1
EXHIBIT 1
I. TRANSACTION OVERVIEW
OFFERED CERTIFICATES (assuming an amortizing structure)
SUBCLASS A-9 CERTIFICATES
-------------------------
Aggregate Initial Principal Amount $550,000,000
Expected Ratings
Fitch AA
Moody's Aa2
Standard & Poor's AA
Interest Rate LIBOR + o%
Initial Loan to Value (1) 57.7%
Initial Loan to Assumed First Year's
Net Revenue (2) 4.70x
Assumed Interest Coverage Ratio (3) 3.64x
Assumed Debt Service Coverage Ratio (4) 3.64x
Expected Final Payment Date (5) May 15, 2007
Expected Weighted Average Life (Years) 4.5
Expected Principal Amortization Period January 15, 2004
to May 15, 2007
Final Maturity Date March 15, 2019
- -----------
(1) "Initial Loan to Value" represents (i) the aggregate principal amount of
the class A certificates divided by (ii) the aggregate appraised value of
the aircraft as of January 31, 2001, plus $80 million, the expected amount
of the liquidity reserve amount, net of security deposits, on the closing
date.
(2) "Assumed First Year's Net Revenue" means gross revenue less leasing costs,
servicer fees, administrative agent fees, cash manager fees and other
general and administrative costs
(3) "Assumed Interest Coverage Ratio" means Assumed First Year's Net Revenue
divided by Assumed First Year's Interest. "Assumed First Year's Interest"
means the interest payable on the subclass A-9 certificates and each other
subclass of class A certificates then outstanding
(4) "Assumed Debt Service Coverage Ratio" means Assumed First Year's Net
Revenue divided by Assumed First Year's Interest and Minimum Principal.
"Assumed First Year's Interest and Minimum Principal" means (a) the
interest and minimum principal payments on the subclass A-9 certificates
plus (b) the interest and minimum principal payments assumed to be payable
on each other subclass of class A certificates currently outstanding
(5) "Expected Final Payment Date" with respect to the subclass A-9 certificates
means the date by which all the principal on the subclass A-9 certificates
will be paid based on the Base Case
USE OF PROCEEDS
The net cash proceeds from this offering of $550 million will be used to
refinance the existing subclass A-7 certificates.
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I. TRANSACTION OVERVIEW
(continued)
EXISTING CERTIFICATES
OUTSTANDING RATINGS ANNUAL INTEREST
CLASS OR SUBCLASS OF PRINCIPAL AMOUNT (MOODY'S/S&P/ RATE (PAYABLE ASSUMED FINAL FINAL
CERTIFICATES AND NOTES (AS OF 15-FEB-01) FITCH) MONTHLY) PAYMENT DATE (1) MATURITY DATE
- ------------------------ ----------------- ------------- --------------- ---------------- -------------
($ MILLIONS)
Subclass A-4 200.0 Aa2/AA/AA LIBOR+0.620% Mar 15, 2003 Mar 15, 2019
Subclass A-6 450.4 Aa2/AA/AA LIBOR+0.340% Jan 15, 2004 Mar 15, 2019
Subclass A-7 550.0 Aa2/AA/AA LIBOR+0.260% Mar 15, 2001 Mar 15, 2019
Subclass A-8 700.0 Aa2/AA/AA LIBOR+0.375% Mar 15, 2003 Mar 15, 2019
Class B 279.4 A2/A/A LIBOR+0.750% Dec 15, 2016 Mar 15, 2019
Class C 349.8 Baa2/BBB/BBB 8.150% Nov 15, 2013 Mar 15, 2019
Class D 395.1 Ba2/BB/BB 10.875% Dec 15, 2016 Mar 15, 2019
Class E (notes only) (2) 591.2 - 20.000% (3) - Mar 15, 2019
- -----------
(1) Assumed Final Payment Dates were determined based on the assumptions
