.0895 | | | | 5.1710 | | | | 23,010.13 | | | | 0 | | | | 23,010.13 | | | | 0 | | | | 0 | | | | 94,034.10 | | | | | | | | | | | | | | | | | |
177 | | 25-Jul-20 | | | 2,886,523.46 | | | | 0.30 | % | | | 5.0895 | | | | 5.1710 | | | | 22,283.52 | | | | 0 | | | | 22,283.52 | | | | 0 | | | | 0 | | | | 91,111.53 | | | | | | | | | | | | | | | | | |
178 | | 25-Aug-20 | | | 2,798,241.01 | | | | 0.29 | % | | | 5.0895 | | | | 5.1710 | | | | 21,580.18 | | | | 0 | | | | 21,580.18 | | | | 0 | | | | 0 | | | | 88,282.45 | | | | | | | | | | | | | | | | | |
179 | | 25-Sep-20 | | | 2,712,913.28 | | | | 0.28 | % | | | 5.0895 | | | | 5.1710 | | | | 20,899.35 | | | | 0 | | | | 20,899.35 | | | | 0 | | | | 0 | | | | 85,327.73 | | | | | | | | | | | | | | | | | |
180 | | 25-Oct-20 | | | 2,630,389.41 | | | | 0.27 | % | | | 5.0895 | | | | 5.1710 | | | | 20,242.11 | | | | 0 | | | | 20,242.11 | | | | 0 | | | | 0 | | | | 82,523.87 | | | | | | | | | | | | | | | | | |
181 | | 25-Nov-20 | | | 2,550,419.21 | | | | 0.26 | % | | | 5.0895 | | | | 5.1710 | | | | 19,606.95 | | | | 0 | | | | 19,606.95 | | | | 0 | | | | 0 | | | | 79,970.20 | | | | | | | | | | | | | | | | | |
182 | | 25-Dec-20 | | | 2,472,921.26 | | | | 0.25 | % | | | 5.0895 | | | | 5.1710 | | | | 18,992.06 | | | | 0 | | | | 18,992.06 | | | | 0 | | | | 0 | | | | 77,497.95 | | | | | | | | | | | | | | | | | |
183 | | 25-Jan-21 | | | 2,397,816.79 | | | | 0.25 | % | | | 5.0895 | | | | 5.1710 | | | | 18,396.77 | | | | 0 | | | | 18,396.77 | | | | 0 | | | | 0 | | | | 75,104.47 | | | | | | | | | | | | | | | | | |
184 | | 25-Feb-21 | | | 2,325,029.63 | | | | 0.24 | % | | | 5.0895 | | | | 5.1710 | | | | 17,820.44 | | | | 0 | | | | 17,820.44 | | | | 0 | | | | 0 | | | | 72,787.16 | | | | | | | | | | | | | | | | | |
185 | | 25-Mar-21 | | | 2,254,486.11 | | | | 0.23 | % | | | 5.0895 | | | | 5.1710 | | | | 17,262.46 | | | | 0 | | | | 17,262.46 | | | | 0 | | | | 0 | | | | 70,543.52 | | | | | | | | | | | | | | | | | |
186 | | 25-Apr-21 | | | 2,186,114.96 | | | | 0.23 | % | | | 5.0895 | | | | 5.1710 | | | | 16,722.23 | | | | 0 | | | | 16,722.23 | | | | 0 | | | | 0 | | | | 68,371.14 | | | | | | | | | | | | | | | | | |
187 | | 25-May-21 | | | 2,119,847.27 | | | | 0.22 | % | | | 5.0895 | | | | 5.1710 | | | | 16,199.16 | | | | 0 | | | | 16,199.16 | | | | 0 | | | | 0 | | | | 66,267.69 | | | | | | | | | | | | | | | | | |
188 | | 25-Jun-21 | | | 2,055,616.37 | | | | 0.21 | % | | | 5.0895 | | | | 5.1710 | | | | 15,692.70 | | | | 0 | | | | 15,692.70 | | | | 0 | | | | 0 | | | | 64,230.91 | | | | | | | | | | | | | | | | | |
189 | | 25-Jul-21 | | | 1,993,357.76 | | | | 0.21 | % | | | 5.0895 | | | | 5.1710 | | | | 15,202.30 | | | | 0 | | | | 15,202.30 | | | | 0 | | | | 0 | | | | 62,258.61 | | | | | | | | | | | | | | | | | |
190 | | 25-Aug-21 | | | 1,933,009.05 | | | | 0.20 | % | | | 5.0895 | | | | 5.1710 | | | | 14,727.44 | | | | 0 | | | | 14,727.44 | | | | 0 | | | | 0 | | | | 60,348.70 | | | | | | | | | | | | | | | | | |
191 | | 25-Sep-21 | | | 1,874,509.91 | | | | 0.19 | % | | | 5.0895 | | | | 5.1710 | | | | 14,267.62 | | | | 0 | | | | 14,267.62 | | | | 0 | | | | 0 | | | | 58,499.14 | | | | | | | | | | | | | | | | | |
192 | | 25-Oct-21 | | | 1,817,801.95 | | | | 0.19 | % | | | 5.0895 | | | | 5.1710 | | | | 13,822.35 | | | | 0 | | | | 13,822.35 | | | | 0 | | | | 0 | | | | 56,707.96 | | | | | | | | | | | | | | | | | |
193 | | 25-Nov-21 | | | 1,762,828.68 | | | | 0.18 | % | | | 5.0895 | | | | 5.1710 | | | | 13,391.15 | | | | 0 | | | | 13,391.15 | | | | 0 | | | | 0 | | | | 54,973.26 | | | | | | | | | | | | | | | | | |
194 | | 25-Dec-21 | | | 1,709,535.48 | | | | 0.18 | % | | | 5.0895 | | | | 5.1710 | | | | 12,973.57 | | | | 0 | | | | 12,973.57 | | | | 0 | | | | 0 | | | | 53,293.20 | | | | | | | | | | | | | | | | | |
195 | | 25-Jan-22 | | | 1,657,869.47 | | | | 0.17 | % | | | 5.0895 | | | | 5.1710 | | | | 12,569.16 | | | | 0 | | | | 12,569.16 | | | | 0 | | | | 0 | | | | 51,666.01 | | | | | | | | | | | | | | | | | |
196 | | 25-Feb-22 | | | 1,607,779.51 | | | | 0.17 | % | | | 5.0895 | | | | 5.1710 | | | | 12,177.51 | | | | 0 | | | | 12,177.51 | | | | 0 | | | | 0 | | | | 50,089.96 | | | | | | | | | | | | | | | | | |
197 | | 25-Mar-22 | | | 1,559,216.10 | | | | 0.16 | % | | | 5.0895 | | | | 5.1710 | | | | 11,798.20 | | | | 0 | | | | 11,798.20 | | | | 0 | | | | 0 | | | | 48,563.40 | | | | | | | | | | | | | | | | | |
198 | | 25-Apr-22 | | | 1,512,131.38 | | | | 0.16 | % | | | 5.0895 | | | | 5.1710 | | | | 11,430.82 | | | | 0 | | | | 11,430.82 | | | | 0 | | | | 0 | | | | 47,084.73 | | | | | | | | | | | | | | | | | |
199 | | 25-May-22 | | | 1,466,479.00 | | | | 0.15 | % | | | 5.0895 | | | | 5.1710 | | | | 11,074.99 | | | | 0 | | | | 11,074.99 | | | | 0 | | | | 0 | | | | 45,652.38 | | | | | | | | | | | | | | | | | |
200 | | 25-Jun-22 | | | 1,422,214.13 | | | | 0.15 | % | | | 5.0895 | | | | 5.1710 | | | | 10,730.35 | | | | 0 | | | | 10,730.35 | | | | 0 | | | | 0 | | | | 44,264.86 | | | | | | | | | | | | | | | | | |
201 | | 25-Jul-22 | | | 1,379,293.40 | | | | 0.14 | % | | | 5.0895 | | | | 5.1710 | | | | 10,396.53 | | | | 0 | | | | 10,396.53 | | | | 0 | | | | 0 | | | | 42,920.73 | | | | | | | | | | | | | | | | | |
202 | | 25-Aug-22 | | | 1,337,674.82 | | | | 0.14 | % | | | 5.0895 | | | | 5.1710 | | | | 10,073.17 | | | | 0 | | | | 10,073.17 | | | | 0 | | | | 0 | | | | 41,618.58 | | | | | | | | | | | | | | | | | |
203 | | 25-Sep-22 | | | 1,297,317.76 | | | | 0.13 | % | | | 5.0895 | | | | 5.1710 | | | | 9,759.96 | | | | 0 | | | | 9,759.96 | | | | 0 | | | | 0 | | | | 40,357.06 | | | | | | | | | | | | | | | | | |
204 | | 25-Oct-22 | | | 1,258,182.91 | | | | 0.13 | % | | | 5.0895 | | | | 5.1710 | | | | 9,456.55 | | | | 0 | | | | 9,456.55 | | | | 0 | | | | 0 | | | | 39,134.85 | | | | | | | | | | | | | | | | | |
205 | | 25-Nov-22 | | | 1,220,232.22 | | | | 0.13 | % | | | 5.0895 | | | | 5.1710 | | | | 9,162.63 | | | | 0 | | | | 9,162.63 | | | | 0 | | | | 0 | | | | 37,950.69 | | | | | | | | | | | | | | | | | |
206 | | 25-Dec-22 | | | 1,183,428.86 | | | | 0.12 | % | | | 5.0895 | | | | 5.1710 | | | | 8,877.90 | | | | 0 | | | | 8,877.90 | | | | 0 | | | | 0 | | | | 36,803.36 | | | | | | | | | | | | | | | | | |
207 | | 25-Jan-23 | | | 1,147,737.19 | | | | 0.12 | % | | | 5.0895 | | | | 5.1710 | | | | 8,602.07 | | | | 0 | | | | 8,602.07 | | | | 0 | | | | 0 | | | | 35,691.67 | | | | | | | | | | | | | | | | | |
208 | | 25-Feb-23 | | | 1,113,122.72 | | | | 0.11 | % | | | 5.0895 | | | | 5.1710 | | | | 8,334.84 | | | | 0 | | | | 8,334.84 | | | | 0 | | | | 0 | | | | 34,614.48 | | | | | | | | | | | | | | | | | |
209 | | 25-Mar-23 | | | 1,079,552.05 | | | | 0.11 | % | | | 5.0895 | | | | 5.1710 | | | | 8,075.95 | | | | 0 | | | | 8,075.95 | | | | 0 | | | | 0 | | | | 33,570.67 | | | | | | | | | | | | | | | | | |
210 | | 25-Apr-23 | | | 1,046,992.86 | | | | 0.11 | % | | | 5.0895 | | | | 5.1710 | | | | 7,825.13 | | | | 0 | | | | 7,825.13 | | | | 0 | | | | 0 | | | | 32,559.19 | | | | | | | | | | | | | | | | | |
211 | | 25-May-23 | | | 1,015,413.86 | | | | 0.10 | % | | | 5.0895 | | | | 5.1710 | | | | 7,582.11 | | | | 0 | | | | 7,582.11 | | | | 0 | | | | 0 | | | | 31,578.99 | | | | | | | | | | | | | | | | | |
212 | | 25-Jun-23 | | | 984,784.78 | | | | 0.10 | % | | | 5.0895 | | | | 5.1710 | | | | 7,346.66 | | | | 0 | | | | 7,346.66 | | | | 0 | | | | 0 | | | | 30,629.08 | | | | | | | | | | | | | | | | | |
213 | | 25-Jul-23 | | | 955,076.29 | | | | 0.10 | % | | | 5.0895 | | | | 5.1710 | | | | 7,118.52 | | | | 0 | | | | 7,118.52 | | | | 0 | | | | 0 | | | | 29,708.49 | | | | | | | | | | | | | | | | | |
214 | | 25-Aug-23 | | | 926,260.01 | | | | 0.10 | % | | | 5.0895 | | | | 5.1710 | | | | 6,897.47 | | | | 0 | | | | 6,897.47 | | | | 0 | | | | 0 | | | | 28,816.28 | | | | | | | | | | | | | | | | | |
215 | | 25-Sep-23 | | | 898,308.46 | | | | 0.09 | % | | | 5.0895 | | | | 5.1710 | | | | 6,683.28 | | | | 0 | | | | 6,683.28 | | | | 0 | | | | 0 | | | | 27,951.54 | | | | | | | | | | | | | | | | | |
216 | | 25-Oct-23 | | | 871,195.05 | | | | 0.09 | % | | | 5.0895 | | | | 5.1710 | | | | 6,475.73 | | | | 0 | | | | 6,475.73 | | | | 0 | | | | 0 | | | | 27,113.41 | | | | | | | | | | | | | | | | | |
217 | | 25-Nov-23 | | | 844,894.02 | | | | 0.09 | % | | | 5.0895 | | | | 5.1710 | | | | 6,274.62 | | | | 0 | | | | 6,274.62 | | | | 0 | | | | 0 | | | | 26,301.03 | | | | | | | | | | | | | | | | | |
218 | | 25-Dec-23 | | | 819,380.43 | | | | 0.08 | % | | | 5.0895 | | | | 5.1710 | | | | 6,079.73 | | | | 0 | | | | 6,079.73 | | | | 0 | | | | 0 | | | | 25,513.59 | | | | | | | | | | | | | | | | | |
219 | | 25-Jan-24 | | | 794,630.13 | | | | 0.08 | % | | | 5.0895 | | | | 5.1710 | | | | 5,890.87 | | | | 0 | | | | 5,890.87 | | | | 0 | | | | 0 | | | | 24,750.30 | | | | | | | | | | | | | | | | | |
220 | | 25-Feb-24 | | | 770,619.75 | | | | 0.08 | % | | | 5.0895 | | | | 5.1710 | | | | 5,707.85 | | | | 0 | | | | 5,707.85 | | | | 0 | | | | 0 | | | | 24,010.38 | | | | | | | | | | | | | | | | | |
221 | | 25-Mar-24 | | | 747,326.65 | | | | 0.08 | % | | | 5.0895 | | | | 5.1710 | | | | 5,530.49 | | | | 0 | | | | 5,530.49 | | | | 0 | | | | 0 | | | | 23,293.10 | | | | | | | | | | | | | | | | | |
222 | | 25-Apr-24 | | | 724,728.91 | | | | 0.07 | % | | | 5.0895 | | | | 5.1710 | | | | 5,358.60 | | | | 0 | | | | 5,358.60 | | | | 0 | | | | 0 | | | | 22,597.74 | | | | | | | | | | | | | | | | | |
223 | | 25-May-24 | | | 702,805.29 | | | | 0.07 | % | | | 5.0895 | | | | 5.1710 | | | | 5,192.01 | | | | 0 | | | | 5,192.01 | | | | 0 | | | | 0 | | | | 21,923.61 | | | | | | | | | | | | | | | | | |
224 | | 25-Jun-24 | | | 681,535.25 | | | | 0.07 | % | | | 5.0895 | | | | 5.1710 | | | | 5,030.56 | | | | 0 | | | | 5,030.56 | | | | 0 | | | | 0 | | | | 21,270.05 | | | | | | | | | | | | | | | | | |
225 | | 25-Jul-24 | | | 660,898.86 | | | | 0.07 | % | | | 5.0895 | | | | 5.1710 | | | | 4,874.08 | | | | 0 | | | | 4,874.08 | | | | 0 | | | | 0 | | | | 20,636.39 | | | | | | | | | | | | | | | | | |
226 | | 25-Aug-24 | | | 640,876.86 | | | | 0.07 | % | | | 5.0895 | | | | 5.1710 | | | | 4,722.42 | | | | 0 | | | | 4,722.42 | | | | 0 | | | | 0 | | | | 20,022.01 | | | | | | | | | | | | | | | | | |
227 | | 25-Sep-24 | | | 621,450.55 | | | | 0.06 | % | | | 5.0895 | | | | 5.1710 | | | | 4,575.43 | | | | 0 | | | | 4,575.43 | | | | 0 | | | | 0 | | | | 19,426.31 | | | | | | | | | | | | | | | | | |
228 | | 25-Oct-24 | | | 602,601.85 | | | | 0.06 | % | | | 5.0895 | | | | 5.1710 | | | | 4,432.95 | | | | 0 | | | | 4,432.95 | | | | 0 | | | | 0 | | | | 18,848.69 | | | | | | | | | | | | | | | | | |
229 | | 25-Nov-24 | | | 584,313.25 | | | | 0.06 | % | | | 5.0895 | | | | 5.1710 | | | | 4,294.85 | | | | 0 | | | | 4,294.85 | | | | 0 | | | | 0 | | | | 18,288.60 | | | | | | | | | | | | | | | | | |
230 | | 25-Dec-24 | | | 566,567.77 | | | | 0.06 | % | | | 5.0895 | | | | 5.1710 | | | | 4,160.99 | | | | 0 | | | | 4,160.99 | | | | 0 | | | | 0 | | | | 17,745.48 | | | | | | | | | | | | | | | | | |
231 | | 25-Jan-25 | | | 549,348.98 | | | | 0.06 | % | | | 5.0895 | | | | 5.1710 | | | | 4,031.24 | | | | 0 | | | | 4,031.24 | | | | 0 | | | | 0 | | | | 17,218.80 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
232 | | 25-Feb-25 | | | 532,640.94 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,905.47 | | | | 0 | | | | 3,905.47 | | | | 0 | | | | 0 | | | | 16,708.04 | | | | | | | | | | | | | | | | | |
233 | | 25-Mar-25 | | | 516,428.24 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,783.55 | | | | 0 | | | | 3,783.55 | | | | 0 | | | | 0 | | | | 16,212.70 | | | | | | | | | | | | | | | | | |
234 | | 25-Apr-25 | | | 500,695.92 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,665.36 | | | | 0 | | | | 3,665.36 | | | | 0 | | | | 0 | | | | 15,732.32 | | | | | | | | | | | | | | | | | |
235 | | 25-May-25 | | | 485,429.51 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,550.79 | | | | 0 | | | | 3,550.79 | | | | 0 | | | | 0 | | | | 15,266.41 | | | | | | | | | | | | | | | | | |
236 | | 25-Jun-25 | | | 470,614.99 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,439.73 | | | | 0 | | | | 3,439.73 | | | | 0 | | | | 0 | | | | 14,814.53 | | | | | | | | | | | | | | | | | |
237 | | 25-Jul-25 | | | 456,238.75 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,332.06 | | | | 0 | | | | 3,332.06 | | | | 0 | | | | 0 | | | | 14,376.23 | | | | | | | | | | | | | | | | | |
238 | | 25-Aug-25 | | | 442,287.64 | | | | 0.05 | % | | | 5.0895 | | | | 5.1710 | | | | 3,227.68 | | | | 0 | | | | 3,227.68 | | | | 0 | | | | 0 | | | | 13,951.11 | | | | | | | | | | | | | | | | | |
239 | | 25-Sep-25 | | | 428,757.12 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 3,126.48 | | | | 0 | | | | 3,126.48 | | | | 0 | | | | 0 | | | | 13,530.52 | | | | | | | | | | | | | | | | | |
240 | | 25-Oct-25 | | | 415,703.80 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 3,028.42 | | | | 0 | | | | 3,028.42 | | | | 0 | | | | 0 | | | | 13,053.32 | | | | | | | | | | | | | | | | | |
241 | | 25-Nov-25 | | | 403,035.34 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,933.80 | | | | 0 | | | | 2,933.80 | | | | 0 | | | | 0 | | | | 12,668.46 | | | | | | | | | | | | | | | | | |
242 | | 25-Dec-25 | | | 390,740.22 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,842.07 | | | | 0 | | | | 2,842.07 | | | | 0 | | | | 0 | | | | 12,295.12 | | | | | | | | | | | | | | | | | |
243 | | 25-Jan-26 | | | 378,807.27 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,753.12 | | | | 0 | | | | 2,753.12 | | | | 0 | | | | 0 | | | | 11,932.94 | | | | | | | | | | | | | | | | | |
244 | | 25-Feb-26 | | | 367,225.68 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,666.89 | | | | 0 | | | | 2,666.89 | | | | 0 | | | | 0 | | | | 11,581.59 | | | | | | | | | | | | | | | | | |
245 | | 25-Mar-26 | | | 355,984.96 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,583.27 | | | | 0 | | | | 2,583.27 | | | | 0 | | | | 0 | | | | 11,240.72 | | | | | | | | | | | | | | | | | |
246 | | 25-Apr-26 | | | 345,074.95 | | | | 0.04 | % | | | 5.0895 | | | | 5.1710 | | | | 2,502.20 | | | | 0 | | | | 2,502.20 | | | | 0 | | | | 0 | | | | 10,910.01 | | | | | | | | | | | | | | | | | |
247 | | 25-May-26 | | | 334,485.80 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,423.59 | | | | 0 | | | | 2,423.59 | | | | 0 | | | | 0 | | | | 10,589.15 | | | | | | | | | | | | | | | | | |
248 | | 25-Jun-26 | | | 324,207.97 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,347.36 | | | | 0 | | | | 2,347.36 | | | | 0 | | | | 0 | | | | 10,277.84 | | | | | | | | | | | | | | | | | |
249 | | 25-Jul-26 | | | 314,232.19 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,273.45 | | | | 0 | | | | 2,273.45 | | | | 0 | | | | 0 | | | | 9,975.78 | | | | | | | | | | | | | | | | | |
250 | | 25-Aug-26 | | | 304,549.51 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,201.78 | | | | 0 | | | | 2,201.78 | | | | 0 | | | | 0 | | | | 9,682.68 | | | | | | | | | | | | | | | | | |
251 | | 25-Sep-26 | | | 295,151.22 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,132.29 | | | | 0 | | | | 2,132.29 | | | | 0 | | | | 0 | | | | 9,398.29 | | | | | | | | | | | | | | | | | |
252 | | 25-Oct-26 | | | 286,028.91 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 2,064.90 | | | | 0 | | | | 2,064.90 | | | | 0 | | | | 0 | | | | 9,122.31 | | | | | | | | | | | | | | | | | |
253 | | 25-Nov-26 | | | 277,174.39 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 1,999.55 | | | | 0 | | | | 1,999.55 | | | | 0 | | | | 0 | | | | 8,854.51 | | | | | | | | | | | | | | | | | |
254 | | 25-Dec-26 | | | 268,579.76 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 1,936.19 | | | | 0 | | | | 1,936.19 | | | | 0 | | | | 0 | | | | 8,594.63 | | | | | | | | | | | | | | | | | |
255 | | 25-Jan-27 | | | 260,237.33 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 1,874.74 | | | | 0 | | | | 1,874.74 | | | | 0 | | | | 0 | | | | 8,342.43 | | | | | | | | | | | | | | | | | |
256 | | 25-Feb-27 | | | 252,139.66 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 1,815.15 | | | | 0 | | | | 1,815.15 | | | | 0 | | | | 0 | | | | 8,097.67 | | | | | | | | | | | | | | | | | |
257 | | 25-Mar-27 | | | 244,279.53 | | | | 0.03 | % | | | 5.0895 | | | | 5.1710 | | | | 1,757.37 | | | | 0 | | | | 1,757.37 | | | | 0 | | | | 0 | | | | 7,860.13 | | | | | | | | | | | | | | | | | |
258 | | 25-Apr-27 | | | 236,649.95 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,701.33 | | | | 0 | | | | 1,701.33 | | | | 0 | | | | 0 | | | | 7,629.59 | | | | | | | | | | | | | | | | | |
259 | | 25-May-27 | | | 229,244.12 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,646.99 | | | | 0 | | | | 1,646.99 | | | | 0 | | | | 0 | | | | 7,405.83 | | | | | | | | | | | | | | | | | |
260 | | 25-Jun-27 | | | 222,055.47 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,594.29 | | | | 0 | | | | 1,594.29 | | | | 0 | | | | 0 | | | | 7,188.65 | | | | | | | | | | | | | | | | | |
261 | | 25-Jul-27 | | | 215,077.61 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,543.18 | | | | 0 | | | | 1,543.18 | | | | 0 | | | | 0 | | | | 6,977.86 | | | | | | | | | | | | | | | | | |
262 | | 25-Aug-27 | | | 208,304.36 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,493.62 | | | | 0 | | | | 1,493.62 | | | | 0 | | | | 0 | | | | 6,773.25 | | | | | | | | | | | | | | | | | |
