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Senior Tranche (A1 AAA) — Scenario Analysis
Base Case
Assumptions
CPR
8%
CDR
1.5%
LGD
25%
Recovery Lag
12 mo
Senior Tranche Outputs
NPVSAR 1.67B
WAL4.2 yrs
Yield5.35%
Stress Case
Assumptions
CPR
15%
CDR
4%
LGD
40%
Recovery Lag
18 mo
Senior Tranche Outputs
NPVSAR 1.58B
WAL3.1 yrs
Yield5.90%
Severe Stress
Assumptions
CPR
20%
CDR
8%
LGD
55%
Recovery Lag
24 mo
Senior Tranche Outputs
NPVSAR 1.41B
WAL2.4 yrs
Yield6.75%