FREE WRITING PROSPECTUS | ||
FILED PURSUANT TO RULE 433 | ||
REGISTRATION FILE NO.: 333-257991-13 |
From: | Wells Abf Syndicate Wells Fargo (WELLS FARGO SECURITI) At: 10/01/24 14:11:33 UTC-4:00 |
Subject: | BANK5 2024-5YR10 - HEDGE RATIOS |
BANK5 2024-5YR10 - HEDGE RATIOS
Co-Lead Managers & Bookrunners: | Wells Fargo Securities, BofA Securities, J.P. Morgan and Morgan Stanley |
Co-Managers: | Academy Securities, Inc., Drexel Hamilton and Siebert Williams Shank |
BANK5 2024-5YR10
Hedge Ratio Calculations
Tranche Name | Balance | Dur | WAL | Hedge Ratio | Price% | |
A1 | 8,457,000 | 2.28 | 2.49 | 0.8222 | to 3 year | 100.00 |
A2 | 125,000,000 | 4.23 | 4.83 | 0.9396 | to 5 year | 101.00 |
A3 | 432,149,000 | 4.28 | 4.94 | 0.9682 | to 5 year | 103.00 |
AS | 94,941,000 | 4.28 | 5.00 | 0.9693 | to 5 year | 103.00 |
B | 39,391,000 | 4.22 | 5.00 | 0.9560 | to 5 year | 103.00 |
C | 29,290,000 | 4.24 | 5.00 | 0.9325 | to 5 year | 100.00 |
D | 12,120,000 | 4.35 | 5.00 | 0.8375 | to 5 year | 87.68 |
E | 8,080,000 | 4.29 | 5.00 | 0.7755 | to 5 year | 82.17 |
3 Year Risk | 2.778 |
5 Year Risk | 4.550 |
Disclaimer:
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