263 | | 25-Sep-27 | | | 201,729.72 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,445.56 | | | | 0 | | | | 1,445.56 | | | | 0 | | | | 0 | | | | 6,574.64 | | | | | | | | | | | | | | | | | |
264 | | 25-Oct-27 | | | 195,347.87 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,398.95 | | | | 0 | | | | 1,398.95 | | | | 0 | | | | 0 | | | | 6,381.85 | | | | | | | | | | | | | | | | | |
265 | | 25-Nov-27 | | | 189,153.17 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,353.75 | | | | 0 | | | | 1,353.75 | | | | 0 | | | | 0 | | | | 6,194.70 | | | | | | | | | | | | | | | | | |
266 | | 25-Dec-27 | | | 183,140.14 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,309.91 | | | | 0 | | | | 1,309.91 | | | | 0 | | | | 0 | | | | 6,013.03 | | | | | | | | | | | | | | | | | |
267 | | 25-Jan-28 | | | 177,303.46 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,267.40 | | | | 0 | | | | 1,267.40 | | | | 0 | | | | 0 | | | | 5,836.67 | | | | | | | | | | | | | | | | | |
268 | | 25-Feb-28 | | | 171,638.01 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,226.17 | | | | 0 | | | | 1,226.17 | | | | 0 | | | | 0 | | | | 5,665.46 | | | | | | | | | | | | | | | | | |
269 | | 25-Mar-28 | | | 166,138.76 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,186.19 | | | | 0 | | | | 1,186.19 | | | | 0 | | | | 0 | | | | 5,499.24 | | | | | | | | | | | | | | | | | |
270 | | 25-Apr-28 | | | 160,800.89 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,147.41 | | | | 0 | | | | 1,147.41 | | | | 0 | | | | 0 | | | | 5,337.87 | | | | | | | | | | | | | | | | | |
271 | | 25-May-28 | | | 155,619.69 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,109.81 | | | | 0 | | | | 1,109.81 | | | | 0 | | | | 0 | | | | 5,181.20 | | | | | | | | | | | | | | | | | |
272 | | 25-Jun-28 | | | 150,590.60 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,073.34 | | | | 0 | | | | 1,073.34 | | | | 0 | | | | 0 | | | | 5,029.09 | | | | | | | | | | | | | | | | | |
273 | | 25-Jul-28 | | | 145,709.20 | | | | 0.02 | % | | | 5.0895 | | | | 5.1710 | | | | 1,037.98 | | | | 0 | | | | 1,037.98 | | | | 0 | | | | 0 | | | | 4,881.40 | | | | | | | | | | | | | | | | | |
274 | | 25-Aug-28 | | | 140,971.19 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 1,003.68 | | | | 0 | | | | 1,003.68 | | | | 0 | | | | 0 | | | | 4,738.01 | | | | | | | | | | | | | | | | | |
275 | | 25-Sep-28 | | | 136,372.41 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 970.42 | | | | 0 | | | | 970.42 | | | | 0 | | | | 0 | | | | 4,598.78 | | | | | | | | | | | | | | | | | |
276 | | 25-Oct-28 | | | 131,908.82 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 938.16 | | | | 0 | | | | 938.16 | | | | 0 | | | | 0 | | | | 4,463.59 | | | | | | | | | | | | | | | | | |
277 | | 25-Nov-28 | | | 127,576.51 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 906.88 | | | | 0 | | | | 906.88 | | | | 0 | | | | 0 | | | | 4,332.32 | | | | | | | | | | | | | | | | | |
278 | | 25-Dec-28 | | | 123,371.66 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 876.55 | | | | 0 | | | | 876.55 | | | | 0 | | | | 0 | | | | 4,204.85 | | | | | | | | | | | | | | | | | |
279 | | 25-Jan-29 | | | 119,290.58 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 847.13 | | | | 0 | | | | 847.13 | | | | 0 | | | | 0 | | | | 4,081.07 | | | | | | | | | | | | | | | | | |
280 | | 25-Feb-29 | | | 115,329.70 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 818.61 | | | | 0 | | | | 818.61 | | | | 0 | | | | 0 | | | | 3,960.88 | | | | | | | | | | | | | | | | | |
281 | | 25-Mar-29 | | | 111,485.54 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 790.94 | | | | 0 | | | | 790.94 | | | | 0 | | | | 0 | | | | 3,844.16 | | | | | | | | | | | | | | | | | |
282 | | 25-Apr-29 | | | 107,754.73 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 764.12 | | | | 0 | | | | 764.12 | | | | 0 | | | | 0 | | | | 3,730.81 | | | | | | | | | | | | | | | | | |
283 | | 25-May-29 | | | 104,133.99 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 738.11 | | | | 0 | | | | 738.11 | | | | 0 | | | | 0 | | | | 3,620.74 | | | | | | | | | | | | | | | | | |
284 | | 25-Jun-29 | | | 100,620.14 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 712.88 | | | | 0 | | | | 712.88 | | | | 0 | | | | 0 | | | | 3,513.85 | | | | | | | | | | | | | | | | | |
285 | | 25-Jul-29 | | | 97,210.11 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 688.42 | | | | 0 | | | | 688.42 | | | | 0 | | | | 0 | | | | 3,410.03 | | | | | | | | | | | | | | | | | |
286 | | 25-Aug-29 | | | 93,900.90 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 664.70 | | | | 0 | | | | 664.70 | | | | 0 | | | | 0 | | | | 3,309.21 | | | | | | | | | | | | | | | | | |
287 | | 25-Sep-29 | | | 90,689.60 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 641.71 | | | | 0 | | | | 641.71 | | | | 0 | | | | 0 | | | | 3,211.30 | | | | | | | | | | | | | | | | | |
288 | | 25-Oct-29 | | | 87,573.39 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 619.41 | | | | 0 | | | | 619.41 | | | | 0 | | | | 0 | | | | 3,116.20 | | | | | | | | | | | | | | | | | |
289 | | 25-Nov-29 | | | 84,549.55 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 597.78 | | | | 0 | | | | 597.78 | | | | 0 | | | | 0 | | | | 3,023.84 | | | | | | | | | | | | | | | | | |
290 | | 25-Dec-29 | | | 81,615.41 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 576.82 | | | | 0 | | | | 576.82 | | | | 0 | | | | 0 | | | | 2,934.14 | | | | | | | | | | | | | | | | | |
291 | | 25-Jan-30 | | | 78,768.39 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 556.49 | | | | 0 | | | | 556.49 | | | | 0 | | | | 0 | | | | 2,847.02 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
292 | | 25-Feb-30 | | | 76,005.99 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 536.79 | | | | 0 | | | | 536.79 | | | | 0 | | | | 0 | | | | 2,762.40 | | | | | | | | | | | | | | | | | |
293 | | 25-Mar-30 | | | 73,325.78 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 517.68 | | | | 0 | | | | 517.68 | | | | 0 | | | | 0 | | | | 2,680.21 | | | | | | | | | | | | | | | | | |
294 | | 25-Apr-30 | | | 70,725.39 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 499.16 | | | | 0 | | | | 499.16 | | | | 0 | | | | 0 | | | | 2,600.38 | | | | | | | | | | | | | | | | | |
295 | | 25-May-30 | | | 68,202.55 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 481.20 | | | | 0 | | | | 481.20 | | | | 0 | | | | 0 | | | | 2,522.85 | | | | | | | | | | | | | | | | | |
296 | | 25-Jun-30 | | | 65,755.02 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 463.79 | | | | 0 | | | | 463.79 | | | | 0 | | | | 0 | | | | 2,447.53 | | | | | | | | | | | | | | | | | |
297 | | 25-Jul-30 | | | 63,380.64 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 446.91 | | | | 0 | | | | 446.91 | | | | 0 | | | | 0 | | | | 2,374.38 | | | | | | | | | | | | | | | | | |
298 | | 25-Aug-30 | | | 61,077.32 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 430.55 | | | | 0 | | | | 430.55 | | | | 0 | | | | 0 | | | | 2,303.32 | | | | | | | | | | | | | | | | | |
299 | | 25-Sep-30 | | | 58,843.02 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 414.69 | | | | 0 | | | | 414.69 | | | | 0 | | | | 0 | | | | 2,234.30 | | | | | | | | | | | | | | | | | |
300 | | 25-Oct-30 | | | 56,675.76 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 399.32 | | | | 0 | | | | 399.32 | | | | 0 | | | | 0 | | | | 2,167.26 | | | | | | | | | | | | | | | | | |
301 | | 25-Nov-30 | | | 54,573.62 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 384.42 | | | | 0 | | | | 384.42 | | | | 0 | | | | 0 | | | | 2,102.14 | | | | | | | | | | | | | | | | | |
302 | | 25-Dec-30 | | | 52,534.74 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 369.98 | | | | 0 | | | | 369.98 | | | | 0 | | | | 0 | | | | 2,038.88 | | | | | | | | | | | | | | | | | |
303 | | 25-Jan-31 | | | 50,557.31 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 355.98 | | | | 0 | | | | 355.98 | | | | 0 | | | | 0 | | | | 1,977.43 | | | | | | | | | | | | | | | | | |
304 | | 25-Feb-31 | | | 48,639.57 | | | | 0.01 | % | | | 5.0895 | | | | 5.1710 | | | | 342.41 | | | | 0 | | | | 342.41 | | | | 0 | | | | 0 | | | | 1,917.74 | | | | | | | | | | | | | | | | | |
305 | | 25-Mar-31 | | | 46,779.81 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 329.27 | | | | 0 | | | | 329.27 | | | | 0 | | | | 0 | | | | 1,859.76 | | | | | | | | | | | | | | | | | |
306 | | 25-Apr-31 | | | 44,976.38 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 316.53 | | | | 0 | | | | 316.53 | | | | 0 | | | | 0 | | | | 1,803.44 | | | | | | | | | | | | | | | | | |
307 | | 25-May-31 | | | 43,227.65 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 304.18 | | | | 0 | | | | 304.18 | | | | 0 | | | | 0 | | | | 1,748.73 | | | | | | | | | | | | | | | | | |
308 | | 25-Jun-31 | | | 41,532.07 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 292.22 | | | | 0 | | | | 292.22 | | | | 0 | | | | 0 | | | | 1,695.58 | | | | | | | | | | | | | | | | | |
309 | | 25-Jul-31 | | | 39,888.12 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 280.63 | | | | 0 | | | | 280.63 | | | | 0 | | | | 0 | | | | 1,643.95 | | | | | | | | | | | | | | | | | |
310 | | 25-Aug-31 | | | 38,294.32 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 269.39 | | | | 0 | | | | 269.39 | | | | 0 | | | | 0 | | | | 1,593.80 | | | | | | | | | | | | | | | | | |
311 | | 25-Sep-31 | | | 36,749.23 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 258.51 | | | | 0 | | | | 258.51 | | | | 0 | | | | 0 | | | | 1,545.08 | | | | | | | | | | | | | | | | | |
312 | | 25-Oct-31 | | | 35,251.47 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 247.97 | | | | 0 | | | | 247.97 | | | | 0 | | | | 0 | | | | 1,497.76 | | | | | | | | | | | | | | | | | |
313 | | 25-Nov-31 | | | 33,799.68 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 237.76 | | | | 0 | | | | 237.76 | | | | 0 | | | | 0 | | | | 1,451.79 | | | | | | | | | | | | | | | | | |
314 | | 25-Dec-31 | | | 32,392.55 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 227.87 | | | | 0 | | | | 227.87 | | | | 0 | | | | 0 | | | | 1,407.13 | | | | | | | | | | | | | | | | | |
315 | | 25-Jan-32 | | | 31,028.79 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 218.29 | | | | 0 | | | | 218.29 | | | | 0 | | | | 0 | | | | 1,363.75 | | | | | | | | | | | | | | | | | |
316 | | 25-Feb-32 | | | 29,707.18 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 209.01 | | | | 0 | | | | 209.01 | | | | 0 | | | | 0 | | | | 1,321.61 | | | | | | | | | | | | | | | | | |
317 | | 25-Mar-32 | | | 28,426.50 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 200.02 | | | | 0 | | | | 200.02 | | | | 0 | | | | 0 | | | | 1,280.68 | | | | | | | | | | | | | | | | | |
318 | | 25-Apr-32 | | | 27,185.58 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 191.32 | | | | 0 | | | | 191.32 | | | | 0 | | | | 0 | | | | 1,240.92 | | | | | | | | | | | | | | | | | |
319 | | 25-May-32 | | | 25,983.29 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 182.89 | | | | 0 | | | | 182.89 | | | | 0 | | | | 0 | | | | 1,202.29 | | | | | | | | | | | | | | | | | |
320 | | 25-Jun-32 | | | 24,818.52 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 174.73 | | | | 0 | | | | 174.73 | | | | 0 | | | | 0 | | | | 1,164.77 | | | | | | | | | | | | | | | | | |
321 | | 25-Jul-32 | | | 23,690.20 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 166.83 | | | | 0 | | | | 166.83 | | | | 0 | | | | 0 | | | | 1,128.32 | | | | | | | | | | | | | | | | | |
322 | | 25-Aug-32 | | | 22,597.28 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 159.19 | | | | 0 | | | | 159.19 | | | | 0 | | | | 0 | | | | 1,092.92 | | | | | | | | | | | | | | | | | |
323 | | 25-Sep-32 | | | 21,538.75 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 151.78 | | | | 0 | | | | 151.78 | | | | 0 | | | | 0 | | | | 1,058.53 | | | | | | | | | | | | | | | | | |
324 | | 25-Oct-32 | | | 20,513.62 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 144.62 | | | | 0 | | | | 144.62 | | | | 0 | | | | 0 | | | | 1,025.13 | | | | | | | | | | | | | | | | | |
325 | | 25-Nov-32 | | | 19,520.94 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 137.68 | | | | 0 | | | | 137.68 | | | | 0 | | | | 0 | | | | 992.68 | | | | | | | | | | | | | | | | | |
326 | | 25-Dec-32 | | | 18,559.78 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 130.97 | | | | 0 | | | | 130.97 | | | | 0 | | | | 0 | | | | 961.16 | | | | | | | | | | | | | | | | | |
327 | | 25-Jan-33 | | | 17,629.24 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 124.47 | | | | 0 | | | | 124.47 | | | | 0 | | | | 0 | | | | 930.55 | | | | | | | | | | | | | | | | | |
328 | | 25-Feb-33 | | | 16,728.43 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 118.19 | | | | 0 | | | | 118.19 | | | | 0 | | | | 0 | | | | 900.81 | | | | | | | | | | | | | | | | | |
329 | | 25-Mar-33 | | | 15,856.50 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 112.11 | | | | 0 | | | | 112.11 | | | | 0 | | | | 0 | | | | 871.93 | | | | | | | | | | | | | | | | | |
330 | | 25-Apr-33 | | | 15,012.62 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 106.23 | | | | 0 | | | | 106.23 | | | | 0 | | | | 0 | | | | 843.87 | | | | | | | | | | | | | | | | | |
331 | | 25-May-33 | | | 14,196.00 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 100.54 | | | | 0 | | | | 100.54 | | | | 0 | | | | 0 | | | | 816.63 | | | | | | | | | | | | | | | | | |
332 | | 25-Jun-33 | | | 13,405.83 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 95.03 | | | | 0 | | | | 95.03 | | | | 0 | | | | 0 | | | | 790.16 | | | | | | | | | | | | | | | | | |
333 | | 25-Jul-33 | | | 12,641.37 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 89.71 | | | | 0 | | | | 89.71 | | | | 0 | | | | 0 | | | | 764.46 | | | | | | | | | | | | | | | | | |
334 | | 25-Aug-33 | | | 11,901.88 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 84.57 | | | | 0 | | | | 84.57 | | | | 0 | | | | 0 | | | | 739.50 | | | | | | | | | | | | | | | | | |
335 | | 25-Sep-33 | | | 11,186.62 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 79.59 | | | | 0 | | | | 79.59 | | | | 0 | | | | 0 | | | | 715.25 | | | | | | | | | | | | | | | | | |
336 | | 25-Oct-33 | | | 10,494.91 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 74.78 | | | | 0 | | | | 74.78 | | | | 0 | | | | 0 | | | | 691.71 | | | | | | | | | | | | | | | | | |
337 | | 25-Nov-33 | | | 9,826.07 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 70.14 | | | | 0 | | | | 70.14 | | | | 0 | | | | 0 | | | | 668.84 | | | | | | | | | | | | | | | | | |
338 | | 25-Dec-33 | | | 9,179.44 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 65.64 | | | | 0 | | | | 65.64 | | | | 0 | | | | 0 | | | | 646.64 | | | | | | | | | | | | | | | | | |
339 | | 25-Jan-34 | | | 8,554.36 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 61.30 | | | | 0 | | | | 61.30 | | | | 0 | | | | 0 | | | | 625.07 | | | | | | | | | | | | | | | | | |
340 | | 25-Feb-34 | | | 7,950.23 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 57.11 | | | | 0 | | | | 57.11 | | | | 0 | | | | 0 | | | | 604.13 | | | | | | | | | | | | | | | | | |
341 | | 25-Mar-34 | | | 7,366.44 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 53.06 | | | | 0 | | | | 53.06 | | | | 0 | | | | 0 | | | | 583.80 | | | | | | | | | | | | | | | | | |
342 | | 25-Apr-34 | | | 6,802.39 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 49.15 | | | | 0 | | | | 49.15 | | | | 0 | | | | 0 | | | | 564.05 | | | | | | | | | | | | | | | | | |
343 | | 25-May-34 | | | 6,257.51 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 45.37 | | | | 0 | | | | 45.37 | | | | 0 | | | | 0 | | | | 544.88 | | | | | | | | | | | | | | | | | |
344 | | 25-Jun-34 | | | 5,731.25 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 41.72 | | | | 0 | | | | 41.72 | | | | 0 | | | | 0 | | | | 526.26 | | | | | | | | | | | | | | | | | |
345 | | 25-Jul-34 | | | 5,223.07 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 38.20 | | | | 0 | | | | 38.20 | | | | 0 | | | | 0 | | | | 508.18 | | | | | | | | | | | | | | | | | |
346 | | 25-Aug-34 | | | 4,732.44 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 34.80 | | | | 0 | | | | 34.80 | | | | 0 | | | | 0 | | | | 490.63 | | | | | | | | | | | | | | | | | |
347 | | 25-Sep-34 | | | 4,258.84 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 31.52 | | | | 0 | | | | 31.52 | | | | 0 | | | | 0 | | | | 473.59 | | | | | | | | | | | | | | | | | |
348 | | 25-Oct-34 | | | 3,801.79 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 28.36 | | | | 0 | | | | 28.36 | | | | 0 | | | | 0 | | | | 457.05 | | | | | | | | | | | | | | | | | |
349 | | 25-Nov-34 | | | 3,360.79 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 25.31 | | | | 0 | | | | 25.31 | | | | 0 | | | | 0 | | | | 440.99 | | | | | | | | | | | | | | | | | |
350 | | 25-Dec-34 | | | 2,935.39 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 22.36 | | | | 0 | | | | 22.36 | | | | 0 | | | | 0 | | | | 425.40 | | | | | | | | | | | | | | | | | |
351 | | 25-Jan-35 | | | 2,525.12 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 19.53 | | | | 0 | | | | 19.53 | | | | 0 | | | | 0 | | | | 410.27 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | (A) | | (B) | | (A)-(B)=(C) | | (D) | | | | | | (F) | | (G) | | (H) | | | | |
| | | | | | | | | | | | | | Forward LIBOR Curves | | Gross Excess | | - Losses | | = Net Excess | | + Cap | | LIBOR Cap Notional | | + O/C Rel/Deposits | | - Bond Interest | | - Bond Principal | | Bond Balance | | Bond Factor |
| | | | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Underlying | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | O/C | | | | | | | | | | |
Distribution | | Deal | | Collateral | | Collateral | | 1 Month | | 6 Month | | Gross Excess | | Realized | | Net Excess | | Cap | | LIBOR Cap | | Releases (+) / | | Interest | | | | | | Bond Ending | | Bond |
Date | | Age | | Balance | | Factor | | LIBOR | | LIBOR | | Spread | | Loss Amount | | Spread | | Cash Flow | | Notional | | Deposits (-) | | Paid | | Amortization | | Balance | | Factor |
352 | | 25-Feb-35 | | | 2,129.54 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 16.79 | | | | 0 | | | | 16.79 | | | | 0 | | | | 0 | | | | 395.58 | | | | | | | | | | | | | | | | | |
353 | | 25-Mar-35 | | | 1,748.22 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 14.16 | | | | 0 | | | | 14.16 | | | | 0 | | | | 0 | | | | 381.32 | | | | | | | | | | | | | | | | | |
354 | | 25-Apr-35 | | | 1,380.73 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 11.62 | | | | 0 | | | | 11.62 | | | | 0 | | | | 0 | | | | 367.48 | | | | | | | | | | | | | | | | | |
355 | | 25-May-35 | | | 1,026.68 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 9.17 | | | | 0 | | | | 9.17 | | | | 0 | | | | 0 | | | | 354.05 | | | | | | | | | | | | | | | | | |
356 | | 25-Jun-35 | | | 685.66 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 6.81 | | | | 0 | | | | 6.81 | | | | 0 | | | | 0 | | | | 341.02 | | | | | | | | | | | | | | | | | |
357 | | 25-Jul-35 | | | 357.3 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 4.54 | | | | 0 | | | | 4.54 | | | | 0 | | | | 0 | | | | 328.37 | | | | | | | | | | | | | | | | | |
358 | | 25-Aug-35 | | | 41.21 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 2.36 | | | | 0 | | | | 2.36 | | | | 0 | | | | 0 | | | | 316.09 | | | | | | | | | | | | | | | | | |
359 | | 25-Sep-35 | | | 0 | | | | 0.00 | % | | | 5.0895 | | | | 5.1710 | | | | 0.26 | | | | 0 | | | | 0.26 | | | | 0 | | | | 0 | | | | 41.21 | | | | | | | | | | | | | | | | | |
TIAA TRIGGERS TEMPLATE
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Forecasted | | Forecasted | | Forecasted | | Forecasted |
Distribution | | Deal | | Delinquency Trigger - | | Cum Loss Trigger - | | Delinq Trigger | | Cum Loss Trigger | | Delinq Trigger | | Cum Loss Trigger |
Date | | | | | | Age | | Threshold | | Threshold | | Pass / Fail | | Pass / Fail | | Value | | Value |
|
| | | 0 | | | 9-Nov-05 | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 1 | | | 25-Nov-05 | | | 7.24 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 2 | | | 25-Dec-05 | | | 7.29 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 3 | | | 25-Jan-06 | | | 7.34 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 4 | | | 25-Feb-06 | | | 7.41 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 5 | | | 25-Mar-06 | | | 7.48 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 6 | | | 25-Apr-06 | | | 7.57 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 7 | | | 25-May-06 | | | 7.67 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 8 | | | 25-Jun-06 | | | 7.78 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 9 | | | 25-Jul-06 | | | 7.90 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 10 | | | 25-Aug-06 | | | 8.03 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 11 | | | 25-Sep-06 | | | 8.18 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 12 | | | 25-Oct-06 | | | 8.34 | % | | | 0.00 | % | | Fail | | Pass | | | 100.00 | % | | | 0.00 | % |
| | | 13 | | | 25-Nov-06 | | | 8.52 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.15 | % |
| | | 14 | | | 25-Dec-06 | | | 8.73 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.15 | % |
| | | 15 | | | 25-Jan-07 | | | 8.94 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.15 | % |
| | | 16 | | | 25-Feb-07 | | | 9.16 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.15 | % |
| | | 17 | | | 25-Mar-07 | | | 9.40 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.15 | % |
| | | 18 | | | 25-Apr-07 | | | 9.66 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.37 | % |
| | | 19 | | | 25-May-07 | | | 9.95 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.37 | % |
| | | 20 | | | 25-Jun-07 | | | 10.31 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.37 | % |
| | | 21 | | | 25-Jul-07 | | | 10.64 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.37 | % |
| | | 22 | | | 25-Aug-07 | | | 10.99 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.37 | % |
| | | 23 | | | 25-Sep-07 | | | 11.37 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.37 | % |
| | | 24 | | | 25-Oct-07 | | | 11.76 | % | | | 0.00 | % | | Fail | | Fail | | | 100.00 | % | | | 0.61 | % |
| | | 25 | | | 25-Nov-07 | | | 12.22 | % | | | 1.10 | % | | Fail | | Pass | | | 100.00 | % | | | 0.61 | % |
| | | 26 | | | 25-Dec-07 | | | 12.69 | % | | | 1.21 | % | | Fail | | Pass | | | 100.00 | % | | | 0.61 | % |
| | | 27 | | | 25-Jan-08 | | | 13.12 | % | | | 1.32 | % | | Fail | | Pass | | | 100.00 | % | | | 0.61 | % |
| | | 28 | | | 25-Feb-08 | | | 13.57 | % | | | 1.43 | % | | Fail | | Pass | | | 100.00 | % | | | 0.61 | % |
| | | 29 | | | 25-Mar-08 | | | 14.03 | % | | | 1.53 | % | | Fail | | Pass | | | 100.00 | % | | | 0.61 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Forecasted | | Forecasted | | Forecasted | | Forecasted |
Distribution | | Deal | | Delinquency Trigger - | | Cum Loss Trigger - | | Delinq Trigger | | Cum Loss Trigger | | Delinq Trigger | | Cum Loss Trigger |
Date | | | | | | Age | | Threshold | | Threshold | | Pass / Fail | | Pass / Fail | | Value | | Value |
|
| | | 30 | | | 25-Apr-08 | | | 14.51 | % | | | 1.64 | % | | Fail | | Pass | | | 100.00 | % | | | 1.10 | % |
| | | 31 | | | 25-May-08 | | | 15.05 | % | | | 1.75 | % | | Fail | | Pass | | | 100.00 | % | | | 1.10 | % |
| | | 32 | | | 25-Jun-08 | | | 15.72 | % | | | 1.86 | % | | Fail | | Pass | | | 100.00 | % | | | 1.10 | % |
| | | 33 | | | 25-Jul-08 | | | 16.37 | % | | | 1.97 | % | | Fail | | Pass | | | 100.00 | % | | | 1.10 | % |
| | | 34 | | | 25-Aug-08 | | | 16.92 | % | | | 2.08 | % | | Fail | | Pass | | | 100.00 | % | | | 1.10 | % |
| | | 35 | | | 25-Sep-08 | | | 17.50 | % | | | 2.18 | % | | Fail | | Pass | | | 100.00 | % | | | 1.10 | % |
| | | 36 | | | 25-Oct-08 | | | 18.09 | % | | | 2.29 | % | | Fail | | Pass | | | 100.00 | % | | | 1.49 | % |
| | | 37 | | | 25-Nov-08 | | | 18.83 | % | | | 2.40 | % | | Fail | | Pass | | | 100.00 | % | | | 1.49 | % |
| | | 38 | | | 25-Dec-08 | | | 19.62 | % | | | 2.51 | % | | Fail | | Pass | | | 100.00 | % | | | 1.49 | % |
| | | 39 | | | 25-Jan-09 | | | 20.38 | % | | | 2.63 | % | | Fail | | Pass | | | 100.00 | % | | | 1.49 | % |
| | | 40 | | | 25-Feb-09 | | | 21.07 | % | | | 2.74 | % | | Fail | | Pass | | | 100.00 | % | | | 1.49 | % |
| | | 41 | | | 25-Mar-09 | | | 21.77 | % | | | 2.85 | % | | Fail | | Pass | | | 100.00 | % | | | 1.49 | % |
| | | 42 | | | 25-Apr-09 | | | 22.50 | % | | | 2.96 | % | | Fail | | Pass | | | 100.00 | % | | | 1.87 | % |
| | | 43 | | | 25-May-09 | | | 23.49 | % | | | 3.08 | % | | Fail | | Pass | | | 100.00 | % | | | 1.87 | % |
| | | 44 | | | 25-Jun-09 | | | 24.43 | % | | | 3.19 | % | | Fail | | Pass | | | 100.00 | % | | | 1.87 | % |
| | | 45 | | | 25-Jul-09 | | | 25.39 | % | | | 3.30 | % | | Fail | | Pass | | | 100.00 | % | | | 1.87 | % |
| | | 46 | | | 25-Aug-09 | | | 26.28 | % | | | 3.41 | % | | Fail | | Pass | | | 100.00 | % | | | 1.87 | % |
| | | 47 | | | 25-Sep-09 | | | 27.15 | % | | | 3.53 | % | | Fail | | Pass | | | 100.00 | % | | | 1.87 | % |
| | | 48 | | | 25-Oct-09 | | | 28.04 | % | | | 3.64 | % | | Fail | | Pass | | | 100.00 | % | | | 2.23 | % |
| | | 49 | | | 25-Nov-09 | | | 29.39 | % | | | 3.75 | % | | Fail | | Pass | | | 100.00 | % | | | 2.23 | % |
| | | 50 | | | 25-Dec-09 | | | 30.51 | % | | | 3.84 | % | | Fail | | Pass | | | 100.00 | % | | | 2.23 | % |
| | | 51 | | | 25-Jan-10 | | | 31.67 | % | | | 3.93 | % | | Fail | | Pass | | | 100.00 | % | | | 2.23 | % |
| | | 52 | | | 25-Feb-10 | | | 32.84 | % | | | 4.03 | % | | Fail | | Pass | | | 100.00 | % | | | 2.23 | % |
| | | 53 | | | 25-Mar-10 | | | 33.91 | % | | | 4.12 | % | | Fail | | Pass | | | 100.00 | % | | | 2.23 | % |
| | | 54 | | | 25-Apr-10 | | | 35.01 | % | | | 4.21 | % | | Fail | | Pass | | | 100.00 | % | | | 2.58 | % |
| | | 55 | | | 25-May-10 | | | 36.87 | % | | | 4.30 | % | | Fail | | Pass | | | 100.00 | % | | | 2.58 | % |
| | | 56 | | | 25-Jun-10 | | | 38.21 | % | | | 4.39 | % | | Fail | | Pass | | | 100.00 | % | | | 2.58 | % |
| | | 57 | | | 25-Jul-10 | | | 39.58 | % | | | 4.48 | % | | Fail | | Pass | | | 100.00 | % | | | 2.58 | % |
| | | 58 | | | 25-Aug-10 | | | 40.00 | % | | | 4.58 | % | | Fail | | Pass | | | 100.00 | % | | | 2.58 | % |
| | | 59 | | | 25-Sep-10 | | | 40.00 | % | | | 4.67 | % | | Fail | | Pass | | | 100.00 | % | | | 2.58 | % |
| | | 60 | | | 25-Oct-10 | | | 40.00 | % | | | 4.76 | % | | Fail | | Pass | | | 100.00 | % | | | 2.92 | % |
| | | 61 | | | 25-Nov-10 | | | 40.00 | % | | | 4.85 | % | | Fail | | Pass | | | 100.00 | % | | | 2.92 | % |
| | | 62 | | | 25-Dec-10 | | | 40.00 | % | | | 4.90 | % | | Fail | | Pass | | | 100.00 | % | | | 2.92 | % |
| | | 63 | | | 25-Jan-11 | | | 40.00 | % | | | 4.94 | % | | Fail | | Pass | | | 100.00 | % | | | 2.92 | % |
| | | 64 | | | 25-Feb-11 | | | 40.00 | % | | | 4.99 | % | | Fail | | Pass | | | 100.00 | % | | | 2.92 | % |
| | | 65 | | | 25-Mar-11 | | | 40.00 | % | | | 5.03 | % | | Fail | | Pass | | | 100.00 | % | | | 2.92 | % |
| | | 66 | | | 25-Apr-11 | | | 40.00 | % | | | 5.08 | % | | Fail | | Pass | | | 100.00 | % | | | 3.21 | % |
| | | 67 | | | 25-May-11 | | | 40.00 | % | | | 5.13 | % | | Fail | | Pass | | | 100.00 | % | | | 3.21 | % |
| | | 68 | | | 25-Jun-11 | | | 40.00 | % | | | 5.17 | % | | Fail | | Pass | | | 100.00 | % | | | 3.21 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Forecasted | | Forecasted | | Forecasted | | Forecasted |
Distribution | | Deal | | Delinquency Trigger - | | Cum Loss Trigger - | | Delinq Trigger | | Cum Loss Trigger | | Delinq Trigger | | Cum Loss Trigger |
Date | | | | | | Age | | Threshold | | Threshold | | Pass / Fail | | Pass / Fail | | Value | | Value |
|
| | | 69 | | | 25-Jul-11 | | | 40.00 | % | | | 5.22 | % | | Fail | | Pass | | | 100.00 | % | | | 3.21 | % |
| | | 70 | | | 25-Aug-11 | | | 40.00 | % | | | 5.26 | % | | Fail | | Pass | | | 100.00 | % | | | 3.21 | % |
| | | 71 | | | 25-Sep-11 | | | 40.00 | % | | | 5.31 | % | | Fail | | Pass | | | 100.00 | % | | | 3.21 | % |
| | | 72 | | | 25-Oct-11 | | | 40.00 | % | | | 5.35 | % | | Fail | | Pass | | | 100.00 | % | | | 3.43 | % |
| | | 73 | | | 25-Nov-11 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.43 | % |
| | | 74 | | | 25-Dec-11 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.43 | % |
| | | 75 | | | 25-Jan-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.43 | % |
| | | 76 | | | 25-Feb-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.43 | % |
| | | 77 | | | 25-Mar-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.43 | % |
| | | 78 | | | 25-Apr-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.64 | % |
| | | 79 | | | 25-May-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.64 | % |
| | | 80 | | | 25-Jun-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.64 | % |
| | | 81 | | | 25-Jul-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.64 | % |
| | | 82 | | | 25-Aug-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.64 | % |
| | | 83 | | | 25-Sep-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.64 | % |
| | | 84 | | | 25-Oct-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 85 | | | 25-Nov-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 86 | | | 25-Dec-12 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 87 | | | 25-Jan-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 88 | | | 25-Feb-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 89 | | | 25-Mar-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 90 | | | 25-Apr-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 91 | | | 25-May-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 92 | | | 25-Jun-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 93 | | | 25-Jul-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 94 | | | 25-Aug-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 95 | | | 25-Sep-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 96 | | | 25-Oct-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 97 | | | 25-Nov-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 98 | | | 25-Dec-13 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 99 | | | 25-Jan-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 100 | | | 25-Feb-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 101 | | | 25-Mar-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 102 | | | 25-Apr-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 103 | | | 25-May-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 104 | | | 25-Jun-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 105 | | | 25-Jul-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 106 | | | 25-Aug-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Forecasted | | Forecasted | | Forecasted | | Forecasted |
Distribution | | Deal | | Delinquency Trigger - | | Cum Loss Trigger - | | Delinq Trigger | | Cum Loss Trigger | | Delinq Trigger | | Cum Loss Trigger |
Date | | | | | | Age | | Threshold | | Threshold | | Pass / Fail | | Pass / Fail | | Value | | Value |
|
| | | 107 | | | 25-Sep-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 108 | | | 25-Oct-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 109 | | | 25-Nov-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 110 | | | 25-Dec-14 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 111 | | | 25-Jan-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 112 | | | 25-Feb-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 113 | | | 25-Mar-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 114 | | | 25-Apr-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 115 | | | 25-May-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 116 | | | 25-Jun-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 117 | | | 25-Jul-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 118 | | | 25-Aug-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 119 | | | 25-Sep-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 120 | | | 25-Oct-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 121 | | | 25-Nov-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 122 | | | 25-Dec-15 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 123 | | | 25-Jan-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 124 | | | 25-Feb-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 125 | | | 25-Mar-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 126 | | | 25-Apr-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 127 | | | 25-May-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 128 | | | 25-Jun-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 129 | | | 25-Jul-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 130 | | | 25-Aug-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 131 | | | 25-Sep-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 132 | | | 25-Oct-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 133 | | | 25-Nov-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 134 | | | 25-Dec-16 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 135 | | | 25-Jan-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 136 | | | 25-Feb-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 137 | | | 25-Mar-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 138 | | | 25-Apr-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 139 | | | 25-May-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 140 | | | 25-Jun-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 141 | | | 25-Jul-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 142 | | | 25-Aug-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 143 | | | 25-Sep-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 144 | | | 25-Oct-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 145 | | | 25-Nov-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 146 | | | 25-Dec-17 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Forecasted | | Forecasted | | Forecasted | | Forecasted |
Distribution | | Deal | | Delinquency Trigger - | | Cum Loss Trigger - | | Delinq Trigger | | Cum Loss Trigger | | Delinq Trigger | | Cum Loss Trigger |
Date | | | | | | Age | | Threshold | | Threshold | | Pass / Fail | | Pass / Fail | | Value | | Value |
|
