(202) 274-2007 | nquint@luselaw.com |
May 14, 2009
VIA EDGAR
Securities and Exchange Commission
Division of Corporation Finance
100 F Street, N.E.
Washington, D.C. 20549
Attn.: | Christian Windsor, Esq. |
Mail Stop 4561
Re: | Territorial Bancorp Inc. (Registration No. 333-155388) |
Registration Statement on Form S-1
Dear Mr. Windsor:
On behalf of Territorial Bancorp Inc. (the “Company”) and in accordance with Rule 101 of Regulation S-T, we are hereby transmitting Pre-effective Amendment No. 3 to the Company’s Registration Statement on Form S-1 (the “Amended S-1”). Set forth below are the comments from the Staff’s comment letter dated May 12, 2009, as well as the Company’s responses to those comments. The Amended S-1 has been blacklined to reflect changes from the original filing.
The Implementation of stock-based benefit plans will dilute your ownership interest, page 25
1. | We note your response to our prior comment number 7. It is the staff’s understanding that the shares of Territorial held by the mutual holding company can be voted as part of any shareholder approval of the equity plans. Since the Board can direct how the shares held by the mutual holding company can be voted, approval of the equity plans is assured. Therefore, we reissue the prior comment regarding the risk to the shareholders that they would have little control over the approval of the equity compensation plans or the structure of those plans. |
As discussed with the staff, page 26 has been revised to reflect the historical results with respect to stockholder adoption of stock-based benefit plans.
Securities and Exchange Commission
May 14, 2009
Page 2
Recent Developments, page 31
We note your new disclosure in this section and your response to comment one in your May 4, 2009 letter. We have the following comments:
2. | On page F-19 you disclose that because the trust preferred securities market is inactive you use a discounted cash flow model to determine the estimated fair value of your trust preferred securities. You also use a discounted cash flow model to determine if they are other-than-temporarily impaired. |
a. | Please provide us with the cash flow analysis used to determine that the estimated fair value of PreTSL XXII was $699,000 at March 31, 2009. Please identify all of the key assumptions and explain how you determined the assumptions were appropriate and consistent with the guidance in SFAS 157 and related interpretations. |
Attached as Appendix A please find the Company’s cash flow analysis with respect to the determination of fair value. The assumptions used in the cash flow analysis are:
• | Actual calls, defaults and deferrals which have occurred to date are incorporated into the cash flow. |
• | No recovery is assumed on deferrals or defaults which have occurred to date. |
• | The auction is not successful in year 10 and the cash flows continue to year 30. This assumption is more conservative because it is unlikely that the performance of the trust preferred securities would have improved to allow for the call of the securities at the end of the 10th year. |
• | There are no additional collateral pre-payments for the life of the deal |
• | The following default assumptions were used in the cash flow analysis: |
2009 5.30%
2010 2.40%
2011 .70%
2012 .70
2013 .70%
2014 and thereafter .35%
Securities and Exchange Commission
May 14, 2009
Page 3
• | The default assumptions were applied to the outstanding collateral balances to calculate the increase in defaults. |
• | 10% recovery on modeled defaults with a two-year recovery. |
The default assumptions were obtained from analyses prepared by an independent third-party valuation advisory firm, Red Pine Advisors. Red Pine reviewed the financial condition of all of the issuers in the pools and independently created default assumptions for the remaining 27-year expected life of the security. The default assumptions have increased in the first quarter and are significantly higher that the original default rate assumption of 1.20% every three years. For December 31, 2008, the default assumptions for 2009 and 2010 were 3.40% and 2.20%, respectively.
b. | Please provide us with the cash flow analysis used to support that you will be able to collect all amounts due and that you will recover the entire amortized cost of PreTSL XXII as of March 31, 2009. Please identify all of the key assumptions and explain how you determined the assumptions were appropriate and consistent with the guidance in FSP FAS 115-2 and FAS 124-2. |
Attached as Appendix A please find the Company’s cash flow analysis. The assumptions used in the cash flow analysis are listed in response to Comment 2.a., above. The assumptions considered all of the defaults which have occurred through March 31, 2009 and assume higher levels of defaults for the next five years. It was also assumed that the securities will not be called in year 10, as originally projected, and the transaction will continue to year 30.
Included in Appendix A please find a summary (“Other-Than-Temporary Impairment – March 31, 2009) that projects the Company will be able to recover the entire amortized cost of PreTSL XXIII. Since the present value of cash flows is greater than the amortized cost basis, the security is not considered to be impaired under FSP FAS 115-2 and 124-2. The cash flow analysis indicates that the credit enhancement features built into the security should allow the Bank to recover the entire amortized cost basis of the security. In assessing this issue, the Company considered several factors, including the fact that PreTSL XXIII is one of the largest TPS pools. The size of the pool provides a large amount of credit enhancement in the form of excess interest and overcollateralization provided to the D class by the lower-rate income note class.