described under "Airplanes Group Performance Assumptions" in Exhibit 2 to
this report
(2) Held by General Electric Capital Corporation
(3) The annual interest rate on the class E notes is adjusted by reference to
changes in the U.S. Consumer Price Index since March 28, 1996. As of
February 15, 2001, the annual interest rate on the class E notes was
22.24%. Except for the class E minimum interest amount and supplemental
interest amount, payable at 1% and 10% per annum, respectively, no
principal or interest is payable on the class E notes until the more senior
classes of notes have been paid in full
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I. TRANSACTION OVERVIEW
(CONTINUED)
AIRCRAFT SUMMARY
ORIGINAL TRANSACTION 1998 REFINANCING 2001 REFINANCING
MARCH 1996 (1) MARCH 1998 (2) JANUARY 31, 2001 (3)
-------------------- ---------------- --------------------
Number of Aircraft 229 218 193
(% OF
NARROWBODY MODELS APPRAISED VALUE)
A320-200 8.82 9.67 10.41
B727-200A 0.24 0.21 0.23
B737-200A 4.34 4.46 3.37
B737-200C 0.42 0.44 -
B737-300 5.92 6.41 6.21
B737-400 13.90 15.41 16.82
B737-500 5.85 6.14 6.97
B757-200 3.07 3.32 3.53
DC9-14 0.05 0.05 -
DC9-15 0.15 0.14 -
DC9-32 0.86 0.78 0.71
DC9-51 0.50 0.49 0.43
F-100 7.37 6.77 6.15
MD-82 0.94 0.95 1.06
MD-83 12.36 12.99 13.82
MD-87 0.40 0.39 0.39
----- ----- ------
SUBTOTAL 65.19 68.62 70.09
WIDEBODY MODELS
A300-B4-100 0.64 0.45 -
A300-B4-200 0.79 0.65 0.57
A300-C4-203 0.45 0.42 0.47
B747-200BC (4) 0.85 0.98 -
B767-200ER 1.32 1.38 1.37
B767-300ER 6.29 6.78 7.23
DC10-30 1.00 - -
MD-11 5.86 6.23 5.94
----- ----- ------
SUBTOTAL 17.20 16.89 15.57
FREIGHTER MODELS
B747-200SF - - 0.96
DC8-71F 11.21 8.71 7.64
DC8-73CF 0.51 0.52 0.54
DC10-30F 0.96 - -
----- ----- ------
SUBTOTAL 12.68 9.23 9.14
TURBOPROP MODELS
ATR42-300 0.65 0.65 0.68
DHC8-100 0.90 0.94 0.98
DHC8-300 3.26 3.55 3.45
METRO-III 0.12 0.12 0.09
----- ----- ------
SUBTOTAL 4.93 5.26 5.20
- -----------
(1) Using appraised values as of October 31, 1995 (aggregate value of $4,527
million)
(2) Using appraised values as of January 23, 1998 (aggregate value of $3,813
million)
(3) Using appraised values as of January 31, 2001 (aggregate value of $3,135
million)
(4) This aircraft completed its conversion to a freighter, B747-200SF, on
March 27, 1998
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I. TRANSACTION OVERVIEW
(CONTINUED)
LESSEE SUMMARY
BY PERCENT OF TOTAL APPRAISED VALUE (%)
--------------------------------------------------------------
ORIGINAL TRANSACTION 1998 REFINANCING 2001 REFINANCING
MARCH 1996 (1) MARCH 1998 (2) JANUARY 31, 2001 (3)
-------------------- ---------------- --------------------
Number of Lessees 83 74 66
Number of Countries 40 38 35
Europe (excluding CIS) 34.4% 33.6% 33.7%
Latin America 28.4% 33.7% 29.9%
North America 17.3% 17.2% 22.0%
Asia & Far East 15.0% 10.3% 10.0%
Africa 0.7% 1.5% 1.3%
Other (including CIS) 1.1% 0.5% 0.5%
Australia & New Zealand 0.3% 0.3% 0.3%
Off-lease 2.8% 2.9% 2.3%
NOISE RESTRICTIONS
BY PERCENT OF TOTAL APPRAISED VALUE (%)
--------------------------------------------------------------
ORIGINAL TRANSACTION 1998 REFINANCING 2001 REFINANCING
MARCH 1996 (1) MARCH 1998 (2) JANUARY 31, 2001 (3)
-------------------- ---------------- --------------------