| | | 147 | | | 25-Jan-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 148 | | | 25-Feb-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 149 | | | 25-Mar-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 150 | | | 25-Apr-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 151 | | | 25-May-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 152 | | | 25-Jun-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 153 | | | 25-Jul-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 154 | | | 25-Aug-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 155 | | | 25-Sep-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 156 | | | 25-Oct-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 157 | | | 25-Nov-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 158 | | | 25-Dec-18 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 159 | | | 25-Jan-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 160 | | | 25-Feb-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 161 | | | 25-Mar-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 162 | | | 25-Apr-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 163 | | | 25-May-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 164 | | | 25-Jun-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 165 | | | 25-Jul-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 166 | | | 25-Aug-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 167 | | | 25-Sep-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 168 | | | 25-Oct-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 169 | | | 25-Nov-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 170 | | | 25-Dec-19 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 171 | | | 25-Jan-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 172 | | | 25-Feb-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 173 | | | 25-Mar-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 174 | | | 25-Apr-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 175 | | | 25-May-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 176 | | | 25-Jun-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 177 | | | 25-Jul-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 178 | | | 25-Aug-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 179 | | | 25-Sep-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 180 | | | 25-Oct-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 181 | | | 25-Nov-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 182 | | | 25-Dec-20 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 183 | | | 25-Jan-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 184 | | | 25-Feb-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 185 | | | 25-Mar-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Forecasted | | Forecasted | | Forecasted | | Forecasted |
Distribution | | Deal | | Delinquency Trigger - | | Cum Loss Trigger - | | Delinq Trigger | | Cum Loss Trigger | | Delinq Trigger | | Cum Loss Trigger |
Date | | | | | | Age | | Threshold | | Threshold | | Pass / Fail | | Pass / Fail | | Value | | Value |
|
| | | 186 | | | 25-Apr-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 187 | | | 25-May-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 188 | | | 25-Jun-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 189 | | | 25-Jul-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 190 | | | 25-Aug-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 191 | | | 25-Sep-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 192 | | | 25-Oct-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 193 | | | 25-Nov-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 194 | | | 25-Dec-21 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 195 | | | 25-Jan-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 196 | | | 25-Feb-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 197 | | | 25-Mar-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 198 | | | 25-Apr-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 199 | | | 25-May-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 200 | | | 25-Jun-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 201 | | | 25-Jul-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 202 | | | 25-Aug-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 203 | | | 25-Sep-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 204 | | | 25-Oct-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 205 | | | 25-Nov-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 206 | | | 25-Dec-22 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 207 | | | 25-Jan-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 208 | | | 25-Feb-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 209 | | | 25-Mar-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 210 | | | 25-Apr-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 211 | | | 25-May-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 212 | | | 25-Jun-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 213 | | | 25-Jul-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 214 | | | 25-Aug-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 215 | | | 25-Sep-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 216 | | | 25-Oct-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 217 | | | 25-Nov-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 218 | | | 25-Dec-23 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 219 | | | 25-Jan-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 220 | | | 25-Feb-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 221 | | | 25-Mar-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 222 | | | 25-Apr-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 223 | | | 25-May-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 224 | | | 25-Jun-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Forecasted | | Forecasted | | Forecasted | | Forecasted |
Distribution | | Deal | | Delinquency Trigger - | | Cum Loss Trigger - | | Delinq Trigger | | Cum Loss Trigger | | Delinq Trigger | | Cum Loss Trigger |
Date | | | | | | Age | | Threshold | | Threshold | | Pass / Fail | | Pass / Fail | | Value | | Value |
|
| | | 225 | | | 25-Jul-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 226 | | | 25-Aug-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 227 | | | 25-Sep-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 228 | | | 25-Oct-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 229 | | | 25-Nov-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 230 | | | 25-Dec-24 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 231 | | | 25-Jan-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 232 | | | 25-Feb-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 233 | | | 25-Mar-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 234 | | | 25-Apr-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 235 | | | 25-May-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 236 | | | 25-Jun-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 237 | | | 25-Jul-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 238 | | | 25-Aug-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 239 | | | 25-Sep-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 240 | | | 25-Oct-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 241 | | | 25-Nov-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 242 | | | 25-Dec-25 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 243 | | | 25-Jan-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 244 | | | 25-Feb-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 245 | | | 25-Mar-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 246 | | | 25-Apr-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 247 | | | 25-May-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 248 | | | 25-Jun-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 249 | | | 25-Jul-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 250 | | | 25-Aug-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 251 | | | 25-Sep-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 252 | | | 25-Oct-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 253 | | | 25-Nov-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 254 | | | 25-Dec-26 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 255 | | | 25-Jan-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 256 | | | 25-Feb-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | �� | 3.80 | % |
| | | 257 | | | 25-Mar-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 258 | | | 25-Apr-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 259 | | | 25-May-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 260 | | | 25-Jun-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 261 | | | 25-Jul-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 262 | | | 25-Aug-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 263 | | | 25-Sep-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Forecasted | | Forecasted | | Forecasted | | Forecasted |
Distribution | | Deal | | Delinquency Trigger - | | Cum Loss Trigger - | | Delinq Trigger | | Cum Loss Trigger | | Delinq Trigger | | Cum Loss Trigger |
Date | | | | | | Age | | Threshold | | Threshold | | Pass / Fail | | Pass / Fail | | Value | | Value |
|
| | | 264 | | | 25-Oct-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 265 | | | 25-Nov-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 266 | | | 25-Dec-27 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 267 | | | 25-Jan-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 268 | | | 25-Feb-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 269 | | | 25-Mar-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 270 | | | 25-Apr-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 271 | | | 25-May-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 272 | | | 25-Jun-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 273 | | | 25-Jul-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 274 | | | 25-Aug-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 275 | | | 25-Sep-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 276 | | | 25-Oct-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 277 | | | 25-Nov-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 278 | | | 25-Dec-28 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 279 | | | 25-Jan-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 280 | | | 25-Feb-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 281 | | | 25-Mar-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 282 | | | 25-Apr-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 283 | | | 25-May-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 284 | | | 25-Jun-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 285 | | | 25-Jul-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 286 | | | 25-Aug-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 287 | | | 25-Sep-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 288 | | | 25-Oct-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 289 | | | 25-Nov-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 290 | | | 25-Dec-29 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 291 | | | 25-Jan-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 292 | | | 25-Feb-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 293 | | | 25-Mar-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 294 | | | 25-Apr-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 295 | | | 25-May-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 296 | | | 25-Jun-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 297 | | | 25-Jul-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 298 | | | 25-Aug-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 299 | | | 25-Sep-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 300 | | | 25-Oct-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 301 | | | 25-Nov-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 302 | | | 25-Dec-30 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Forecasted | | Forecasted | | Forecasted | | Forecasted |
Distribution | | Deal | | Delinquency Trigger - | | Cum Loss Trigger - | | Delinq Trigger | | Cum Loss Trigger | | Delinq Trigger | | Cum Loss Trigger |
Date | | | | | | Age | | Threshold | | Threshold | | Pass / Fail | | Pass / Fail | | Value | | Value |
|
| | | 303 | | | 25-Jan-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 304 | | | 25-Feb-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 305 | | | 25-Mar-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 306 | | | 25-Apr-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 307 | | | 25-May-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 308 | | | 25-Jun-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 309 | | | 25-Jul-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 310 | | | 25-Aug-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 311 | | | 25-Sep-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 312 | | | 25-Oct-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 313 | | | 25-Nov-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 314 | | | 25-Dec-31 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 315 | | | 25-Jan-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 316 | | | 25-Feb-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 317 | | | 25-Mar-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 318 | | | 25-Apr-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 319 | | | 25-May-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 320 | | | 25-Jun-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 321 | | | 25-Jul-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 322 | | | 25-Aug-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 323 | | | 25-Sep-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 324 | | | 25-Oct-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 325 | | | 25-Nov-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 326 | | | 25-Dec-32 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 327 | | | 25-Jan-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 328 | | | 25-Feb-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 329 | | | 25-Mar-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 330 | | | 25-Apr-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 331 | | | 25-May-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 332 | | | 25-Jun-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 333 | | | 25-Jul-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 334 | | | 25-Aug-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 335 | | | 25-Sep-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 336 | | | 25-Oct-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 337 | | | 25-Nov-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 338 | | | 25-Dec-33 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 339 | | | 25-Jan-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 340 | | | 25-Feb-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 341 | | | 25-Mar-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Forecasted | | Forecasted | | Forecasted | | Forecasted |
Distribution | | Deal | | Delinquency Trigger - | | Cum Loss Trigger - | | Delinq Trigger | | Cum Loss Trigger | | Delinq Trigger | | Cum Loss Trigger |
Date | | | | | | Age | | Threshold | | Threshold | | Pass / Fail | | Pass / Fail | | Value | | Value |
|
| | | 342 | | | 25-Apr-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 343 | | | 25-May-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 344 | | | 25-Jun-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 345 | | | 25-Jul-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 346 | | | 25-Aug-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 347 | | | 25-Sep-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 348 | | | 25-Oct-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 349 | | | 25-Nov-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 350 | | | 25-Dec-34 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 351 | | | 25-Jan-35 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 352 | | | 25-Feb-35 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 353 | | | 25-Mar-35 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 354 | | | 25-Apr-35 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 355 | | | 25-May-35 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 356 | | | 25-Jun-35 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 357 | | | 25-Jul-35 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 358 | | | 25-Aug-35 | | | 40.00 | % | | | 5.40 | % | | Fail | | Pass | | | 100.00 | % | | | 3.80 | % |
| | | 359 | | | 25-Sep-35 | | | 40.00 | % | | | 5.40 | % | | Pass | | Pass | | | 0.00 | % | | | 3.80 | % |
TIAA BASIS RISK TEMPLATE
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Annualized | | | | | | | | | | | | | | | | |
| | | | | | (excluding cap | | | | | | | | | | | | | | | | |
| | | | | | payment) | | | | | | | | | | | | | | | | |
| | | | | | Excess Spread | | | | | | Net WAC | | Net WAC | | | | | | Net WAC | | Net WAC |
Distribution | | Deal | | as % of the periods | | Forward | | (exluding Cap | | (including Cap | | | | | | (exluding Cap | | (including Cap |
Date | | Age | | Beginning Balance | | 1Mo LIBOR | | payments) | | payments) | | LIBOR = 20% | | payments) | | payments) |
|
9-Nov-05 | | | 0 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
25-Nov-05 | | | 1 | | | | 4.15 | % | | | 4.0968 | | | | 12.37 | % | | | 12.39 | % | | | 20 | % | | | 12.37 | % | | | 28.20 | % |
25-Dec-05 | | | 2 | | | | 1.90 | % | | | 4.3242 | | | | 6.60 | % | | | 6.84 | % | | | 20 | % | | | 6.60 | % | | | 22.43 | % |
25-Jan-06 | | | 3 | | | | 1.75 | % | | | 4.3210 | | | | 6.38 | % | | | 6.63 | % | | | 20 | % | | | 6.38 | % | | | 22.21 | % |