Please note that page 35 has been revised to remove an inadvertent reference as to the Company’s expectation that it would be able to collect “all amounts due according to the original contractual terms of the security.”
Securities and Exchange Commission
May 14, 2009
Page 4
c. | Please identify the key differences between the cash flow analysis used to determine the fair value of the security and the cash flow analysis used to support your OTTI assessment. Provide objective evidence that supports these differences between your estimate of cash flows expected to be collected for your OTTI assessment and the estimate of cash flows used to determine fair value. |
The assumptions used in the cash flow analysis are listed in response to Comment 2.a., above.
For the impairment analysis, the security’s effective current yield of 3.42% was used to discount the cash flows. Paragraph 24 of FSP FAS 115-2 indicates that the current yield should be used to discount the cash flows.
For the fair value analysis, since Level 1 and 2 inputs in accordance with SFAS 157 were not available, the Company used a discounted cash flow and risk-adjusted discount rate as a level 3 input. Since the trust preferred securities market is inactive, the Company used corporate bonds to arrive at an estimate what the current yield would be on trust preferred securities. The Company used Bloomberg to find the yield on BBB+, BBB and BB+ corporate bonds issued by banks as of March 31, 2009. A 1.0% liquidity premium was added to the weighted average yield of 12.11% on these bonds to arrive at a risk-adjusted discount rate of 13.11%. The liquidity premium was determined by finding the spread between the yield on BBB-rated corporate bonds and trust preferred securities at the end of 2007, when the trust preferred securities market was last active.
The Company’s discounted cash flow analysis was one input considered in determining fair value. The Company also obtained a valuation report prepared by Red Pine Advisors. Management considered the range of values and decided that Red Pine’s estimate of value should be assigned a 70% weight and a 30% weighted should be assigned to the Company’s discounted cash flow estimate. A greater weighting was placed on Red Pine’s estimate because it was prepared by an outside third-party. Based on this weighting, the fair value of PreTSL XXIII was 19.74 at March 31, 2009.
The spreadsheets used in the impairment and fair value analyses are attached as Appendix A to this letter.
* * * * *
Securities and Exchange Commission
May 14, 2009
Page 5
We trust the foregoing is responsive to the staff’s comments. The Company wishes to have the registration statement declared effective as soon as possible. We therefore request that the staff advise the undersigned at (202) 274-2007 or Lawrence Spaccasi of this office at (202) 274-2037 as soon as possible if it has any further comments.
Respectfully,
\s\ Ned Quint
Ned Quint
Enclosures
cc: | David Lyon, Esq. |
Michael Volley, CPA
Kevin Vaughn, CPA
Allan S. Kitagawa, Chairman of the Board,
President and Chief Executive Officer
Lawrence Spaccasi, Esq.
Appendix A
Territorial Savings Bank
Margin of Trust Preferred Securities Compared to BBB Corporate Bonds
March 31, 2009
Amount of Securities Purchased | Effective Yield @ 12/31/07 | Amount of Securities Purchased Times Effective Yield | |||||
PreTSL XXIII | 3,600,000 | 7.52 | % | 270,720 | |||
PreTSL XXIV | 3,500,000 | 7.66 | % | 268,100 | |||
Weighted Average Yield | 7,100,000 | 7.59 | % | 538,820 | |||
Yield on BBB Corporate Bonds @ 12/31/07 | 6.82 | % | |||||
Margin of Trust Preferred Securities over Corporate Bonds @ 12/31/07 | 0.77 | % | |||||
Adjustment for credit and liquidity risk of trust preferred (margin of trust preferred over corporate bonds rounded to the next highest 25 basis points) | 1.00 | % | |||||
Yield on BBB Corporate Bonds @ 3/31/09 (see attached) | 12.11 | % | |||||
Risk-Adjusted Discount Rate on Trust Preferred Securities | 13.11 | % |
A-1
Territorial Savings Bank
BBB Bank Corporate Bonds
March 31, 2009
Issuer | Coupon | Maturity Date | Price of Bond | Rating | Yield | Amount Outstanding | Yield Times Amount Outstanding | ||||||||