Stage 3 93.4% 93.4% 94.2%
Stage 3 Hush-kitted 0.0% 0.0% 0.8%
Stage 2 6.6% 6.6% 5.0%
- ----------------
(1) Using appraised values as of October 31, 1995
(2) Using appraised values as of January 23, 1998
(3) Using appraised values as of January 31, 2001
TRANSACTION On March 28, 1996, Airplanes Limited and Airplanes U.S. Trust
BACKGROUND (together, Airplanes U.S. Trust (together, "Airplanes Group"
or "APG") established pass through trusts to offer and sell
$4,048 million in aggregate principal amount of subclass A-1,
A-2, A-3, A-4 and A-5 and class B, C and D pass through
certificates. The proceeds from this offering, together with the
proceeds from the sale of the class E notes of Airplanes Group,
were used to acquire a portfolio of 229 aircraft from GPA Group
plc (now known as debis AirFinance Ireland plc) and its
subsidiaries.
On March 16, 1998, APG established pass through trusts to offer
and sell $2,437 million in aggregate principal amount of
subclass A-6, A-7 and A-8 and class B certificates in connection
with the refinancing of the subclass A-1, A-2 and A-3 and
existing class B certificates.
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I. TRANSACTION OVERVIEW
(continued)
ASSETS As of January 31, 2001, APG's portfolio of aircraft consisted
of 193 aircraft
o 187 contracted leases with 66 lessees in 35 countries
o Liquidity reserve consisting of
o $80MM in maintenance reserve amount
o Cash security deposit reserve amount of approximately
$35.4MM
o $40MM in miscellaneous reserves
o Security deposits in the form of letters of credit
for $288.8MM
Of the six aircraft off-lease, three were subject to lease
agreements and one was subject to a letter of intent as of
January 31, 2001. The remaining two unplaced aircraft
represented 0.34% of our portfolio by appraised value as of
January 31, 2001.
ADJUSTMENT Subject to rating agency approval, as of the closing date the
TO LIQUIDITY miscellaneous reserve amount is expected to be reduced to $nil
RESERVES and, solely for purposes of the "First Collection Account
Top-Up" described in the Priority of Payments on page 14, the
maintenance reserve amount is expected to be reduced to $60
million. The reduction of the miscellaneous reserve amount
would result in the payment of the outstanding class A
principal adjustment amount ($38.6 million as of February 15,
2001) and any remaining amount would be applied towards
reduction of the deferred scheduled principal payment on the
class C notes. The reduction of the maintenance reserve amount
would allow an additional amount of up to $20 million to be
applied to minimum hedge payments, class A minimum principal,
class B interest, class B minimum principal and class C and D
interest, but would require that amount to be retained in the
Collection Account prior to payment of class A principal
adjustment amount or any other amounts ranking junior to the
"Second Collection Account Top-Up" under the Priority of
Payments.
APPRAISED VALUE At January 31, 2001, the average of the three appraised values
from Airclaims Limited, Aircraft Information Systems, Inc. and
BK Associates, Inc., for the remaining 193 aircraft in the
portfolio was $3,135.4 million (the "Appraised Value").