25-Feb-06 | | | 4 | | | | 1.65 | % | | | 4.4233 | | | | 6.39 | % | | | 6.73 | % | | | 20 | % | | | 6.39 | % | | | 22.21 | % |
25-Mar-06 | | | 5 | | | | 1.99 | % | | | 4.5556 | | | | 7.07 | % | | | 7.54 | % | | | 20 | % | | | 7.07 | % | | | 22.89 | % |
25-Apr-06 | | | 6 | | | | 1.59 | % | | | 4.4792 | | | | 6.39 | % | | | 6.79 | % | | | 20 | % | | | 6.39 | % | | | 22.20 | % |
25-May-06 | | | 7 | | | | 1.66 | % | | | 4.5669 | | | | 6.60 | % | | | 7.09 | % | | | 20 | % | | | 6.60 | % | | | 22.40 | % |
25-Jun-06 | | | 8 | | | | 1.46 | % | | | 4.6063 | | | | 6.39 | % | | | 6.91 | % | | | 20 | % | | | 6.39 | % | | | 22.18 | % |
25-Jul-06 | | | 9 | | | | 1.65 | % | | | 4.5706 | | | | 6.61 | % | | | 7.09 | % | | | 20 | % | | | 6.61 | % | | | 22.39 | % |
25-Aug-06 | | | 10 | | | | 1.42 | % | | | 4.6390 | | | | 6.39 | % | | | 6.95 | % | | | 20 | % | | | 6.39 | % | | | 22.17 | % |
25-Sep-06 | | | 11 | | | | 1.45 | % | | | 4.6124 | | | | 6.40 | % | | | 6.92 | % | | | 20 | % | | | 6.40 | % | | | 22.16 | % |
25-Oct-06 | | | 12 | | | | 1.70 | % | | | 4.5161 | | | | 6.61 | % | | | 7.04 | % | | | 20 | % | | | 6.61 | % | | | 22.37 | % |
25-Nov-06 | | | 13 | | | | 1.53 | % | | | 4.5287 | | | | 6.40 | % | | | 6.84 | % | | | 20 | % | | | 6.40 | % | | | 22.03 | % |
25-Dec-06 | | | 14 | | | | 1.67 | % | | | 4.5418 | | | | 6.62 | % | | | 7.07 | % | | | 20 | % | | | 6.62 | % | | | 22.27 | % |
25-Jan-07 | | | 15 | | | | 1.50 | % | | | 4.5541 | | | | 6.41 | % | | | 6.88 | % | | | 20 | % | | | 6.41 | % | | | 22.04 | % |
25-Feb-07 | | | 16 | | | | 1.49 | % | | | 4.5652 | | | | 6.41 | % | | | 6.89 | % | | | 20 | % | | | 6.41 | % | | | 22.03 | % |
25-Mar-07 | | | 17 | | | | 1.96 | % | | | 4.5758 | | | | 7.11 | % | | | 7.59 | % | | | 20 | % | | | 7.11 | % | | | 22.71 | % |
25-Apr-07 | | | 18 | | | | 1.46 | % | | | 4.5879 | | | | 6.42 | % | | | 6.92 | % | | | 20 | % | | | 6.42 | % | | | 21.86 | % |
25-May-07 | | | 19 | | | | 1.60 | % | | | 4.5990 | | | | 6.64 | % | | | 7.14 | % | | | 20 | % | | | 6.64 | % | | | 22.18 | % |
25-Jun-07 | | | 20 | | | | 1.43 | % | | | 4.6115 | | | | 6.44 | % | | | 6.96 | % | | | 20 | % | | | 6.44 | % | | | 22.01 | % |
25-Jul-07 | | | 21 | | | | 1.59 | % | | | 4.6220 | | | | 6.66 | % | | | 7.19 | % | | | 20 | % | | | 6.66 | % | | | 22.29 | % |
25-Aug-07 | | | 22 | | | | 1.41 | % | | | 4.6325 | | | | 6.45 | % | | | 7.00 | % | | | 20 | % | | | 6.45 | % | | | 22.19 | % |
25-Sep-07 | | | 23 | | | | 3.04 | % | | | 4.6437 | | | | 8.09 | % | | | 8.09 | % | | | 20 | % | | | 8.09 | % | | | 22.32 | % |
25-Oct-07 | | | 24 | | | | 3.35 | % | | | 4.5775 | | | | 8.47 | % | | | 8.47 | % | | | 20 | % | | | 8.47 | % | | | 22.72 | % |
25-Nov-07 | | | 25 | | | | 3.18 | % | | | 4.5824 | | | | 8.20 | % | | | 8.20 | % | | | 20 | % | | | 8.21 | % | | | 22.60 | % |
25-Dec-07 | | | 26 | | | | 3.34 | % | | | 4.5871 | | | | 8.49 | % | | | 8.49 | % | | | 20 | % | | | 8.49 | % | | | 22.86 | % |
25-Jan-08 | | | 27 | | | | 3.18 | % | | | 4.5917 | | | | 8.22 | % | | | 8.22 | % | | | 20 | % | | | 8.22 | % | | | 22.56 | % |
25-Feb-08 | | | 28 | | | | 3.17 | % | | | 4.5968 | | | | 8.23 | % | | | 8.23 | % | | | 20 | % | | | 8.23 | % | | | 22.55 | % |
25-Mar-08 | | | 29 | | | | 4.67 | % | | | 4.5999 | | | | 10.08 | % | | | 10.08 | % | | | 20 | % | | | 10.12 | % | | | 24.41 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Annualized | | | | | | | | | | | | | | | | |
| | | | | | (excluding cap | | | | | | | | | | | | | | | | |
| | | | | | payment) | | | | | | | | | | | | | | | | |
| | | | | | Excess Spread | | | | | | Net WAC | | Net WAC | | | | | | Net WAC | | Net WAC |
Distribution | | Deal | | as % of the periods | | Forward | | (exluding Cap | | (including Cap | | | | | | (exluding Cap | | (including Cap |
Date | | Age | | Beginning Balance | | 1Mo LIBOR | | payments) | | payments) | | LIBOR = 20% | | payments) | | payments) |
|
25-Apr-08 | | | 30 | | | | 4.41 | % | | | 4.6044 | | | | 9.51 | % | | | 9.51 | % | | | 20 | % | | | 9.54 | % | | | 23.80 | % |
25-May-08 | | | 31 | | | | 4.53 | % | | | 4.6080 | | | | 9.78 | % | | | 9.78 | % | | | 20 | % | | | 9.86 | % | | | 24.37 | % |
25-Jun-08 | | | 32 | | | | 4.38 | % | | | 4.6123 | | | | 9.51 | % | | | 9.51 | % | | | 20 | % | | | 9.58 | % | | | 24.09 | % |
25-Jul-08 | | | 33 | | | | 4.55 | % | | | 4.6158 | | | | 9.87 | % | | | 9.87 | % | | | 20 | % | | | 9.91 | % | | | 24.39 | % |
25-Aug-08 | | | 34 | | | | 4.38 | % | | | 4.6205 | | | | 9.57 | % | | | 9.57 | % | | | 20 | % | | | 9.60 | % | | | 24.06 | % |
25-Sep-08 | | | 35 | | | | 4.53 | % | | | 4.6239 | | | | 9.74 | % | | | 9.74 | % | | | 20 | % | | | 10.86 | % | | | 25.29 | % |
25-Oct-08 | | | 36 | | | | 4.70 | % | | | 4.6317 | | | | 10.10 | % | | | 10.10 | % | | | 20 | % | | | 11.32 | % | | | 25.69 | % |
25-Nov-08 | | | 37 | | | | 4.50 | % | | | 4.6359 | | | | 9.74 | % | | | 9.74 | % | | | 20 | % | | | 10.97 | % | | | 25.61 | % |
25-Dec-08 | | | 38 | | | | 4.68 | % | | | 4.6388 | | | | 10.12 | % | | | 10.12 | % | | | 20 | % | | | 11.36 | % | | | 25.98 | % |
25-Jan-09 | | | 39 | | | | 4.52 | % | | | 4.6424 | | | | 9.83 | % | | | 9.83 | % | | | 20 | % | | | 11.01 | % | | | 25.59 | % |
25-Feb-09 | | | 40 | | | | 4.52 | % | | | 4.6457 | | | | 9.85 | % | | | 9.85 | % | | | 20 | % | | | 11.03 | % | | | 25.57 | % |
25-Mar-09 | | | 41 | | | | 5.04 | % | | | 4.6478 | | | | 10.96 | % | | | 10.96 | % | | | 20 | % | | | 13.16 | % | | | 27.67 | % |
25-Apr-09 | | | 42 | | | | 4.55 | % | | | 4.6517 | | | | 9.93 | % | | | 9.93 | % | | | 20 | % | | | 11.96 | % | | | 26.43 | % |
25-May-09 | | | 43 | | | | 4.67 | % | | | 4.6553 | | | | 10.20 | % | | | 10.20 | % | | | 20 | % | | | 12.37 | % | | | 27.15 | % |
25-Jun-09 | | | 44 | | | | 4.52 | % | | | 4.6577 | | | | 9.93 | % | | | 9.93 | % | | | 20 | % | | | 12.02 | % | | | 26.79 | % |
25-Jul-09 | | | 45 | | | | 4.70 | % | | | 4.6598 | | | | 10.33 | % | | | 10.33 | % | | | 20 | % | | | 12.44 | % | | | 27.17 | % |
25-Aug-09 | | | 46 | | | | 4.54 | % | | | 4.6631 | | | | 10.03 | % | | | 10.03 | % | | | 20 | % | | | 12.06 | % | | | 26.75 | % |
25-Sep-09 | | | 47 | | | | 4.56 | % | | | 4.6660 | | | | 10.08 | % | | | 10.08 | % | | | 20 | % | | | 12.11 | % | | | 26.75 | % |
25-Oct-09 | | | 48 | | | | 4.71 | % | | | 4.6873 | | | | 10.44 | % | | | 10.44 | % | | | 20 | % | | | 12.55 | % | | | 27.09 | % |
25-Nov-09 | | | 49 | | | | 4.49 | % | | | 4.6906 | | | | 10.04 | % | | | 10.04 | % | | | 20 | % | | | 12.14 | % | | | 27.03 | % |
25-Dec-09 | | | 50 | | | | 4.67 | % | | | 4.6932 | | | | 10.44 | % | | | 10.44 | % | | | 20 | % | | | 12.63 | % | | | 27.55 | % |
25-Jan-10 | | | 51 | | | | 4.52 | % | | | 4.6969 | | | | 10.17 | % | | | 10.17 | % | | | 20 | % | | | 12.25 | % | | | 27.12 | % |
25-Feb-10 | | | 52 | | | | 4.53 | % | | | 4.6991 | | | | 10.24 | % | | | 10.24 | % | | | 20 | % | | | 12.29 | % | | | 27.10 | % |
25-Mar-10 | | | 53 | | | | 5.03 | % | | | 4.7004 | | | | 11.39 | % | | | 11.39 | % | | | 20 | % | | | 13.65 | % | | | 28.41 | % |
25-Apr-10 | | | 54 | | | | 4.54 | % | | | 4.7037 | | | | 10.32 | % | | | 10.32 | % | | | 20 | % | | | 12.37 | % | | | 27.08 | % |
25-May-10 | | | 55 | | | | 4.28 | % | | | 4.7061 | | | | 10.57 | % | | | 10.57 | % | | | 20 | % | | | 12.77 | % | | | 27.87 | % |
25-Jun-10 | | | 56 | | | | 4.12 | % | | | 4.7083 | | | | 10.30 | % | | | 10.30 | % | | | 20 | % | | | 12.49 | % | | | 27.65 | % |
25-Jul-10 | | | 57 | | | | 4.31 | % | | | 4.7101 | | | | 10.72 | % | | | 10.72 | % | | | 20 | % | | | 12.95 | % | | | 28.05 | % |
25-Aug-10 | | | 58 | | | | 4.15 | % | | | 4.7124 | | | | 10.45 | % | | | 10.45 | % | | | 20 | % | | | 12.57 | % | | | 27.62 | % |
25-Sep-10 | | | 59 | | | | 4.20 | % | | | 4.7144 | | | | 10.58 | % | | | 10.58 | % | | | 20 | % | | | 12.62 | % | | | 27.61 | % |
25-Oct-10 | | | 60 | | | | 4.36 | % | | | 4.7447 | | | | 10.98 | % | | | 10.98 | % | | | 20 | % | | | 13.10 | % | | | 28.03 | % |
25-Nov-10 | | | 61 | | | | 4.08 | % | | | 4.7472 | | | | 10.51 | % | | | 10.51 | % | | | 20 | % | | | 12.63 | % | | | 12.63 | % |
25-Dec-10 | | | 62 | | | | 4.27 | % | | | 4.7487 | | | | 10.95 | % | | | 10.95 | % | | | 20 | % | | | 13.10 | % | | | 13.10 | % |
25-Jan-11 | | | 63 | | | | 4.11 | % | | | 4.7516 | | | | 10.68 | % | | | 10.68 | % | | | 20 | % | | | 12.73 | % | | | 12.73 | % |
25-Feb-11 | | | 64 | | | | 4.13 | % | | | 4.7535 | | | | 10.77 | % | | | 10.77 | % | | | 20 | % | | | 12.78 | % | | | 12.78 | % |
25-Mar-11 | | | 65 | | | | 4.69 | % | | | 4.7544 | | | | 12.06 | % | | | 12.06 | % | | | 20 | % | | | 14.22 | % | | | 14.22 | % |
25-Apr-11 | | | 66 | | | | 4.19 | % | | | 4.7579 | | | | 11.00 | % | | | 11.00 | % | | | 20 | % | | | 12.90 | % | | | 12.90 | % |
25-May-11 | | | 67 | | | | 4.26 | % | | | 4.7589 | | | | 11.25 | % | | | 11.25 | % | | | 20 | % | | | 13.11 | % | | | 13.11 | % |
25-Jun-11 | | | 68 | | | | 4.10 | % | | | 4.7608 | | | | 10.99 | % | | | 10.99 | % | | | 20 | % | | | 12.74 | % | | | 12.74 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Annualized | | | | | | | | | | | | | | | | |
| | | | | | (excluding cap | | | | | | | | | | | | | | | | |
| | | | | | payment) | | | | | | | | | | | | | | | | |
| | | | | | Excess Spread | | | | | | Net WAC | | Net WAC | | | | | | Net WAC | | Net WAC |
Distribution | | Deal | | as % of the periods | | Forward | | (exluding Cap | | (including Cap | | | | | | (exluding Cap | | (including Cap |
Date | | Age | | Beginning Balance | | 1Mo LIBOR | | payments) | | payments) | | LIBOR = 20% | | payments) | | payments) |
|
25-Jul-11 | | | 69 | | | | 4.29 | % | | | 4.7628 | | | | 11.46 | % | | | 11.46 | % | | | 20 | % | | | 13.22 | % | | | 13.22 | % |
25-Aug-11 | | | 70 | | | | 4.14 | % | | | 4.7640 | | | | 11.21 | % | | | 11.21 | % | | | 20 | % | | | 12.85 | % | | | 12.85 | % |
25-Sep-11 | | | 71 | | | | 4.17 | % | | | 4.7654 | | | | 11.34 | % | | | 11.34 | % | | | 20 | % | | | 12.91 | % | | | 12.91 | % |
25-Oct-11 | | | 72 | | | | 4.37 | % | | | 4.7706 | | | | 11.85 | % | | | 11.85 | % | | | 20 | % | | | 13.41 | % | | | 13.41 | % |
25-Nov-11 | | | 73 | | | | 4.10 | % | | | 4.7723 | | | | 11.39 | % | | | 11.39 | % | | | 20 | % | | | 12.78 | % | | | 12.78 | % |
25-Dec-11 | | | 74 | | | | 4.30 | % | | | 4.7728 | | | | 11.90 | % | | | 11.90 | % | | | 20 | % | | | 13.27 | % | | | 13.27 | % |
25-Jan-12 | | | 75 | | | | 4.16 | % | | | 4.7743 | | | | 11.66 | % | | | 11.66 | % | | | 20 | % | | | 12.90 | % | | | 12.90 | % |
25-Feb-12 | | | 76 | | | | 4.19 | % | | | 4.7753 | | | | 11.80 | % | | | 11.80 | % | | | 20 | % | | | 12.96 | % | | | 12.96 | % |
25-Mar-12 | | | 77 | | | | 4.57 | % | | | 4.7756 | | | | 12.78 | % | | | 12.78 | % | | | 20 | % | | | 13.93 | % | | | 13.93 | % |
25-Apr-12 | | | 78 | | | | 4.26 | % | | | 4.7771 | | | | 12.12 | % | | | 12.12 | % | | | 20 | % | | | 13.10 | % | | | 13.10 | % |
25-May-12 | | | 79 | | | | 4.33 | % | | | 4.7776 | | | | 12.45 | % | | | 12.45 | % | | | 20 | % | | | 13.29 | % | | | 13.29 | % |
25-Jun-12 | | | 80 | | | | 4.19 | % | | | 4.7792 | | | | 12.23 | % | | | 12.23 | % | | | 20 | % | | | 12.92 | % | | | 12.92 | % |
25-Jul-12 | | | 81 | | | | 4.39 | % | | | 4.7789 | | | | 12.83 | % | | | 12.83 | % | | | 20 | % | | | 13.42 | % | | | 13.42 | % |
25-Aug-12 | | | 82 | | | | 4.26 | % | | | 4.7797 | | | | 12.61 | % | | | 12.61 | % | | | 20 | % | | | 13.06 | % | | | 13.06 | % |
25-Sep-12 | | | 83 | | | | 4.35 | % | | | 4.7805 | | | | 12.88 | % | | | 12.88 | % | | | 20 | % | | | 13.14 | % | | | 13.14 | % |
25-Oct-12 | | | 84 | | | | 4.51 | % | | | 4.8506 | | | | 13.55 | % | | | 13.55 | % | | | 20 | % | | | 13.65 | % | | | 13.65 | % |
25-Nov-12 | | | 85 | | | | 4.26 | % | | | 4.8522 | | | | 13.14 | % | | | 13.14 | % | | | 20 | % | | | 12.98 | % | | | 12.98 | % |
25-Dec-12 | | | 86 | | | | 4.48 | % | | | 4.8535 | | | | 13.84 | % | | | 13.84 | % | | | 20 | % | | | 13.49 | % | | | 13.49 | % |
25-Jan-13 | | | 87 | | | | 4.38 | % | | | 4.8547 | | | | 13.67 | % | | | 13.67 | % | | | 20 | % | | | 13.14 | % | | | 13.14 | % |
25-Feb-13 | | | 88 | | | | 4.46 | % | | | 4.8564 | | | | 13.97 | % | | | 13.97 | % | | | 20 | % | | | 13.22 | % | | | 13.22 | % |
25-Mar-13 | | | 89 | | | | 5.04 | % | | | 4.8557 | | | | 15.84 | % | | | 15.84 | % | | | 20 | % | | | 14.73 | % | | | 14.73 | % |
25-Apr-13 | | | 90 | | | | 4.64 | % | | | 4.8575 | | | | 14.67 | % | | | 14.67 | % | | | 20 | % | | | 13.41 | % | | | 13.41 | % |
25-May-13 | | | 91 | | | | 4.89 | % | | | 4.8579 | | | | 15.56 | % | | | 15.56 | % | | | 20 | % | | | 13.96 | % | | | 13.96 | % |
25-Jun-13 | | | 92 | | | | 4.83 | % | | | 4.8593 | | | | 15.49 | % | | | 15.49 | % | | | 20 | % | | | 13.61 | % | | | 13.61 | % |
25-Jul-13 | | | 93 | | | | 5.08 | % | | | 4.8593 | | | | 16.49 | % | | | 16.49 | % | | | 20 | % | | | 14.18 | % | | | 14.18 | % |
25-Aug-13 | | | 94 | | | | 5.04 | % | | | 4.8601 | | | | 16.48 | % | | | 16.48 | % | | | 20 | % | | | 13.83 | % | | | 13.83 | % |
25-Sep-13 | | | 95 | | | | 5.18 | % | | | 4.8605 | | | | 17.12 | % | | | 17.12 | % | | | 20 | % | | | 13.96 | % | | | 13.96 | % |
25-Oct-13 | | | 96 | | | | 5.41 | % | | | 4.9102 | | | | 18.37 | % | | | 18.37 | % | | | 20 | % | | | 14.55 | % | | | 14.55 | % |
25-Nov-13 | | | 97 | | | | 5.40 | % | | | 4.9121 | | | | 18.51 | % | | | 18.51 | % | | | 20 | % | | | 14.23 | % | | | 14.23 | % |
25-Dec-13 | | | 98 | | | | 5.69 | % | | | 4.9122 | | | | 19.98 | % | | | 19.98 | % | | | 20 | % | | | 14.85 | % | | | 14.85 | % |
25-Jan-14 | | | 99 | | | | 5.73 | % | | | 4.9128 | | | | 20.28 | % | | | 20.28 | % | | | 20 | % | | | 14.54 | % | | | 14.54 | % |
25-Feb-14 | | | 100 | | | | 5.89 | % | | | 4.9137 | | | | 21.33 | % | | | 21.33 | % | | | 20 | % | | | 14.71 | % | | | 14.71 | % |
25-Mar-14 | | | 101 | | | | 6.37 | % | | | 4.9129 | | | | 24.71 | % | | | 24.71 | % | | | 20 | % | | | 16.48 | % | | | 16.48 | % |
25-Apr-14 | | | 102 | | | | 6.18 | % | | | 4.9143 | | | | 23.43 | % | | | 23.43 | % | | | 20 | % | | | 15.10 | % | | | 15.10 | % |
25-May-14 | | | 103 | | | | 6.43 | % | | | 4.9142 | | | | 25.52 | % | | | 25.52 | % | | | 20 | % | | | 15.83 | % | | | 15.83 | % |
25-Jun-14 | | | 104 | | | | 6.49 | % | | | 4.9148 | | | | 26.16 | % | | | 26.16 | % | | | 20 | % | | | 15.56 | % | | | 15.56 | % |
25-Jul-14 | | | 105 | | | | 6.74 | % | | | 4.9146 | | | | 28.80 | % | | | 28.80 | % | | | 20 | % | | | 16.33 | % | | | 16.33 | % |
25-Aug-14 | | | 106 | | | | 6.83 | % | | | 4.9157 | | | | 29.89 | % | | | 29.89 | % | | | 20 | % | | | 16.08 | % | | | 16.08 | % |
25-Sep-14 | | | 107 | | | | 7.05 | % | | | 4.9187 | | | | 32.43 | % | | | 32.43 | % | | | 20 | % | | | 16.38 | % | | | 16.38 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Annualized | | | | | | | | | | | | | | | | |
| | | | | | (excluding cap | | | | | | | | | | | | | | | | |
| | | | | | payment) | | | | | | | | | | | | | | | | |
| | | | | | Excess Spread | | | | | | Net WAC | | Net WAC | | | | | | Net WAC | | Net WAC |
Distribution | | Deal | | as % of the periods | | Forward | | (exluding Cap | | (including Cap | | | | | | (exluding Cap | | (including Cap |
Date | | Age | | Beginning Balance | | 1Mo LIBOR | | payments) | | payments) | | LIBOR = 20% | | payments) | | payments) |
|
25-Oct-14 | | | 108 | | | | 7.31 | % | | | 4.9723 | | | | 36.58 | % | | | 36.58 | % | | | 20 | % | | | 17.26 | % | | | 17.26 | % |
25-Nov-14 | | | 109 | | | | 7.44 | % | | | 4.9733 | | | | 39.10 | % | | | 39.10 | % | | | 20 | % | | | 17.06 | % | | | 17.06 | % |
25-Dec-14 | | | 110 | | | | 7.72 | % | | | 4.9729 | | | | 45.31 | % | | | 45.31 | % | | | 20 | % | | | 18.03 | % | | | 18.03 | % |
25-Jan-15 | | | 111 | | | | 7.88 | % | | | 4.9735 | | | | 50.13 | % | | | 50.13 | % | | | 20 | % | | | 17.87 | % | | | 17.87 | % |
25-Feb-15 | | | 112 | | | | 8.10 | % | | | 4.9736 | | | | 58.87 | % | | | 58.87 | % | | | 20 | % | | | 18.34 | % | | | 18.34 | % |
25-Mar-15 | | | 113 | | | | 8.45 | % | | | 4.9726 | | | | 79.53 | % | | | 79.53 | % | | | 20 | % | | | 20.88 | % | | | 20.88 | % |
25-Apr-15 | | | 114 | | | | 8.59 | % | | | 4.9735 | | | | 92.95 | % | | | 92.95 | % | | | 20 | % | | | 19.46 | % | | | 19.46 | % |
25-May-15 | | | 115 | | | | 8.85 | % | | | 4.9740 | | | | 137.98 | % | | | 137.98 | % | | | 20 | % | | | 20.77 | % | | | 20.77 | % |
25-Jun-15 | | | 116 | | | | 9.09 | % | | | 4.9731 | | | | 243.46 | % | | | 243.46 | % | | | 20 | % | | | 20.83 | % | | | 20.83 | % |
25-Jul-15 | | | 117 | | | | 9.36 | % | | | 4.9725 | | | | 1690.79 | % | | | 1690.79 | % | | | 20 | % | | | 22.37 | % | | | 22.37 | % |
25-Aug-15 | | | 118 | | | | 9.40 | % | | | 4.9727 | | | | | | | | 0.00 | % | | | 20 | % | | | 22.58 | % | | | 22.58 | % |
25-Sep-15 | | | 119 | | | | 9.42 | % | | | 4.9738 | | | | | | | | 0.00 | % | | | 20 | % | | | 23.64 | % | | | 23.64 | % |
25-Oct-15 | | | 120 | | | | 9.42 | % | | | 5.0297 | | | | | | | | 0.00 | % | | | 20 | % | | | 25.69 | % | | | 25.69 | % |
25-Nov-15 | | | 121 | | | | 9.41 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 26.30 | % | | | 26.30 | % |
25-Dec-15 | | | 122 | | | | 9.40 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 28.91 | % | | | 28.91 | % |
25-Jan-16 | | | 123 | | | | 9.39 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 30.00 | % | | | 30.00 | % |
25-Feb-16 | | | 124 | | | | 9.39 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 32.44 | % | | | 32.44 | % |
25-Mar-16 | | | 125 | | | | 9.44 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 37.90 | % | | | 37.90 | % |