BB&T CAPT TR I | 5.85 | 8/18/2035 | 77.49 | BBB+ | 7.89 | 500,000,000 | 39,450,000 | ||||||||
BB&T CAPT TR II | 6.75 | 6/7/2036 | 87.61 | BBB+ | 7.86 | 600,000,000 | 47,160,000 | ||||||||
COMERICA CAP TR | 6.58 | 2/20/2037 | 34.00 | BBB | 19.41 | 500,000,000 | 97,050,000 | ||||||||
FIFTH THIRD BANK | 8.25 | 3/1/2038 | 59.74 | BBB+ | 14.00 | 1,000,000,000 | 140,000,000 | ||||||||
FIRST MIDWEST I | 6.95 | 12/1/2033 | 60.14 | BB+ | 12.03 | 125,000,000 | 15,037,500 | ||||||||
BANK ONE CAP III | 8.75 | 9/1/2030 | 74.00 | BBB+ | 12.19 | 475,000,000 | 57,902,500 | ||||||||
M&I MARSH&ILSLE | 6.00 | 12/16/2030 | 35.77 | BBB+ | 17.59 | 4,455,000 | 783,635 | ||||||||
MARSHALL &ILSLEY | 6.30 | 3/13/2038 | 37.04 | BBB+ | 17.23 | 743,000 | 128,019 | ||||||||
SOVEREIGN CAP TR | 7.91 | 6/13/2036 | 65.82 | BBB+ | 12.27 | 300,000,000 | 36,810,000 | ||||||||
SUNTRUST CAPITAL | 6.10 | 12/15/2036 | 57.00 | BBB | 11.14 | 1,000,000,000 | 111,400,000 | ||||||||
Total | 4,505,198,000 | 545,721,653 | |||||||||||||
Weighted Average Yield | 12.11 | % |
A-2
Territorial Savings Bank
Other-Than-Temporary Impairment
March 31, 2009
Dollar Price of TSB’s Security Based on Discounted Cash Flow | Estimated Market Value Calculated by Red Pine Advisors | Estimated Dollar Price TSB’s Security & | Estimated Fair Value # | Book Value @ 12/31/08 | Difference Between Estimated Fair Value and Book Value | Current Quarter’s Credit Loss (See Below) | Other Comprehensive Income (Difference Less Credit Loss) | Book Value @ 3/31/2009 $ | |||||||||||
PreTSL XXIII | 27.50 | 16.42 | 19.74 | 699,352 | 3,542,088 | 2,842,736 | — | — | 3,542,088 | ||||||||||
PreTSL XXIV | 25.29 | 12.21 | 16.13 | 561,646 | 997,767 | 436,121 | 298,042 | 138,079 | 561,636 | ||||||||||
Amount of Securities Purchased | Amount of Securities Issued | Percentage of Securities Owned | Total Present Value of Cash Flows, EITF 99-20 | Present Value of Cash Flows for TSB’s Security (Percentage Owned times Total Present Value) | Outstanding Principal | Credit Loss Recorded in Previous Quarters | Amortized Cost Basis (Outstanding Principal Less Credit Loss Recorded in Previous Quarters) | Credit Loss (Difference Between PV of Cash Flows and Amortized Cost Basis) | |||||||||||
PreTSL XXIII | 3,600,000 | 72,500,000 | 4.97 | % | 71,996,304 | 3,574,989 | 3,542,088 | — | 3,542,088 | — | |||||||||
PreTSL XXIV | 3,500,000 | 68,850,000 | 5.08 | % | 62,591,101 | 3,181,828 | 3,481,230 | 1,360 | 3,479,870 | 298,042 |
Notes:
& | Estimated dollar price of TSB’s security is equal to the price calculated using market value estimated by Red Pine Advisors and by the discounted cash flow. The estimated market value was calculated by weighting Red Pine’s value by 70% and the discounted cash flow by 30%. |
# | Estimated fair value is the estimated dollar price times outstanding principal |
$ | Book value @ 3/31/09 is equal to the original principal balance less any principal repayments and impairment charges (credit and other comprehensive income). |
A-3
Territorial Savings Bank
Discounted Cash Flow Value
March 31, 2009
Amount of Securities Outstanding | Discounted Value % | Dollar Price of TSB’s Security Based on Discounted Cash Flow & | ||||
PreTSL XXIII | 71,989,379 | 19,797,220 | 27.50 | |||
PreTSL XXIV | 69,023,743 | 17,455,058 | 25.29 |
& | Dollar price of TSB’s security was estimated by dividing the discounted value by the amount of securities currently outstanding. |
% | Discounted value was determined by discounted the cash flows using a risk-adjusted discount rate |
All cash flows were prepared by Keefe, Bruyette and Woods
A-4
Pre-TSL XXIII | 3 Month Libor @ Dec Reset | 1.32% | ||
Cash Flows Prepared by KBW, Cash flows discounted by effective yield. | Margin | 2.10% | ||
Current Cash Flows with Existing Deferrals and Defaults. | Interest Rate on Security | 3.42% | ||
Higher level of deferrals and defaults assumed for next 3 years. | ||||
March 31, 2009 | Total PV of Cash Flows | 71,996,304 |
BONDS
Class D-1 (BBB) | ||||||||||||
Date | Balance | Interest Due | Interest | Principal | Total Cash Flow | Present Value of Cash Flow | ||||||
72,500,000.00 | — | |||||||||||
12/22/2006 | 72,500,000.00 | 633,650.00 | 633,650.00 | — | ||||||||
