<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES AND
EXCHANGE ACT OF 1934
February 15, 2000
(Date of Earliest Event Reported)
MORGAN STANLEY AIRCRAFT FINANCE
(Exact Name of Registrant as Specified in Trust Agreement)
Delaware
(State or Other Jurisdiction of Incorporation or Organization)
333-56575 13-3375162
(Commission File (IRS Employer
Number) Identification No.)
Morgan Stanley Aircraft Finance
c/o Wilmington Trust Company
1100 North Market Street
Rodney Square North
Wilmington, Delaware 19890-1000
Attention: Corporate Trust Administration
(302) 651-1000
(Address and Telephone Number, Including Area Code, of
Registrant's Principal Executive Office)
<PAGE> 2
ITEM 5. OTHER EVENTS
As previously reported, Morgan Stanley Aircraft Finance ("MSAF") intends to
commence a securitization of 29 aircraft previously purchased by affiliates of
Morgan Stanley Dean Witter & Co. ("MSDW"). Simultaneously with the
securitization, MSAF also intends to refinance its currently outstanding
subclass A-1 notes.
In connection with the securitization and refinancing, MSAF plans to issue
five subclasses of notes (the "NEW NOTES"). The New Notes will be offered to
qualified institutional buyers in the United States under Rule 144A and outside
the United States under Regulation S. Under the indenture under which MSAF's
outstanding notes issued on March 3, 1998 (the "1998 NOTES") were issued (the
"INDENTURE"), MSAF may only issue New Notes if it receives confirmation from the
rating agencies that the issuance of New Notes will not result in the lowering
or withdrawal by them of their current ratings of any subclass of 1998 Notes.
The information contained in the various exhibits to this report reflects
only a preliminary structure for the New Notes and is provided to noteholders
solely as an indication of MSAF's current intentions. Noteholders should note
that it is possible that MSAF may not consummate the securitization or
refinancing and that if it does, the New Notes and the revised assumptions may
differ significantly from what MSAF currently intends. If MSAF revises the
relevant information significantly, it intends to issue another report
containing the revised information. In any event, upon consummation of the
securitization and refinancing, MSAF intends to issue a report containing the
relevant information in definitive form.
Upon consummation of the securitization and refinancing, MSAF will acquire
the 29 additional aircraft. MSAF's enlarged portfolio, including the 29
additional aircraft and related leases, will support its obligations under both
the 1998 Notes and the New Notes. In connection with the securitization MSAF has
obtained new appraisals as of November 30, 1999 for each aircraft in the
enlarged portfolio. With immediate effect, MSAF will use the relevant new
appraisals to calculate the "Adjusted Base Value" of each of the 32 aircraft and
one spare engine that it currently owns for all purposes under the Indenture,
regardless of whether it consummates the securitization. Attached as Exhibit 1
is a description of MSAF's enlarged portfolio, assuming that it acquires the 29
additional aircraft and containing the new appraisals.
In connection with the securitization and refinancing, MSAF has revised its
assumptions about its performance in future years. Attached as Exhibit 2 are the
new assumptions, based upon the enlarged MSAF portfolio. Based on the new
assumptions, the tables showing possible future revenue scenarios or stresses
that MSAF previously disclosed for the 1998 Notes would also change. Attached as
Exhibit 3 are new stress tables for the 1998 Notes (other than the subclass A-1
notes, which are assumed to be refinanced). Also under the new assumptions and
with the enlarged portfolio, MSAF's assumed monthly lease rentals and assumed
portfolio values would change. These are attached as Exhibits 4 and 5,
respectively. The new assumptions and stress tables do not affect the payment
terms of the 1998 Notes, but merely represent a revised illustration of the
effects
2
<PAGE> 3
of factors that are likely to significantly affect MSAF's performance in future
years.
Upon consummation of the securitization and refinancing, in accordance with
Section 3.11 of the Indenture, each of the Class Percentages (as defined in the
Indenture) for MSAF's class A notes and class B notes and each of the Target
Principal Balances (as defined in the Indenture) for MSAF's class C notes and
class D notes shall be adjusted to take into account the acquisition of the 29
additional aircraft, as determined by MSAF's controlling trustees. Attached as
Exhibits 6, 7, 8, and 9, respectively, are the resulting Class A Class
Percentages, Class B Class Percentages, Class C Target Principal Balances and
Class D Target Principal Balances, assuming that the securitization and
refinancing are consummated under the current preliminary structure for the New
Notes.
In accordance with Section 3.11 of the Indenture, no Pool Factor or
Extended Pool Factor (as defined in the Indenture) for any subclass of the 1998
Notes may be adjusted. Attached as Exhibits 10 and 11, respectively, are the
Pool Factors and Extended Pool Factors for all of MSAF's notes (including the
New Notes), assuming that the securitization and refinancing are consummated
under the current preliminary structure for the New Notes.
3
<PAGE> 4
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereto duly authorized.
MORGAN STANLEY AIRCRAFT FINANCE
Date: February 15, 2000 By: /s/ Scott Peterson
--------------------------
Signatory Trustee
EXHIBIT INDEX
Exhibit 1 MSAF's Portfolio
Exhibit 2 MSAF's Performance Assumptions
Exhibit 3 Stress Tables
Exhibit 4 Monthly Lease Rentals
Exhibit 5 Assumed Portfolio Values
Exhibit 6 Class A Class Percentages
Exhibit 7 Class B Class Percentages
Exhibit 8 Class C Target Principal Balances
Exhibit 9 Class D Target Principal Balances
Exhibit 10 Pool Factors
Exhibit 11 Extended Pool Factors
4
<PAGE> 1
EXHIBIT 1
MSAF'S PORTFOLIO
THE ACQUISITIONS
On May 19, 1999, an indirect wholly owned subsidiary of MSDW acquired two
aircraft from an affiliate of GE Capital Corporation. On August 6, 1999, another
indirect wholly owned subsidiary of MSDW agreed to acquire 27 aircraft from
ILFC. Upon consummation of this offering, we will acquire these new
aircraft-owning subsidiaries and as a result will own the 29 aircraft. All but
one of these aircraft have been delivered by ILFC. The remaining aircraft is due
to be delivered on or before April 30, 2000. If it is not delivered, a
substitute aircraft may be acquired if certain conditions are met. The
discussion of the portfolio in this Exhibit 1 assumes that MSAF group takes
delivery of the one remaining aircraft. The 29 additional aircraft had an
aggregate appraised value of $1,047.8 million as of November 30, 1999. As of
February 1, 2000, all of these aircraft were subject to lease contracts with 24
lessees based in 16 countries.
The following table sets forth certain information as of February 1, 2000
with respect to the 29 additional aircraft (except for appraised values which
are as of November 30, 1999). For more information regarding each lessee, you
should refer to "-- Description of the Lessees" below.
<TABLE>
<CAPTION>
APPRAISED
ENGINE SERIAL DATE OF VALUE AS OF
TYPE CONFIGURATION NUMBER MANUFACTURE LESSEE NOVEMBER 30, 1999
- ---- --------------- ------ ----------- ------ -----------------
($MM)
<S> <C> <C> <C> <C> <C>
A300-600R PW 4158 625 Mar-92 China Airlines 51.1
A320-200 CFM 56-5A3 397 Mar-93 Canada 3000 30.8
A320-200 V2500-A1 428 May-94 TransAer 32.1
A320-200 CFM 56-5A3 446 Feb-92 Monarch 30.5
A321-100 V2530-A5 557 Dec-95 Air Macau 38.9
A330-300 CF6-80E1 54 Apr-94 Aer Lingus 80.0
A340-300 CFM 56-5C3G 94 Mar-95 Air Mauritius 91.6
B737-300 CFM 56-3B1 23255 Jun-85 Southwest 14.4
B737-300 CFM 56-3B1 23256 Jul-85 Southwest 15.3
B737-300 CFM 56-3B2 24449 Apr-90 Lithuanian 21.7(1)
B737-300 CFM 56-3B1 26309 Dec-94 Continental 26.3
B737-400 CFM 56-3C1 24707 Jun-91 Air Europa 24.7
B737-400 CFM 56-3C1 25105 Jul-93 Alaska Airlines 26.6
B737-400 CFM 56-3C1 26279 Feb-92 Pegasus 25.7
B737-400 CFM 56-3C1 26291 Aug-93 Asiana 27.6
B737-400 CFM 56-3C1 26308 Oct-94 Asiana 27.9
B737-500 CFM 56-3C1 26304 Sep-94 Braathens 21.2
B747-400 RB211-252H2/19 24955 Sep-91 Cathay Pacific 97.4
B757-200ER RB211-535-E4 23767 Apr-87 Air 2000 29.7
B757-200ER PW 2040 24965 Mar-92 Mexicana 39.1
B757-200ER PW 2037 25044 May-91 F.E.A.T. 37.5
B757-200ER RB211-535-E4-37 26266 Jan-93 Britannia 41.2
B757-200ER PW 2037 28160 Jul-96 TWA 47.8
B767-300ER CF6-80C2B6 24875 Jun-91 Air New Zealand 57.0
B767-300ER CF6-80C2B6F 25132 Feb-92 Asiana 60.1
F-50 PW100-125B 20232 Oct-91 KLM CityHopper 6.3
F-50 PW100-125B 20233 Oct-91 KLM CityHopper 6.2
MD-83 JT8D-219 49657 Apr-88 TWA 19.6
MD-83 JT8D-219 53050 May-90 Aeromexico 19.7
-----------------
Total $1,047.8
=================
</TABLE>
- ---------------
(1) Aircraft that has not been delivered.
E-1-1
<PAGE> 2
APPRAISALS
As of November 30, 1999, our portfolio had an aggregate appraised value of
$2,000.9 million. Under our indenture, we are required, at least once each year
and in any case no later than October 31 of each year, to deliver to the trustee
appraisals of the base value of each of the aircraft in our portfolio from at
least three independent appraisers that are members of the International Society
of Transport Aircraft Trading or any similar organization. We have obtained
appraisals from five such appraisers. We have calculated the appraised value of
each aircraft by removing the highest and the lowest appraisal and taking the
average of the remaining three.
Our five appraisers, Aircraft Information Services, Inc., BK Associates,
Inc., Airclaims Limited, Morton Beyer and Agnew and Aircraft Value Analysis
Company have provided appraisals of the value of each of our aircraft at normal
utilization rates in an open, unrestricted and stable market, without taking
into account the value of related leases, maintenance reserves or security
deposits as of November 30, 1999, adjusted to account for the reported
maintenance standard of the aircraft. The appraisals were not based on a
physical inspection of the aircraft.
E-1-2
<PAGE> 3
The appraisals for the portfolio as of November 30, 1999 are set out below.
<TABLE>
<CAPTION>
APPRAISAL OF
----------------------------------------------------------------
AIRCRAFT
ENGINE SERIAL DATE OF AIRCLAIMS INFORMATION MORTON BEYER
AIRCRAFT TYPE CONFIGURATION NUMBER MANUFACTURE LIMITED BK ASSOCIATES SERVICES AND AGNEW
- ------------- --------------- ------ ----------- ---------- ------------- -------------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
A300-600R PW 4158 555 Mar-90 43,820,038 46,874,794 50,860,000 48,210,000
A300-600R PW 4158 625 Mar-92 45,598,979 53,107,233 56,000,000 53,220,000
A310-300 JT9D-7R4E1 409 Nov-85 18,668,131 27,022,136 21,300,000 29,499,000
A310-300 JT9D-7R4E1 410 Nov-85 18,736,079 27,403,582 21,820,000 30,501,000
A310-300 JT9D-7R4E1 437 Nov-86 21,316,952 33,262,341 27,820,000 33,419,000
A320-200 CFM 56-5A3 279 Feb-92 28,871,688 31,244,598 28,640,000 31,652,000
A320-200 V2500-A1 393 Feb-93 29,931,935 31,187,247 29,090,000 33,098,000
A320-200 CFM 56-5A3 397 Mar-93 30,162,691 31,894,773 30,400,000 33,319,000
A320-200 V2500-A1 414 May-93 30,336,415 30,957,449 29,130,000 33,363,000
A320-200 V2500-A1 428 May-94 31,669,836 32,628,258 30,790,000 33,834,000
A320-200 CFM 56-5A3 446 Feb-92 30,177,866 31,100,000 30,030,000 35,176,000
A321-100 V2530-A5 557 Dec-95 35,247,421 45,988,568 39,160,000 37,638,000
A321-100 V2530-A5 597 May-96 36,085,390 45,156,750 41,930,000 37,567,000
A330-300 CF6-80E1 54 Apr-94 75,194,550 81,864,707 82,310,000 87,754,000
A340-300 CFM 56-5C3G 94 Mar-95 81,144,912 92,319,102 105,920,000 97,684,000
B737-300 CFM 56-3B1 23255 Jun-85 14,620,625 13,547,506 17,440,000 14,837,000
B737-300 CFM 56-3B1 23256 Jul-85 16,395,719 14,501,668 18,040,000 14,961,000
B737-300 CFM 56-3C1 24299 Nov-88 20,001,225 18,790,300 20,570,000 19,140,000
B737-300 CFM 56-3B2 24449 Apr-90 21,065,000 21,990,000 22,930,000 20,575,000
B737-300 CFM 56-3B2 25161 Feb-92 22,674,379 25,511,536 25,010,000 23,784,000
B737-300 CFM 56-3B2 26295 Dec-93 22,596,442 26,024,250 25,560,000 25,546,000
B737-300 CFM 56-3B2 26309 Dec-94 24,232,196 27,700,000 26,050,000 26,602,000
B737-300 CFM 56-3C1 27635 May-95 25,561,933 28,728,600 28,540,000 27,137,000
B737-300F CFM 56-3B1 23811 Sep-87 19,378,488 19,003,082 21,560,000 19,936,000
B737-300QC CFM 56-3C1 23788 May-87 19,405,573 18,099,500 21,780,000 19,782,000
B737-400 CFM 56-3B2 24234 Oct-88 21,619,354 20,194,364 22,780,000 22,435,000
B737-400 CFM 56-3C1 24707 Jun-91 22,800,670 24,963,604 25,310,000 24,644,000
B737-400 CFM 56-3C1 25104 May-93 25,507,457 26,531,550 27,350,000 27,541,000
B737-400 CFM 56-3C1 25105 Jul-93 24,598,379 26,073,250 27,240,000 27,262,000
B737-400 CFM 56-3C1 25371 Jan-92 24,688,071 24,170,810 26,430,000 25,300,000
B737-400 CFM 56-3C1 26279 Feb-92 24,351,332 24,619,226 26,350,000 26,702,000
B737-400 CFM 56-3C1 26291 Aug-93 25,950,885 26,756,516 27,690,000 28,584,000
B737-400 CFM 56-3C1 26308 Oct-94 25,817,981 28,264,060 28,600,000 29,154,000
B737-500 CFM 56-3B1 25165 Apr-93 20,559,624 17,552,500 19,980,000 20,762,000
B737-500 CFM 56-3C1 26304 Sep-94 20,516,576 20,060,150 22,360,000 23,311,000
B747-300B CF6-80C2 24106 Apr-88 46,632,687 59,943,960 48,480,000 51,991,000
B747-400 RB211-252H2/19 24955 Sep-91 82,013,762 106,527,824 105,760,000 104,476,000
B757-200ER RB211-535-E4 23767 Apr-87 28,008,616 29,791,024 32,830,000 31,259,000
B757-200ER RB211-535-E4 24260 Dec-88 30,423,476 33,021,212 35,580,000 35,424,000
B757-200ER RB211-535-E4-37 24367 Feb-89 28,943,600 31,335,359 36,050,000 33,392,000
B757-200ER PW 2040 24965 Mar-92 34,411,426 39,971,145 42,970,000 41,106,000
B757-200ER PW 2037 25044 May-91 33,135,259 39,209,345 40,720,000 39,271,000
B757-200ER RB211-535-E4-37 26266 Jan-93 35,464,262 41,872,550 44,580,000 42,305,000
B757-200ER PW 2037 26272 Mar-94 33,003,740 42,932,416 44,160,000 42,618,000
B757-200ER PW 2037 28160 Jul-96 37,843,699 49,445,918 49,160,000 50,344,000
B767-200ER CF6-80A 23807 Aug-87 28,838,628 31,079,940 35,160,000 28,539,000
B767-300ER CF6-80C2B6F 24798 Oct-90 49,099,299 53,667,285 56,670,000 57,665,000
B767-300ER CF6-80C2B6 24875 Jun-91 54,444,607 55,072,637 60,730,000 59,425,000
B767-300ER CF6-80C2B6F 25132 Feb-92 56,498,903 59,356,214 65,170,000 62,469,000
B767-300ER CF6-80C2B6F 26256 Apr-93 59,887,960 61,960,315 67,990,000 67,204,000
B767-300ER CF6-80C2B4 26260 Sep-94 60,046,996 64,745,045 68,760,000 68,534,000
engine CF6-80C2B6F 704279 Jun-95 5,951,393 6,282,000 5,710,000 4,506,000
F-50 PW100-125B 20232 Oct-91 6,141,563 7,340,076 6,080,000 5,355,000
F-50 PW100-125B 20233 Oct-91 6,141,563 7,304,406 6,010,000 5,366,000
F-70 TAY MK620-15 11564 Dec-95 11,880,010 14,100,000 13,410,000 14,331,000
F-70 TAY MK620-15 11565 Feb-96 11,087,025 15,200,000 14,910,000 14,430,000
F-70 TAY MK620-15 11569 Mar-96 11,359,096 15,200,000 14,910,000 14,478,000
MD-82 JT8D-217C 49825 Mar-89 15,323,107 17,318,790 20,750,000 19,528,000
MD-83 JT8D-219 49657 Apr-88 16,505,672 20,090,575 20,780,000 20,543,000
MD-83 JT8D-219 49822 Dec-88 16,903,329 18,823,975 20,080,000 21,431,000
MD-83 JT8D-219 49824 Mar-89 17,375,556 21,362,625 21,660,000 22,143,000
MD-83 JT8D-219 53050 May-90 17,016,260 21,120,000 21,360,000 21,078,000
<CAPTION>
APPRAISAL OF
--------------
AIRCRAFT VALUE APPRAISED
ANALYSIS VALUE AS OF
AIRCRAFT TYPE COMPANY NOVEMBER 30, 1999
- ------------- -------------- -----------------
<S> <C> <C>
A300-600R 39,050,000 46,301,611
A300-600R 46,850,000 51,059,078
A310-300 15,200,000 22,330,089
A310-300 15,550,000 22,653,220
A310-300 21,800,000 27,627,447
A320-200 29,500,000 29,872,095
A320-200 30,170,000 30,429,727
A320-200 30,075,000 30,819,155
A320-200 30,450,000 30,581,288
A320-200 32,100,000 32,132,595
A320-200 30,225,000 30,500,955
A321-100 40,000,000 38,932,657
A321-100 39,600,000 39,699,000
A330-300 75,750,000 79,974,902
A340-300 84,650,000 91,551,034
B737-300 13,675,000 14,377,542
B737-300 14,200,000 15,286,129
B737-300 20,400,000 19,847,075
B737-300 22,050,000 21,701,667(1)
B737-300 24,900,000 24,564,667
B737-300 25,300,000 25,468,667
B737-300 26,300,000 26,317,333
B737-300 26,200,000 27,292,333
B737-300F 20,100,000 19,804,829
B737-300QC 18,450,000 19,212,524
B737-400 21,600,000 21,884,785
B737-400 24,400,000 24,669,201
B737-400 25,800,000 26,560,517
B737-400 26,400,000 26,571,083
B737-400 25,450,000 25,146,024
B737-400 26,100,000 25,689,742
B737-400 28,500,000 27,648,839
B737-400 26,850,000 27,904,687
B737-500 18,600,000 19,713,208
B737-500 20,600,000 21,158,859
B747-300B 39,870,000 49,034,562
B747-400 79,900,000 97,416,587
B757-200ER 26,800,000 29,686,213
B757-200ER 32,000,000 33,481,737
B757-200ER 30,300,000 31,675,786
B757-200ER 36,300,000 39,125,715
B757-200ER 34,025,000 37,501,782
B757-200ER 39,305,000 41,160,850
B757-200ER 38,750,000 41,433,472
B757-200ER 44,750,000 47,785,306
B767-200ER 25,650,000 29,485,856
B767-300ER 48,700,000 53,145,528(2)
B767-300ER 56,380,000 56,959,212
B767-300ER 58,600,000 60,141,738
B767-300ER 62,300,000 63,621,438
B767-300ER 66,400,000 66,559,682
engine 4,850,000 5,503,798
F-50 6,550,000 6,257,188
F-50 6,330,000 6,160,521
F-70 13,450,000 13,653,333
F-70 13,650,000 14,330,000
F-70 14,650,000 14,679,333
MD-82 16,500,000 17,782,263
MD-83 18,200,000 19,611,192
MD-83 18,400,000 19,101,325
MD-83 18,100,000 20,374,208
MD-83 17,000,000 19,738,087
--------------
Total $2,000,891,389
==============
</TABLE>
E-1-3
<PAGE> 4
- ---------------
(1) Aircraft that has not been delivered.