25-Apr-16 | | | 126 | | | | 9.43 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 39.32 | % | | | 39.32 | % |
25-May-16 | | | 127 | | | | 9.42 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 45.82 | % | | | 45.82 | % |
25-Jun-16 | | | 128 | | | | 9.41 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 51.21 | % | | | 51.21 | % |
25-Jul-16 | | | 129 | | | | 9.41 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 63.13 | % | | | 63.13 | % |
25-Aug-16 | | | 130 | | | | 9.40 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 76.59 | % | | | 76.59 | % |
25-Sep-16 | | | 131 | | | | 9.39 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 104.23 | % | | | 104.23 | % |
25-Oct-16 | | | 132 | | | | 9.38 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 173.10 | % | | | 173.10 | % |
25-Nov-16 | | | 133 | | | | 9.37 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | 460.21 | % | | | 460.21 | % |
25-Dec-16 | | | 134 | | | | 9.36 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-17 | | | 135 | | | | 9.35 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-17 | | | 136 | | | | 9.35 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-17 | | | 137 | | | | 9.34 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-17 | | | 138 | | | | 9.33 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-17 | | | 139 | | | | 9.32 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-17 | | | 140 | | | | 9.31 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-17 | | | 141 | | | | 9.30 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-17 | | | 142 | | | | 9.29 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-17 | | | 143 | | | | 9.28 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-17 | | | 144 | | | | 9.28 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-17 | | | 145 | | | | 9.27 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-17 | | | 146 | | | | 9.26 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Annualized | | | | | | | | | | | | | | | | |
| | | | | | (excluding cap | | | | | | | | | | | | | | | | |
| | | | | | payment) | | | | | | | | | | | | | | | | |
| | | | | | Excess Spread | | | | | | Net WAC | | Net WAC | | | | | | Net WAC | | Net WAC |
Distribution | | Deal | | as % of the periods | | Forward | | (exluding Cap | | (including Cap | | | | | | (exluding Cap | | (including Cap |
Date | | Age | | Beginning Balance | | 1Mo LIBOR | | payments) | | payments) | | LIBOR = 20% | | payments) | | payments) |
|
25-Jan-18 | | | 147 | | | | 9.25 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-18 | | | 148 | | | | 9.24 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-18 | | | 149 | | | | 9.23 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-18 | | | 150 | | | | 9.22 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-18 | | | 151 | | | | 9.21 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-18 | | | 152 | | | | 9.20 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-18 | | | 153 | | | | 9.20 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-18 | | | 154 | | | | 9.19 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-18 | | | 155 | | | | 9.18 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-18 | | | 156 | | | | 9.17 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-18 | | | 157 | | | | 9.16 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-18 | | | 158 | | | | 9.15 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-19 | | | 159 | | | | 9.14 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-19 | | | 160 | | | | 9.13 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-19 | | | 161 | | | | 9.12 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-19 | | | 162 | | | | 9.12 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-19 | | | 163 | | | | 9.11 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-19 | | | 164 | | | | 9.10 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-19 | | | 165 | | | | 9.09 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-19 | | | 166 | | | | 9.08 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-19 | | | 167 | | | | 9.07 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-19 | | | 168 | | | | 9.06 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-19 | | | 169 | | | | 9.05 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-19 | | | 170 | | | | 9.04 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-20 | | | 171 | | | | 9.03 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-20 | | | 172 | | | | 9.03 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-20 | | | 173 | | | | 9.02 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-20 | | | 174 | | | | 9.01 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-20 | | | 175 | | | | 9.00 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-20 | | | 176 | | | | 8.99 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-20 | | | 177 | | | | 8.98 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-20 | | | 178 | | | | 8.97 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-20 | | | 179 | | | | 8.96 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-20 | | | 180 | | | | 8.95 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-20 | | | 181 | | | | 8.94 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-20 | | | 182 | | | | 8.94 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-21 | | | 183 | | | | 8.93 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-21 | | | 184 | | | | 8.92 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-21 | | | 185 | | | | 8.91 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Annualized | | | | | | | | | | | | | | | | |
| | | | | | (excluding cap | | | | | | | | | | | | | | | | |
| | | | | | payment) | | | | | | | | | | | | | | | | |
| | | | | | Excess Spread | | | | | | Net WAC | | Net WAC | | | | | | Net WAC | | Net WAC |
Distribution | | Deal | | as % of the periods | | Forward | | (exluding Cap | | (including Cap | | | | | | (exluding Cap | | (including Cap |
Date | | Age | | Beginning Balance | | 1Mo LIBOR | | payments) | | payments) | | LIBOR = 20% | | payments) | | payments) |
|
25-Apr-21 | | | 186 | | | | 8.90 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-21 | | | 187 | | | | 8.89 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-21 | | | 188 | | | | 8.88 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-21 | | | 189 | | | | 8.87 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-21 | | | 190 | | | | 8.87 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-21 | | | 191 | | | | 8.86 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-21 | | | 192 | | | | 8.85 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-21 | | | 193 | | | | 8.84 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-21 | | | 194 | | | | 8.83 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-22 | | | 195 | | | | 8.82 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-22 | | | 196 | | | | 8.81 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-22 | | | 197 | | | | 8.81 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-22 | | | 198 | | | | 8.80 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-22 | | | 199 | | | | 8.79 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-22 | | | 200 | | | | 8.78 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-22 | | | 201 | | | | 8.77 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-22 | | | 202 | | | | 8.76 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-22 | | | 203 | | | | 8.76 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-22 | | | 204 | | | | 8.75 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-22 | | | 205 | | | | 8.74 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-22 | | | 206 | | | | 8.73 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-23 | | | 207 | | | | 8.72 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-23 | | | 208 | | | | 8.71 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-23 | | | 209 | | | | 8.71 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-23 | | | 210 | | | | 8.70 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-23 | | | 211 | | | | 8.69 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-23 | | | 212 | | | | 8.68 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-23 | | | 213 | | | | 8.67 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-23 | | | 214 | | | | 8.67 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-23 | | | 215 | | | | 8.66 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-23 | | | 216 | | | | 8.65 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-23 | | | 217 | | | | 8.64 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-23 | | | 218 | | | | 8.64 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-24 | | | 219 | | | | 8.63 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-24 | | | 220 | | | | 8.62 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-24 | | | 221 | | | | 8.61 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-24 | | | 222 | | | | 8.60 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-24 | | | 223 | | | | 8.60 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-24 | | | 224 | | | | 8.59 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Annualized | | | | | | | | | | | | | | | | |
| | | | | | (excluding cap | | | | | | | | | | | | | | | | |
| | | | | | payment) | | | | | | | | | | | | | | | | |
| | | | | | Excess Spread | | | | | | Net WAC | | Net WAC | | | | | | Net WAC | | Net WAC |
Distribution | | Deal | | as % of the periods | | Forward | | (exluding Cap | | (including Cap | | | | | | (exluding Cap | | (including Cap |
Date | | Age | | Beginning Balance | | 1Mo LIBOR | | payments) | | payments) | | LIBOR = 20% | | payments) | | payments) |
|
25-Jul-24 | | | 225 | | | | 8.58 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-24 | | | 226 | | | | 8.57 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-24 | | | 227 | | | | 8.57 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-24 | | | 228 | | | | 8.56 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-24 | | | 229 | | | | 8.55 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-24 | | | 230 | | | | 8.55 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-25 | | | 231 | | | | 8.54 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-25 | | | 232 | | | | 8.53 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-25 | | | 233 | | | | 8.52 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-25 | | | 234 | | | | 8.52 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-25 | | | 235 | | | | 8.51 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-25 | | | 236 | | | | 8.50 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-25 | | | 237 | | | | 8.50 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-25 | | | 238 | | | | 8.49 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-25 | | | 239 | | | | 8.48 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-25 | | | 240 | | | | 8.48 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-25 | | | 241 | | | | 8.47 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-25 | | | 242 | | | | 8.46 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-26 | | | 243 | | | | 8.46 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-26 | | | 244 | | | | 8.45 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-26 | | | 245 | | | | 8.44 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-26 | | | 246 | | | | 8.43 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-26 | | | 247 | | | | 8.43 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-26 | | | 248 | | | | 8.42 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-26 | | | 249 | | | | 8.41 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-26 | | | 250 | | | | 8.41 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-26 | | | 251 | | | | 8.40 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-26 | | | 252 | | | | 8.40 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-26 | | | 253 | | | | 8.39 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-26 | | | 254 | | | | 8.38 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-27 | | | 255 | | | | 8.38 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-27 | | | 256 | | | | 8.37 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-27 | | | 257 | | | | 8.36 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-27 | | | 258 | | | | 8.36 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-27 | | | 259 | | | | 8.35 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-27 | | | 260 | | | | 8.35 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-27 | | | 261 | | | | 8.34 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-27 | | | 262 | | | | 8.33 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-27 | | | 263 | | | | 8.33 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Annualized | | | | | | | | | | | | | | | | |
| | | | | | (excluding cap | | | | | | | | | | | | | | | | |
| | | | | | payment) | | | | | | | | | | | | | | | | |
| | | | | | Excess Spread | | | | | | Net WAC | | Net WAC | | | | | | Net WAC | | Net WAC |
Distribution | | Deal | | as % of the periods | | Forward | | (exluding Cap | | (including Cap | | | | | | (exluding Cap | | (including Cap |
Date | | Age | | Beginning Balance | | 1Mo LIBOR | | payments) | | payments) | | LIBOR = 20% | | payments) | | payments) |
|
25-Oct-27 | | | 264 | | | | 8.32 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-27 | | | 265 | | | | 8.32 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-27 | | | 266 | | | | 8.31 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-28 | | | 267 | | | | 8.30 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-28 | | | 268 | | | | 8.30 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-28 | | | 269 | | | | 8.29 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-28 | | | 270 | | | | 8.29 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-28 | | | 271 | | | | 8.28 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-28 | | | 272 | | | | 8.28 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-28 | | | 273 | | | | 8.27 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-28 | | | 274 | | | | 8.27 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-28 | | | 275 | | | | 8.26 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-28 | | | 276 | | | | 8.26 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-28 | | | 277 | | | | 8.25 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-28 | | | 278 | | | | 8.24 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-29 | | | 279 | | | | 8.24 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-29 | | | 280 | | | | 8.23 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-29 | | | 281 | | | | 8.23 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-29 | | | 282 | | | | 8.22 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-29 | | | 283 | | | | 8.22 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-29 | | | 284 | | | | 8.21 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-29 | | | 285 | | | | 8.21 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-29 | | | 286 | | | | 8.21 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-29 | | | 287 | | | | 8.20 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-29 | | | 288 | | | | 8.20 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-29 | | | 289 | | | | 8.19 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-29 | | | 290 | | | | 8.19 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-30 | | | 291 | | | | 8.18 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-30 | | | 292 | | | | 8.18 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-30 | | | 293 | | | | 8.17 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-30 | | | 294 | | | | 8.17 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-30 | | | 295 | | | | 8.16 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-30 | | | 296 | | | | 8.16 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-30 | | | 297 | | | | 8.16 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-30 | | | 298 | | | | 8.15 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-30 | | | 299 | | | | 8.15 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-30 | | | 300 | | | | 8.14 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-30 | | | 301 | | | | 8.14 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-30 | | | 302 | | | | 8.14 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Annualized | | | | | | | | | | | | | | | | |
| | | | | | (excluding cap | | | | | | | | | | | | | | | | |
| | | | | | payment) | | | | | | | | | | | | | | | | |
| | | | | | Excess Spread | | | | | | Net WAC | | Net WAC | | | | | | Net WAC | | Net WAC |
Distribution | | Deal | | as % of the periods | | Forward | | (exluding Cap | | (including Cap | | | | | | (exluding Cap | | (including Cap |
Date | | Age | | Beginning Balance | | 1Mo LIBOR | | payments) | | payments) | | LIBOR = 20% | | payments) | | payments) |
|