3/22/2007 | 72,500,000.00 | 619,875.00 | 619,875.00 | — | ||||||||
6/22/2007 | 72,500,000.00 | 633,650.00 | 633,650.00 | — | ||||||||
9/22/2007 | 72,259,314.52 | 633,650.00 | 633,650.00 | 240,685.48 | ||||||||
12/22/2007 | 72,018,196.03 | 624,681.77 | 624,681.77 | 241,118.49 | ||||||||
3/22/2008 | 71,843,950.10 | 622,597.30 | 622,597.30 | 174,245.92 | ||||||||
6/22/2008 | 71,726,023.54 | 627,916.12 | 627,916.12 | 117,926.56 | ||||||||
9/22/2008 | 71,608,330.43 | 626,885.45 | 626,885.45 | 117,693.11 | ||||||||
12/22/2008 | 71,379,087.90 | 619,054.02 | 619,054.02 | 229,242.53 | ||||||||
3/22/2009 | 71,989,379.10 | 610,291.20 | — | — | ||||||||
6/22/2009 | 72,618,566.28 | 629,187.17 | — | 0.00 | 0.00 | 0.00 | ||||||
9/22/2009 | 73,253,252.55 | 634,686.27 | — | 0.00 | 0.00 | 0.00 | ||||||
12/22/2009 | 73,886,526.91 | 633,274.37 | 0.00 | — | 0.00 | 0.00 | ||||||
3/22/2010 | 74,518,256.72 | 631,729.81 | — | 0.00 | 0.00 | 0.00 | ||||||
6/22/2010 | 75,169,546.28 | 651,289.56 | — | — | 0.00 | 0.00 | ||||||
9/22/2010 | 75,826,528.12 | 656,981.83 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||
12/22/2010 | 76,482,048.45 | 655,520.34 | — | — | 0.00 | 0.00 | ||||||
3/22/2011 | 77,135,969.97 | 653,921.51 | — | — | 0.00 | 0.00 | ||||||
6/22/2011 | 77,810,138.34 | 674,168.38 | — | 0.00 | 0.00 | 0.00 | ||||||
9/22/2011 | 78,490,198.95 | 680,060.61 | — | 0.00 | 0.00 | 0.00 | ||||||
12/22/2011 | 79,168,746.72 | 678,547.77 | — | — | 0.00 | 0.00 | ||||||
3/22/2012 | 79,853,160.54 | 684,413.82 | — | — | 0.00 | 0.00 | ||||||
6/22/2012 | 80,551,077.16 | 697,916.62 | — | 0.00 | 0.00 | 0.00 | ||||||
9/22/2012 | 81,255,093.58 | 704,016.41 | — | 0.00 | 0.00 | 0.00 | ||||||
12/22/2012 | 81,957,543.86 | 702,450.28 | — | — | 0.00 | 0.00 | ||||||
3/22/2013 | 82,658,280.86 | 700,737.00 | 0.00 | — | 0.00 | 0.00 | ||||||
6/22/2013 | 83,380,714.23 | 722,433.37 | — | 0.00 | 0.00 | 0.00 | ||||||
9/22/2013 | 84,109,461.68 | 728,747.44 | — | 0.00 | 0.00 | 0.00 | ||||||
12/22/2013 | 81,550,454.55 | 727,126.30 | 3,286,133.42 | 0.00 | 3,286,133.42 | 2,788,468.89 | ||||||
3/22/2014 | 77,685,847.25 | 697,256.39 | 4,561,863.69 | — | 4,561,863.69 | 3,838,181.28 | ||||||
6/22/2014 | 73,851,580.79 | 678,974.30 | 4,513,240.76 | — | 4,513,240.76 | 3,764,368.07 | ||||||
9/22/2014 | 71,404,841.12 | 645,462.82 | 3,092,202.48 | — | 3,092,202.48 | 2,556,771.43 | ||||||
12/22/2014 | 71,054,271.55 | 617,294.85 | 654,799.32 | 324,816.35 | 979,615.67 | 803,047.41 | ||||||
3/22/2015 | 70,737,690.14 | 607,514.02 | 607,514.02 | 316,581.41 | 924,095.44 | 751,112.27 | ||||||
6/22/2015 | 70,423,870.12 | 618,247.41 | 618,247.41 | 313,820.02 | 932,067.43 | 751,027.37 | ||||||
9/22/2015 | 70,107,000.43 | 615,504.62 | 615,504.62 | 316,869.69 | 932,374.32 | 744,764.79 | ||||||
12/22/2015 | 69,787,073.78 | 606,075.02 | 606,075.02 | 319,926.64 | 926,001.66 | 733,334.44 | ||||||
3/22/2016 | 69,465,790.20 | 603,309.25 | 603,309.25 | 321,283.58 | 924,592.83 | 725,942.67 | ||||||
6/22/2016 | 69,144,956.78 | 607,131.01 | 607,131.01 | 320,833.43 | 927,964.43 | 722,276.58 | ||||||
9/22/2016 | 68,822,314.25 | 604,326.92 | 604,326.92 | 322,642.53 | 926,969.45 | 715,250.26 | ||||||
12/22/2016 | 68,482,612.32 | 594,968.91 | 594,968.91 | 339,701.93 | 934,670.84 | 715,011.09 | ||||||
3/22/2017 | 68,142,338.87 | 585,526.34 | 585,526.34 | 340,273.45 | 925,799.78 | 702,220.86 | ||||||
6/22/2017 | 67,804,422.61 | 595,564.04 | 595,564.04 | 337,916.26 | 933,480.30 | 701,911.26 | ||||||
9/22/2017 | 67,463,224.44 | 592,610.65 | 592,610.65 | 341,198.18 | 933,808.83 | 696,074.03 | ||||||
12/22/2017 | 67,119,210.59 | 583,219.58 | 583,219.58 | 344,013.85 | 927,233.43 | 685,248.38 | ||||||
3/22/2018 | 66,774,660.93 | 573,869.25 | 573,869.25 | 344,549.66 | 918,418.91 | 672,980.25 | ||||||
6/22/2018 | 66,432,316.74 | 583,610.54 | 583,610.54 | 342,344.19 | 925,954.72 | 672,622.91 | ||||||
9/22/2018 | 66,086,674.66 | 580,618.45 | 580,618.45 | 345,642.08 | 926,260.53 | 667,014.79 | ||||||
12/22/2018 | 65,738,255.69 | 571,319.30 | 571,319.30 | 348,418.97 | 919,738.27 | 656,641.08 | ||||||
3/22/2019 | 65,697,090.55 | 562,062.09 | 562,062.09 | 41,165.14 | 603,227.22 | 427,019.09 | ||||||