(2) This aircraft is not currently capable of extended range missions but ILFC
has agreed to pay for the cost of an extended range modification to the
aircraft upon MSAF's request at any time following the termination or
expiration of the lease for the aircraft. The appraisals of the aircraft
assume that the extended range modification has been carried out.
The aggregate values calculated by each of the five appraisers for the
portfolio are as follows:
<TABLE>
<CAPTION>
AGGREGATE
APPRAISED VALUE
APPRAISER AS OF NOVEMBER 30, 1999
--------- -----------------------
($MM)
<S> <C>
Airclaims Limited........................................... 1,833.7
Aircraft Information Services, Inc.......................... 2,107.2
Aircraft Value Analysis Company............................. 1,884.6
BK Associates, Inc.......................................... 2,059.2
Morton Beyer and Agnew...................................... 2,103.1
</TABLE>
The following table sets forth certain selected statistics relating to the
appraisals of the portfolio at June 30, 1999.
<TABLE>
<CAPTION>
STATISTICAL SUMMARY ($MM)
------------------- -------
<S> <C>
Average aggregate of 3 appraisals with highest and lowest
removed................................................... 2,000.9
Average aggregate of all 5 appraisals....................... 1,997.5
Median aggregate of 3 appraisals with highest and lowest
removed................................................... 2,014.7
Median aggregate of all 5 appraisals........................ 2,014.7
Difference between highest and lowest aggregate appraisal... 273.5
Difference between highest and lowest aggregate appraisal as
a percentage of the average aggregate of 3 appraisals with
the highest and lowest removed............................ 14.9%
</TABLE>
PORTFOLIO INFORMATION
All of the jet aircraft hold or are capable of holding a noise certificate
issued under Chapter 3 of Volume 1, Part II of Annex 16 of the Chicago
Convention or have been shown to comply with the Stage 3 noise levels set out in
Section 36.5 of Appendix C of Part 36 of the United States Federal Aviation
Regulations.
E-1-4
<PAGE> 5
The following table sets forth the exposure as of February 1, 2000 of our
portfolio by type of aircraft calculated by reference to the number of aircraft
and their appraised value as of November 30, 1999.
<TABLE>
<CAPTION>
% OF PORTFOLIO
BY APPRAISED
NUMBER OF ENGINE VALUE AS OF
MANUFACTURER TYPE OF AIRCRAFT AIRCRAFT BODY TYPE STAGE NOVEMBER 30, 1999
- ------------ ---------------- ----------- --------- ------ -----------------
<S> <C> <C> <C> <C> <C>
Airbus (30.21%).............. A300-600R 2 Widebody 3 4.86%
A310-300 3 Widebody 3 3.63%
A320-200 6 Narrowbody 3 9.21%
A321-100 2 Narrowbody 3 3.93%
A330-300 1 Widebody 3 4.00%
A340-300 1 Widebody 3 4.58%
Boeing (66.76%).............. B737-300 9 Narrowbody 3 9.69%(1)
B737-300F 1 Freighter 3 0.99%
B737-400 8 Narrowbody 3 10.29%
B737-500 2 Narrowbody 3 2.05%
B747-300B 1 Widebody 3 2.45%
B747-400 1 Widebody 3 4.87%
B757-200ER 8 Narrowbody 3 15.08%
B767-200ER 1 Widebody 3 1.47%
B767-300ER 5 Widebody 3 15.04%
MD-82 1 Narrowbody 3 0.89%
MD-83 4 Narrowbody 3 3.94%
Fokker N.V.(2.75%)........... F50 2 Turboprop 3 0.62%
F70 3 Narrowbody 3 2.13%
General Electric (0.28%)..... Engine engine n/a 3 0.28%
----------- -------
Total...................... 61 + engine 100.00%
=========== =======
</TABLE>
- ---------------
(1) Includes aircraft that has not been delivered.
E-1-5
<PAGE> 6
The following table sets forth the exposure as of February 1, 2000 of our
portfolio to the lessees calculated by reference to the appraised value of the
aircraft as of November 30, 1999.
<TABLE>
<CAPTION>
% OF
PORTFOLIO BY
APPRAISED VALUE
NUMBER OF AS OF NOVEMBER 30,
LESSEE AIRCRAFT 1999
- ------ ----------- ------------------
<S> <C> <C>
Asiana Airlines, Inc........................................ 4 8.44%
Trans World Airlines Inc. (TWA)............................. 4 5.28%
Cathay Pacific Airways Limited.............................. 1 4.87%
China Airlines, Limited..................................... 2 4.86%
Air 2000 Limited............................................ 2 4.67%
Air Mauritius LTD........................................... 1 4.58%
Aer Lingus, PLC............................................. 1 4.00%
Britannia Airways Ltd....................................... 2 3.53%
Air Pacific Limited......................................... 1 3.33%
Translift Airways Ltd. (TRANSAER)........................... 2 3.14%
Flying Colours Airlines Limited............................. 2 3.10%
Aerovias De Mexico, S.A. De C.V. (AEROMEXICO)............... 2 3.06%
New Zealand International Airlines Limited (AIR NEW
ZEALAND).................................................. 1 2.85%
Alaska Airlines Inc......................................... 2 2.66%
Malev Hungarian Airlines, PLC............................... 3 2.13%
Braathens ASA............................................... 2 2.05%
Air Alfa Airlines, S.A...................................... 1 1.98%
Compania Mexicana de Aviacion, S.A. De C.V. (MEXICANA)...... 1 1.96%
Companhia de Transportes Aereos Air Macau, Sarl (AIR
MACAU).................................................... 1 1.95%
Far Eastern Air Transport Corporation (F.E.A.T.)............ 1 1.87%
National Airlines........................................... 1 1.67%
Canada 3000 Airlines........................................ 1 1.54%
Monarch Airlines Limited.................................... 1 1.52%
Canadian Airlines International Ltd......................... 1 1.49%
Southwest Airlines Co....................................... 2 1.48%
B.R.A. Transportes Aereos Ltda. (B.R.A.).................... 1 1.38%
Transavia Airlines.......................................... 1 1.36%
Continental Airlines Inc.................................... 1 1.32%
Pegasus Hava Tasimaciligi, A.S.............................. 1 1.28%
China Hainan Airlines....................................... 1 1.27%
Olympic Airways............................................. 1 1.26%
Air Malta................................................... 1 1.23%
Air Espana S.A. (AIR EUROPA)................................ 1 1.23%
Lithuanian Airlines......................................... 1 1.08%(1)
Viacao Aerea Sao Paulo, S.A. Brazilian Airlines (VASP)...... 1 0.99%
Flugleidir H.F. (ICELANDAIR)................................ 1 0.99%
Societe D'Exploitation Aeropostale S.A. (L'AEROPOSTALE)..... 1 0.96%
Air Liberte, S.A............................................ 1 0.95%
KLM Cityhopper B.V.......................................... 2 0.62%
Koninklyke Luchtvaart Maatschappij N.V. (KLM)............... engine 0.28%
Off-lease................................................... 4 5.79%
----------- -------
Total..................................................... 61 + engine 100.00%
=========== =======
</TABLE>
- ---------------
(1) Aircraft that has not been delivered.
E-1-6
<PAGE> 7
The following table sets forth the exposure as of February 1, 2000 of our
portfolio to countries in which the lessees are based calculated by reference to
the appraised value of the aircraft as of November 30, 1999.
<TABLE>
<CAPTION>
% OF PORTFOLIO BY
APPRAISED VALUE
AS OF
NUMBER OF NOVEMBER 30,
COUNTRY AIRCRAFT 1999
- ------- ----------- -----------------
<S> <C> <C>
United Kingdom.............................................. 7 12.82%
United States of America.................................... 10 12.41%
South Korea................................................. 4 8.44%
Ireland..................................................... 3 7.14%
Taiwan...................................................... 3 6.73%
Mexico...................................................... 3 5.02%
Hong Kong................................................... 1 4.87%
Mauritius................................................... 1 4.58%
Fiji........................................................ 1 3.33%
Turkey...................................................... 2 3.26%
Canada...................................................... 2 3.03%
New Zealand................................................. 1 2.85%
Brazil...................................................... 2 2.37%
The Netherlands............................................. 3 + engine 2.26%
Hungary..................................................... 3 2.13%
Norway...................................................... 2 2.05%
Macau....................................................... 1 1.95%
France...................................................... 2 1.91%
China....................................................... 1 1.27%
Greece...................................................... 1 1.26%
Malta....................................................... 1 1.23%
Spain....................................................... 1 1.23%
Lithuania................................................... 1 1.08%(1)
Iceland..................................................... 1 0.99%
Off-lease................................................... 4 5.79%
----------- -------
Total..................................................... 61 + engine 100.00%
=========== =======
</TABLE>
- ---------------
(1) Aircraft that has not been delivered.
The following table sets forth the exposure as of February 1, 2000 of our
portfolio by regions in which the lessees are domiciled calculated by reference
to number of aircraft and their appraised value as of November 30, 1999.
<TABLE>
<CAPTION>
% OF PORTFOLIO BY
APPRAISED VALUE
AS OF
NUMBER OF NOVEMBER 30,
REGION(1) AIRCRAFT 1999
- --------- ----------- -----------------
<S> <C> <C>
Developed
Europe.................................................... 18 + engine 27.41%
North America............................................. 12 15.44%
Pacific................................................... 2 7.72%
Emerging
Asia...................................................... 8 16.44%
Latin America............................................. 5 7.39%
Europe and Middle East.................................... 6 6.65%
Other
Other..................................................... 6 13.16%(2)
Off-lease................................................. 4 5.79%
----------- -------
Total.................................................. 61 +
engine..... 100.00%
=========== =======
</TABLE>
- ---------------
(1) Regions are defined according to designations published by Morgan Stanley
Capital International.
(2) Includes aircraft that has not been delivered.
E-1-7
<PAGE> 8
The following table sets forth the exposure as of February 1, 2000 of our
portfolio by year of aircraft manufacture calculated by reference to the
appraised value of the aircraft as of November 30, 1999. The weighted average
age of the fleet as of February 1, 2000 was approximately 8.1 years.
<TABLE>
<CAPTION>
% OF PORTFOLIO BY
NUMBER OF APPRAISED VALUE AS
YEAR OF MANUFACTURE AIRCRAFT OF NOVEMBER 30, 1999
- ------------------- ----------- --------------------
<S> <C> <C>
1985...................................................... 4 3.73%
1986...................................................... 1 1.38%
1987...................................................... 4 4.90%
1988...................................................... 6 8.13%
1989...................................................... 3 3.49%
1990...................................................... 4 7.04%(1)
1991...................................................... 6 11.44%
1992...................................................... 7 12.78%
1993...................................................... 11 17.66%
1994...................................................... 7 14.78%
1995...................................................... 4 + engine 8.85%
1996...................................................... 4 5.82%
----------- -------
Total................................................... 61 + engine 100.00%
=========== =======
</TABLE>
- ---------------
(1) Includes aircraft that has not been delivered.
The following table sets forth the exposure as of February 1, 2000 of our
portfolio by seat category calculated by reference to the appraised value of our
aircraft as of November 30, 1999.
<TABLE>
<CAPTION>
% OF PORTFOLIO BY
NUMBER OF APPRAISED VALUE AS
SEAT CATEGORY AIRCRAFT OF NOVEMBER 30, 1999
------------- ----------- --------------------
<S> <C> <C> <C>
<50................ F50........................................ 2 0.62%
51-120............. B737-500, F70.............................. 5 4.18%
121-170............ A320-200, B737-300, B737-400, MD-82,
MD-83...................................... 28 34.02%(1)
171-240............ A321-100, B757-200ER....................... 10 19.01%
241-350............ A310-300, A330-300, B767-200ER,
B767-300ER................................. 10 24.14%
351+............... A300-600R, A340-300, B747-300B, B747-400... 5 16.76%
Other.............. B737-300F (freighter), Engine.............. 1 + engine 1.27%
----------- -------
Total......................................................... 61 + engine 100.00%
=========== =======
</TABLE>
- ---------------
(1) Includes aircraft that has not been delivered.
E-1-8
<PAGE> 9
MSAF GROUP PORTFOLIO ANALYSIS
The following table sets forth additional information on our portfolio as
of February 1, 2000 (except for appraised values, which are as of November 30,
1999).