AIRCRAFT SUMMARY o At January 31, 2001, APG's portfolio of aircraft consisted of
28 (% BY APPRAISED VALUE) different aircraft types
o Major aircraft types as a percentage of total
appraised value are as follows:
o 16.8% Boeing 737-400
o 13.8% McDonnell Douglas MD-83
o 10.4% Airbus A320-200
o 7.0% Boeing 737-500
o 6.2% Boeing 737-300/-300QC
o 3.5% Boeing 757-200
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I. TRANSACTION OVERVIEW
(continued)
LESSEES As of January 31, 2001, APG had:
(% BY o 66 lessees in 35 countries
APPRAISED VALUE) o Largest lessee, Air Canada, represented 9.0% of the
portfolio
o Largest country, U.S., represented 13.1% of the portfolio
o Average remaining contracted lease term was 29 months
o All existing leases are denominated in U.S. dollars
SERVICER GE Capital Aviation Services, Limited ("GECAS") is the
servicer for APG's portfolio. GECAS is headquartered in
Shannon, Ireland where it had 97 employees as of January 31,
2001. GE Capital Aviation Services, Inc., of which GECAS is a
subsidiary, has a further 130 employees worldwide and has
operations in Stamford, Connecticut; Shannon, Ireland; Miami,
Florida and a number of other locations.
GECAS is a global commercial aviation financial services
company that offers a range of aircraft financial products and
provides management, marketing and technical support services
to airlines, aircraft owners, lenders and investors as well as
various of its affiliates and other third parties, including
the GE Group, Aircraft Finance Trust, debis AirFinance Ireland
and Airplanes Group. As of January 31, 2001, GECAS and its
affiliates managed a portfolio consisting of 1,071 aircraft on
lease to more than 161 lessees in 62 countries throughout the
world. As of January 31, 2001, GECAS had also committed to
purchase a total of 417 new aircraft from manufacturers,
deliverable through December 2007. On November 20, 1998,
GECAS' affiliate, GE Capital, acquired the class E notes
previously held by GPA Group (now known as debis AirFinance
Ireland) and its subsidiaries. GECAS holds 5% of the ordinary
share capital of Airplanes Holdings, and GE Capital has an
option to acquire the residual interest in Airplanes U.S.
Trust from AerFi, Inc.
The servicer does not assume any liability or accountability
for (i) the terms and conditions of the Certificates, (ii) the
ability of Airplanes Group to comply with the terms and
conditions of the Certificates or the Guarantees and (iii) the
structuring or implementation of any aspect of the various
transactions contemplated by this Preliminary Term Sheet.
The duties and obligations of the servicer are limited to
those expressly set forth in the Servicing Agreement and the
servicer does not have any fiduciary or other implied duties
or obligation to Airplanes Group or any other person,
including any certificateholder.
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I. TRANSACTION OVERVIEW
(continued)
OWNERSHIP STRUCTURE
[Chart showing ownership structure of Airplanes Group as of January 31, 2001.]
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II. STRUCTURAL SUMMARY
ISSUER Airplanes Pass Through Trust, a New York trust,
established in March 1996
EXPECTED PRICING DATE On or about March 6, 2001
EXPECTED SETTLEMENT March 15, 2001
Same-day funds through DTC, Clearstream and Euroclear
PAYMENT DATES The 15th of every month, beginning April 16, 2001
DAY COUNT BASIS Actual/360
REDEMPTION PROVISIONS o Premium redemption rates for early redemptions and
refinancings
o Redemptions from available collections to be made
without premium
REDEMPTION OF THE
SUBCLASS A-9
CERTIFICATES
REDEMPTION DATE REDEMPTION PREMIUM
--------------- ------------------
After March 15, 2001............. 101.00%
On or after March 15, 2002....... 100.50%
On or after March 15, 2003....... 100.00%
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II. STRUCTURAL SUMMARY
(continued)
EXCHANGE OFFER If the subclass A-9 certificates are not registered and
AND REGISTRATION exchanged through an exchange offer on or before December 17,
REQUIREMENT 2001, the interest rate on the subclass A-9 certificates will
increase by 0.50% per annum until such an exchange offer is
completed or registration statement is declared effective by
the SEC.