6/22/2019 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 402,943.66 | ||||||
9/22/2019 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 399,452.12 | ||||||
12/22/2019 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 391,723.64 | ||||||
3/22/2020 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 388,366.05 | ||||||
6/22/2020 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 389,231.60 | ||||||
9/22/2020 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 385,858.88 | ||||||
12/22/2020 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 378,393.39 | ||||||
3/22/2021 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 371,062.64 | ||||||
6/22/2021 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 376,021.73 | ||||||
9/22/2021 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 372,763.47 | ||||||
12/22/2021 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 365,551.36 | ||||||
3/22/2022 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 358,469.39 | ||||||
6/22/2022 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 363,260.19 | ||||||
9/22/2022 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 360,112.50 | ||||||
12/22/2022 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 353,145.15 | ||||||
3/22/2023 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 346,303.54 | ||||||
6/22/2023 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 350,931.74 | ||||||
9/22/2023 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 347,890.89 | ||||||
12/22/2023 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 341,160.00 | ||||||
3/22/2024 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 338,235.81 | ||||||
6/22/2024 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 338,989.64 | ||||||
9/22/2024 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 336,052.26 | ||||||
12/22/2024 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 329,550.42 | ||||||
3/22/2025 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 323,165.92 | ||||||
6/22/2025 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 327,484.90 | ||||||
9/22/2025 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 324,647.21 | ||||||
12/22/2025 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 318,366.03 | ||||||
3/22/2026 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 312,198.21 | ||||||
6/22/2026 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 316,370.61 | ||||||
9/22/2026 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 313,629.23 | ||||||
12/22/2026 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 307,561.22 | ||||||
3/22/2027 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 301,602.72 | ||||||
6/22/2027 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 305,633.52 | ||||||
9/22/2027 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 302,985.18 | ||||||
12/22/2027 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 297,123.11 | ||||||
3/22/2028 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 294,576.37 | ||||||
6/22/2028 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 295,232.90 | ||||||
9/22/2028 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 292,674.68 | ||||||
12/22/2028 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 287,012.09 | ||||||
3/22/2029 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 281,451.70 | ||||||
6/22/2029 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 285,213.19 | ||||||
9/22/2029 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 282,741.79 | ||||||
12/22/2029 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 277,271.38 | ||||||
3/22/2030 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 271,899.70 | ||||||
6/22/2030 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 275,533.53 | ||||||
9/22/2030 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 273,146.01 | ||||||
12/22/2030 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 267,861.26 | ||||||
3/22/2031 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 262,671.88 | ||||||
6/22/2031 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 266,182.38 | ||||||
9/22/2031 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 263,875.89 | ||||||