<TABLE>
<CAPTION>
ENGINE SERIAL DATE OF
REGION(1) COUNTRY OF LESSEE LESSEE TYPE CONFIGURATION NUMBER MANUFACTURE
- --------- ----------------- ------ ---- ------------- ------ -----------
<S> <C> <C> <C> <C> <C> <C>
Europe............... France Air Liberte MD-83 JT8D-219 49822 Dec-88
(Developed) France L'Aeropostale B737-300 CFM 56-3C1 23788 May-87
Ireland Aer Lingus A330-300 CF6-80E1 54 Apr-94
Ireland TransAer A320-200 V2500-A1 414 May-93
Ireland TransAer A320-200 V2500-A1 428 May-94
The Netherlands KLM Engine CF6-80C2B6F 704279 Jun-95
The Netherlands KLM Cityhopper F50 PW100-125B 20232 Oct-91
The Netherlands KLM Cityhopper F50 PW100-125B 20233 Oct-91
The Netherlands Transavia B737-300 CFM 56-3C1 27635 May-95
Norway Braathens B737-500 CFM 56-3B1 25165 Apr-93
Norway Braathens B737-500 CFM 56-3C1 26304 Sep-94
Spain Air Europa B737-400 CFM 56-3C1 24707 Jun-91
United Kingdom Air 2000 B757-200ER RB211-535-E4 23767 Apr-87
United Kingdom Air 2000 B767-300ER CF6-80C2B6F 26256 Apr-93
United Kingdom Britannia B767-200ER CF6-80A 23807 Aug-87
United Kingdom Britannia B757-200ER RB211-535-E4-37 26266 Jan-93
United Kingdom Flying Colours A320-200 V2500-A1 393 Feb-93
United Kingdom Flying Colours B757-200ER RB211-535-E4-37 24367 Feb-89
United Kingdom Monarch A320-200 CFM 56-5A3 446 Feb-92
North
America............. Canada Canada 3000 A320-200 CFM 56-5A3 397 Mar-93
(Developed) Canada Canadian A320-200 CFM 56-5A3 279 Feb-92
United States of America Alaska Airlines B737-400 CFM 56-3C1 25104 May-93
United States of America Alaska Airlines B737-400 CFM 56-3C1 25105 Jul-93
United States of America Continental B737-300 CFM 56-3B1 26309 Dec-94
United States of America National B757-200ER RB211-535-E4 24260 Dec-88
Airlines
United States of America Southwest B737-300 CFM 56-3B1 23255 Jun-85
United States of America Southwest B737-300 CFM 56-3B1 23256 Jul-85
United States of America TWA B757-200ER PW 2037 28160 Jul-96
United States of America TWA MD-83 JT8D-219 49824 Mar-89
United States of America TWA MD-82 JT8D-217C 49825 Mar-89
United States of America TWA MD-83 JT8D-219 49657 Apr-88
Pacific.............. Hong Kong Cathay Pacific B747-400 RB211-252H2/19 24955 Sep-91
(Developed) New Zealand Air New Zealand B767-300ER CF6-80C2B6 24875 Jun-91
Europe and Greece Olympic B737-400 CFM 56-3C1 25371 Jan-92
Middle East.......... Hungary Malev F70 TAY MK620-15 11564 Dec-95
(Emerging) Hungary Malev F70 TAY MK620-15 11565 Feb-96
Hungary Malev F70 TAY MK620-15 11569 Mar-96
Turkey Air Alfa A321-100 V2530-A5 597 May-96
Turkey Pegasus B737-400 CFM 56-3C1 26279 Feb-92
Asia................. China China Hainan B737-300 CFM 56-3C1 26295 Dec-93
(Emerging) South Korea Asiana B767-300ER CF6-80C2B6F 24798 Oct-90
South Korea Asiana B767-300ER CF6-80C2B6F 25132 Feb-92
South Korea Asiana B737-400 CFM 56-3C1 26291 Aug-93
South Korea Asiana B737-400 CFM 56-3C1 26308 Oct-94
Taiwan China Airlines A300-600R PW 4158 555 Mar-90
Taiwan China Airlines A300-600R PW 4158 625 Mar-92
Taiwan F.E.A.T. B757-200ER PW 2037 25044 May-91
Latin America........ Brazil B.R.A. A310-300 JT9D-7R4E1 437 Nov-86
(Emerging) Brazil VASP B737-300 CFM 56-3B2 24299 Nov-88
Mexico Aeromexico B757-200ER PW 2037 26272 Mar-94
Mexico Aeromexico MD-83 JT8D-219 53050 May-90
Mexico Mexicana B757-200ER PW 2040 24965 Mar-92
Other................ Fiji Air Pacific B767-300ER CF6-80C2B4 26260 Sep-94
Iceland Icelandair B737-300 CFM 56-3B2 23811 Sep-87
Lithuania Lithuanian B737-300 CFM 56-3B2 24449 Apr-90
Macau Air Macau A321-100 V2530-A5 557 Dec-95
Malta Air Malta B737-300 CFM 56-3B2 25161 Feb-92
Mauritius Air Mauritius A340-300 CFM 56-5C3G 94 Mar-95
Off-lease............ -- -- A310-300 JT9D-7R4E1 409 Nov-85
-- -- A310-300 JT9D-7R4E1 410 Nov-85
-- -- B737-400 CFM 56-3B2 24234 Oct-88
-- -- B747-300 CF6-80C2 24106 Apr-88
Total
<CAPTION>
% OF
PORTFOLIO BY
APPRAISED APPRAISED
VALUE AS OF VALUE AS OF
NOVEMBER 30, NOVEMBER 30,
REGION(1) 1999 1999
- --------- ------------ ------------
($ MM)
<S> <C> <C>
Europe............... 19.1 0.95%
(Developed) 19.2 0.96%
80.0 4.00%
30.6 1.53%
32.1 1.61%
5.5 0.28%
6.3 0.31%
6.2 0.31%
27.3 1.36%
19.7 0.99%
21.2 1.06%
24.7 1.23%
29.7 1.48%
63.8 3.19%
29.5 1.47%
41.2 2.06%
30.4 1.52%
31.7 1.58%
30.5 1.52%
North
America............. 30.8 1.54%
(Developed) 29.9 1.49%
26.6 1.33%
26.6 1.33%
26.3 1.32%
33.5 1.67%
14.4 0.72%
15.3 0.76%
47.8 2.39%
20.4 1.02%
17.8 0.89%
19.6 0.98%
Pacific.............. 97.4 4.87%
(Developed) 57.0 2.85%
Europe and 25.1 1.26%
Middle East.......... 13.7 0.68%
(Emerging) 14.3 0.72%
14.7 0.73%
39.7 1.98%
25.7 1.28%
Asia................. 25.5 1.27%
(Emerging) 53.1 2.66%
60.1 3.01%
27.6 1.38%
27.9 1.39%
46.3 2.31%
51.1 2.55%
37.5 1.87%
Latin America........ 27.6 1.38%
(Emerging) 19.8 0.99%
41.4 2.07%
19.7 0.99%
39.1 1.96%
Other................ 66.6 3.33%
19.8 0.99%
21.7 1.08%(2)
38.9 1.95%
24.8 1.23%
91.6 4.58%
Off-lease............ 22.3 1.12%
22.7 1.13%
21.9 1.08%
49.0 2.45%
--------
2,000.9
========
</TABLE>
- ---------------
(1) Regions are defined according to designations published by Morgan Stanley
Capital International.
(2) Aircraft that has not been delivered.
E-1-9
<PAGE> 10
DESCRIPTION OF THE AIRCRAFT
The table below sets forth certain available information with respect to
the body type, number of seats, configuration, engine manufacturer, production
years, number of aircraft delivered, current fleet, number of aircraft on order
and number of operators of each aircraft type in our portfolio as of February 1,
2000.
<TABLE>
<CAPTION>
ENGINE CURRENT
TYPE & VARIANT BODY SEATS CONFIGURATION MANUFACTURER(1) PRODUCTION YEARS NUMBER DELIVERED FLEET
- -------------- --------- ----- ------------- --------------- ------------------ ------------------ -------
<S> <C> <C> <C> <C> <C> <C> <C>
Airbus A300-600R......... Wide 220 (3 class) 2 X GE 1987- 77 77
2 X PW 1988- 88 85
Airbus A310-300.......... Wide 180 (3 class) 2 X GE 1985- 100 82
2 X PW 1985- 67 66
Airbus A320-200.......... Narrow 150 (2 class) 2 X CFM 1988- 472 70
2 X IAE 1988- 303 306
2 X TBA
Airbus A321-100.......... Narrow 185 (2 class) 2 X CFM 1993- 42 42
2 X IAE 1993- 41 41
2 X TBA
Airbus A330-300.......... Wide 295 (3 class) 2 X GE 1993- 16 16
2 X PW 1994- 37 39
2 X RR 1992- 27 27
2 X TBA
Airbus A340-300.......... Wide 295 (3 class) 4 X CFM 1992- 143 144
Boeing 737-300........... Narrow 130 (2 class) 2 X CFM 1984- 1108 1067
Boeing 737-300F.......... Freight 0 (freight) 2 X CFM (all conversions) (all conversions) 3
Boeing 737-300QC......... Narrow 130 2 X CFM (all conversions) (all conversions) 29
Boeing 737-400........... Narrow 150 (2 class) 2 X CFM 1988- 483 477
Boeing 737-500........... Narrow 110 (2 class) 2 X CFM 1989- 387 384
Boeing 747-300........... Wide 400 (3 class) 4 X GE 1982-1990 17 16
4 X PW 1982-1988 41 40
4 X RR 1984-1988 22 22
Boeing 747-400........... Wide 412 (3 class) 4 X GE 1988- 212 212
4 X PW 1988- 185 183
4 X RR 1988- 112 113
TBA
Boeing 757-200........... Narrow 200 (2 class) 2 X PW 1984- 381 380
2 X RR 1982- 510 501
2 X TBA
Boeing 767-200ER......... Wide 180 (3 class) 2 X GE 1985- 52 58
2 X PW 1984- 42 49
Boeing 767-300ER......... Wide 220 (3 class) 2 X GE 1986- 227 227
2 X PW 1987- 153 152
2 X RR 1989- 31 31
2 X TBA
Fokker 50................ Turboprop 50 (1 class) 2 X PW 1987- 189 188
Fokker 70................ Narrow 70 (2 class) 2 X RR 1994- 43 43
MDC MD-82................ Narrow 140 (2 class) 2 X PW 1981-1997 576 584
MDC MD-83................ Narrow 140 (2 class) 2 X PW 1984-1999 257 278
<CAPTION>
ON NUMBER OF
TYPE & VARIANT ORDER OPERATORS(2)
- -------------- ----- ------------
<S> <C> <C>
Airbus A300-600R......... 13
1 9
Airbus A310-300.......... 21
5 21
Airbus A320-200.......... 209 48
176 50
100
Airbus A321-100.......... 5 4
12 9
10
Airbus A330-300.......... 34 4
14 9
25 6
4 1
Airbus A340-300.......... 53 25
Boeing 737-300........... 96
Boeing 737-300F.......... 3
Boeing 737-300QC......... 6
Boeing 737-400........... 1 70
Boeing 737-500........... 39
Boeing 747-300........... 6
12
4
Boeing 747-400........... 48 26
21 12
4 6
1
Boeing 757-200........... 41 17
11 42
16
Boeing 767-200ER......... 10 13
12
Boeing 767-300ER......... 39 42
12 23
2
9
Fokker 50................ 30
Fokker 70................ 9
MDC MD-82................ 28
MDC MD-83................ 12 27
</TABLE>
- ---------------
Source: Airclaims Limited.
(1) The above table identifies engine manufacturers by the following
abbreviations:
GE = General Electric
PW = Pratt & Whitney
CFM = CFM International
IAE = International Aero Engines
RR = Rolls Royce
TBA = To be announced
(2) The number of operators does not include lessors.
E-1-10
<PAGE> 11
DESCRIPTION OF THE LESSEES
The table below sets forth certain available information with respect to
the country of domicile, first year of operation, service type, nature of
ownership and fleet size and composition of each lessee as of February 1, 2000.
<TABLE>
<CAPTION>
BEGAN SERVICE OPERATING
LESSEE DOMICILE OPERATION TYPE OWNERSHIP FLEET(1)
- ------ -------- --------- ------- --------- ---------
<S> <C> <C> <C> <C> <C>
Aer Lingus Ireland 1936 Scheduled, Irish Government (95%) 6 A321-210
Chartered and Employees (5%) 1 A330-200
Freight 5 A330-300
4 B737-400
7 B737-500
3 BAe 146-200
6 BAe 146-300
4 F-50
1 MD-11
Aeromexico Mexico 1934 Scheduled Cintra (90%) 8 B757-200
Employees (10%) 3 B767-200ER
2 B767-300ER
2 DC-9-31
15 DC-9-32
13 MD-82
10 MD-83
4 MD-87
10 MD-88
Air 2000 United Kingdom 1986 Scheduled and First Choice Holidays (100%) 4 A320-230
Chartered 5 A321-210
13 B757-200
3 B767-300ER
Air Alfa Turkey 1992 Chartered Kombassan Holdings (100%) 2 A300-B4-100
3 A321-100
Air Europa Spain 1986 Scheduled and Juan Jose Hidalgo 11 B737-300
Chartered Acera (79%) 4 B737-400
A Guiterrex Saiz (7.2%) 6 B737-800
Herpil (5%) 1 B767-200EM
Viajes Sidetours (5%) 1 B767-200ER
Other (3.8%) 16 BAe ATP
Air Liberte France 1987 Scheduled and British Airways (70%) 2 ATR 42
Chartered Groupe Bullore (30%) 2 DC-10-30
1 DC-10-30ER
11 F-100
4 F-28
10 MD-83
Air Macau Macau 1994 Scheduled Macau Aviation Services 1 A320-200
Company (46%) 4 A321-100
TAP Air Portugal (25%) 1 A321-200
Evergreen Airway
Services (5%)
Other (24%)
Air Malta Malta 1973 Scheduled and Maltese Government (96.4%) 2 A320-210
Chartered Middle Sea Insurance (3.3%) 2 B737-200A
Cassar and Cooper (Holidays) 6 B737-300
Ltd (0.3%) 1 B737-400
</TABLE>
E-1-11
<PAGE> 12
<TABLE>
<CAPTION>
BEGAN SERVICE OPERATING
LESSEE DOMICILE OPERATION TYPE OWNERSHIP FLEET(1)
- ------ -------- --------- ------- --------- ---------
<S> <C> <C> <C> <C> <C>
Air Mauritius Mauritius 1967 Scheduled and Air Mauritius Holdings (51%) 5 A340-310
Chartered Public (16.74%) 3 ATR 42
Government of Mauritius 1 ATR 42-300
(10.86%) 1 ATR 42-500
Rogers & Company (4.49%) 2 B767-200ER
State Investment Corp
(4.47%)
British Airways Associated
Companies (3.84%)
Employees (3.26%)
Air France (2.78%)
Air India (2.56%)
Air New Zealand New Zealand 1941 Scheduled Brierley Investment (42.4%) 8 B737-200
Franklin Resources (10.6%) 1 B737-200QC
Other (47%) 9 B737-300
8 B747-400
4 B767-200ER
10 B767-300ER
Air Pacific Fiji 1951 Scheduled Government of Fiji (51%) 1 B737-700
Qantas (46%) 2 B737-800
Air New Zealand (1.27%) 2 B747-200B
Other (1.46%) 1 B767-300ER
Pacific Islands 1 EMB-120
Governments (0.27%)
Alaska Airlines United States of 1932 Scheduled Public (100%) 4 B737-200C
America and Freight 4 B737-200QC
40 B737-400
6 B737-700
5 MD-82
29 MD-83
Asiana South Korea 1988 Scheduled and Kumho Group (54.2%) 3 A321-200
Chartered Pacific Investment Capital, 18 B737-400
UBS S.A., 3 B737-500
Korean Development Bank, 8 B747-400
Korea Long Term Credit Bank 4 B747-400F
(45.8%) 9 B767-300
1 B767-300ER
1 B767-300ERF
B.R.A Brazil 1995 Chartered Private (100%) 1 A310-320
3 EMB-120
Braathens Norway 1946 Scheduled and Braganza (33.4%) 5 B737-400
Chartered Other (31.2%) 21 B737-500
KLM (30%) 1 B737-300
Bramora (5.4%) 7 B737-700
10 BAe-146-200
4 F-100
Britannia United Kingdom 1961 Chartered Thomson Travel Holdings 18 B757-200
(100%) 4 B767-200EM
2 B767-200ER
5 B767-300ER
Canada 3000 Canada 1988 Chartered Canadian Investors (55%) 5 A320-210
Deluce Investments Inc (25%) 3 A330-200
Employees (20%) 6 B757-200
</TABLE>
E-1-12
<PAGE> 13
<TABLE>
<CAPTION>
BEGAN SERVICE OPERATING
LESSEE DOMICILE OPERATION TYPE OWNERSHIP FLEET(1)
- ------ -------- --------- ------- --------- ---------
<S> <C> <C> <C> <C> <C>
Canadian Canada 1986 Scheduled Canadian Airlines Corp (75%) 13 A320-200
and Freight Aurora Airline Investment 38 B737-200A
Inc (AMR Corp) (25%) 6 B737-200C
4 B747-400
14 B767-300ER
4 DC 10-30
3 DC 10-30ER
33 F-28
10 Dash 8-100
14 Dash 8-300
Cathay Pacific Hong Kong 1946 Scheduled Swire Pacific (43.9%) 12 A330-340
and Freight China International Trust 14 A340-310
and Investment Corp (25%) 3 B747-200F
Other (31.1%) 1 B747-200SF
1 B747-300
19 B747-400
2 B747-400F
4 B777-200
7 B777-300
China Airlines Taiwan 1959 Scheduled, China Civil Aviation 12 A300-600R
Chartered Development Foundation 10 B737-800
and Freight (71.1%) 2 B747-200F
Other (28.9%) 8 B747-200SF
12 B747-400
2 B747-400F
2 Beechjet 400
2 MD-11
China Hainan China 1991 Scheduled and American Aviation 5 B737-300
Executive Investment (25%) 7 B737-400
Charters Other (69.7%) 5 B737-800
Hainan Provincial Government 1 Beachjet 400
(5.3%) 2 Dornier 328
1 Hawker 800
1 Hawker 125
1 Learjet-60
9 Metro 23
Continental United States of 1934 Scheduled Other (71%) 13 B727-200A
America Northwest Airlines (15%) 65 B737-300
Air Partners LP (14%) 66 B737-500
36 B737-700
42 B737-800
38 B757-200
14 B777-200ER
27 DC 10-30
3 DC10-30ER
23 EMB-120
6 ERJ-135
56 ERJ-145
5 MD-81
56 MD-82
8 MD-83
25 Raytheon 1900
F.E.A.T Taiwan 1957 Scheduled Other (67.05%) 7 B757-200
China Development Corp. 3 MD-82
(14%) 5 MD-83
China Airlines (10%)
Taiwan Aerospace Corporation
(4.95%)
Fubon Insurance (4%)
</TABLE>
E-1-13
<PAGE> 14
<TABLE>
<CAPTION>
BEGAN SERVICE OPERATING
LESSEE DOMICILE OPERATION TYPE OWNERSHIP FLEET(1)
- ------ -------- --------- ------- --------- ---------
<S> <C> <C> <C> <C> <C>
Flying Colours United Kingdom 1995 Chartered Thomas Cook 11 B757-200
Travel Group Ltd. (100%)
Icelandair Iceland 1937 Scheduled Public (100%) 1 B737-300F
and Freight 3 B737-400
6 B757-200
1 B757-200 PF
KLM The Netherlands 1919 Scheduled Other (75%) 2 ATR 72-200
and Freight Government of The 2 BAe 146-300
Netherlands (25%) 19 B737-300
19 B737-400
4 B737-800
7 B747-200B
2 B747-200SF
3 B747-300
20 B747-400
11 B767-300ER
17 F-100
9 F-50
10 MD-11
KLM CityHopper The Netherlands 1966 Scheduled KLM (100%) 13 F-50
12 F-70
L'Aeropostale France 1986 Chartered and Groupe Air France (50%) 1 A300 B4-100F
Postal Groupe La Poste (50%) 3 B737-200A
1 B737-200QC
15 B737-300QC
Lithuanian Lithuania 1991 Scheduled and Government of Lithuania 1 AN-24
Chartered (100%) 2 B737-200A
1 B737-300
1 B737-500
2 Saab 340
2 Saab 2000
2 Yak-42
Malev Hungary 1946 Scheduled and Government of Hungary 3 B737-200A
Chartered (96.8%) 4 B737-300
Municipalities (2.7%) 2 B737-400
Other (0.5%) 2 B737-500
2 B767-200ER
6 F-70
5 TU-154
Mexicana Mexico 1921 Scheduled Cintra (88.7%) 16 A320-230
Other (11.3%) 22 B727-200A
6 B757-200
12 F-100
Monarch United Kingdom 1967 Chartered and Cosmos Guide Holding 4 A300-600R
Scheduled International N.V. (100%) 4 A320-210
3 A321-230
2 A330-240
5 B757-200
1 DC10-30
1 L10-11 Tristar
National Airlines United States of 1998 Scheduled Rio Hotel, Harrah 11 B757-200
America Entertainments
and Wexford Management
(100%)
</TABLE>
E-1-14
<PAGE> 15
<TABLE>
<CAPTION>
BEGAN SERVICE OPERATING
LESSEE DOMICILE OPERATION TYPE OWNERSHIP FLEET(1)
- ------ -------- --------- ------- --------- ---------
<S> <C> <C> <C> <C> <C>
Olympic Greece 1957 Scheduled Government of Greece (100%) 1 A300-B4-100
1 A300-B4-200
2 A300-600R
4 A340-310
4 ATR 42-300
6 ATR 72-200
2 B717-200
11 B737-200A
1 B737-300
12 B737-400
2 B747-200B
6 Fairchild 228
Pegasus Turkey 1990 Chartered Yapi Kredit Bank (49%) 4 B737-400
Silkar and Net Holdings 1 B737-800
(30%)
Alper Elichin (21%)
Southwest United States of 1981 Scheduled Public (90%) 35 B737-200A
America Employees (10%) 195 B737-300
25 B737-500
57 B737-700
TransAer Ireland 1991 Chartered Translift Holding (100%) 4 A300-B4-200
1 A320-230
Transavia The Netherlands 1965 Scheduled and KLM (80%) 6 B737-300
Chartered Nationale Investeringsbank 4 B737-800
(20%) 4 B757-200
TWA United States of 1930 Scheduled Public (65%) 9 B727-200A
America Employees (30%) 26 B757-200
Prince Al-Waleed bin Talal 10 B767-200EM
(5%) 6 B767-300ER
17 DC-9-31
12 DC-9-32
1 DC-9-33CF
1 DC-9-34
3 DC-9-41
1 DC-9-51
40 MD-82
64 MD-83
VASP Brazil 1933 Scheduled Employees and Canhedo 3 A300-B2-200FF
Group (60%) 5 B727-200F
Sao Paolo State 6 B737-200
Government (40%) 13 B737-200A
1 B737-200C
1 B737-200CA
1 B737-200F
7 B737-300
7 MD-11
</TABLE>
- ---------------
(1) Includes the operating fleet of the lessee's wholly owned subsidiaries.