RATED FINAL March 15, 2019
MATURITY DATE
MINIMUM The subclass A-9 Certificates will be issued in denominations
DENOMINATIONS of US$100,000 and integral multiples of US$1,000 in excess
thereof. The subclass A-9 Certificates will be subject to
certain restrictions on transfer until the exchange offer
therefor is consummated.
ERISA ELIGIBILITY The subclass A-9 Certificates may be eligible for purchase by
an employee benefit plan or other plan subject to Title 1 of
ERISA or Section 4975 of the United States Internal Revenue
Code of 1986, as amended.
LISTING Luxembourg Stock Exchange
LEASES Most of the leases are operating leases under which APG
generally retains the benefit and bears the risk of the
residual value of the aircraft at the end of the lease.
The lessees are obliged to make rental payments and generally
assume responsibility for:
o ensuring proper operation and maintenance of the aircraft
o providing indemnification and insurance for losses
resulting from operation of the aircraft
o paying all costs of operating and maintaining the aircraft
and keeping the aircraft free of liens
o complying with all governmental licensing and other
requirements
o grossing up payments where payments are subject to
withholding or other taxes
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II. STRUCTURAL SUMMARY
(continued)
ANNUAL LEASE REMARKETING TASKS
[Chart showing percentage by appraised value of leases ending in each
of years 2001 through 2005, broken down by aircraft type.]
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II. STRUCTURAL SUMMARY
(continued)
PRIORITY OF PAYMENTS
[Chart showing priority of payments under the indentures]
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III. ASSUMPTIONS
BASE CASE ASSUMPTIONS
Under the base case assumptions, the chart below summarizes monthly cash amounts
available to service the certificates.
% OF LEASE
CASH FLOWS RENTALS AIRPLANES GROUP ASSUMPTIONS
- ------------------------------------- ----------- ----------------------------------------------------------------------
LEASE RENTALS 100.0% o Lease rental rollout assumption has changed from original
transaction and 1998 Refinancing base case (detail next page)
o Sale at the end of useful life for 12% of assumed value when
new (1)
Less: NET STRESS-RELATED COSTS (6.0%) o 6.0% of lease rentals assumed lost due to aircraft downtime,
bad debts, and aircraft repossession costs, offset by security
deposits drawn after an event of default and any other lease income
which includes lease termination payments and default interest
Plus: INTEREST EARNED + 2.0% o One month LIBOR on all cash balances
Plus: NET MAINTENANCE + 0.0% o Maintenance receipts assumed to equal maintenance expenses
Less: AIRCRAFT OPERATING EXPENSES (5.0%) o 5.0% per annum of lease rentals
SG&A (8.0%)(2) o SG&A expenses represent the sum of
o Servicer fees payable to GECAS and administrative fees payable
to the administrative agent, both of which contain a portion
which will decrease proportionately with the number of aircraft
remaining in the portfolio after APG's portfolio has been reduced
to 153 aircraft
o Cash manager fees
o Other SG&A and other expenses
Equals: CASH AVAILABLE TO 83.0% o 83.0% of lease rentals available to pay interest and principal
CERTIFICATEHOLDERS on the notes and certificates
- -----------------
(1) Except for 3 B737-200As leased to Air Canada under finance leases
which, in line with the terms of such finance leases, are assumed to have a
residual value of $1 million each at the expiry of current lease
(2) As percentage of Assumed First Year's Lease Rentals
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IV STRESS TESTS
(continued)