12/22/2031 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 258,770.49 | ||||||
3/22/2032 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 256,552.49 | ||||||
6/22/2032 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 257,124.27 | ||||||
9/22/2032 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 254,896.27 | ||||||
12/22/2032 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 249,964.61 | ||||||
3/22/2033 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 245,121.95 | ||||||
6/22/2033 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 248,397.90 | ||||||
9/22/2033 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 246,245.51 | ||||||
12/22/2033 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 241,481.23 | ||||||
3/22/2034 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 236,802.92 | ||||||
6/22/2034 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 239,967.69 | ||||||
9/22/2034 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 237,888.35 | ||||||
12/22/2034 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 233,285.76 | ||||||
3/22/2035 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 228,766.23 | ||||||
6/22/2035 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 231,823.59 | ||||||
9/22/2035 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 229,814.82 | ||||||
12/22/2035 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 225,368.43 | ||||||
3/22/2036 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 223,436.73 | ||||||
6/22/2036 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 223,934.70 | ||||||
9/22/2036 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 221,994.29 | ||||||
12/22/2036 | — | 567,951.35 | 567,951.35 | 65,697,090.55 | 66,265,041.90 | 25,399,793.88 | ||||||
3/22/2037 | — | — | — | — | ||||||||
6/22/2037 | — | — | — | — | 71,996,304.00 |
A-5
Pre-TSL XXIII | ||||
Fair Value Estimate. Cash Flows Prepared by KBW | ||||
Current Cash Flows with Existing Deferrals and Defaults. | Discount Rate | 13.11% | ||
Higher level of deferrals and defaults assumed for next 3 years. | ||||
March 31, 2009 | Total PV of Cash Flows | 19,797,220 |
BONDS
Class D-1 (BBB) | ||||||||||||
Date | Balance | Interest Due | Interest | Principal | Total Cash Flow | Present Value of Cash Flow | ||||||
72,500,000.00 | — | |||||||||||
12/22/2006 | 72,500,000.00 | 633,650.00 | 633,650.00 | — | ||||||||
3/22/2007 | 72,500,000.00 | 619,875.00 | 619,875.00 | — | ||||||||
6/22/2007 | 72,500,000.00 | 633,650.00 | 633,650.00 | — | ||||||||
9/22/2007 | 72,259,314.52 | 633,650.00 | 633,650.00 | 240,685.48 | ||||||||
12/22/2007 | 72,018,196.03 | 624,681.77 | 624,681.77 | 241,118.49 | ||||||||
3/22/2008 | 71,843,950.10 | 622,597.30 | 622,597.30 | 174,245.92 | ||||||||
6/22/2008 | 71,726,023.54 | 627,916.12 | 627,916.12 | 117,926.56 | ||||||||
9/22/2008 | 71,608,330.43 | 626,885.45 | 626,885.45 | 117,693.11 | ||||||||
12/22/2008 | 71,379,087.90 | 619,054.02 | 619,054.02 | 229,242.53 | ||||||||
3/22/2009 | 71,989,379.10 | 610,291.20 | — | — | ||||||||
6/22/2009 | 72,618,566.28 | 629,187.17 | — | 0.00 | 0.00 | 0.00 | ||||||
9/22/2009 | 73,253,252.55 | 634,686.27 | — | 0.00 | 0.00 | 0.00 | ||||||
12/22/2009 | 73,886,526.91 | 633,274.37 | 0.00 | — | 0.00 | 0.00 | ||||||
3/22/2010 | 74,518,256.72 | 631,729.81 | — | 0.00 | 0.00 | 0.00 | ||||||
6/22/2010 | 75,169,546.28 | 651,289.56 | — | — | 0.00 | 0.00 | ||||||
9/22/2010 | 75,826,528.12 | 656,981.83 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||
12/22/2010 | 76,482,048.45 | 655,520.34 | — | — | 0.00 | 0.00 | ||||||
3/22/2011 | 77,135,969.97 | 653,921.51 | — | — | 0.00 | 0.00 | ||||||
6/22/2011 | 77,810,138.34 | 674,168.38 | — | 0.00 | 0.00 | 0.00 | ||||||
9/22/2011 | 78,490,198.95 | 680,060.61 | — | 0.00 | 0.00 | 0.00 | ||||||
12/22/2011 | 79,168,746.72 | 678,547.77 | — | — | 0.00 | 0.00 | ||||||
3/22/2012 | 79,853,160.54 | 684,413.82 | — | — | 0.00 | 0.00 | ||||||
6/22/2012 | 80,551,077.16 | 697,916.62 | — | 0.00 | 0.00 | 0.00 | ||||||
9/22/2012 | 81,255,093.58 | 704,016.41 | — | 0.00 | 0.00 | 0.00 | ||||||
12/22/2012 | 81,957,543.86 | 702,450.28 | — | — | 0.00 | 0.00 | ||||||
3/22/2013 | 82,658,280.86 | 700,737.00 | 0.00 | — | 0.00 | 0.00 | ||||||