Source: Airclaims Limited.
E-1-15
<PAGE> 16
THE LEASES
As of February 1, 2000, we had 58 leases in effect, covering our whole
portfolio except three aircraft which were off-lease and one aircraft which was
subject to a lease contract scheduled to start on February 22, 2000. Although
the lease documentation is fairly standardized in many respects, significant
variations do exist as a result of negotiation with each lessee. The following
is a summary of the principal characteristics of the leases as of February 1,
2000 (with appraised values as of November 30, 1999).
PRESENT VALUE OF ALL
CONTRACTED LEASE RENTAL
PAYMENTS................. Approximately $714.7 million (discounted to the
closing date of this offering at a rate of 6.75%).
CONTRACTED LEASE
EXPIRIES................... The weighted average remaining contracted lease
term of the portfolio (weighted by appraised values
as of November 30, 1999 and without giving effect
to purchase options, early terminations or
extensions) was 41 months. We will be required to
re-lease 48 of the aircraft, representing 75.14% of
the portfolio by appraised value, before December
31, 2004. The longest lease is scheduled to expire
in September 2007.
EXTENSION OPTIONS.......... Twenty-six of the leases include outstanding
options for the lessee to extend the term of the
lease. Assuming that all these options were
exercised to extend the leases to the latest
possible dates, the weighted average remaining
lease term of the portfolio would be 53 months and
the weighted average extended rent payable over the
extended period would be 103.80% of the current
contracted rental payments.
EARLY TERMINATION
OPTIONS.................... Four of the leases allow the lessee to terminate
its lease before the scheduled expiration date,
provided certain conditions are met. Assuming that
all these options were exercised for the earliest
possible termination, the weighted average
remaining lease term of the portfolio would be 40
months.
PURCHASE OPTIONS........... Ten lessees have outstanding options to purchase a
total of 12 aircraft, representing 28.36% of the
portfolio by appraised value. The latest date on
which a purchase option may be exercised is June 8,
2008, for a purchase on March 8, 2009. If these
options were exercised on their earliest exercise
date, in only one case would the purchase option
strike price be below the note target price for the
applicable aircraft. This difference would not be
significant.
CONDITIONAL SALE
AGREEMENT.................. One A310-300 aircraft is subject to a conditional
sale agreement under which, if all payments are
made, we must transfer title to the aircraft on
July 15, 2007. The present value of all amounts
payable (discounted to the closing date of this
offering at a rate of 7.5%) is approximately $5.8
million less than the note target price of the
aircraft on the closing date of this offering.
SECURITY DEPOSITS.......... Under 55 of the leases, the lessee has provided
security for its obligations. Our total security
deposits are $38.6 million in cash and $1.8 million
in letters of credit. Together these security
deposits are equivalent to 2 months of contracted
lease rental payments.
GUARANTEES................. In various of the leases, where appropriate, we
have received guarantees or comfort letters from a
lessee's parent company or shareholders relating to
the lessee's payment and performance obligations
under the lease. In the case of one lessee we have
received a bank guarantee of its lease obligations
in the amount of $38 million.
E-1-16
<PAGE> 17
THIRD PARTY LIABILITY
INSURANCE.................. The minimum third party liability limits under the
leases range from $250 million to $900 million. We
also have in place our own contingent liability
coverage to cover any liability in excess of the
lessee's coverage or where a lessee's coverage
lapses for any reason.
AIRCRAFT PROPERTY
INSURANCE.................. The total insured value for all risks aircraft hull
and hull war risks insurance for the portfolio is
$2,566.8 million. In all cases, the sum of the
stipulated lease value and our own additional
coverage in place is at least equal to the
appraised value of the aircraft and on average is
approximately 128% of the appraised value of the
aircraft. Permitted deductibles, which generally
apply only in the case of a partial loss, range
from $100,000 to $1,000,000.
SUBLEASES AND WET LEASES... Under certain of the leases, the lessee may
sublease the aircraft without our consent, provided
certain conditions are met. Under most of our
leases, the lessee may wet lease the aircraft
without our consent, provided that the lessee does
not part with operational control of the aircraft.
Where there is a sublease or a wet lease, the
lessee remains fully liable to us for all its
payment and performance obligations under the lease
and we have no contractual relationship with the
sublessee or the wet lessee. The following lessees
sublease their aircraft: Britannia (to Ansett
Australia Limited) and Icelandair (to Falcon Air
AB). To our knowledge, only one lessee wet leases
its aircraft: Transaer (to Libyan Airlines). Our
consent was not required for this wet lease.
E-1-17
<PAGE> 1
EXHIBIT 2
MSAF'S PERFORMANCE ASSUMPTIONS
INTRODUCTION
As an illustration of certain payment characteristics of the 1998 Notes, we
describe below our assumptions about MSAF's performance in future years. We
refer to the scenario in which all of these assumptions prove to be correct as
our "BASE CASE". The assumptions that relate specifically to line items that
will be contained in future monthly cash reports to noteholders are separately
identified and numbered for your ease of reference. In the tables that follow we
set out possible future revenue scenarios that we have developed by fixing
certain of the assumptions and varying other assumptions and certain other
factors that affect our revenues, costs and expenses.
You should note that the assumptions are not projections, estimates,
forecasts or forward-looking statements. The assumptions do not represent a
complete list of factors which may affect our revenues, costs and expenses but
rather indicate those factors which are likely to significantly affect our
performance in future years. You should also note that the different possible
future revenue scenarios contained in the tables only illustrate some of the
payment sensitivities of the 1998 Notes to market and economic stresses. More
severe stresses may lead to payments of principal on the 1998 Notes being
delayed or decreased, or in certain cases, an event of default. It is highly
likely that actual experience will vary from the Base Case and the possible
future revenue scenarios that we have illustrated.
We do not expect to update or revise the assumptions or tables to reflect
changes occurring after February 1, 2000. As of February 15, 2000, we are not
aware of events or circumstances since that date that would cause the
assumptions to be unreliable.
SUMMARY OF THE BASE CASE
The table below shows our Base Case by reference to the line items to be
contained in the "Summary Performance to Date" section of our future monthly
cash reports to noteholders. In this table Base Case items are shown as a
percentage of lease rentals on the basis of the whole portfolio.
<TABLE>
<CAPTION>
BASE CASE RELATED ASSUMPTION
--------- ------------------
(SEE BELOW)
<S> <C> <C>
Lease rentals............................................... 100.0 (1)
Net stress-related costs.................................... (4.5) (2)
-----
Net lease rentals........................................... 95.5
Interest earned............................................. 1.0 (3)
Net maintenance............................................. 0.0 (4)
-----
Total cash collections...................................... 96.5
Aircraft operating expenses................................. (0.8) (5)
SG&A........................................................ (4.2) (6)
-----
Total cash expenses......................................... (5.0)
-----
Net cash collections........................................ 91.5
=====
</TABLE>
Net cash collections represent the amount available to pay principal and
interest on the 1998 Notes. Under the Base Case, we have assumed that interest
payments (net of swap payments) will be 55.8% of lease rentals, leaving 35.7% of
lease rentals available to repay principal in the first year, assuming
consummation of the securitization and refinancing.
E-2-1
<PAGE> 2
You should refer to Exhibit 4 to this report for the month-by-month
roll-out of our assumed lease rentals, from the expected closing date of the
securitization through the final maturity date of the New Notes, under the Base
Case.
PRIMARY REVENUE ASSUMPTIONS
We make the following assumptions about each of our main revenue line
items.
LEASE RENTALS
"LEASE RENTALS" represents all rental payments received under the leases
and the net proceeds of any aircraft sales.
We assume that: (1)
- we re-lease aircraft coming off lease at a monthly rental rate that is a
function of the age of the aircraft and the contracted monthly rental
rate as of February 1, 2000, with lease rates being assumed to decline
by 2% per annum in years 1-5 of an aircraft's expected useful life, 1%
per annum in years 6-15, 3% per annum in years 16-20 and 5% in years
21-25; and
- we sell each aircraft only at the end of its expected useful life for a
scrap value price that is equal to 12% of its assumed value when new.
NET STRESS-RELATED COSTS
"NET STRESS-RELATED COSTS" represents the net total of lost revenue due to
the combination of the following five inter-related items:
-- lost rental revenue due to aircraft downtime following the termination
or expiration of a lease; and
-- bad debts realized and/or provided for; and
-- aircraft repossession costs
offset by
-- security deposits drawn after an event of default; and
-- other leasing income, which includes lease termination payments and
default interest.
- We assume that net stress-related costs are 4.5% per annum of lease
rentals. (2)
INTEREST EARNED
"INTEREST EARNED" represents interest earned by funds on deposit in the
collection account and any other cash balances, including the liquidity reserve
amount, including rental payments received, security deposits and accrued
maintenance expenses.
- We assume that the interest rate at which the cash balances described
above earn interest is one month LIBOR minus 20 basis points. (3)
E-2-2
<PAGE> 3
NET MAINTENANCE
"NET MAINTENANCE" represents maintenance payments received from lessees
under the terms of the applicable leases, less maintenance costs that we make or
expect to make under the leases and any modification payments that we make.
- We assume that net maintenance is zero. (4)
OTHER REVENUE-RELATED ASSUMPTIONS
In addition to the revenue assumptions above, we make the following
revenue-related assumptions.
- We assume that future lease terms are five years.
- We assume that we grant no purchase options to lessees and that no
existing purchase options are exercised.
- We assume that we grant no new lease termination or extension options to
lessees and that existing termination or extension options are exercised
only when to do so would result in a rental rate at the time that is
lower than the rental rate that we would otherwise assume under
assumption(1).
- We assume that the remaining aircraft is delivered to us.
- We assume that each aircraft has an expected useful life of 25 years.
- We assume that aircraft values decline over time in accordance with the
depreciation curve described in MSAF's prospectus dated November 4, 1998
under "Description of Notes -- Payment of Principal and Interest --
Principal Amortization".
- We assume that we acquire no additional aircraft.
EXPENSE-RELATED ASSUMPTIONS
We make the following assumptions about each of our main expense line
items.
AIRCRAFT OPERATING EXPENSES
"AIRCRAFT OPERATING EXPENSES" represents certain operating costs incurred
in the ordinary course of the operating lease business, including insurance
expenses and leasing transaction expenses.
- We assume that aircraft operating expenses are 0.8% per annum of lease
rentals. (5)
SG&A
"SG&A" represents the sum of the following expense items:
-- fees paid to ILFC as servicer of the aircraft;
-- fees paid to the administrative agent and other service providers,
including the financial advisor;
-- legal fees, underwriting fees, printing and other expenses of the
issuance and sale of any refinancing notes and any notes issued in the
exchange offer for the subclass A-3, A-4 and A-5 notes; and
-- other selling, general and administrative expenses.
We assume that: (6)
- we pay fees to ILFC as servicer as follows:
-- a monthly retainer fee equal of approximately $250,000,
-- a monthly fee equal to 1% of the aggregate rent due for any month (or
portion of a month), and
-- a monthly fee equal to approximately 1.25% of the aggregate rent
actually paid for the month.
E-2-3
<PAGE> 4
- we pay fees to the administrative agent and other service providers as
follows:
-- Cabot Aircraft Services, the administrative agent receives a monthly
fee equal to 0.5% of rental payments made by the lessees under the
leases, subject to an initial annual minimum of $500,000;
-- Bankers Trust, the cash manager receives an annual fee not to exceed
$500,000;
-- Morgan Stanley & Co. Incorporated, the financial advisor receives an
annual fee of $50,000.
- we pay customary legal fees, underwriting fees, printing and other
expenses of the issuance and sale of any refinancing notes and any notes
issued in the exchange offer; and
- other selling, general and administrative expenses are 0.3% per annum of
lease rentals.
FINANCING-RELATED ASSUMPTIONS
We make the following financing-related assumptions:
- We assume that one month LIBOR remains constant at 5.80% per annum.
- We assume that MSAF makes and receives swap payments in accordance with
the contracted terms of the swaps that we will have in place on the
closing date of this offering.
- We assume that we issue New Notes that rank equally in right of payment
and interest with each corresponding subclass of the 1998 Notes in
amounts and with coupons as set forth in the following table and that we
make payments in accordance with the order of priorities set forth in
MSAF, prospectus dated November 4, 1998 under "Description of Notes --
Priority of Payments".
<TABLE>
<CAPTION>
SUBCLASS OF NEW NOTES AMOUNT MONTHLY COUPON
--------------------- ------------ -------------------
MI($LLIONS)
<S> <C> <C>
Subclass A-3................................... 800 1 Month LIBOR + %
Subclass A-4................................... 200 1 Month LIBOR + %
Subclass A-5................................... 175 1 Month LIBOR + %
Subclass B-2................................... 75 %
Subclass C-2................................... 60 %
------
$1,310
======
</TABLE>
- We assume that we issue and sell refinancing notes on the expected final
payment dates of each of the subclass A-3, A-4 and B-2 notes, and on
each subsequent expected final payment dates of any such refinancing
notes, on the same terms with respect to priority, redemption and coupon
as the notes being refinanced and with maturities and amortization
schedules paid with the application of the minimum, scheduled and
supplemental principal payment amounts.
E-2-4
<PAGE> 1
EXHIBIT 3
STRESS TABLES
STRESSES
In the following tables, we have applied various stresses to our Base Case.
There are two types of stress that we use:
- A REDUCTION IN LEASE RENTALS: in our Base Case, net stress-related costs
result in a 4.5% reduction in lease rentals. In the tables, as a stress
to our Base Case, we have applied a further change in lease rentals, by
the percentages shown. We have used this change in addition to the 4.5%
Base Case reduction, and kept the other assumptions constant, as a proxy
for the change in the amount of net cash available to repay principal
that would result in any circumstances where there was any combination
of (1) an increase or reduction in lease rentals, (2) an increase or
reduction in net stress-related costs, (3) an increase or reduction in
aircraft operating expenses, (4) an increase or reduction in SG&A and
(5) an increase or reduction in interest costs, including swap costs.
- A DECLINE IN PORTFOLIO VALUE: in our Base Case, we assume that aircraft
values decline over time in accordance with the depreciation curve that
is used to determine the Assumed Portfolio Value under our indenture. In
the tables, as a stress to our Base Case, we have set the Adjusted
Portfolio Value, at a specified percentage of the Assumed Portfolio
Value under our Base Case. You should refer to MSAF's prospectus dated
November 4, 1998 under "Description of the Notes -- Payment of Principal
and Interest -- Principal Amortization" for a description of the
depreciation curve and how the Assumed Portfolio Value and the Adjusted
Portfolio Value are determined. We have used this reduction in portfolio
value to illustrate the effects of a decline in the value of our
aircraft that is greater than what the Base Case assumes.
EFFECT OF A PERMANENT CHANGE IN LEASE RENTALS
In preparing the tables below, we have started with our Base Case and have
varied lease rentals, by the indicated percentages, beginning in years 3 and 6.
If our lease rentals were to vary as shown below and all of the other
assumptions were to prove correct, then the expected maturities and weighted
average lives of the respective subclasses of 1998 Notes would be as shown
below.
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF 1998 NOTES
ASSUMING A PERMANENT CHANGE IN LEASE RENTALS, BEGINNING IN YEAR 3
<TABLE>
<CAPTION>
PERMANENT CHANGE IN LEASE RENTALS
AS A PERCENTAGE OF LEASE RENTALS
-----------------------------------------------------------------------
BASE CASE BASE CASE BASE CASE BASE CASE
+ 10% + 5% BASE CASE - 5% - 10%
------------ ------------ ----------- ------------ ------------
EXP AVG EXP AVG EXP AVG EXP AVG EXP AVG
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Subclass A-2....................................... 4.6 2.6 5.0 2.7 5.4 2.8 6.8 3.1 6.8 3.2
Subclass B-1....................................... 12.9 6.9 13.0 7.0 13.0 7.0 14.0 7.2 14.0 7.3
Subclass C-1....................................... 12.1 8.3 13.2 8.4 13.2 8.4 15.1 10.0 17.1 13.5
Subclass D-1....................................... 11.8 9.4 14.0 10.1 14.0 10.1 19.7 15.0 (1)
</TABLE>
- ---------------
(1) Not all principal repaid prior to Final Maturity Date (Yield = 3.36%).
E-3-1
<PAGE> 2
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF 1998 NOTES
ASSUMING A PERMANENT CHANGE IN LEASE RENTALS, BEGINNING IN YEAR 6
<TABLE>
<CAPTION>
PERMANENT CHANGE IN LEASE RENTALS
AS A PERCENTAGE OF LEASE RENTALS
-----------------------------------------------------------------------
BASE CASE BASE CASE BASE CASE BASE CASE
+ 10% + 5% BASE CASE - 5% - 10%
------------ ------------ ----------- ------------ ------------
EXP AVG EXP AVG EXP AVG EXP AVG EXP AVG
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Subclass A-2....................................... 5.3 2.8 5.3 2.8 5.4 2.8 6.8 2.9 6.8 2.9
Subclass B-1....................................... 13.0 7.0 13.0 7.0 13.0 7.0 13.8 7.1 14.0 7.2
Subclass C-1....................................... 13.2 8.4 13.2 8.4 13.2 8.4 15.1 9.7 15.6 10.1
Subclass D-1....................................... 13.6 10.0 14.0 10.1 14.0 10.1 18.8 14.1 (1)
</TABLE>
- ---------------
(1) Not all principal repaid prior to Final Maturity Date (Yield = 8.05%).