25-Jan-31 | | | 303 | | | | 8.13 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-31 | | | 304 | | | | 8.13 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-31 | | | 305 | | | | 8.12 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-31 | | | 306 | | | | 8.12 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-31 | | | 307 | | | | 8.12 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-31 | | | 308 | | | | 8.11 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-31 | | | 309 | | | | 8.11 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-31 | | | 310 | | | | 8.10 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-31 | | | 311 | | | | 8.10 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-31 | | | 312 | | | | 8.10 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-31 | | | 313 | | | | 8.09 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-31 | | | 314 | | | | 8.09 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-32 | | | 315 | | | | 8.09 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-32 | | | 316 | | | | 8.08 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-32 | | | 317 | | | | 8.08 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-32 | | | 318 | | | | 8.08 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-32 | | | 319 | | | | 8.07 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-32 | | | 320 | | | | 8.07 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-32 | | | 321 | | | | 8.07 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-32 | | | 322 | | | | 8.06 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-32 | | | 323 | | | | 8.06 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-32 | | | 324 | | | | 8.06 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-32 | | | 325 | | | | 8.05 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-32 | | | 326 | | | | 8.05 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-33 | | | 327 | | | | 8.05 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-33 | | | 328 | | | | 8.05 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-33 | | | 329 | | | | 8.04 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-33 | | | 330 | | | | 8.04 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-33 | | | 331 | | | | 8.04 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-33 | | | 332 | | | | 8.03 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-33 | | | 333 | | | | 8.03 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-33 | | | 334 | | | | 8.03 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-33 | | | 335 | | | | 8.02 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-33 | | | 336 | | | | 8.02 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-33 | | | 337 | | | | 8.02 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-33 | | | 338 | | | | 8.02 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-34 | | | 339 | | | | 8.01 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-34 | | | 340 | | | | 8.01 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-34 | | | 341 | | | | 8.01 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Annualized | | | | | | | | | | | | | | | | |
| | | | | | (excluding cap | | | | | | | | | | | | | | | | |
| | | | | | payment) | | | | | | | | | | | | | | | | |
| | | | | | Excess Spread | | | | | | Net WAC | | Net WAC | | | | | | Net WAC | | Net WAC |
Distribution | | Deal | | as % of the periods | | Forward | | (exluding Cap | | (including Cap | | | | | | (exluding Cap | | (including Cap |
Date | | Age | | Beginning Balance | | 1Mo LIBOR | | payments) | | payments) | | LIBOR = 20% | | payments) | | payments) |
|
25-Apr-34 | | | 342 | | | | 8.01 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-34 | | | 343 | | | | 8.00 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-34 | | | 344 | | | | 8.00 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-34 | | | 345 | | | | 8.00 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-34 | | | 346 | | | | 8.00 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-34 | | | 347 | | | | 7.99 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Oct-34 | | | 348 | | | | 7.99 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Nov-34 | | | 349 | | | | 7.99 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Dec-34 | | | 350 | | | | 7.98 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jan-35 | | | 351 | | | | 7.98 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Feb-35 | | | 352 | | | | 7.98 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Mar-35 | | | 353 | | | | 7.98 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Apr-35 | | | 354 | | | | 7.98 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-May-35 | | | 355 | | | | 7.97 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jun-35 | | | 356 | | | | 7.96 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Jul-35 | | | 357 | | | | 7.95 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Aug-35 | | | 358 | | | | 7.93 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
25-Sep-35 | | | 359 | | | | 7.57 | % | | | 5.0895 | | | | | | | | 0.00 | % | | | 20 | % | | | | | | | | |
| | | | | | | | |
| | | | | | Annualized | |
| | | | | | (excluding cap payment) | |
| | | | | | Excess Spread | |
Distribution | | Deal | | | as % of the periods | |
Date | | Age | | | Beginning Balance | |
|
9-Nov-05 | | | 0 | | | | | |
25-Nov-05 | | | 1 | | | | 4.15 | % |
25-Dec-05 | | | 2 | | | | 1.90 | % |
25-Jan-06 | | | 3 | | | | 1.75 | % |
25-Feb-06 | | | 4 | | | | 1.65 | % |
25-Mar-06 | | | 5 | | | | 1.99 | % |
25-Apr-06 | | | 6 | | | | 1.59 | % |
25-May-06 | | | 7 | | | | 1.66 | % |
25-Jun-06 | | | 8 | | | | 1.46 | % |
25-Jul-06 | | | 9 | | | | 1.65 | % |
25-Aug-06 | | | 10 | | | | 1.42 | % |
25-Sep-06 | | | 11 | | | | 1.45 | % |
25-Oct-06 | | | 12 | | | | 1.70 | % |
25-Nov-06 | | | 13 | | | | 1.53 | % |
25-Dec-06 | | | 14 | | | | 1.67 | % |
25-Jan-07 | | | 15 | | | | 1.50 | % |
25-Feb-07 | | | 16 | | | | 1.49 | % |
25-Mar-07 | | | 17 | | | | 1.96 | % |
25-Apr-07 | | | 18 | | | | 1.46 | % |
25-May-07 | | | 19 | | | | 1.61 | % |
25-Jun-07 | | | 20 | | | | 1.44 | % |
25-Jul-07 | | | 21 | | | | 1.59 | % |
25-Aug-07 | | | 22 | | | | 1.41 | % |
25-Sep-07 | | | 23 | | | | 3.04 | % |
25-Oct-07 | | | 24 | | | | 3.35 | % |
25-Nov-07 | | | 25 | | | | 3.19 | % |
25-Dec-07 | | | 26 | | | | 3.34 | % |
25-Jan-08 | | | 27 | | | | 3.18 | % |
25-Feb-08 | | | 28 | | | | 3.17 | % |
25-Mar-08 | | | 29 | | | | 4.67 | % |
25-Apr-08 | | | 30 | | | | 4.41 | % |
25-May-08 | | | 31 | | | | 4.56 | % |
25-Jun-08 | | | 32 | | | | 4.39 | % |
25-Jul-08 | | | 33 | | | | 4.55 | % |
25-Aug-08 | | | 34 | | | | 4.38 | % |
25-Sep-08 | | | 35 | | | | 4.53 | % |
25-Oct-08 | | | 36 | | | | 4.70 | % |
25-Nov-08 | | | 37 | | | | 4.53 | % |
25-Dec-08 | | | 38 | | | | 4.69 | % |
25-Jan-09 | | | 39 | | | | 4.52 | % |
25-Feb-09 | | | 40 | | | | 4.51 | % |
25-Mar-09 | | | 41 | | | | 5.03 | % |
25-Apr-09 | | | 42 | | | | 4.55 | % |
| | | | | | | | |
| | | | | | Annualized | |
| | | | | | (excluding cap payment) | |
| | | | | | Excess Spread | |
Distribution | | Deal | | | as % of the periods | |
Date | | Age | | | Beginning Balance | |
|
25-May-09 | | | 43 | | | | 4.70 | % |
25-Jun-09 | | | 44 | | | | 4.54 | % |
25-Jul-09 | | | 45 | | | | 4.70 | % |
25-Aug-09 | | | 46 | | | | 4.53 | % |
25-Sep-09 | | | 47 | | | | 4.56 | % |
25-Oct-09 | | | 48 | | | | 4.70 | % |
25-Nov-09 | | | 49 | | | | 4.53 | % |
25-Dec-09 | | | 50 | | | | 4.69 | % |
25-Jan-10 | | | 51 | | | | 4.53 | % |
25-Feb-10 | | | 52 | | | | 4.52 | % |
25-Mar-10 | | | 53 | | | | 5.03 | % |
25-Apr-10 | | | 54 | | | | 4.53 | % |
25-May-10 | | | 55 | | | | 4.69 | % |
25-Jun-10 | | | 56 | | | | 4.53 | % |
25-Jul-10 | | | 57 | | | | 4.34 | % |
25-Aug-10 | | | 58 | | | | 4.16 | % |
25-Sep-10 | | | 59 | | | | 4.19 | % |
25-Oct-10 | | | 60 | | | | 4.35 | % |
25-Nov-10 | | | 61 | | | | 4.17 | % |
25-Dec-10 | | | 62 | | | | 4.34 | % |
25-Jan-11 | | | 63 | | | | 4.16 | % |
25-Feb-11 | | | 64 | | | | 4.16 | % |
25-Mar-11 | | | 65 | | | | 4.71 | % |
25-Apr-11 | | | 66 | | | | 4.18 | % |
25-May-11 | | | 67 | | | | 4.36 | % |
25-Jun-11 | | | 68 | | | | 4.18 | % |
25-Jul-11 | | | 69 | | | | 4.36 | % |
25-Aug-11 | | | 70 | | | | 4.18 | % |
25-Sep-11 | | | 71 | | | | 4.20 | % |
25-Oct-11 | | | 72 | | | | 4.37 | % |
25-Nov-11 | | | 73 | | | | 4.20 | % |
25-Dec-11 | | | 74 | | | | 4.38 | % |
25-Jan-12 | | | 75 | | | | 4.21 | % |
25-Feb-12 | | | 76 | | | | 4.22 | % |
25-Mar-12 | | | 77 | | | | 4.57 | % |
25-Apr-12 | | | 78 | | | | 4.24 | % |
25-May-12 | | | 79 | | | | 4.42 | % |
25-Jun-12 | | | 80 | | | | 4.26 | % |
25-Jul-12 | | | 81 | | | | 4.45 | % |
25-Aug-12 | | | 82 | | | | 4.29 | % |
25-Sep-12 | | | 83 | | | | 4.36 | % |
25-Oct-12 | | | 84 | | | | 4.50 | % |
25-Nov-12 | | | 85 | | | | 4.34 | % |
25-Dec-12 | | | 86 | | | | 4.53 | % |
25-Jan-13 | | | 87 | | | | 4.38 | % |
25-Feb-13 | | | 88 | | | | 4.41 | % |
25-Mar-13 | | | 89 | | | | 4.94 | % |
25-Apr-13 | | | 90 | | | | 4.47 | % |
25-May-13 | | | 91 | | | | 4.67 | % |
25-Jun-13 | | | 92 | | | | 4.53 | % |
25-Jul-13 | | | 93 | | | | 4.75 | % |
25-Aug-13 | | | 94 | | | | 4.64 | % |
| | | | | | | | |
| | | | | | Annualized | |
| | | | | | (excluding cap payment) | |
| | | | | | Excess Spread | |
Distribution | | Deal | | | as % of the periods | |
Date | | Age | | | Beginning Balance | |
|
25-Sep-13 | | | 95 | | | | 4.74 | % |
25-Oct-13 | | | 96 | | | | 4.93 | % |
25-Nov-13 | | | 97 | | | | 4.84 | % |
25-Dec-13 | | | 98 | | | | 5.06 | % |
25-Jan-14 | | | 99 | | | | 4.99 | % |
25-Feb-14 | | | 100 | | | | 5.07 | % |
25-Mar-14 | | | 101 | | | | 5.58 | % |
25-Apr-14 | | | 102 | | | | 5.24 | % |
25-May-14 | | | 103 | | | | 5.46 | % |
25-Jun-14 | | | 104 | | | | 5.42 | % |
25-Jul-14 | | | 105 | | | | 5.66 | % |
25-Aug-14 | | | 106 | | | | 5.66 | % |
25-Sep-14 | | | 107 | | | | 5.83 | % |
25-Oct-14 | | | 108 | | | | 6.06 | % |
25-Nov-14 | | | 109 | | | | 6.08 | % |
25-Dec-14 | | | 110 | | | | 6.34 | % |
25-Jan-15 | | | 111 | | | | 6.38 | % |
25-Feb-15 | | | 112 | | | | 6.54 | % |
25-Mar-15 | | | 113 | | | | 6.98 | % |
25-Apr-15 | | | 114 | | | | 6.90 | % |
25-May-15 | | | 115 | | | | 7.17 | % |
25-Jun-15 | | | 116 | | | | 7.29 | % |
25-Jul-15 | | | 117 | | | | 7.57 | % |
25-Aug-15 | | | 118 | | | | 7.72 | % |
25-Sep-15 | | | 119 | | | | 7.97 | % |
25-Oct-15 | | | 120 | | | | 8.23 | % |
25-Nov-15 | | | 121 | | | | 8.42 | % |
25-Dec-15 | | | 122 | | | | 8.70 | % |
25-Jan-16 | | | 123 | | | | 8.93 | % |
25-Feb-16 | | | 124 | | | | 9.19 | % |
25-Mar-16 | | | 125 | | | | 9.49 | % |
25-Apr-16 | | | 126 | | | | 9.49 | % |
25-May-16 | | | 127 | | | | 9.48 | % |
25-Jun-16 | | | 128 | | | | 9.47 | % |
25-Jul-16 | | | 129 | | | | 9.46 | % |
25-Aug-16 | | | 130 | | | | 9.45 | % |
25-Sep-16 | | | 131 | | | | 9.45 | % |
25-Oct-16 | | | 132 | | | | 9.44 | % |
25-Nov-16 | | | 133 | | | | 9.43 | % |
25-Dec-16 | | | 134 | | | | 9.42 | % |
25-Jan-17 | | | 135 | | | | 9.41 | % |
25-Feb-17 | | | 136 | | | | 9.40 | % |
25-Mar-17 | | | 137 | | | | 9.39 | % |
25-Apr-17 | | | 138 | | | | 9.39 | % |
25-May-17 | | | 139 | | | | 9.38 | % |
25-Jun-17 | | | 140 | | | | 9.37 | % |
25-Jul-17 | | | 141 | | | | 9.36 | % |
25-Aug-17 | | | 142 | | | | 9.35 | % |
25-Sep-17 | | | 143 | | | | 9.34 | % |
25-Oct-17 | | | 144 | | | | 9.33 | % |
25-Nov-17 | | | 145 | | | | 9.33 | % |
25-Dec-17 | | | 146 | | | | 9.32 | % |
| | | | | | | | |
| | | | | | Annualized | |
| | | | | | (excluding cap payment) | |
| | | | | | Excess Spread | |
Distribution | | Deal | | | as % of the periods | |
Date | | Age | | | Beginning Balance | |
|
25-Jan-18 | | | 147 | | | | 9.31 | % |
25-Feb-18 | | | 148 | | | | 9.30 | % |
25-Mar-18 | | | 149 | | | | 9.29 | % |
25-Apr-18 | | | 150 | | | | 9.28 | % |
25-May-18 | | | 151 | | | | 9.27 | % |
25-Jun-18 | | | 152 | | | | 9.26 | % |
25-Jul-18 | | | 153 | | | | 9.26 | % |
25-Aug-18 | | | 154 | | | | 9.25 | % |
25-Sep-18 | | | 155 | | | | 9.24 | % |
25-Oct-18 | | | 156 | | | | 9.23 | % |
25-Nov-18 | | | 157 | | | | 9.22 | % |
25-Dec-18 | | | 158 | | | | 9.21 | % |
25-Jan-19 | | | 159 | | | | 9.20 | % |
25-Feb-19 | | | 160 | | | | 9.19 | % |
25-Mar-19 | | | 161 | | | | 9.18 | % |
25-Apr-19 | | | 162 | | | | 9.17 | % |
25-May-19 | | | 163 | | | | 9.17 | % |
25-Jun-19 | | | 164 | | | | 9.16 | % |
25-Jul-19 | | | 165 | | | | 9.15 | % |
25-Aug-19 | | | 166 | | | | 9.14 | % |
25-Sep-19 | | | 167 | | | | 9.13 | % |
25-Oct-19 | | | 168 | | | | 9.12 | % |
25-Nov-19 | | | 169 | | | | 9.11 | % |
25-Dec-19 | | | 170 | | | | 9.10 | % |
25-Jan-20 | | | 171 | | | | 9.09 | % |
25-Feb-20 | | | 172 | | | | 9.09 | % |
25-Mar-20 | | | 173 | | | | 9.08 | % |
25-Apr-20 | | | 174 | | | | 9.07 | % |
25-May-20 | | | 175 | | | | 9.06 | % |
25-Jun-20 | | | 176 | | | | 9.05 | % |
25-Jul-20 | | | 177 | | | | 9.04 | % |
25-Aug-20 | | | 178 | | | | 9.03 | % |
25-Sep-20 | | | 179 | | | | 9.02 | % |
25-Oct-20 | | | 180 | | | | 9.01 | % |
25-Nov-20 | | | 181 | | | | 9.00 | % |
25-Dec-20 | | | 182 | | | | 9.00 | % |
25-Jan-21 | | | 183 | | | | 8.99 | % |
25-Feb-21 | | | 184 | | | | 8.98 | % |
25-Mar-21 | | | 185 | | | | 8.97 | % |
25-Apr-21 | | | 186 | | | | 8.96 | % |
25-May-21 | | | 187 | | | | 8.95 | % |
25-Jun-21 | | | 188 | | | | 8.94 | % |
25-Jul-21 | | | 189 | | | | 8.93 | % |
25-Aug-21 | | | 190 | | | | 8.92 | % |
25-Sep-21 | | | 191 | | | | 8.92 | % |
25-Oct-21 | | | 192 | | | | 8.91 | % |
25-Nov-21 | | | 193 | | | | 8.90 | % |
25-Dec-21 | | | 194 | | | | 8.89 | % |
25-Jan-22 | | | 195 | | | | 8.88 | % |
25-Feb-22 | | | 196 | | | | 8.87 | % |
25-Mar-22 | | | 197 | | | | 8.86 | % |
25-Apr-22 | | | 198 | | | | 8.86 | % |
| | | | | | | | |
| | | | | | Annualized | |
| | | | | | (excluding cap payment) | |
| | | | | | Excess Spread | |
Distribution | | Deal | | | as % of the periods | |
Date | | Age | | | Beginning Balance | |
|
25-May-22 | | | 199 | | | | 8.85 | % |
25-Jun-22 | | | 200 | | | | 8.84 | % |
25-Jul-22 | | | 201 | | | | 8.83 | % |
25-Aug-22 | | | 202 | | | | 8.82 | % |
25-Sep-22 | | | 203 | | | | 8.81 | % |
25-Oct-22 | | | 204 | | | | 8.80 | % |
25-Nov-22 | | | 205 | | | | 8.80 | % |
25-Dec-22 | | | 206 | | | | 8.79 | % |
25-Jan-23 | | | 207 | | | | 8.78 | % |
25-Feb-23 | | | 208 | | | | 8.77 | % |
25-Mar-23 | | | 209 | | | | 8.76 | % |
25-Apr-23 | | | 210 | | | | 8.75 | % |
25-May-23 | | | 211 | | | | 8.75 | % |
25-Jun-23 | | | 212 | | | | 8.74 | % |
25-Jul-23 | | | 213 | | | | 8.73 | % |
25-Aug-23 | | | 214 | | | | 8.72 | % |
25-Sep-23 | | | 215 | | | | 8.71 | % |
25-Oct-23 | | | 216 | | | | 8.71 | % |
25-Nov-23 | | | 217 | | | | 8.70 | % |
25-Dec-23 | | | 218 | | | | 8.69 | % |
25-Jan-24 | | | 219 | | | | 8.68 | % |
25-Feb-24 | | | 220 | | | | 8.67 | % |
25-Mar-24 | | | 221 | | | | 8.67 | % |
25-Apr-24 | | | 222 | | | | 8.66 | % |
25-May-24 | | | 223 | | | | 8.65 | % |
25-Jun-24 | | | 224 | | | | 8.64 | % |
25-Jul-24 | | | 225 | | | | 8.63 | % |
25-Aug-24 | | | 226 | | | | 8.63 | % |
25-Sep-24 | | | 227 | | | | 8.62 | % |
25-Oct-24 | | | 228 | | | | 8.61 | % |
25-Nov-24 | | | 229 | | | | 8.60 | % |
25-Dec-24 | | | 230 | | | | 8.60 | % |
25-Jan-25 | | | 231 | | | | 8.59 | % |
25-Feb-25 | | | 232 | | | | 8.58 | % |
25-Mar-25 | | | 233 | | | | 8.57 | % |
25-Apr-25 | | | 234 | | | | 8.57 | % |
25-May-25 | | | 235 | | | | 8.56 | % |
25-Jun-25 | | | 236 | | | | 8.55 | % |
25-Jul-25 | | | 237 | | | | 8.55 | % |
25-Aug-25 | | | 238 | | | | 8.54 | % |
25-Sep-25 | | | 239 | | | | 8.53 | % |
25-Oct-25 | | | 240 | | | | 8.52 | % |
25-Nov-25 | | | 241 | | | | 8.52 | % |
25-Dec-25 | | | 242 | | | | 8.51 | % |
25-Jan-26 | | | 243 | | | | 8.50 | % |
25-Feb-26 | | | 244 | | | | 8.50 | % |
25-Mar-26 | | | 245 | | | | 8.49 | % |
25-Apr-26 | | | 246 | | | | 8.48 | % |
25-May-26 | | | 247 | | | | 8.47 | % |
25-Jun-26 | | | 248 | | | | 8.47 | % |
25-Jul-26 | | | 249 | | | | 8.46 | % |
25-Aug-26 | | | 250 | | | | 8.45 | % |
| | | | | | | | |
| | | | | | Annualized | |
| | | | | | (excluding cap payment) | |
| | | | | | Excess Spread | |
Distribution | | Deal | | | as % of the periods | |
Date | | Age | | | Beginning Balance | |
|
25-Sep-26 | | | 251 | | | | 8.45 | % |
25-Oct-26 | | | 252 | | | | 8.44 | % |
25-Nov-26 | | | 253 | | | | 8.43 | % |
25-Dec-26 | | | 254 | | | | 8.43 | % |
25-Jan-27 | | | 255 | | | | 8.42 | % |
25-Feb-27 | | | 256 | | | | 8.41 | % |
25-Mar-27 | | | 257 | | | | 8.41 | % |
25-Apr-27 | | | 258 | | | | 8.40 | % |
25-May-27 | | | 259 | | | | 8.39 | % |
25-Jun-27 | | | 260 | | | | 8.39 | % |
25-Jul-27 | | | 261 | | | | 8.38 | % |
25-Aug-27 | | | 262 | | | | 8.38 | % |
25-Sep-27 | | | 263 | | | | 8.37 | % |
25-Oct-27 | | | 264 | | | | 8.36 | % |
25-Nov-27 | | | 265 | | | | 8.36 | % |
25-Dec-27 | | | 266 | | | | 8.35 | % |
25-Jan-28 | | | 267 | | | | 8.34 | % |
25-Feb-28 | | | 268 | | | | 8.34 | % |
25-Mar-28 | | | 269 | | | | 8.33 | % |
25-Apr-28 | | | 270 | | | | 8.33 | % |
25-May-28 | | | 271 | | | | 8.32 | % |
25-Jun-28 | | | 272 | | | | 8.32 | % |
25-Jul-28 | | | 273 | | | | 8.31 | % |
25-Aug-28 | | | 274 | | | | 8.30 | % |
25-Sep-28 | | | 275 | | | | 8.30 | % |
25-Oct-28 | | | 276 | | | | 8.29 | % |
25-Nov-28 | | | 277 | | | | 8.29 | % |
25-Dec-28 | | | 278 | | | | 8.28 | % |
25-Jan-29 | | | 279 | | | | 8.28 | % |
25-Feb-29 | | | 280 | | | | 8.27 | % |
25-Mar-29 | | | 281 | | | | 8.27 | % |
25-Apr-29 | | | 282 | | | | 8.26 | % |
25-May-29 | | | 283 | | | | 8.25 | % |
25-Jun-29 | | | 284 | | | | 8.25 | % |
25-Jul-29 | | | 285 | | | | 8.24 | % |
25-Aug-29 | | | 286 | | | | 8.24 | % |
25-Sep-29 | | | 287 | | | | 8.23 | % |
25-Oct-29 | | | 288 | | | | 8.23 | % |