6/22/2013 | 83,380,714.23 | 722,433.37 | — | 0.00 | 0.00 | 0.00 | ||||||
9/22/2013 | 84,109,461.68 | 728,747.44 | — | 0.00 | 0.00 | 0.00 | ||||||
12/22/2013 | 81,550,454.55 | 727,126.30 | 3,286,133.42 | 0.00 | 3,286,133.42 | 1,763,869.65 | ||||||
3/22/2014 | 77,685,847.25 | 697,256.39 | 4,561,863.69 | — | 4,561,863.69 | 2,370,907.26 | ||||||
6/22/2014 | 73,851,580.79 | 678,974.30 | 4,513,240.76 | — | 4,513,240.76 | 2,269,553.46 | ||||||
9/22/2014 | 71,404,841.12 | 645,462.82 | 3,092,202.48 | — | 3,092,202.48 | 1,504,525.30 | ||||||
12/22/2014 | 71,054,271.55 | 617,294.85 | 654,799.32 | 324,816.35 | 979,615.67 | 461,341.58 | ||||||
3/22/2015 | 70,737,690.14 | 607,514.02 | 607,514.02 | 316,581.41 | 924,095.44 | 421,380.73 | ||||||
6/22/2015 | 70,423,870.12 | 618,247.41 | 618,247.41 | 313,820.02 | 932,067.43 | 411,230.04 | ||||||
9/22/2015 | 70,107,000.43 | 615,504.62 | 615,504.62 | 316,869.69 | 932,374.32 | 398,022.35 | ||||||
12/22/2015 | 69,787,073.78 | 606,075.02 | 606,075.02 | 319,926.64 | 926,001.66 | 382,616.97 | ||||||
3/22/2016 | 69,465,790.20 | 603,309.25 | 603,309.25 | 321,283.58 | 924,592.83 | 369,775.64 | ||||||
6/22/2016 | 69,144,956.78 | 607,131.01 | 607,131.01 | 320,833.43 | 927,964.43 | 359,086.23 | ||||||
9/22/2016 | 68,822,314.25 | 604,326.92 | 604,326.92 | 322,642.53 | 926,969.45 | 347,066.34 | ||||||
12/22/2016 | 68,482,612.32 | 594,968.91 | 594,968.91 | 339,701.93 | 934,670.84 | 338,720.19 | ||||||
3/22/2017 | 68,142,338.87 | 585,526.34 | 585,526.34 | 340,273.45 | 925,799.78 | 324,855.65 | ||||||
6/22/2017 | 67,804,422.61 | 595,564.04 | 595,564.04 | 337,916.26 | 933,480.30 | 316,926.22 | ||||||
9/22/2017 | 67,463,224.44 | 592,610.65 | 592,610.65 | 341,198.18 | 933,808.83 | 306,754.29 | ||||||
12/22/2017 | 67,119,210.59 | 583,219.58 | 583,219.58 | 344,013.85 | 927,233.43 | 294,820.08 | ||||||
3/22/2018 | 66,774,660.93 | 573,869.25 | 573,869.25 | 344,549.66 | 918,418.91 | 282,748.14 | ||||||
6/22/2018 | 66,432,316.74 | 583,610.54 | 583,610.54 | 342,344.19 | 925,954.72 | 275,821.65 | ||||||
9/22/2018 | 66,086,674.66 | 580,618.45 | 580,618.45 | 345,642.08 | 926,260.53 | 266,963.20 | ||||||
12/22/2018 | 65,738,255.69 | 571,319.30 | 571,319.30 | 348,418.97 | 919,738.27 | 256,577.06 | ||||||
3/22/2019 | 65,697,090.55 | 562,062.09 | 562,062.09 | 41,165.14 | 603,227.22 | 162,939.15 | ||||||
6/22/2019 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 150,065.81 | ||||||
9/22/2019 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 145,198.26 | ||||||
12/22/2019 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 139,011.35 | ||||||
3/22/2020 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 134,550.58 | ||||||
6/22/2020 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 131,616.90 | ||||||
9/22/2020 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 127,347.77 | ||||||
12/22/2020 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 121,921.47 | ||||||
3/22/2021 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 116,754.14 | ||||||
6/22/2021 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 115,477.47 | ||||||
9/22/2021 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 111,731.83 | ||||||
12/22/2021 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 106,970.93 | ||||||
3/22/2022 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 102,437.24 | ||||||
6/22/2022 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 101,317.12 | ||||||
9/22/2022 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 98,030.79 | ||||||
12/22/2022 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 93,853.69 | ||||||
3/22/2023 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 89,875.94 | ||||||
6/22/2023 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 88,893.18 | ||||||
9/22/2023 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 86,009.83 | ||||||
12/22/2023 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 82,344.95 | ||||||
3/22/2024 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 79,702.56 | ||||||
6/22/2024 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 77,964.76 | ||||||
9/22/2024 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 75,435.89 | ||||||