EFFECT OF PERMANENT DECLINE IN PORTFOLIO VALUE
If the Adjusted Portfolio Value becomes significantly less than the Assumed
Portfolio Value under the Base Case, the Scheduled Principal Payment Amount
payable to holders of the class A notes may be increased. Payment of this
increased amount may shorten the weighted average lives of the class A notes and
lengthen the weighted average lives of the subclasses of notes that rank behind
the class A notes in priority of payment. The following tables show the expected
maturity and weighted average life of each subclass of 1998 Notes if the
Adjusted Portfolio Value permanently declined to a given percentage of the
Assumed Portfolio Value, beginning in years 1 and 5.
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF 1998 NOTES
ASSUMING A PERMANENT CHANGE IN PORTFOLIO VALUE, BEGINNING IN YEAR 1
<TABLE>
<CAPTION>
ADJUSTED PORTFOLIO VALUE AS A PERCENTAGE OF
ASSUMED PORTFOLIO VALUE BEGINNING IN YEAR 1
---------------------------------------------------------
100%* 90% 80% 70%
------------ ------------ ------------ ------------
EXP AVG EXP AVG EXP AVG EXP AVG
---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Subclass A-2................................................ 5.4 2.8 5.3 2.7 5.1 2.7 5.1 2.6
Subclass B-1................................................ 13.0 7.0 13.0 7.0 13.0 7.0 13.0 7.2
Subclass C-1................................................ 13.2 8.4 13.2 8.7 13.2 9.9 13.5 10.4
Subclass D-1................................................ 14.0 10.1 14.0 10.2 14.2 12.6 15.1 13.1
</TABLE>
- ---------------
* Base Case
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF 1998 NOTES
ASSUMING A PERMANENT CHANGE IN PORTFOLIO VALUE, BEGINNING IN YEAR 5
<TABLE>
<CAPTION>
ADJUSTED PORTFOLIO VALUE AS A PERCENTAGE OF
ASSUMED PORTFOLIO VALUE BEGINNING IN YEAR 5
------------------------------------------------------------
100%* 90% 80% 70%
------------ ------------ ------------ ------------
EXP AVG EXP AVG EXP AVG EXP AVG
---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Subclass A-2........................................... 5.4 2.8 5.3 2.8 5.3 2.8 5.3 2.8
Subclass B-1........................................... 13.0 7.0 13.0 7.0 13.0 7.1 13.0 7.2
Subclass C-1........................................... 13.2 8.4 13.2 8.4 13.2 9.7 13.7 10.1
Subclass D-1........................................... 14.0 10.1 14.0 10.2 14.3 12.5 15.1 13.1
</TABLE>
- ---------------
*Base Case
EFFECT OF CYCLICAL VARIATIONS IN LEASE RENTALS AND PORTFOLIO VALUE --
"RECESSION SCENARIOS"
Historically, the aviation industry has experienced cyclical swings in the
supply and demand for aircraft. We would be negatively affected by a decline in
the demand for aircraft. We have assumed that such a decline
E-3-2
<PAGE> 3
in demand or "RECESSION" will result in a decline in aircraft values, as well as
an increase in defaults and downtime and a decline in operating lease rental
rates.
We have prepared the following tables to show the effect on expected
maturities and weighted average lives of the subclass B-1, C-1 and D-1 notes if
recessions of different lengths were to occur in the future. In preparing the
following tables we have assumed that a recession would have the following
effect on MSAF group:
- Aircraft values would fall on the first day of the recession to a given
percentage of the Assumed Portfolio Value under the Base Case. This
decrease would trigger an increase in Scheduled Principal Payment
Amounts on the class A notes being paid if amounts were available.
- After a period of two years following the first day of the recession, we
have reduced lease rentals by a given percentage as a proxy for a
combination of the reduction in lease rentals and the increase in net
stress-related costs that we assume would occur as aircraft were
re-leased or lessees defaulted. This would result in less cash flow
being available to make payments of interest and principal on the 1998
Notes.
- The recession would last a given period of time. Afterwards, the
Adjusted Portfolio Value would return to the Assumed Portfolio Value
under the Base Case on the first day after the recession. Two years
after the end of the recession, lease rentals would return to the Base
Case.
Actual experience will likely differ from the assumptions we have used in
preparing the following tables. Specifically, we can give no assurance that
periods of weak traffic growth and lower demand for aircraft will be followed by
periods of strong growth and high demand for aircraft nor can we give any
assurance that following a recession aircraft values and lease rentals will
return to Base Case levels. Because actual experience will likely differ from
those assumptions, the actual maturities and weighted average lives of the 1998
Notes will likely differ from what is shown in the tables below.
E-3-3
<PAGE> 4
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS B-1
NOTES ASSUMING A RECESSION LASTING THREE YEARS
<TABLE>
<S> <C> <C> <C>
DECLINE IN LEASE RENTALS AS A PERCENTAGE OF LEASE
RENTALS.......................................... Base Case Base Case -5% Base Case -10%
ADJUSTED PORTFOLIO VALUE AS A PERCENTAGE OF ASSUMED
PORTFOLIO VALUE.................................. 100%* 90% 80%
</TABLE>
<TABLE>
<CAPTION>
EXP AVG EXP AVG EXP AVG
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Recession begins at start of Year
1 (closing date)................................. 13.0 7.0 13.0 7.0 13.8 7.2
3................................................ 13.0 7.0 13.0 7.0 13.0 7.0
5................................................ 13.0 7.0 13.0 7.0 13.0 7.0
10............................................... 13.0 7.0 13.0 7.0 13.1 7.1
</TABLE>
- ---------------
* Base Case
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS B-1
NOTES ASSUMING A RECESSION LASTING FIVE YEARS
<TABLE>
<S> <C> <C> <C>
DECLINE IN LEASE RENTALS AS A PERCENTAGE OF LEASE
RENTALS.......................................... Base Case Base Case -5% Base Case -10%
ADJUSTED PORTFOLIO VALUE AS A PERCENTAGE OF ASSUMED
PORTFOLIO VALUE.................................. 100%* 90% 80%
</TABLE>
<TABLE>
<CAPTION>
EXP AVG EXP AVG EXP AVG
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Recession begins at start of Year
1 (closing date)................................. 13.0 7.0 13.0 7.0 14.0 7.2
3................................................ 13.0 7.0 13.0 7.0 14.0 7.2
5................................................ 13.0 7.0 13.0 7.0 14.0 7.2
10............................................... 13.0 7.0 13.0 7.0 13.6 7.2
</TABLE>
- ---------------
* Base Case
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS C-1
NOTES ASSUMING A RECESSION LASTING THREE YEARS
<TABLE>
<S> <C> <C> <C>
DECLINE IN LEASE RENTALS AS A PERCENTAGE OF LEASE
RENTALS.......................................... Base Case Base Case -5% Base Case -10%
ADJUSTED PORTFOLIO VALUE AS A PERCENTAGE OF ASSUMED
PORTFOLIO VALUE.................................. 100%* 90% 80%
</TABLE>
<TABLE>
<CAPTION>
EXP AVG EXP AVG EXP AVG
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Recession begins at start of Year
1 (closing date)................................. 13.2 8.4 13.2 8.6 15.1 10.4
3................................................ 13.2 8.4 13.2 8.6 14.1 9.9
5................................................ 13.2 8.4 13.2 8.5 13.7 9.4
10............................................... 13.2 8.4 13.2 8.5 13.2 9.0
</TABLE>
- ---------------
* Base Case
E-3-4
<PAGE> 5
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS C-1
NOTES ASSUMING A RECESSION LASTING FIVE YEARS
<TABLE>
<S> <C> <C> <C>
DECLINE IN LEASE RENTALS AS A PERCENTAGE OF LEASE
RENTALS.......................................... Base Case Base Case -5% Base Case -10%
ADJUSTED PORTFOLIO VALUE AS A PERCENTAGE OF ASSUMED
PORTFOLIO VALUE.................................. 100%* 90% 80%
</TABLE>
<TABLE>
<CAPTION>
EXP AVG EXP AVG EXP AVG
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Recession begins at start of Year
1 (closing date)................................. 13.2 8.4 13.8 9.4 15.0 10.7
3................................................ 13.2 8.4 13.2 9.2 15.0 10.4
5................................................ 13.2 8.4 13.2 8.7 15.0 10.3
10............................................... 13.2 8.4 13.2 8.5 14.2 9.4
</TABLE>
- ---------------
* Base Case
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS D-1
NOTES ASSUMING A RECESSION LASTING THREE YEARS
<TABLE>
<S> <C> <C> <C>
DECLINE IN LEASE RENTALS AS A PERCENTAGE OF LEASE
RENTALS.......................................... Base Case Base Case -5% Base Case -10%
ADJUSTED PORTFOLIO VALUE AS A PERCENTAGE OF ASSUMED
PORTFOLIO VALUE.................................. 100%* 90% 80%
</TABLE>
<TABLE>
<CAPTION>
EXP AVG EXP AVG EXP AVG
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Recession begins at start of Year
1 (closing date)................................. 14.0 10.1 15.6 12.2 17.9 14.6
3................................................ 14.0 10.1 5.1 11.4 17.0 13.9
5................................................ 14.0 10.1 14.5 11.0 16.6 13.0
10............................................... 14.0 10.1 14.2 10.7 15.8 11.7
</TABLE>
- ---------------
* Base Case
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS D-1
NOTES ASSUMING A RECESSION LASTING THREE YEARS
<TABLE>
<S> <C> <C> <C>
DECLINE IN LEASE RENTALS AS A PERCENTAGE OF LEASE
RENTALS.......................................... Base Case Base Case -5% Base Case -10%
ADJUSTED PORTFOLIO VALUE AS A PERCENTAGE OF ASSUMED
PORTFOLIO VALUE.................................. 100%* 90% 80%
</TABLE>
<TABLE>
<CAPTION>
EXP AVG EXP AVG EXP AVG
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Recession begins at start of Year
1 (closing date)................................. 14.0 10.1 16.6 13.6 19.3 15.3
3................................................ 14.0 10.1 16.3 12.7 18.8 15.1
5................................................ 14.0 10.1 15.6 12.0 18.3 14.8
10............................................... 14.0 10.1 14.6 11.1 17.0 12.5
</TABLE>
- ---------------
* Base Case
E-3-5
<PAGE> 6
EFFECT OF CHANGES IN LEASE RENTALS ON YIELDS OF FIXED RATE NOTES
In preparing the tables below, we have started with our Base Case and
varied lease rentals by the indicated percentages, beginning in certain years,
for a period of three years in one case and permanently in the other. If our
lease rentals were to vary as shown below and all of the other assumptions were
to prove correct, then the yield to maturity for the subclass C-1 and D-1 notes
would be as shown below. If lease rentals significantly declined, there might
not be sufficient revenues available to meet interest and principal payments on
the 1998 Notes. In such cases, interest on the 1998 Notes would be deferred.
YIELD, DATE OF FIRST DEFERRAL AND NUMBER OF MONTHS IN WHICH INTEREST IS DEFERRED
ON THE
SUBCLASS C-1 NOTES GIVEN THE ASSUMPTIONS BUT WITH A THREE YEAR CHANGE IN LEASE
RENTALS
OF THE MAGNITUDE SHOWN
<TABLE>
<CAPTION>
CHANGE IN LEASE RENTALS, AS A PERCENTAGE OF LEASE RENTALS,
BEGINNING IN YEAR:
---------------------------------------------------------------------------------------------
3 6 9
----------------------------- ----------------------------- -----------------------------
DATE OF DATE OF DATE OF
FIRST MONTHS OF FIRST MONTHS OF FIRST MONTHS OF
CHANGE IN LEASE RENTALS YIELD DEFERRAL DEFERRALS YIELD DEFERRAL DEFERRALS YIELD DEFERRAL DEFERRALS
- ----------------------- ------ -------- --------- ------ -------- --------- ------ -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Base Case + 5%................ 7.00% None 0 7.00% None 0 7.00% None 0
Base Case..................... 7.00% None 0 7.00% None 0 7.00% None 0
Base Case - 5%................ 7.00% None 0 7.00% None 0 7.00% None 0
Base Case - 10%............... 7.00% None 0 7.00% None 0 7.00% None 0
</TABLE>
YIELD, DATE OF FIRST DEFERRAL AND NUMBER OF MONTHS IN WHICH INTEREST IS DEFERRED
ON THE
SUBCLASS C-1 NOTES GIVEN THE ASSUMPTIONS BUT WITH A PERMANENT CHANGE IN LEASE
RENTALS
OF THE MAGNITUDE SHOWN
<TABLE>
<CAPTION>
CHANGE IN LEASE RENTALS, AS A PERCENTAGE OF LEASE RENTALS,
BEGINNING IN YEAR:
---------------------------------------------------------------------------------------------
3 6 9
----------------------------- ----------------------------- -----------------------------
DATE OF DATE OF DATE OF
FIRST MONTHS OF FIRST MONTHS OF FIRST MONTHS OF
CHANGE IN LEASE RENTALS YIELD DEFERRAL DEFERRALS YIELD DEFERRAL DEFERRALS YIELD DEFERRAL DEFERRALS
- ----------------------- ------ -------- --------- ------ -------- --------- ------ -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Base Case + 5%................ 7.00% None 0 7.00% None 0 7.00% None 0
Base Case..................... 7.00% None 0 7.00% None 0 7.00% None 0
Base Case - 5%................ 7.00% None 0 7.00% None 0 7.00% None 0
Base Case - 10%............... 7.00% Sep-07 100 7.00% Nov-10 30 7.00% None 0
</TABLE>
YIELD, DATE OF FIRST DEFERRAL AND NUMBER OF MONTHS IN WHICH INTEREST IS DEFERRED
ON THE
SUBCLASS D-1 NOTES GIVEN THE ASSUMPTIONS BUT WITH A THREE YEAR CHANGE IN LEASE
RENTALS
OF THE MAGNITUDE SHOWN
<TABLE>
<CAPTION>
CHANGE IN LEASE RENTALS, AS A PERCENTAGE OF LEASE RENTALS,
BEGINNING IN YEAR:
---------------------------------------------------------------------------------------------
3 6 9
----------------------------- ----------------------------- -----------------------------
DATE OF DATE OF DATE OF
FIRST MONTHS OF FIRST MONTHS OF FIRST MONTHS OF
CHANGE IN LEASE RENTALS YIELD DEFERRAL DEFERRALS YIELD DEFERRAL DEFERRALS YIELD DEFERRAL DEFERRALS
- ----------------------- ------ -------- --------- ------ -------- --------- ------ -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Base Case + 5%................ 8.86% None 0 8.86% None 0 8.86% None 0
Base Case..................... 8.86% None 0 8.86% None 0 8.86% None 0
Base Case - 5%................ 8.86% None 0 8.86% None 0 8.86% None 0
Base Case - 10%............... 8.86% None 0 8.86% None 0 8.86% None 0
</TABLE>
E-3-6
<PAGE> 7
YIELD, DATE OF FIRST DEFERRAL AND NUMBER OF MONTHS IN WHICH INTEREST IS DEFERRED
ON THE
SUBCLASS D-1 NOTES GIVEN THE ASSUMPTIONS BUT WITH A PERMANENT CHANGE IN LEASE
RENTALS
OF THE MAGNITUDE SHOWN
<TABLE>
<CAPTION>
CHANGE IN LEASE RENTALS, AS A PERCENTAGE OF LEASE RENTALS,
BEGINNING IN YEAR:
---------------------------------------------------------------------------------------------
3 6 9
----------------------------- ----------------------------- -----------------------------
DATE OF DATE OF DATE OF
FIRST MONTHS OF FIRST MONTHS OF FIRST MONTHS OF
CHANGE IN LEASE RENTALS YIELD DEFERRAL DEFERRALS YIELD DEFERRAL DEFERRALS YIELD DEFERRAL DEFERRALS
- ----------------------- ------ -------- --------- ------ -------- --------- ------ -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Base Case + 5%................ 8.86% None 0 8.86% None 0 8.86% None 0
Base Case..................... 8.86% None 0 8.86% None 0 8.86% None 0
Base Case - 5%................ 8.86% Sep-13 30 8.86% None 0 8.86% None 0
Base Case - 10%............... 3.36% Sep-07 208 8.05% Oct-10 159 8.86% May-16 1
</TABLE>
E-3-7
<PAGE> 8
EFFECT OF AIRCRAFT SALES
We have prepared the tables below based on the assumptions, except that we
have assumed that each year we sell aircraft representing the indicated
percentages of the adjusted portfolio value, beginning in years 1, 5 and 9. If
MSAF group made annual aircraft sales as shown below and all of the other
assumptions were to prove correct, then the expected maturities and weighted
average lives of the respective subclasses of 1998 Notes would be as shown
below.
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF 1998 NOTES
ASSUMING ANNUAL AIRCRAFT SALES OF THE MAGNITUDE SHOWN, BEGINNING IN YEAR 1
<TABLE>
<CAPTION>
PERCENTAGE OF ASSUMED PORTFOLIO VALUE SOLD BEGINNING IN
YEAR 1
--------------------------------------------------------
0%* 1.0% 2.0% 3.0%
----------- ----------- ------------- ------------
EXP AVG EXP AVG EXP AVG EXP AVG
---- ---- ---- ---- ---- ----- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Subclass A-2............................................... 5.4 2.8 4.8 2.5 4.2 2.2 4.0 2.0
Subclass B-1............................................... 13.0 7.0 13.0 6.6 13.0 6.2 13.3 5.7
Subclass C-1............................................... 13.2 8.4 15.0 8.6 15.0 9.1 15.9 9.4
Subclass D-1............................................... 14.0 10.1 20.0 13.1 (1) (2)
</TABLE>
- ---------------
* Base Case
(1) Not all principal repaid prior to Final Maturity Date (Yield = 7.63%).
(2) Not all principal repaid prior to Final Maturity Date (Yield = 5.30%).