ORIGINAL TRANSACTION
AND 1998 REFINANCING 2001 REFINANCING
-------------------- ----------------
Annual decline in lease rate: Age of Aircraft (in years, % per annum):
1-5................................................. 0.0 2.0
6-15................................................ 0.0 1.0
16-20............................................... 6.0 3.0
Thereafter.......................................... 6.0 5.0
Sale Value at End of Useful Life.................... 0.0% 12.0% (1)
Useful Life (yrs) for Passenger Aircraft............ 20.0-25.0 22.5-25.0
Useful Life (yrs) for Freighters (2)................ 20.0 20.0
Stress Costs........................................ (6.0%) (6.0%)
Maintenance......................................... 0.0% 0.0%
Interest Earned..................................... +2.0% +2.0%
Aircraft Operating Expenses......................... (2.0%) (5.0%)
SG&A................................................ (7.5%) (8.0%)
------ ------
Net Cash to Certificate holders + 86.5% + 83.0%
- -----------------
(1) Except for 3 B737-200As leased to Air Canada under finance leases
which, in line with the terms of such finance leases, are assumed to have a
residual value of $1 million each at the expiry of current lease
(2) Years from the date of conversion to freighter service
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IV STRESS TESTS
(CONTINUED)
USEFUL LIFE ASSUMPTIONS
AIRCRAFT EXPECTED USEFUL
TYPE LIFE (YRS.) (1)
-------- ---------------
Passenger Jet Aircraft A300 25.0
A320-200 25.0
B727-200A 22.5
B737-200A 25.0
B737-300/400/500 25.0
B757-200 25.0
B767-200ER/300ER 25.0
DC9-32/51 22.5-25.0
F-100 25.0
MD-11 25.0
MD-82/3/7 25.0
Freighter Jet Aircraft (2) B747-200SF 20.0
DC8-71F/73CF 20.0
Turboprops ATR42-300 22.5
DHC8-100/300/300C 22.5
METRO-III 22.5
(1) We assume that each aircraft has an expected useful life that corresponds
to its aircraft type as set forth in the table above or, if longer, the
number of years from the date of manufacture or conversion to freighter
service of the aircraft to the date of termination of the current lease of
the aircraft
(2) Expected Useful Life in years from the date of conversion to freighter
service
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IV STRESS TESTS
(continued)
BASE CASE RESULTS
Percent of Initial Outstanding Principal Balance of the Certificates under the
Base Case:
AGGREGATE CLASS A
SUBCLASS SUBCLASS SUBCLASS SUBCLASS CERTIFICATES, INCLUDING
PAYMENT DATE OCCURRING IN MARCH A-4 A-6 A-8 A-9 REFINANCING CERTIFICATES
- ------------------------------- --- --- --- --- ------------------------
2001 (Closing Date) 100% 48% 100% 100% 81%
2002 100% 31% 100% 100% 75%
2003 0% 14% 0% 100% 68%
2004 0% 0% 0% 95% 62%
2005 0% 0% 0% 65% 55%
2006 0% 0% 0% 32% 47%
2007 0% 0% 0% 3% 40%
2008 0% 0% 0% 0% 34%
2009 0% 0% 0% 0% 28%
2010 0% 0% 0% 0% 23%
2011 0% 0% 0% 0% 17%
2012 0% 0% 0% 0% 12%
2013 0% 0% 0% 0% 8%
2014 0% 0% 0% 0% 5%
2015 0% 0% 0% 0% 2%
2016 0% 0% 0% 0% 1%
2017 0% 0% 0% 0% 0%
Weighted Average Life (yrs) 2.0 1.5 2.0 4.5 6.4
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IV STRESS TESTS
(continued)
DECLINING BALANCES OF THE CERTIFICATES UNDER THE BASE CASE
[Graph showing declining balances of the certificates and the expected
portfolio value 2001-2017.]
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IV STRESS TESTS
1. EFFECT OF INABILITY TO REFINANCE SUBCLASS A-4 AND SUBCLASS A-8 CERTIFICATES
The table below is based on the assumptions, except that the assumption has been
made that no refinancing certificates are issued. If no refinancings occur, the
expected maturity (Exp) and weighted average life (Avg) of the subclass A-9
certificates would be as set forth below.