12/22/2024 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 72,221.56 | ||||||
3/22/2025 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 69,160.63 | ||||||
6/22/2025 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 68,404.38 | ||||||
9/22/2025 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 66,185.61 | ||||||
12/22/2025 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 63,365.44 | ||||||
3/22/2026 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 60,679.86 | ||||||
6/22/2026 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 60,016.34 | ||||||
9/22/2026 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 58,069.65 | ||||||
12/22/2026 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 55,595.30 | ||||||
3/22/2027 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 53,239.03 | ||||||
6/22/2027 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 52,656.88 | ||||||
9/22/2027 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 50,948.89 | ||||||
12/22/2027 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 48,777.96 | ||||||
3/22/2028 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 47,212.71 | ||||||
6/22/2028 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 46,183.31 | ||||||
9/22/2028 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 44,685.30 | ||||||
12/22/2028 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 42,781.26 | ||||||
3/22/2029 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 40,968.08 | ||||||
6/22/2029 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 40,520.11 | ||||||
9/22/2029 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 39,205.80 | ||||||
12/22/2029 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 37,535.24 | ||||||
3/22/2030 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 35,944.40 | ||||||
6/22/2030 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 35,551.36 | ||||||
9/22/2030 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 34,398.21 | ||||||
12/22/2030 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 32,932.50 | ||||||
3/22/2031 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 31,536.74 | ||||||
6/22/2031 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 31,191.90 | ||||||
9/22/2031 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 30,180.15 | ||||||
12/22/2031 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 28,894.18 | ||||||
3/22/2032 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 27,966.98 | ||||||
6/22/2032 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 27,357.20 | ||||||
9/22/2032 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 26,469.84 | ||||||
12/22/2032 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 25,341.96 | ||||||
3/22/2033 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 24,267.91 | ||||||
6/22/2033 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 24,002.54 | ||||||
9/22/2033 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 23,224.00 | ||||||
12/22/2033 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 22,234.42 | ||||||
3/22/2034 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 21,292.07 | ||||||
6/22/2034 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 21,059.25 | ||||||
9/22/2034 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 20,376.17 | ||||||
12/22/2034 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 19,507.94 | ||||||
3/22/2035 | 65,697,090.55 | 561,710.12 | 561,710.12 | — | 561,710.12 | 18,681.14 | ||||||
6/22/2035 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 18,476.87 | ||||||
9/22/2035 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 17,877.55 | ||||||
12/22/2035 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 17,115.79 | ||||||
3/22/2036 | 65,697,090.55 | 567,951.35 | 567,951.35 | — | 567,951.35 | 16,566.56 | ||||||
6/22/2036 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 16,205.35 | ||||||
9/22/2036 | 65,697,090.55 | 574,192.57 | 574,192.57 | — | 574,192.57 | 15,679.71 | ||||||
12/22/2036 | — | 567,951.35 | 567,951.35 | 65,697,090.55 | 66,265,041.90 | 1,751,460.14 | ||||||
3/22/2037 | — | — | — | — | ||||||||
6/22/2037 | — | — | — | — | 19,797,219.80 |
A-6