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF 1998 NOTES
ASSUMING ANNUAL AIRCRAFT SALES OF THE MAGNITUDE SHOWN, BEGINNING IN YEAR 5
<TABLE>
<CAPTION>
PERCENTAGE OF ASSUMED PORTFOLIO VALUE SOLD BEGINNING IN
YEAR 5
-------------------------------------------------------
0%* 1.0% 2.0% 3.0%
----------- ----------- ------------ ------------
EXP AVG EXP AVG EXP AVG EXP AVG
---- ---- ---- ---- ---- ----- --- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Subclass A-2................................................ 5.4 2.8 5.3 2.8 5.1 2.8 5.1 2.8
Subclass B-1................................................ 13.0 7.0 13.0 6.9 13.0 6.9 13.0 6.8
Subclass C-1................................................ 13.2 8.4 14.3 8.5 15.1 8.6 15.2 8.8
Subclass D-1................................................ 14.0 10.1 20.0 12.6 20.0 12.8 (1)
</TABLE>
- ---------------
* Base Case
(1) Not all principal repaid prior to Final Maturity Date (Yield = 8.35%).
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF 1998 NOTES
ASSUMING ANNUAL AIRCRAFT SALES OF THE MAGNITUDE SHOWN, BEGINNING IN YEAR 9
<TABLE>
<CAPTION>
PERCENTAGE OF ASSUMED PORTFOLIO VALUE SOLD BEGINNING
IN YEAR 9
-----------------------------------------------------
0%* 1.0% 2.0% 3.0%
----------- ----------- ----------- -----------
EXP AVG EXP AVG EXP AVG EXP AVG
---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Subclass A-2................................................ 5.4 2.8 5.4 2.8 5.4 2.8 5.4 2.8
Subclass B-1................................................ 13.0 7.0 13.0 7.0 13.0 7.0 13.0 7.0
Subclass C-1................................................ 13.2 8.4 13.8 8.5 14.0 8.5 14.3 8.5
Subclass D-1................................................ 14.0 10.1 20.0 12.4 20.0 12.4 20.0 12.5
</TABLE>
- ---------------
* Base Case
E-3-8
<PAGE> 1
EXHIBIT 4
MONTHLY LEASE RENTALS
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
April 2000........... 26,036,541
May 2000............. 17,939,742
June 2000............ 21,949,258
July 2000............ 17,287,964
August 2000.......... 17,960,075
September 2000....... 22,161,149
October 2000......... 18,420,264
November 2000........ 17,977,370
December 2000........ 21,369,837
January 2001......... 17,489,675
February 2001........ 18,215,553
March 2001........... 21,387,935
April 2001........... 17,934,723
May 2001............. 17,941,258
June 2001............ 21,415,931
July 2001............ 17,926,240
August 2001.......... 18,327,051
September 2001....... 21,435,273
October 2001......... 18,731,918
November 2001........ 18,189,872
December 2001........ 21,355,485
January 2002......... 17,862,370
February 2002........ 18,239,021
March 2002........... 21,353,588
April 2002........... 18,636,652
May 2002............. 18,309,257
June 2002............ 20,349,918
July 2002............ 18,478,518
August 2002.......... 18,825,381
September 2002....... 20,379,981
October 2002......... 19,712,874
November 2002........ 18,691,978
December 2002........ 20,228,735
January 2003......... 18,355,911
February 2003........ 18,600,195
March 2003........... 19,765,954
April 2003........... 19,625,223
May 2003............. 18,280,642
June 2003............ 19,971,418
July 2003............ 18,940,307
August 2003.......... 18,411,043
September 2003....... 19,854,709
October 2003......... 20,160,401
November 2003........ 18,650,458
December 2003........ 19,184,458
January 2004......... 19,172,850
February 2004........ 18,626,599
March 2004........... 19,156,440
April 2004........... 20,321,339
May 2004............. 18,661,407
</TABLE>
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
June 2004............ 19,195,407
July 2004............ 19,170,005
August 2004.......... 18,627,753
September 2004....... 19,161,753
October 2004......... 20,294,904
November 2004........ 18,448,856
December 2004........ 19,048,466
January 2005......... 19,048,466
February 2005........ 18,514,466
March 2005........... 19,012,875
April 2005........... 19,463,198
May 2005............. 18,640,461
June 2005............ 18,784,635
July 2005............ 18,784,635
August 2005.......... 18,755,938
September 2005....... 18,742,274
October 2005......... 19,583,264
November 2005........ 18,594,305
December 2005........ 18,580,643
January 2006......... 18,580,643
February 2006........ 18,580,643
March 2006........... 18,538,291
April 2006........... 19,294,486
May 2006............. 18,428,132
June 2006............ 18,369,871
July 2006............ 18,348,231
August 2006.......... 18,296,613
September 2006....... 18,285,300
October 2006......... 19,066,906
November 2006........ 18,243,886
December 2006........ 18,215,293
January 2007......... 18,178,575
February 2007........ 18,178,575
March 2007........... 18,178,575
April 2007........... 18,926,989
May 2007............. 18,161,607
June 2007............ 18,099,357
July 2007............ 18,099,357
August 2007.......... 17,790,133
September 2007....... 17,790,133
October 2007......... 17,688,893
November 2007........ 17,688,893
December 2007........ 17,666,368
January 2008......... 17,666,368
February 2008........ 17,619,623
March 2008........... 17,583,916
April 2008........... 17,436,309
May 2008............. 17,348,187
June 2008............ 17,315,959
July 2008............ 17,299,142
</TABLE>
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
August 2008.......... 17,299,142
September 2008....... 17,299,142
October 2008......... 17,222,025
November 2008........ 17,126,295
December 2008........ 17,126,295
January 2009......... 17,116,425
February 2009........ 17,106,597
March 2009........... 17,096,789
April 2009........... 17,096,789
May 2009............. 17,033,387
June 2009............ 17,033,387
July 2009............ 16,976,720
August 2009.......... 16,956,136
September 2009....... 16,956,136
October 2009......... 16,956,136
November 2009........ 16,885,018
December 2009........ 16,848,705
January 2010......... 16,848,705
February 2010........ 16,848,705
March 2010........... 16,817,636
April 2010........... 16,655,418
May 2010............. 16,655,418
June 2010............ 16,599,966
July 2010............ 22,735,280
August 2010.......... 16,349,793
September 2010....... 16,312,016
October 2010......... 16,312,016
November 2010........ 16,118,676
December 2010........ 25,263,219
January 2011......... 15,956,326
February 2011........ 15,956,326
March 2011........... 15,866,326
April 2011........... 15,750,813
May 2011............. 15,646,499
June 2011............ 15,513,177
July 2011............ 15,472,002
August 2011.......... 15,447,236
September 2011....... 15,426,873
October 2011......... 15,426,873
November 2011........ 15,355,877
December 2011........ 15,297,073
January 2012......... 15,236,365
February 2012........ 15,236,365
March 2012........... 15,236,365
April 2012........... 20,699,885
May 2012............. 15,034,918
June 2012............ 18,361,524
July 2012............ 14,760,996
August 2012.......... 14,758,669
September 2012....... 19,935,657
</TABLE>
E-4-1
<PAGE> 2
MONTHLY LEASE RENTALS (CONTINUED)
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
October 2012......... 17,701,974
November 2012........ 14,064,103
December 2012........ 14,023,558
January 2013......... 14,023,558
February 2013........ 13,938,781
March 2013........... 13,879,002
April 2013........... 17,038,544
May 2013............. 21,956,262
June 2013............ 13,146,184
July 2013............ 13,097,836
August 2013.......... 13,097,836
September 2013....... 13,097,836
October 2013......... 16,620,383
November 2013........ 16,096,442
December 2013........ 12,661,644
January 2014......... 21,309,728
February 2014........ 17,457,881
March 2014........... 12,024,386
April 2014........... 18,174,109
May 2014............. 11,660,075
June 2014............ 11,660,075
July 2014............ 11,544,788
August 2014.......... 11,494,797
September 2014....... 11,494,797
October 2014......... 11,494,797
November 2014........ 11,355,948
December 2014........ 11,289,375
January 2015......... 11,289,375
February 2015........ 11,289,375
March 2015........... 11,213,920
April 2015........... 18,166,508
May 2015............. 17,051,044
June 2015............ 10,379,196
July 2015............ 10,379,196
August 2015.......... 10,379,196
September 2015....... 10,379,196
October 2015......... 18,421,702
November 2015........ 10,028,660
December 2015........ 9,976,745
January 2016......... 9,976,745
February 2016........ 9,976,745
March 2016........... 9,976,745
April 2016........... 9,859,900
May 2016............. 9,769,808
June 2016............ 27,091,035
July 2016............ 8,728,575
August 2016.......... 8,655,876
September 2016....... 8,612,887
October 2016......... 23,490,463
</TABLE>
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
November 2016........ 7,764,870
December 2016........ 7,648,880
January 2017......... 11,229,118
February 2017........ 7,459,245
March 2017........... 23,955,791
April 2017........... 19,750,934
May 2017............. 6,336,977
June 2017............ 9,935,795
July 2017............ 6,140,053
August 2017.......... 6,135,186
September 2017....... 6,135,186
October 2017......... 5,977,914
November 2017........ 5,977,914
December 2017........ 5,892,320
January 2018......... 5,892,320
February 2018........ 11,624,398
March 2018........... 9,853,637
April 2018........... 18,314,343
May 2018............. 7,237,712
June 2018............ 12,161,057
July 2018............ 4,005,734
August 2018.......... 11,383,758
September 2018....... 3,699,201
October 2018......... 3,699,201
November 2018........ 7,763,854
December 2018........ 6,892,544
January 2019......... 3,282,827
February 2019........ 3,241,548
March 2019........... 8,695,766
April 2019........... 2,934,047
May 2019............. 17,918,100
June 2019............ 2,400,637
July 2019............ 2,400,637
August 2019.......... 2,400,637
September 2019....... 5,169,376
October 2019......... 11,007,345
November 2019........ 5,574,365
December 2019........ 5,206,064
January 2020......... 1,632,100
February 2020........ 1,632,100
March 2020........... 1,632,100
April 2020........... 13,561,661
May 2020............. 1,246,451
June 2020............ 4,719,329
July 2020............ 1,783,087
August 2020.......... 1,048,152
September 2020....... 1,048,152
October 2020......... 1,048,152
</TABLE>
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
November 2020........ 1,048,152
December 2020........ 5,937,046
January 2021......... 2,501,666
February 2021........ 2,484,770
March 2021........... 2,429,037
April 2021........... 506,143
May 2021............. 506,143
June 2021............ 5,481,496
July 2021............ 309,573
August 2021.......... 6,197,419
September 2021....... --
October 2021......... --
November 2021........ --
December 2021........ --
January 2022......... --
February 2022........ --
March 2022........... --
April 2022........... --
May 2022............. --
June 2022............ --
July 2022............ --
August 2022.......... --
September 2022....... --
October 2022......... --
November 2022........ --
December 2022........ --
January 2023......... --
February 2023........ --
March 2023........... --
April 2023........... --
May 2023............. --
June 2023............ --
July 2023............ --
August 2023.......... --
September 2023....... --
October 2023......... --
November 2023........ --
December 2023........ --
January 2024......... --
February 2024........ --
March 2024........... --
April 2024........... --
May 2024............. --
June 2024............ --
July 2024............ --
August 2024.......... --
September 2024....... --
October 2024......... --
</TABLE>
E-4-2
<PAGE> 1
EXHIBIT 5
ASSUMED PORTFOLIO VALUES
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
March 2000........... 2,000.89
April 2000........... 1,994.02
May 2000............. 1,987.11
June 2000............ 1,980.18
July 2000............ 1,973.22
August 2000.......... 1,966.23
September 2000....... 1,959.21
October 2000......... 1,952.17
November 2000........ 1,945.09
December 2000........ 1,937.99
January 2001......... 1,930.86
February 2001........ 1,923.70
March 2001........... 1,916.51
April 2001........... 1,909.29
May 2001............. 1,902.04
June 2001............ 1,894.77
July 2001............ 1,887.46
August 2001.......... 1,880.12
September 2001....... 1,872.76
October 2001......... 1,865.37
November 2001........ 1,857.94
December 2001........ 1,850.49
January 2002......... 1,843.01
February 2002........ 1,835.49
March 2002........... 1,827.95
April 2002........... 1,820.38
May 2002............. 1,812.77
June 2002............ 1,805.14
July 2002............ 1,797.48
August 2002.......... 1,789.79
September 2002....... 1,782.06
October 2002......... 1,774.31
November 2002........ 1,766.53
December 2002........ 1,758.71
January 2003......... 1,750.87
February 2003........ 1,742.99
March 2003........... 1,735.08
April 2003........... 1,727.14
May 2003............. 1,719.18
June 2003............ 1,711.18
July 2003............ 1,703.15
August 2003.......... 1,695.08
September 2003....... 1,686.99
October 2003......... 1,678.87
November 2003........ 1,670.71
December 2003........ 1,662.52
</TABLE>
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
January 2004......... 1,654.30
February 2004........ 1,646.05
March 2004........... 1,637.77
April 2004........... 1,629.45
May 2004............. 1,621.11
June 2004............ 1,612.73
July 2004............ 1,604.32
August 2004.......... 1,595.88
September 2004....... 1,587.40
October 2004......... 1,578.89
November 2004........ 1,570.35
December 2004........ 1,561.78
January 2005......... 1,553.18
February 2005........ 1,544.54
March 2005........... 1,535.87
April 2005........... 1,527.17
May 2005............. 1,518.43
June 2005............ 1,509.66
July 2005............ 1,500.86
August 2005.......... 1,492.02
September 2005....... 1,483.15
October 2005......... 1,474.25
November 2005........ 1,465.32
December 2005........ 1,456.35
January 2006......... 1,447.34
February 2006........ 1,438.31
March 2006........... 1,429.24
April 2006........... 1,420.13
May 2006............. 1,411.00
June 2006............ 1,401.82
July 2006............ 1,392.62
August 2006.......... 1,383.38
September 2006....... 1,374.10
October 2006......... 1,364.79
November 2006........ 1,355.45
December 2006........ 1,346.07
January 2007......... 1,336.66
February 2007........ 1,327.21
March 2007........... 1,317.73
April 2007........... 1,308.21
May 2007............. 1,298.66
June 2007............ 1,289.07
July 2007............ 1,279.45
August 2007.......... 1,269.79
September 2007....... 1,248.72
October 2007......... 1,239.20
</TABLE>
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
November 2007........ 1,229.65
December 2007........ 1,220.06
January 2008......... 1,210.44
February 2008........ 1,200.78
March 2008........... 1,191.09
April 2008........... 1,181.36
May 2008............. 1,171.59
June 2008............ 1,161.79
July 2008............ 1,151.96
August 2008.......... 1,142.09
September 2008....... 1,132.18
October 2008......... 1,122.24
November 2008........ 1,112.26
December 2008........ 1,102.25
January 2009......... 1,092.20
February 2009........ 1,082.11
March 2009........... 1,071.99
April 2009........... 1,061.83
May 2009............. 1,051.64
June 2009............ 1,041.41
July 2009............ 1,031.14
August 2009.......... 1,020.83
September 2009....... 1,010.49
October 2009......... 1,000.11
November 2009........ 989.69
December 2009........ 979.24
January 2010......... 968.75
February 2010........ 958.22
March 2010........... 947.66
April 2010........... 937.05
May 2010............. 926.41
June 2010............ 915.74
July 2010............ 905.13
August 2010.......... 894.67
September 2010....... 884.18
October 2010......... 873.64
November 2010........ 863.07
December 2010........ 852.76
January 2011......... 842.55
February 2011........ 832.30
March 2011........... 822.02
April 2011........... 811.70
May 2011............. 801.35
June 2011............ 790.95
July 2011............ 780.53
August 2011.......... 770.06
</TABLE>
E-5-1
<PAGE> 2