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF CERTIFICATES
EXPECTED MATURITY/WEIGHTED AVERAGE LIFE
------------------------------------------------------------------------
BASE CASE NO REFINANCINGS
------------------------------------------------------------------------
EXP AVG EXP AVG
Subclass A-9 6.2 4.5 15.9 11.4
2. MINIMUM REVENUE PERCENTAGE REQUIRED TO REPAY CERTIFICATES
The following tables show the minimum percentage of lease rentals that will be
necessary to repay all interest and principal on the class A certificates by
their final maturity date. If APG received actual revenues below the percentages
of lease rentals indicated below and all of the other assumptions proved to be
correct, APG would be unable to make the required payments on the notes and
certificates, which would constitute an event of default.
PERCENTAGE OF LEASE RENTALS NECESSARY TO REPAY THE
CERTIFICATES BY THE FINAL MATURITY DATE ASSUMING ACTUAL
EXPERIENCE CORRESPONDS TO THE BASE CASE UNTIL THE BEGINNING OF THE YEAR STATED
CLOSING DATE YEAR 3 YEAR 6 YEAR 10
------------ ------ ------ -------
Class A 57.5% 54.5% 48.0% 36.0%
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IV STRESS TESTS
(continued)
3. EFFECT OF A PERMANENT CHANGE IN LEASE RENTALS
The tables below have been prepared based on the assumptions, except that the
revenue received by APG from lease rentals has been varied by the indicated
percentages, beginning in years 3 and 6. If APG received actual lease rentals as
indicated below and all of the other assumptions proved to be correct, then the
expected maturity and weighted average life of the subclass A-9 certificates
would be as set forth below.
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS A-9 CERTIFICATES
ASSUMING A PERMANENT CHANGE IN LEASE RENTALS, BEGINNING IN YEAR 3
PERMANENT CHANGE IN LEASE RENTALS AS A PERCENTAGE OF LEASE RENTALS
------------------------------------------------------------------
EXP AVG
----- -----
(YEARS)
Base Case + 10% 6.2 4.4
Base Case + 5% 6.2 4.4
Base Case 6.2 4.5
Base Case - 5% 6.8 4.9
Base Case - 10% 6.9 5.2
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS A-9 CERTIFICATES
ASSUMING A PERMANENT CHANGE IN LEASE RENTALS, BEGINNING IN YEAR 6
PERMANENT CHANGE IN LEASE RENTALS AS A PERCENTAGE OF LEASE RENTALS
-------------------------------------------------------------------
EXP AVG
----- -----
(YEARS)
Base Case + 10% 6.2 4.5
Base Case + 5% 6.2 4.5
Base Case 6.2 4.5
Base Case - 5% 6.3 4.5
Base Case - 10% 6.5 4.6
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IV STRESS TESTS
(continued)
4. EFFECT OF A PERMANENT DECLINE IN PORTFOLIO VALUE
The following tables show the expected maturity and weighted average life of the
subclass A-9 certificates if the adjusted portfolio values permanently declined
to a given percentage of the expected portfolio value, beginning in years 1
and 5.
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS A-9 CERTIFICATES
ASSUMING A PERMANENT CHANGE IN PORTFOLIO VALUE, BEGINNING IN YEAR 1
ADJUSTED PORTFOLIO VALUE AS A PERCENTAGE OF
EXPECTED PORTFOLIO VALUE BEGINNING IN YEAR 1
-----------------------------------------------
EXP AVG
----- -----
(YEARS)
110% 6.8 5.1
105% 6.5 4.8
Base Case (100%) 6.2 4.5
95% 6.2 4.5
90% 6.2 4.5
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS A-9 CERTIFICATES
ASSUMING A PERMANENT CHANGE IN PORTFOLIO VALUE, BEGINNING IN YEAR 5
ADJUSTED PORTFOLIO VALUE AS A PERCENTAGE OF
EXPECTED PORTFOLIO VALUE BEGINNING IN YEAR 5
--------------------------------------------
EXP AVG
----- -----
(YEARS)
110% 6.8 4.9
105% 6.5 4.7
Base Case (100%) 6.2 4.5
95% 6.2 4.5
90% 6.2 4.5
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