Swap

1
Fees
6.34
Swap
LIBOR
8.0
Senior
SUM
2.3
70 bps
(11 8.7)
80M
2.0
Mezzanine
9.0
10M
11
10M
25.1
Equity
(2.3x80 2x10 11x10)/10 6.34
2
Year 1 Assume 2 percent default rate (no
recovery and default occurs before interest
payment) Maintain par value of collateral Reinvest
in same quality bonds
Fees
6.34
Swap
LIBOR
8.0
Senior
SUM
2.3
70 bps
(11 8.7)
80M
2.0
Mezzanine
9.0
10M
11
10M
2.90
Equity
(2.3x80 2x10 11x8 -2x100)/10 6.34
Par Value Test 1
3
Year 2 -10 Assume 2 percent default rate (no
recovery) Maintain par value of
collateral Reinvest in same quality bonds
Fees
6.34
Swap
LIBOR
8.0
Senior
SUM
2.3
70 bps
(11 8.7)
80M
2.0
Mezzanine
9.0
10M
11
10M
2.90
Equity
(2.3x80 2x10 11x8 -2x100)/10 6.34
Par Value Test 1