ASSUMED PORTFOLIO VALUES (CONTINUED)
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
September 2011....... 759.56
October 2011......... 749.02
November 2011........ 738.45
December 2011........ 727.84
January 2012......... 717.19
February 2012........ 706.50
March 2012........... 695.78
April 2012........... 685.14
May 2012............. 674.61
June 2012............ 664.12
July 2012............ 653.68
August 2012.......... 643.20
September 2012....... 632.86
October 2012......... 622.64
November 2012........ 612.47
December 2012........ 602.27
January 2013......... 592.04
February 2013........ 581.77
March 2013........... 571.46
April 2013........... 561.20
May 2013............. 551.19
June 2013............ 541.34
July 2013............ 531.46
August 2013.......... 521.55
September 2013....... 511.60
October 2013......... 501.63
November 2013........ 491.94
December 2013........ 482.40
January 2014......... 473.18
February 2014........ 464.11
March 2014........... 455.15
April 2014........... 446.30
May 2014............. 437.57
June 2014............ 428.81
July 2014............ 420.03
August 2014.......... 411.21
September 2014....... 402.36
October 2014......... 393.48
November 2014........ 384.57
December 2014........ 375.63
January 2015......... 366.66
February 2015........ 357.66
March 2015........... 348.63
April 2015........... 339.83
May 2015............. 331.16
June 2015............ 322.53
July 2015............ 313.87
August 2015.......... 305.18
</TABLE>
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
September 2015....... 296.47
October 2015......... 287.85
November 2015........ 279.46
December 2015........ 271.05
January 2016......... 262.60
February 2016........ 254.13
March 2016........... 245.63
April 2016........... 237.09
May 2016............. 228.53
June 2016............ 220.19
July 2016............ 212.42
August 2016.......... 204.62
September 2016....... 196.80
October 2016......... 189.44
November 2016........ 182.34
December 2016........ 175.21
January 2017......... 168.06
February 2017........ 161.06
March 2017........... 154.62
April 2017........... 148.72
May 2017............. 143.06
June 2017............ 137.46
July 2017............ 131.94
August 2017.......... 126.40
September 2017....... 120.84
October 2017......... 115.26
November 2017........ 109.66
December 2017........ 104.04
January 2018......... 98.41
February 2018........ 92.88
March 2018........... 87.61
April 2018........... 82.73
May 2018............. 78.22
June 2018............ 74.05
July 2018............ 69.93
August 2018.......... 65.92
September 2018....... 62.12
October 2018......... 58.31
November 2018........ 54.59
December 2018........ 50.98
January 2019......... 47.49
February 2019........ 43.99
March 2019........... 40.60
April 2019........... 37.35
May 2019............. 34.59
June 2019............ 32.03
July 2019............ 29.46
August 2019.......... 26.88
</TABLE>
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
September 2019....... 24.29
October 2019......... 22.23
November 2019........ 20.27
December 2019........ 18.44
January 2020......... 16.71
February 2020........ 14.98
March 2020........... 13.25
April 2020........... 11.79
May 2020............. 10.61
June 2020............ 9.58
July 2020............ 8.58
August 2020.......... 7.59
September 2020....... 6.60
October 2020......... 5.60
November 2020........ 4.60
December 2020........ 3.69
January 2021......... 2.99
February 2021........ 2.30
March 2021........... 1.72
April 2021........... 1.20
May 2021............. 0.68
June 2021............ 0.35
July 2021............ 0.07
August 2021.......... --
September 2021....... --
October 2021......... --
November 2021........ --
December 2021........ --
January 2022......... --
February 2022........ --
March 2022........... --
April 2022........... --
May 2022............. --
June 2022............ --
July 2022............ --
August 2022.......... --
September 2022....... --
October 2022......... --
November 2022........ --
December 2022........ --
January 2023......... --
February 2023........ --
March 2023........... --
April 2023........... --
May 2023............. --
June 2023............ --
July 2023............ --
August 2023.......... --
</TABLE>
E-5-2
<PAGE> 3
ASSUMED PORTFOLIO VALUES (CONTINUED)
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
October 2023......... --
November 2023........ --
December 2023........ --
January 2024......... --
</TABLE>
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
February 2024........ --
March 2024........... --
April 2024........... --
May 2024............. --
June 2024............ --
</TABLE>
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
July 2024............ --
August 2024.......... --
September 2024....... --
October 2024......... --
</TABLE>
E-5-3
<PAGE> 1
EXHIBIT 6
CLASS A CLASS PERCENTAGES
<TABLE>
<CAPTION>
CLASS A CLASS A CLASS A
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
March 2000........... 70.11% 70.11% 63.10%
April 2000........... 70.11% 70.11% 63.12%
May 2000............. 70.11% 70.11% 63.13%
June 2000............ 70.10% 70.10% 63.14%
July 2000............ 70.09% 70.11% 63.16%
August 2000.......... 70.09% 70.10% 63.16%
September 2000....... 70.09% 70.10% 63.18%
October 2000......... 70.09% 70.10% 63.18%
November 2000........ 70.08% 70.10% 63.18%
December 2000........ 70.08% 70.10% 63.18%
January 2001......... 70.07% 70.10% 63.18%
February 2001........ 70.07% 70.10% 63.18%
March 2001........... 70.07% 70.10% 63.17%
April 2001........... 70.07% 70.10% 63.16%
May 2001............. 70.06% 70.10% 63.15%
June 2001............ 70.06% 70.10% 63.14%
July 2001............ 70.05% 70.10% 63.13%
August 2001.......... 70.05% 70.10% 63.11%
September 2001....... 70.05% 70.10% 63.09%
October 2001......... 70.05% 70.10% 63.06%
November 2001........ 70.04% 70.10% 63.04%
December 2001........ 70.04% 70.10% 63.02%
January 2002......... 70.03% 70.10% 62.98%
February 2002........ 70.03% 70.10% 62.96%
March 2002........... 70.02% 70.10% 62.92%
April 2002........... 70.02% 70.10% 62.88%
May 2002............. 70.02% 70.10% 62.84%
June 2002............ 70.02% 70.10% 62.80%
July 2002............ 70.01% 70.10% 62.76%
August 2002.......... 70.01% 70.10% 62.71%
September 2002....... 70.00% 70.10% 62.66%
October 2002......... 70.00% 70.10% 62.61%
November 2002........ 70.00% 70.10% 62.56%
December 2002........ 70.00% 70.10% 62.50%
January 2003......... 69.99% 70.10% 62.44%
February 2003........ 69.99% 70.10% 62.38%
March 2003........... 69.98% 70.10% 62.32%
April 2003........... 69.98% 70.10% 62.25%
May 2003............. 69.98% 70.10% 62.18%
June 2003............ 69.98% 70.10% 62.11%
July 2003............ 69.97% 70.10% 62.03%
August 2003.......... 69.97% 70.10% 61.96%
September 2003....... 69.96% 70.10% 61.88%
October 2003......... 69.96% 70.10% 61.80%
November 2003........ 69.95% 70.10% 61.72%
December 2003........ 69.95% 70.10% 61.63%
January 2004......... 69.95% 70.10% 61.54%
February 2004........ 69.95% 70.10% 61.46%
March 2004........... 69.94% 70.10% 61.36%
April 2004........... 69.94% 70.10% 61.27%
May 2004............. 69.93% 70.10% 61.16%
June 2004............ 69.93% 70.10% 61.06%
July 2004............ 69.93% 70.10% 60.95%
August 2004.......... 69.93% 70.10% 60.85%
September 2004....... 69.92% 70.10% 60.75%
</TABLE>
<TABLE>
<CAPTION>
CLASS A CLASS A CLASS A
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
October 2004......... 69.92% 70.10% 60.63%
November 2004........ 69.91% 70.10% 60.52%
December 2004........ 69.91% 70.10% 60.40%
January 2005......... 69.91% 70.10% 60.28%
February 2005........ 69.91% 70.10% 60.16%
March 2005........... 69.90% 70.10% 60.04%
April 2005........... 69.90% 70.10% 59.91%
May 2005............. 69.89% 70.10% 59.77%
June 2005............ 69.89% 70.10% 59.64%
July 2005............ 69.88% 70.10% 59.51%
August 2005.......... 69.88% 70.10% 59.37%
September 2005....... 69.88% 70.10% 59.23%
October 2005......... 69.88% 70.10% 59.08%
November 2005........ 69.87% 70.10% 58.94%
December 2005........ 69.87% 70.10% 58.79%
January 2006......... 69.86% 70.10% 58.63%
February 2006........ 69.86% 70.10% 58.49%
March 2006........... 69.86% 70.10% 58.33%
April 2006........... 69.86% 70.05% 58.17%
May 2006............. 69.85% 70.05% 58.02%
June 2006............ 69.85% 70.05% 57.84%
July 2006............ 69.84% 70.05% 57.68%
August 2006.......... 69.84% 70.05% 57.50%
September 2006....... 69.84% 70.05% 57.34%
October 2006......... 69.84% 70.05% 57.16%
November 2006........ 69.83% 70.05% 56.98%
December 2006........ 69.83% 70.05% 56.80%
January 2007......... 69.82% 70.05% 56.62%
February 2007........ 69.82% 70.05% 56.43%
March 2007........... 69.81% 70.05% 56.25%
April 2007........... 69.81% 70.05% 56.06%
May 2007............. 69.81% 70.04% 55.86%
June 2007............ 69.81% 70.05% 55.66%
July 2007............ 69.80% 70.04% 55.47%
August 2007.......... 69.80% 70.05% 55.27%
September 2007....... 69.79% 70.04% 55.06%
October 2007......... 69.79% 70.04% 54.85%
November 2007........ 69.79% 70.04% 54.64%
December 2007........ 69.79% 70.04% 54.42%
January 2008......... 69.78% 70.03% 54.21%
February 2008........ 69.78% 70.04% 54.00%
March 2008........... 69.77% 70.03% 53.77%
April 2008........... 69.77% 70.04% 53.54%
May 2008............. 69.77% 70.03% 53.32%
June 2008............ 69.77% 70.03% 53.09%
July 2008............ 69.76% 70.03% 52.86%
August 2008.......... 69.76% 70.02% 52.62%
September 2008....... 69.75% 70.03% 52.38%
October 2008......... 69.75% 70.02% 52.14%
November 2008........ 69.74% 70.02% 51.93%
December 2008........ 69.74% 70.02% 51.69%
January 2009......... 69.74% 70.02% 51.43%
February 2009........ 69.74% 70.03% 51.18%
March 2009........... 69.73% 70.03% 50.93%
April 2009........... 69.73% 70.02% 50.67%
</TABLE>
E-6-1
<PAGE> 2
CLASS A CLASS PERCENTAGES (CONTINUED)
<TABLE>
<CAPTION>
CLASS A CLASS A CLASS A
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
May 2009............. 69.72% 70.03% 50.41%
June 2009............ 69.72% 70.02% 50.15%
July 2009............ 69.72% 70.03% 49.88%
August 2009.......... 69.72% 70.02% 49.61%
September 2009....... 69.71% 70.02% 49.34%
October 2009......... 69.71% 70.02% 49.06%
November 2009........ 69.70% 70.02% 48.79%
December 2009........ 69.70% 70.02% 48.51%
January 2010......... 69.70% 70.02% 48.23%
February 2010........ 69.70% 70.02% 47.94%
March 2010........... 69.69% 70.02% 47.65%
April 2010........... 69.69% 70.02% 47.37%
May 2010............. 69.68% 70.02% 47.07%
June 2010............ 69.68% 70.02% 46.77%
July 2010............ 69.67% 70.02% 46.47%
August 2010.......... 69.67% 70.02% 46.17%
September 2010....... 69.67% 70.02% 45.86%
October 2010......... 69.67% 70.02% 45.55%
November 2010........ 69.66% 70.02% 45.24%
December 2010........ 69.66% 70.01% 44.93%
January 2011......... 69.65% 70.02% 44.60%
February 2011........ 69.65% 70.01% 44.28%
March 2011........... 69.65% 70.02% 43.96%
April 2011........... 69.65% 70.01% 43.64%
May 2011............. 69.64% 70.01% 43.31%
June 2011............ 69.64% 70.01% 42.98%
July 2011............ 69.63% 70.01% 42.64%
August 2011.......... 69.63% 70.01% 42.30%
September 2011....... 69.63% 70.01% 41.97%
October 2011......... 69.63% 70.00% 41.62%
November 2011........ 69.62% 70.01% 41.27%
December 2011........ 69.62% 70.00% 40.92%
January 2012......... 69.61% 70.01% 40.58%
February 2012........ 69.61% 70.00% 40.21%
March 2012........... 69.60% 70.00% 39.86%
April 2012........... 69.60% 70.00% 39.50%
May 2012............. 69.60% 70.00% 39.13%
June 2012............ 69.60% 70.00% 38.77%
July 2012............ 69.59% 70.00% 38.39%
August 2012.......... 69.59% 70.00% 38.02%
September 2012....... 69.58% 69.98% 37.65%
October 2012......... 69.58% 69.98% 37.27%
November 2012........ 69.58% 69.98% 36.89%
December 2012........ 69.58% 69.98% 36.51%
January 2013......... 69.58% 69.98% 36.12%
February 2013........ 69.58% 69.99% 35.72%
March 2013........... 69.58% 69.99% 35.33%
April 2013........... 69.58% 69.98% 34.93%
May 2013............. 69.58% 69.99% 34.54%
June 2013............ 69.58% 69.98% 34.13%
July 2013............ 69.58% 69.99% 33.72%
August 2013.......... 69.58% 69.98% 33.31%
September 2013....... 69.58% 69.98% 32.90%
October 2013......... 69.58% 69.98% 32.49%
November 2013........ 69.58% 69.96% 32.07%
December 2013........ 69.58% 69.96% 31.65%
January 2014......... 69.57% 69.95% 31.23%
</TABLE>
<TABLE>
<CAPTION>
CLASS A CLASS A CLASS A
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
February 2014........ 69.57% 69.93% 30.80%
March 2014........... 69.57% 69.92% 30.37%
April 2014........... 69.56% 69.90% 29.94%
May 2014............. 69.55% 69.88% 29.50%
June 2014............ 69.55% 69.86% 29.06%
July 2014............ 69.55% 69.84% 28.62%
August 2014.......... 69.53% 69.81% 28.18%
September 2014....... 69.53% 69.77% 27.73%
October 2014......... 69.52% 69.74% 27.28%
November 2014........ 69.51% 69.70% 26.82%
December 2014........ 69.50% 69.66% 26.37%
January 2015......... 69.48% 69.61% 25.91%
February 2015........ 69.47% 69.57% 25.45%
March 2015........... 69.45% 69.51% 24.98%
April 2015........... 69.44% 69.45% 24.51%
May 2015............. 69.41% 69.39% 24.03%
June 2015............ 69.39% 69.32% 23.56%
July 2015............ 69.37% 69.25% 23.09%
August 2015.......... 69.34% 69.18% 22.60%
September 2015....... 69.31% 69.09% 22.11%
October 2015......... 69.28% 69.00% 21.63%
November 2015........ 69.25% 68.92% 21.14%
December 2015........ 69.21% 68.81% 20.64%
January 2016......... 69.17% 68.71% 20.15%
February 2016........ 69.13% 68.59% 19.64%
March 2016........... 69.08% 68.48% 19.15%
April 2016........... 69.03% 68.35% 18.64%
May 2016............. 68.98% 68.22% 18.14%
June 2016............ 68.92% 68.08% 17.61%
July 2016............ 68.86% 67.94% 17.10%
August 2016.......... 68.80% 67.78% 16.58%
September 2016....... 68.73% 67.62% 16.06%
October 2016......... 68.65% 67.45% 15.53%
November 2016........ 68.57% 67.28% 15.01%
December 2016........ 68.50% 67.09% 14.48%
January 2017......... 68.41% 66.90% 13.94%
February 2017........ 68.31% 66.70% 13.41%
March 2017........... 68.22% 66.48% 12.87%
April 2017........... 68.11% 66.27% 12.32%
May 2017............. 68.00% 66.04% 11.77%
June 2017............ 67.89% 65.80% 11.22%
July 2017............ 67.77% 65.55% 10.67%
August 2017.......... 67.63% 65.30% 10.12%
September 2017....... 67.50% 65.03% 9.55%
October 2017......... 67.36% 64.75% 8.99%
November 2017........ 67.21% 64.46% 8.43%
December 2017........ 67.06% 64.16% 7.86%
January 2018......... 66.89% 63.86% 7.28%
February 2018........ 66.72% 63.54% 6.70%
March 2018........... 66.54% 63.20% 6.13%
April 2018........... 66.36% 62.85% 5.55%
May 2018............. 66.16% 62.50% 4.97%
June 2018............ 65.96% 62.13% 4.37%
July 2018............ 65.74% 61.75% 0.00%
August 2018.......... 65.52% 61.37% 0.00%
September 2018....... 65.29% 60.96% 0.00%
October 2018......... 65.05% 60.55% 0.00%
</TABLE>
E-6-2
<PAGE> 3
CLASS A CLASS PERCENTAGES (CONTINUED)
<TABLE>
<CAPTION>
CLASS A CLASS A CLASS A
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
December 2018........ 64.53% 59.66% 0.00%
January 2019......... 64.25% 59.21% 0.00%
February 2019........ 63.97% 58.74% 0.00%
March 2019........... 63.67% 58.25% 0.00%
April 2019........... 63.37% 57.76% 0.00%
May 2019............. 63.05% 57.24% 0.00%
June 2019............ 62.72% 56.71% 0.00%
July 2019............ 62.38% 56.17% 0.00%
August 2019.......... 62.02% 55.62% 0.00%
September 2019....... 61.65% 55.04% 0.00%
October 2019......... 61.27% 54.45% 0.00%
November 2019........ 60.88% 53.84% 0.00%
December 2019........ 60.46% 53.23% 0.00%
January 2020......... 60.04% 52.59% 0.00%
February 2020........ 59.60% 51.94% 0.00%
March 2020........... 59.14% 51.27% 0.00%
April 2020........... 58.67% 50.58% 0.00%
May 2020............. 58.19% 49.88% 0.00%
June 2020............ 57.69% 49.15% 0.00%
July 2020............ 57.17% 48.42% 0.00%
August 2020.......... 56.64% 47.66% 0.00%
September 2020....... 56.09% 46.88% 0.00%
October 2020......... 55.53% 46.10% 0.00%
November 2020........ 54.94% 45.28% 0.00%
December 2020........ 54.33% 44.45% 0.00%