25-Nov-29 | | | 289 | | | | 8.22 | % |
25-Dec-29 | | | 290 | | | | 8.22 | % |
25-Jan-30 | | | 291 | | | | 8.21 | % |
25-Feb-30 | | | 292 | | | | 8.21 | % |
25-Mar-30 | | | 293 | | | | 8.21 | % |
25-Apr-30 | | | 294 | | | | 8.20 | % |
25-May-30 | | | 295 | | | | 8.20 | % |
25-Jun-30 | | | 296 | | | | 8.19 | % |
25-Jul-30 | | | 297 | | | | 8.19 | % |
25-Aug-30 | | | 298 | | | | 8.18 | % |
25-Sep-30 | | | 299 | | | | 8.18 | % |
25-Oct-30 | | | 300 | | | | 8.17 | % |
25-Nov-30 | | | 301 | | | | 8.17 | % |
25-Dec-30 | | | 302 | | | | 8.16 | % |
| | | | | | | | |
| | | | | | Annualized | |
| | | | | | (excluding cap payment) | |
| | | | | | Excess Spread | |
Distribution | | Deal | | | as % of the periods | |
Date | | Age | | | Beginning Balance | |
|
25-Jan-31 | | | 303 | | | | 8.16 | % |
25-Feb-31 | | | 304 | | | | 8.16 | % |
25-Mar-31 | | | 305 | | | | 8.15 | % |
25-Apr-31 | | | 306 | | | | 8.15 | % |
25-May-31 | | | 307 | | | | 8.14 | % |
25-Jun-31 | | | 308 | | | | 8.14 | % |
25-Jul-31 | | | 309 | | | | 8.14 | % |
25-Aug-31 | | | 310 | | | | 8.13 | % |
25-Sep-31 | | | 311 | | | | 8.13 | % |
25-Oct-31 | | | 312 | | | | 8.12 | % |
25-Nov-31 | | | 313 | | | | 8.12 | % |
25-Dec-31 | | | 314 | | | | 8.12 | % |
25-Jan-32 | | | 315 | | | | 8.11 | % |
25-Feb-32 | | | 316 | | | | 8.11 | % |
25-Mar-32 | | | 317 | | | | 8.10 | % |
25-Apr-32 | | | 318 | | | | 8.10 | % |
25-May-32 | | | 319 | | | | 8.10 | % |
25-Jun-32 | | | 320 | | | | 8.09 | % |
25-Jul-32 | | | 321 | | | | 8.09 | % |
25-Aug-32 | | | 322 | | | | 8.09 | % |
25-Sep-32 | | | 323 | | | | 8.08 | % |
25-Oct-32 | | | 324 | | | | 8.08 | % |
25-Nov-32 | | | 325 | | | | 8.08 | % |
25-Dec-32 | | | 326 | | | | 8.07 | % |
25-Jan-33 | | | 327 | | | | 8.07 | % |
25-Feb-33 | | | 328 | | | | 8.07 | % |
25-Mar-33 | | | 329 | | | | 8.06 | % |
25-Apr-33 | | | 330 | | | | 8.06 | % |
25-May-33 | | | 331 | | | | 8.06 | % |
25-Jun-33 | | | 332 | | | | 8.05 | % |
25-Jul-33 | | | 333 | | | | 8.05 | % |
25-Aug-33 | | | 334 | | | | 8.05 | % |
25-Sep-33 | | | 335 | | | | 8.05 | % |
25-Oct-33 | | | 336 | | | | 8.04 | % |
25-Nov-33 | | | 337 | | | | 8.04 | % |
25-Dec-33 | | | 338 | | | | 8.04 | % |
25-Jan-34 | | | 339 | | | | 8.03 | % |
25-Feb-34 | | | 340 | | | | 8.03 | % |
25-Mar-34 | | | 341 | | | | 8.03 | % |
25-Apr-34 | | | 342 | | | | 8.03 | % |
25-May-34 | | | 343 | | | | 8.02 | % |
25-Jun-34 | | | 344 | | | | 8.02 | % |
25-Jul-34 | | | 345 | | | | 8.02 | % |
25-Aug-34 | | | 346 | | | | 8.01 | % |
25-Sep-34 | | | 347 | | | | 8.01 | % |
25-Oct-34 | | | 348 | | | | 8.01 | % |
25-Nov-34 | | | 349 | | | | 8.01 | % |
25-Dec-34 | | | 350 | | | | 8.00 | % |
25-Jan-35 | | | 351 | | | | 8.00 | % |
25-Feb-35 | | | 352 | | | | 7.99 | % |
25-Mar-35 | | | 353 | | | | 7.99 | % |
25-Apr-35 | | | 354 | | | | 7.99 | % |
| | | | | | | | |
| | | | | | Annualized | |
| | | | | | (excluding cap payment) | |
| | | | | | Excess Spread | |
Distribution | | Deal | | | as % of the periods | |
Date | | Age | | | Beginning Balance | |
|
25-May-35 | | | 355 | | | | 7.98 | % |
25-Jun-35 | | | 356 | | | | 7.98 | % |
25-Jul-35 | | | 357 | | | | 7.98 | % |
25-Aug-35 | | | 358 | | | | 7.96 | % |
25-Sep-35 | | | 359 | | | | 7.69 | % |
| | | | | | | | |
| | | | | | Net WAC | |
Distribution | | Deal | | | (including Cap | |
Date | | Age | | | payments) | |
|
9-Nov-05 | | | 0 | | | | | |
25-Nov-05 | | | 1 | | | | 28.20 | % |
25-Dec-05 | | | 2 | | | | 22.43 | % |
25-Jan-06 | | | 3 | | | | 22.21 | % |
25-Feb-06 | | | 4 | | | | 22.21 | % |
25-Mar-06 | | | 5 | | | | 22.89 | % |
25-Apr-06 | | | 6 | | | | 22.20 | % |
25-May-06 | | | 7 | | | | 22.41 | % |
25-Jun-06 | | | 8 | | | | 22.19 | % |
25-Jul-06 | | | 9 | | | | 22.40 | % |
25-Aug-06 | | | 10 | | | | 22.18 | % |
25-Sep-06 | | | 11 | | | | 22.17 | % |
25-Oct-06 | | | 12 | | | | 22.38 | % |
25-Nov-06 | | | 13 | | | | 22.04 | % |
25-Dec-06 | | | 14 | | | | 22.23 | % |
25-Jan-07 | | | 15 | | | | 22.01 | % |
25-Feb-07 | | | 16 | | | | 22.00 | % |
25-Mar-07 | | | 17 | | | | 22.69 | % |
25-Apr-07 | | | 18 | | | | 21.84 | % |
25-May-07 | | | 19 | | | | 22.07 | % |
25-Jun-07 | | | 20 | | | | 21.91 | % |
25-Jul-07 | | | 21 | | | | 22.20 | % |
25-Aug-07 | | | 22 | | | | 22.11 | % |
25-Sep-07 | | | 23 | | | | 22.26 | % |
25-Oct-07 | | | 24 | | | | 22.67 | % |
25-Nov-07 | | | 25 | | | | 22.44 | % |
25-Dec-07 | | | 26 | | | | 22.71 | % |
25-Jan-08 | | | 27 | | | | 22.44 | % |
25-Feb-08 | | | 28 | | | | 22.44 | % |
25-Mar-08 | | | 29 | | | | 24.31 | % |
25-Apr-08 | | | 30 | | | | 23.73 | % |
25-May-08 | | | 31 | | | | 24.05 | % |
25-Jun-08 | | | 32 | | | | 23.73 | % |
25-Jul-08 | | | 33 | | | | 24.05 | % |
25-Aug-08 | | | 34 | | | | 23.73 | % |
25-Sep-08 | | | 35 | | | | 24.98 | % |
25-Oct-08 | | | 36 | | | | 25.41 | % |
25-Nov-08 | | | 37 | | | | 25.04 | % |
25-Dec-08 | | | 38 | | | | 25.41 | % |
25-Jan-09 | | | 39 | | | | 25.05 | % |
25-Feb-09 | | | 40 | | | | 25.05 | % |
25-Mar-09 | | | 41 | | | | 27.16 | % |
25-Apr-09 | | | 42 | | | | 25.95 | % |
| | | | | | | | |
| | | | | | Net WAC | |
Distribution | | Deal | | | (including Cap | |
Date | | Age | | | payments) | |
|
25-May-09 | | | 43 | | | | 26.35 | % |
25-Jun-09 | | | 44 | | | | 25.95 | % |
25-Jul-09 | | | 45 | | | | 26.36 | % |
25-Aug-09 | | | 46 | | | | 25.97 | % |
25-Sep-09 | | | 47 | | | | 25.99 | % |
25-Oct-09 | | | 48 | | | | 26.36 | % |
25-Nov-09 | | | 49 | | | | 25.96 | % |
25-Dec-09 | | | 50 | | | | 26.37 | % |
25-Jan-10 | | | 51 | | | | 25.98 | % |
25-Feb-10 | | | 52 | | | | 25.99 | % |
25-Mar-10 | | | 53 | | | | 27.33 | % |
25-Apr-10 | | | 54 | | | | 26.03 | % |
25-May-10 | | | 55 | | | | 26.45 | % |
25-Jun-10 | | | 56 | | | | 26.06 | % |
25-Jul-10 | | | 57 | | | | 26.49 | % |
25-Aug-10 | | | 58 | | | | 26.09 | % |
25-Sep-10 | | | 59 | | | | 26.12 | % |
25-Oct-10 | | | 60 | | | | 26.58 | % |
25-Nov-10 | | | 61 | | | | 12.58 | % |
25-Dec-10 | | | 62 | | | | 13.05 | % |
25-Jan-11 | | | 63 | | | | 12.68 | % |
25-Feb-11 | | | 64 | | | | 12.74 | % |
25-Mar-11 | | | 65 | | | | 14.17 | % |
25-Apr-11 | | | 66 | | | | 12.86 | % |
25-May-11 | | | 67 | | | | 13.35 | % |
25-Jun-11 | | | 68 | | | | 12.99 | % |
25-Jul-11 | | | 69 | | | | 13.49 | % |
25-Aug-11 | | | 70 | | | | 13.13 | % |
25-Sep-11 | | | 71 | | | | 13.21 | % |
25-Oct-11 | | | 72 | | | | 13.73 | % |
25-Nov-11 | | | 73 | | | | 13.37 | % |
25-Dec-11 | | | 74 | | | | 13.91 | % |
25-Jan-12 | | | 75 | | | | 13.55 | % |
25-Feb-12 | | | 76 | | | | 13.65 | % |
25-Mar-12 | | | 77 | | | | 14.71 | % |
25-Apr-12 | | | 78 | | | | 13.87 | % |
25-May-12 | | | 79 | | | | 14.45 | % |
25-Jun-12 | | | 80 | | | | 14.10 | % |
25-Jul-12 | | | 81 | | | | 14.70 | % |
25-Aug-12 | | | 82 | | | | 14.36 | % |
25-Sep-12 | | | 83 | | | | 14.51 | % |
25-Oct-12 | | | 84 | | | | 15.15 | % |
25-Nov-12 | | | 85 | | | | 14.82 | % |
25-Dec-12 | | | 86 | | | | 15.49 | % |
25-Jan-13 | | | 87 | | | | 15.17 | % |
25-Feb-13 | | | 88 | | | | 15.36 | % |
25-Mar-13 | | | 89 | | | | 17.23 | % |
25-Apr-13 | | | 90 | | | | 15.78 | % |
25-May-13 | | | 91 | | | | 16.54 | % |
25-Jun-13 | | | 92 | | | | 16.26 | % |
25-Jul-13 | | | 93 | | | | 17.07 | % |
25-Aug-13 | | | 94 | | | | 16.81 | % |
| | | | | | | | |
| | | | | | Net WAC | |
Distribution | | Deal | | | (including Cap | |
Date | | Age | | | payments) | |
|
25-Sep-13 | | | 95 | | | | 17.11 | % |
25-Oct-13 | | | 96 | | | | 18.02 | % |
25-Nov-13 | | | 97 | | | | 17.79 | % |
25-Dec-13 | | | 98 | | | | 18.78 | % |
25-Jan-14 | | | 99 | | | | 18.59 | % |
25-Feb-14 | | | 100 | | | | 19.04 | % |
25-Mar-14 | | | 101 | | | | 21.62 | % |
25-Apr-14 | | | 102 | | | | 20.06 | % |
25-May-14 | | | 103 | | | | 21.34 | % |
25-Jun-14 | | | 104 | | | | 21.29 | % |
25-Jul-14 | | | 105 | | | | 22.73 | % |
25-Aug-14 | | | 106 | | | | 22.79 | % |
25-Sep-14 | | | 107 | | | | 23.67 | % |
25-Oct-14 | | | 108 | | | | 25.47 | % |
25-Nov-14 | | | 109 | | | | 25.76 | % |
25-Dec-14 | | | 110 | | | | 27.91 | % |
25-Jan-15 | | | 111 | | | | 28.45 | % |
25-Feb-15 | | | 112 | | | | 30.11 | % |
25-Mar-15 | | | 113 | | | | 35.49 | % |
25-Apr-15 | | | 114 | | | | 34.34 | % |
25-May-15 | | | 115 | | | | 38.32 | % |
25-Jun-15 | | | 116 | | | | 40.42 | % |
25-Jul-15 | | | 117 | | | | 46.06 | % |
25-Aug-15 | | | 118 | | | | 49.89 | % |
25-Sep-15 | | | 119 | | | | 56.91 | % |
25-Oct-15 | | | 120 | | | | 68.82 | % |
25-Nov-15 | | | 121 | | | | 80.85 | % |
25-Dec-15 | | | 122 | | | | 107.29 | % |
25-Jan-16 | | | 123 | | | | 147.12 | % |
25-Feb-16 | | | 124 | | | | 258.76 | % |
25-Mar-16 | | | 125 | | | | 1287.74 | % |
25-Apr-16 | | | 126 | | | | | |
25-May-16 | | | 127 | | | | | |
25-Jun-16 | | | 128 | | | | | |
25-Jul-16 | | | 129 | | | | | |
25-Aug-16 | | | 130 | | | | | |
25-Sep-16 | | | 131 | | | | | |
25-Oct-16 | | | 132 | | | | | |
25-Nov-16 | | | 133 | | | | | |
25-Dec-16 | | | 134 | | | | | |
25-Jan-17 | | | 135 | | | | | |
25-Feb-17 | | | 136 | | | | | |
25-Mar-17 | | | 137 | | | | | |
25-Apr-17 | | | 138 | | | | | |
25-May-17 | | | 139 | | | | | |
25-Jun-17 | | | 140 | | | | | |
25-Jul-17 | | | 141 | | | | | |
25-Aug-17 | | | 142 | | | | | |
25-Sep-17 | | | 143 | | | | | |
25-Oct-17 | | | 144 | | | | | |
25-Nov-17 | | | 145 | | | | | |
25-Dec-17 | | | 146 | | | | | |
| | | | | | | | |
| | | | | | Net WAC | |
Distribution | | Deal | | | (including Cap | |
Date | | Age | | | payments) | |
|
25-Jan-18 | | | 147 | | | | | |
25-Feb-18 | | | 148 | | | | | |
25-Mar-18 | | | 149 | | | | | |
25-Apr-18 | | | 150 | | | | | |
25-May-18 | | | 151 | | | | | |
25-Jun-18 | | | 152 | | | | | |
25-Jul-18 | | | 153 | | | | | |
25-Aug-18 | | | 154 | | | | | |
25-Sep-18 | | | 155 | | | | | |
25-Oct-18 | | | 156 | | | | | |
25-Nov-18 | | | 157 | | | | | |
25-Dec-18 | | | 158 | | | | | |
25-Jan-19 | | | 159 | | | | | |
25-Feb-19 | | | 160 | | | | | |
25-Mar-19 | | | 161 | | | | | |
25-Apr-19 | | | 162 | | | | | |
25-May-19 | | | 163 | | | | | |
25-Jun-19 | | | 164 | | | | | |
25-Jul-19 | | | 165 | | | | | |
25-Aug-19 | | | 166 | | | | | |
25-Sep-19 | | | 167 | | | | | |
25-Oct-19 | | | 168 | | | | | |
25-Nov-19 | | | 169 | | | | | |
25-Dec-19 | | | 170 | | | | | |
25-Jan-20 | | | 171 | | | | | |
25-Feb-20 | | | 172 | | | | | |
25-Mar-20 | | | 173 | | | | | |
25-Apr-20 | | | 174 | | | | | |
25-May-20 | | | 175 | | | | | |
25-Jun-20 | | | 176 | | | | | |
25-Jul-20 | | | 177 | | | | | |
25-Aug-20 | | | 178 | | | | | |
25-Sep-20 | | | 179 | | | | | |
25-Oct-20 | | | 180 | | | | | |
25-Nov-20 | | | 181 | | | | | |
25-Dec-20 | | | 182 | | | | | |
25-Jan-21 | | | 183 | | | | | |
25-Feb-21 | | | 184 | | | | | |
25-Mar-21 | | | 185 | | | | | |
25-Apr-21 | | | 186 | | | | | |
25-May-21 | | | 187 | | | | | |
25-Jun-21 | | | 188 | | | | | |
25-Jul-21 | | | 189 | | | | | |
25-Aug-21 | | | 190 | | | | | |
25-Sep-21 | | | 191 | | | | | |
25-Oct-21 | | | 192 | | | | | |
25-Nov-21 | | | 193 | | | | | |
25-Dec-21 | | | 194 | | | | | |
25-Jan-22 | | | 195 | | | | | |
25-Feb-22 | | | 196 | | | | | |
25-Mar-22 | | | 197 | | | | | |
25-Apr-22 | | | 198 | | | | | |
| | | | | | | | |
| | | | | | Net WAC | |
Distribution | | Deal | | | (including Cap | |
Date | | Age | | | payments) | |
|
25-May-22 | | | 199 | | | | | |
25-Jun-22 | | | 200 | | | | | |
25-Jul-22 | | | 201 | | | | | |
25-Aug-22 | | | 202 | | | | | |
25-Sep-22 | | | 203 | | | | | |
25-Oct-22 | | | 204 | | | | | |
25-Nov-22 | | | 205 | | | | | |
25-Dec-22 | | | 206 | | | | | |
25-Jan-23 | | | 207 | | | | | |
25-Feb-23 | | | 208 | | | | | |
25-Mar-23 | | | 209 | | | | | |
25-Apr-23 | | | 210 | | | | | |
25-May-23 | | | 211 | | | | | |
25-Jun-23 | | | 212 | | | | | |
25-Jul-23 | | | 213 | | | | | |
25-Aug-23 | | | 214 | | | | | |
25-Sep-23 | | | 215 | | | | | |
25-Oct-23 | | | 216 | | | | | |
25-Nov-23 | | | 217 | | | | | |
25-Dec-23 | | | 218 | | | | | |
25-Jan-24 | | | 219 | | | | | |
25-Feb-24 | | | 220 | | | | | |
25-Mar-24 | | | 221 | | | | | |
25-Apr-24 | | | 222 | | | | | |
25-May-24 | | | 223 | | | | | |
25-Jun-24 | | | 224 | | | | | |
25-Jul-24 | | | 225 | | | | | |
25-Aug-24 | | | 226 | | | | | |
25-Sep-24 | | | 227 | | | | | |
25-Oct-24 | | | 228 | | | | | |
25-Nov-24 | | | 229 | | | | | |
25-Dec-24 | | | 230 | | | | | |
25-Jan-25 | | | 231 | | | | | |
25-Feb-25 | | | 232 | | | | | |
25-Mar-25 | | | 233 | | | | | |
25-Apr-25 | | | 234 | | | | | |
25-May-25 | | | 235 | | | | | |
25-Jun-25 | | | 236 | | | | | |
25-Jul-25 | | | 237 | | | | | |
25-Aug-25 | | | 238 | | | | | |
25-Sep-25 | | | 239 | | | | | |
25-Oct-25 | | | 240 | | | | | |
25-Nov-25 | | | 241 | | | | | |
25-Dec-25 | | | 242 | | | | | |
25-Jan-26 | | | 243 | | | | | |
25-Feb-26 | | | 244 | | | | | |
25-Mar-26 | | | 245 | | | | | |
25-Apr-26 | | | 246 | | | | | |
25-May-26 | | | 247 | | | | | |
25-Jun-26 | | | 248 | | | | | |
25-Jul-26 | | | 249 | | | | | |
25-Aug-26 | | | 250 | | | | | |
| | | | | | | | |
| | | | | | Net WAC | |
Distribution | | Deal | | | (including Cap | |
Date | | Age | | | payments) | |
|
25-Sep-26 | | | 251 | | | | | |
25-Oct-26 | | | 252 | | | | | |
25-Nov-26 | | | 253 | | | | | |
25-Dec-26 | | | 254 | | | | | |
25-Jan-27 | | | 255 | | | | | |
25-Feb-27 | | | 256 | | | | | |
25-Mar-27 | | | 257 | | | | | |
25-Apr-27 | | | 258 | | | | | |
25-May-27 | | | 259 | | | | | |
25-Jun-27 | | | 260 | | | | | |
25-Jul-27 | | | 261 | | | | | |
25-Aug-27 | | | 262 | | | | | |
25-Sep-27 | | | 263 | | | | | |
25-Oct-27 | | | 264 | | | | | |
25-Nov-27 | | | 265 | | | | | |
25-Dec-27 | | | 266 | | | | | |
25-Jan-28 | | | 267 | | | | | |
25-Feb-28 | | | 268 | | | | | |
25-Mar-28 | | | 269 | | | | | |
25-Apr-28 | | | 270 | | | | | |
25-May-28 | | | 271 | | | | | |
25-Jun-28 | | | 272 | | | | | |
25-Jul-28 | | | 273 | | | | | |
25-Aug-28 | | | 274 | | | | | |
25-Sep-28 | | | 275 | | | | | |
25-Oct-28 | | | 276 | | | | | |
25-Nov-28 | | | 277 | | | | | |
25-Dec-28 | | | 278 | | | | | |
25-Jan-29 | | | 279 | | | | | |
25-Feb-29 | | | 280 | | | | | |
25-Mar-29 | | | 281 | | | | | |
25-Apr-29 | | | 282 | | | | | |
25-May-29 | | | 283 | | | | | |
25-Jun-29 | | | 284 | | | | | |
25-Jul-29 | | | 285 | | | | | |
25-Aug-29 | | | 286 | | | | | |
25-Sep-29 | | | 287 | | | | | |
25-Oct-29 | | | 288 | | | | | |
25-Nov-29 | | | 289 | | | | | |
25-Dec-29 | | | 290 | | | | | |
25-Jan-30 | | | 291 | | | | | |
25-Feb-30 | | | 292 | | | | | |
25-Mar-30 | | | 293 | | | | | |
25-Apr-30 | | | 294 | | | | | |
25-May-30 | | | 295 | | | | | |
25-Jun-30 | | | 296 | | | | | |
25-Jul-30 | | | 297 | | | | | |
25-Aug-30 | | | 298 | | | | | |
25-Sep-30 | | | 299 | | | | | |
25-Oct-30 | | | 300 | | | | | |
25-Nov-30 | | | 301 | | | | | |
25-Dec-30 | | | 302 | | | | | |
| | | | | | | | |
| | | | | | Net WAC | |
Distribution | | Deal | | | (including Cap | |
Date | | Age | | | payments) | |
|
25-Jan-31 | | | 303 | | | | | |
25-Feb-31 | | | 304 | | | | | |
25-Mar-31 | | | 305 | | | | | |
25-Apr-31 | | | 306 | | | | | |
25-May-31 | | | 307 | | | | | |
25-Jun-31 | | | 308 | | | | | |
25-Jul-31 | | | 309 | | | | | |
25-Aug-31 | | | 310 | | | | | |
25-Sep-31 | | | 311 | | | | | |
25-Oct-31 | | | 312 | | | | | |
25-Nov-31 | | | 313 | | | | | |
25-Dec-31 | | | 314 | | | | | |
25-Jan-32 | | | 315 | | | | | |
25-Feb-32 | | | 316 | | | | | |
25-Mar-32 | | | 317 | | | | | |
25-Apr-32 | | | 318 | | | | | |
25-May-32 | | | 319 | | | | | |
25-Jun-32 | | | 320 | | | | | |
25-Jul-32 | | | 321 | | | | | |
25-Aug-32 | | | 322 | | | | | |
25-Sep-32 | | | 323 | | | | | |
25-Oct-32 | | | 324 | | | | | |
25-Nov-32 | | | 325 | | | | | |
25-Dec-32 | | | 326 | | | | | |
25-Jan-33 | | | 327 | | | | | |
25-Feb-33 | | | 328 | | | | | |
25-Mar-33 | | | 329 | | | | | |
25-Apr-33 | | | 330 | | | | | |
25-May-33 | | | 331 | | | | | |
25-Jun-33 | | | 332 | | | | | |
25-Jul-33 | | | 333 | | | | | |
25-Aug-33 | | | 334 | | | | | |
25-Sep-33 | | | 335 | | | | | |
25-Oct-33 | | | 336 | | | | | |
25-Nov-33 | | | 337 | | | | | |
25-Dec-33 | | | 338 | | | | | |
25-Jan-34 | | | 339 | | | | | |
25-Feb-34 | | | 340 | | | | | |
25-Mar-34 | | | 341 | | | | | |
25-Apr-34 | | | 342 | | | | | |
25-May-34 | | | 343 | | | | | |
25-Jun-34 | | | 344 | | | | | |
25-Jul-34 | | | 345 | | | | | |
25-Aug-34 | | | 346 | | | | | |
25-Sep-34 | | | 347 | | | | | |
25-Oct-34 | | | 348 | | | | | |
25-Nov-34 | | | 349 | | | | | |
25-Dec-34 | | | 350 | | | | | |
25-Jan-35 | | | 351 | | | | | |
25-Feb-35 | | | 352 | | | | | |
25-Mar-35 | | | 353 | | | | | |
25-Apr-35 | | | 354 | | | | | |
| | | | | | | | |
| | | | | | Net WAC | |
Distribution | | Deal | | | (including Cap | |
Date | | Age | | | payments) | |
|
25-May-35 | | | 355 | | | | | |
25-Jun-35 | | | 356 | | | | | |
25-Jul-35 | | | 357 | | | | | |
25-Aug-35 | | | 358 | | | | | |
25-Sep-35 | | | 359 | | | | | |
FBRSI 2005-3
| | | | | | | | | | | | | | | | |
| | 50% Severity |
Class | | M2 | | M8 | | M9 | | M10 |
Rating | | AA / Aa2 | | BBB / Baa2 | | BBB- / Baa3 | | BBB- / NR |
|
BE CDR | | | 14.252 | | | | 7.366 | | | | 6.520 | | | | 5.861 | |
Cum Loss% | | | 17.21 | % | | | 10.05 | % | | | 9.03 | % | | | 8.22 | % |
| | | | | | | | | | | | | | | | |
| | 60% Severity |
Class | | M2 | | M8 | | M9 | | M10 |
Rating | | AA / Aa2 | | BBB / Baa2 | | BBB- / Baa3 | | BBB- / NR |
|
BE CDR | | | 11.580 | | | | 6.108 | | | | 5.418 | | | | 4.886 | |
Cum Loss% | | | 17.56 | % | | | 10.24 | % | | | 9.20 | % | | | 8.38 | % |
Assumptions:
prepay: pricing speed
failing trigger
run to maturity
forward curve
12 month lag
severity: as noted above
defaults are in addition to prepay