January 2021......... 53.71% 43.60% 0.00%
February 2021........ 53.07% 42.73% 0.00%
March 2021........... 52.41% 41.85% 0.00%
April 2021........... 51.73% 40.94% 0.00%
May 2021............. 51.03% 40.01% 0.00%
June 2021............ 50.31% 39.06% 0.00%
July 2021............ 49.57% 38.09% 0.00%
August 2021.......... 0.00% 0.00% 0.00%
September 2021....... 0.00% 0.00% 0.00%
October 2021......... 0.00% 0.00% 0.00%
</TABLE>
<TABLE>
<CAPTION>
CLASS A CLASS A CLASS A
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
November 2021........ 0.00% 0.00% 0.00%
December 2021........ 0.00% 0.00% 0.00%
January 2022......... 0.00% 0.00% 0.00%
February 2022........ 0.00% 0.00% 0.00%
March 2022........... 0.00% 0.00% 0.00%
April 2022........... 0.00% 0.00% 0.00%
May 2022............. 0.00% 0.00% 0.00%
June 2022............ 0.00% 0.00% 0.00%
July 2022............ 0.00% 0.00% 0.00%
August 2022.......... 0.00% 0.00% 0.00%
September 2022....... 0.00% 0.00% 0.00%
October 2022......... 0.00% 0.00% 0.00%
November 2022........ 0.00% 0.00% 0.00%
December 2022........ 0.00% 0.00% 0.00%
January 2023......... 0.00% 0.00% 0.00%
February 2023........ 0.00% 0.00% 0.00%
March 2023........... 0.00% 0.00% 0.00%
April 2023........... 0.00% 0.00% 0.00%
May 2023............. 0.00% 0.00% 0.00%
June 2023............ 0.00% 0.00% 0.00%
July 2023............ 0.00% 0.00% 0.00%
August 2023.......... 0.00% 0.00% 0.00%
September 2023....... 0.00% 0.00% 0.00%
October 2023......... 0.00% 0.00% 0.00%
November 2023........ 0.00% 0.00% 0.00%
December 2023........ 0.00% 0.00% 0.00%
January 2024......... 0.00% 0.00% 0.00%
February 2024........ 0.00% 0.00% 0.00%
March 2024........... 0.00% 0.00% 0.00%
April 2024........... 0.00% 0.00% 0.00%
May 2024............. 0.00% 0.00% 0.00%
June 2024............ 0.00% 0.00% 0.00%
July 2024............ 0.00% 0.00% 0.00%
August 2024.......... 0.00% 0.00% 0.00%
September 2024....... 0.00% 0.00% 0.00%
October 2024......... 0.00% 0.00% 0.00%
</TABLE>
E-6-3
<PAGE> 1
EXHIBIT 7
CLASS B CLASS PERCENTAGES
<TABLE>
<CAPTION>
CLASS B CLASS B CLASS B
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
March 2000........... 8.23% 8.23% 8.23%
April 2000........... 8.23% 8.23% 8.23%
May 2000............. 8.23% 8.23% 8.23%
June 2000............ 8.23% 8.23% 8.23%
July 2000............ 8.23% 8.23% 8.23%
August 2000.......... 8.23% 8.23% 8.23%
September 2000....... 8.23% 8.23% 8.23%
October 2000......... 8.23% 8.23% 8.22%
November 2000........ 8.23% 8.23% 8.22%
December 2000........ 8.23% 8.23% 8.22%
January 2001......... 8.23% 8.23% 8.21%
February 2001........ 8.23% 8.23% 8.21%
March 2001........... 8.23% 8.23% 8.20%
April 2001........... 8.23% 8.23% 8.20%
May 2001............. 8.23% 8.23% 8.19%
June 2001............ 8.23% 8.23% 8.18%
July 2001............ 8.23% 8.23% 8.18%
August 2001.......... 8.23% 8.23% 8.17%
September 2001....... 8.23% 8.23% 8.16%
October 2001......... 8.23% 8.23% 8.15%
November 2001........ 8.23% 8.23% 8.14%
December 2001........ 8.23% 8.23% 8.13%
January 2002......... 8.23% 8.23% 8.12%
February 2002........ 8.23% 8.23% 8.11%
March 2002........... 8.23% 8.23% 8.10%
April 2002........... 8.23% 8.23% 8.09%
May 2002............. 8.23% 8.23% 8.08%
June 2002............ 8.23% 8.23% 8.06%
July 2002............ 8.23% 8.23% 8.05%
August 2002.......... 8.23% 8.23% 8.04%
September 2002....... 8.23% 8.23% 8.02%
October 2002......... 8.23% 8.23% 8.01%
November 2002........ 8.23% 8.23% 7.99%
December 2002........ 8.23% 8.23% 7.98%
January 2003......... 8.23% 8.23% 7.96%
February 2003........ 8.23% 8.23% 7.95%
March 2003........... 8.23% 8.23% 7.93%
April 2003........... 8.23% 8.23% 7.91%
May 2003............. 8.23% 8.23% 7.89%
June 2003............ 8.23% 8.23% 7.87%
July 2003............ 8.23% 8.23% 7.86%
August 2003.......... 8.23% 8.23% 7.84%
September 2003....... 8.23% 8.23% 7.82%
October 2003......... 8.23% 8.23% 7.79%
November 2003........ 8.23% 8.23% 7.77%
December 2003........ 8.23% 8.23% 7.75%
January 2004......... 8.23% 8.23% 7.73%
February 2004........ 8.23% 8.23% 7.71%
March 2004........... 8.23% 8.23% 7.68%
April 2004........... 8.23% 8.23% 7.66%
May 2004............. 8.23% 8.23% 7.64%
June 2004............ 8.23% 8.23% 7.61%
July 2004............ 8.23% 8.23% 7.59%
August 2004.......... 8.23% 8.23% 7.56%
September 2004....... 8.23% 8.23% 7.53%
</TABLE>
<TABLE>
<CAPTION>
CLASS B CLASS B CLASS B
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
October 2004......... 8.22% 8.23% 7.51%
November 2004........ 8.22% 8.23% 7.48%
December 2004........ 8.22% 8.23% 7.45%
January 2005......... 8.22% 8.23% 7.42%
February 2005........ 8.22% 8.23% 7.40%
March 2005........... 8.22% 8.23% 7.37%
April 2005........... 8.22% 8.23% 7.34%
May 2005............. 8.22% 8.23% 7.31%
June 2005............ 8.22% 8.23% 7.27%
July 2005............ 8.22% 8.23% 7.24%
August 2005.......... 8.21% 8.23% 7.21%
September 2005....... 8.21% 8.23% 7.18%
October 2005......... 8.21% 8.23% 7.15%
November 2005........ 8.21% 8.23% 7.11%
December 2005........ 8.21% 8.23% 7.08%
January 2006......... 8.21% 8.23% 7.04%
February 2006........ 8.21% 8.23% 7.01%
March 2006........... 8.20% 8.23% 6.97%
April 2006........... 8.20% 8.23% 6.94%
May 2006............. 8.20% 8.23% 6.90%
June 2006............ 8.20% 8.23% 6.86%
July 2006............ 8.19% 8.23% 6.83%
August 2006.......... 8.19% 8.23% 6.79%
September 2006....... 8.19% 8.23% 6.75%
October 2006......... 8.19% 8.23% 6.71%
November 2006........ 8.18% 8.23% 6.67%
December 2006........ 8.18% 8.23% 6.63%
January 2007......... 8.18% 8.23% 6.59%
February 2007........ 8.18% 8.23% 6.55%
March 2007........... 8.17% 8.23% 6.51%
April 2007........... 8.17% 8.23% 6.46%
May 2007............. 8.17% 8.23% 6.42%
June 2007............ 8.16% 8.23% 6.38%
July 2007............ 8.16% 8.23% 6.33%
August 2007.......... 8.16% 8.23% 6.29%
September 2007....... 8.15% 8.23% 6.24%
October 2007......... 8.15% 8.23% 6.20%
November 2007........ 8.14% 8.23% 6.15%
December 2007........ 8.14% 8.23% 6.10%
January 2008......... 8.13% 8.23% 6.06%
February 2008........ 8.13% 8.23% 6.01%
March 2008........... 8.13% 8.23% 5.96%
April 2008........... 8.12% 8.23% 5.91%
May 2008............. 8.11% 8.23% 5.86%
June 2008............ 8.11% 8.23% 5.81%
July 2008............ 8.10% 8.23% 5.76%
August 2008.......... 8.10% 8.23% 5.71%
September 2008....... 8.09% 8.02% 5.66%
October 2008......... 8.09% 7.99% 5.61%
November 2008........ 8.08% 7.96% 5.56%
December 2008........ 8.07% 7.93% 5.50%
January 2009......... 8.07% 7.90% 5.45%
February 2009........ 8.06% 7.87% 5.40%
March 2009........... 8.05% 7.84% 5.34%
April 2009........... 8.04% 7.81% 5.29%
</TABLE>
E-7-1
<PAGE> 2
CLASS B CLASS PERCENTAGES (CONTINUED)
<TABLE>
<CAPTION>
CLASS B CLASS B CLASS B
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
May 2009............. 8.04% 7.78% 5.23%
June 2009............ 8.03% 7.74% 5.17%
July 2009............ 8.02% 7.71% 5.12%
August 2009.......... 8.01% 7.67% 5.06%
September 2009....... 8.00% 7.64% 5.00%
October 2009......... 7.99% 7.60% 4.94%
November 2009........ 7.98% 7.57% 4.89%
December 2009........ 7.97% 7.53% 4.83%
January 2010......... 7.96% 7.49% 4.77%
February 2010........ 7.95% 7.45% 4.71%
March 2010........... 7.94% 7.41% 4.65%
April 2010........... 7.93% 7.37% 4.58%
May 2010............. 7.92% 7.33% 4.52%
June 2010............ 7.91% 7.29% 4.46%
July 2010............ 7.90% 7.24% 4.40%
August 2010.......... 7.89% 7.20% 4.33%
September 2010....... 7.87% 7.15% 4.27%
October 2010......... 7.86% 7.10% 4.20%
November 2010........ 7.85% 7.05% 4.14%
December 2010........ 7.83% 7.00% 4.07%
January 2011......... 7.82% 6.95% 4.01%
February 2011........ 7.80% 6.90% 3.94%
March 2011........... 7.79% 6.85% 3.87%
April 2011........... 7.77% 6.79% 3.80%
May 2011............. 7.76% 6.74% 3.73%
June 2011............ 7.74% 6.68% 3.67%
July 2011............ 7.73% 6.63% 3.60%
August 2011.......... 7.71% 6.57% 3.53%
September 2011....... 7.69% 6.51% 3.46%
October 2011......... 7.68% 6.45% 3.38%
November 2011........ 7.66% 6.39% 3.31%
December 2011........ 7.64% 6.33% 3.24%
January 2012......... 7.62% 6.27% 3.17%
February 2012........ 7.60% 6.21% 3.09%
March 2012........... 7.58% 6.15% 3.02%
April 2012........... 7.56% 6.08% 2.95%
May 2012............. 7.54% 6.01% 2.87%
June 2012............ 7.52% 5.95% 2.80%
July 2012............ 7.50% 5.88% 2.72%
August 2012.......... 7.47% 5.81% 2.64%
September 2012....... 7.45% 5.74% 2.57%
October 2012......... 7.43% 5.67% 2.49%
November 2012........ 7.40% 5.59% 2.41%
December 2012........ 7.38% 5.52% 2.33%
January 2013......... 7.35% 5.44% 2.25%
February 2013........ 7.33% 5.37% 2.17%
March 2013........... 7.30% 5.29% 2.09%
April 2013........... 7.27% 5.29% 2.01%
May 2013............. 7.25% 5.30% 1.93%
June 2013............ 7.22% 5.30% 1.85%
July 2013............ 7.19% 5.31% 1.77%
August 2013.......... 7.16% 5.31% 1.68%
September 2013....... 7.13% 5.31% 1.60%
October 2013......... 7.10% 5.32% 1.51%
November 2013........ 7.07% 5.32% 1.43%
December 2013........ 7.04% 5.31% 1.34%
January 2014......... 7.01% 5.31% 1.26%
</TABLE>
<TABLE>
<CAPTION>
CLASS B CLASS B CLASS B
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
February 2014........ 6.97% 5.30% 1.17%
March 2014........... 6.94% 5.29% 1.09%
April 2014........... 6.91% 5.28% 1.00%
May 2014............. 6.87% 5.26% 0.91%
June 2014............ 6.83% 5.24% 0.82%
July 2014............ 6.80% 5.23% 0.73%
August 2014.......... 6.76% 5.21% 0.64%
September 2014....... 6.72% 5.19% 0.55%
October 2014......... 6.68% 5.17% 0.46%
November 2014........ 6.64% 5.15% 0.37%
December 2014........ 6.60% 5.12% 0.28%
January 2015......... 6.56% 5.10% 0.19%
February 2015........ 6.52% 5.07% 0.09%
March 2015........... 6.48% 5.05% 0.00%
April 2015........... 6.43% 5.01% 0.00%
May 2015............. 6.39% 4.98% 0.00%
June 2015............ 6.34% 4.94% 0.00%
July 2015............ 6.30% 4.90% 0.00%
August 2015.......... 6.25% 4.85% 0.00%
September 2015....... 6.20% 4.80% 0.00%
October 2015......... 6.15% 4.75% 0.00%
November 2015........ 6.10% 4.69% 0.00%
December 2015........ 6.05% 4.62% 0.00%
January 2016......... 6.00% 4.55% 0.00%
February 2016........ 5.95% 4.48% 0.00%
March 2016........... 5.89% 4.40% 0.00%
April 2016........... 5.84% 4.31% 0.00%
May 2016............. 5.78% 4.21% 0.00%
June 2016............ 5.73% 4.11% 0.00%
July 2016............ 5.67% 3.98% 0.00%
August 2016.......... 5.61% 3.84% 0.00%
September 2016....... 5.55% 3.70% 0.00%
October 2016......... 5.49% 3.53% 0.00%
November 2016........ 5.43% 3.34% 0.00%
December 2016........ 5.37% 3.13% 0.00%
January 2017......... 5.30% 2.91% 0.00%
February 2017........ 5.24% 2.66% 0.00%
March 2017........... 5.17% 2.38% 0.00%
April 2017........... 5.11% 2.06% 0.00%
May 2017............. 5.04% 1.72% 0.00%
June 2017............ 4.97% 1.34% 0.00%
July 2017............ 4.90% 0.94% 0.00%
August 2017.......... 4.83% 0.49% 0.00%
September 2017....... 4.75% 0.00% 0.00%
October 2017......... 4.68% 0.00% 0.00%
November 2017........ 4.60% 0.00% 0.00%
December 2017........ 4.53% 0.00% 0.00%
January 2018......... 4.45% 0.00% 0.00%
February 2018........ 4.37% 0.00% 0.00%
March 2018........... 4.29% 0.00% 0.00%
April 2018........... 4.21% 0.00% 0.00%
May 2018............. 4.13% 0.00% 0.00%
June 2018............ 4.04% 0.00% 0.00%
July 2018............ 3.96% 0.00% 0.00%
August 2018.......... 3.87% 0.00% 0.00%
September 2018....... 3.78% 0.00% 0.00%
October 2018......... 3.69% 0.00% 0.00%
</TABLE>
E-7-2
<PAGE> 3
CLASS B CLASS PERCENTAGES (CONTINUED)
<TABLE>
<CAPTION>
CLASS B CLASS B CLASS B
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
December 2018........ 3.51% 0.00% 0.00%
January 2019......... 3.41% 0.00% 0.00%
February 2019........ 3.32% 0.00% 0.00%
March 2019........... 3.22% 0.00% 0.00%
April 2019........... 3.12% 0.00% 0.00%
May 2019............. 3.02% 0.00% 0.00%
June 2019............ 2.92% 0.00% 0.00%
July 2019............ 2.82% 0.00% 0.00%
August 2019.......... 2.72% 0.00% 0.00%
September 2019....... 2.61% 0.00% 0.00%
October 2019......... 2.50% 0.00% 0.00%
November 2019........ 2.39% 0.00% 0.00%
December 2019........ 2.28% 0.00% 0.00%
January 2020......... 2.17% 0.00% 0.00%
February 2020........ 2.06% 0.00% 0.00%
March 2020........... 1.94% 0.00% 0.00%
April 2020........... 1.82% 0.00% 0.00%
May 2020............. 1.71% 0.00% 0.00%
June 2020............ 1.58% 0.00% 0.00%
July 2020............ 1.46% 0.00% 0.00%
August 2020.......... 1.34% 0.00% 0.00%
September 2020....... 1.21% 0.00% 0.00%
October 2020......... 1.09% 0.00% 0.00%
November 2020........ 0.96% 0.00% 0.00%
December 2020........ 0.82% 0.00% 0.00%
January 2021......... 0.69% 0.00% 0.00%
February 2021........ 0.56% 0.00% 0.00%
March 2021........... 0.42% 0.00% 0.00%
April 2021........... 0.28% 0.00% 0.00%
May 2021............. 0.14% 0.00% 0.00%
June 2021............ 0.00% 0.00% 0.00%
July 2021............ 0.00% 0.00% 0.00%
August 2021.......... 0.00% 0.00% 0.00%
September 2021....... 0.00% 0.00% 0.00%
October 2021......... 0.00% 0.00% 0.00%
</TABLE>
<TABLE>
<CAPTION>
CLASS B CLASS B CLASS B
PAYMENT DATE MINIMUM SCHEDULED SUPPLEMENTAL
OCCURRING IN PERCENTAGE PERCENTAGE PERCENTAGE
- ------------ ---------- ---------- ------------
<S> <C> <C> <C>
November 2021........ 0.00% 0.00% 0.00%
December 2021........ 0.00% 0.00% 0.00%
January 2022......... 0.00% 0.00% 0.00%
February 2022........ 0.00% 0.00% 0.00%
March 2022........... 0.00% 0.00% 0.00%
April 2022........... 0.00% 0.00% 0.00%
May 2022............. 0.00% 0.00% 0.00%
June 2022............ 0.00% 0.00% 0.00%
July 2022............ 0.00% 0.00% 0.00%
August 2022.......... 0.00% 0.00% 0.00%
September 2022....... 0.00% 0.00% 0.00%
October 2022......... 0.00% 0.00% 0.00%
November 2022........ 0.00% 0.00% 0.00%
December 2022........ 0.00% 0.00% 0.00%
January 2023......... 0.00% 0.00% 0.00%
February 2023........ 0.00% 0.00% 0.00%
March 2023........... 0.00% 0.00% 0.00%
April 2023........... 0.00% 0.00% 0.00%
May 2023............. 0.00% 0.00% 0.00%
June 2023............ 0.00% 0.00% 0.00%
July 2023............ 0.00% 0.00% 0.00%
August 2023.......... 0.00% 0.00% 0.00%
September 2023....... 0.00% 0.00% 0.00%
October 2023......... 0.00% 0.00% 0.00%
November 2023........ 0.00% 0.00% 0.00%
December 2023........ 0.00% 0.00% 0.00%
January 2024......... 0.00% 0.00% 0.00%
February 2024........ 0.00% 0.00% 0.00%
March 2024........... 0.00% 0.00% 0.00%
April 2024........... 0.00% 0.00% 0.00%
May 2024............. 0.00% 0.00% 0.00%
June 2024............ 0.00% 0.00% 0.00%
July 2024............ 0.00% 0.00% 0.00%
August 2024.......... 0.00% 0.00% 0.00%
September 2024....... 0.00% 0.00% 0.00%
October 2024......... 0.00% 0.00% 0.00%
</TABLE>
E-7-3
<PAGE> 1
EXHIBIT 8
CLASS C TARGET PRINCIPAL BALANCES
<TABLE>
<CAPTION>
CLASS C CLASS C
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
(US$) (US$)
<S> <C> <C>
March 2000............. 159,800,000 159,800,000
April 2000............. 159,800,000 159,688,140
May 2000............... 159,800,000 159,592,260
June 2000.............. 159,800,000 159,480,400
July 2000.............. 159,800,000 159,352,560
August 2000............ 159,800,000 159,224,720
September 2000......... 159,800,000 159,096,880
October 2000........... 159,800,000 158,953,060
November 2000.......... 159,800,000 158,809,240
December 2000.......... 159,800,000 158,665,420
January 2001........... 159,800,000 158,489,640
February 2001.......... 159,800,000 158,329,840
March 2001............. 159,800,000 158,154,060
April 2001............. 159,800,000 157,978,280
May 2001............... 159,800,000 157,786,520
June 2001.............. 159,800,000 157,594,760
July 2001.............. 159,800,000 157,387,020
August 2001............ 159,800,000 157,179,280
September 2001......... 159,800,000 156,955,560
October 2001........... 159,800,000 156,731,840
November 2001.......... 159,800,000 156,508,120
December 2001.......... 159,800,000 156,268,420
January 2002........... 159,800,000 156,012,740
February 2002.......... 159,800,000 155,757,060
March 2002............. 159,784,020 155,501,380
April 2002............. 159,768,040 155,229,720
May 2002............... 159,752,060 154,942,080
June 2002.............. 159,704,120 154,654,440
July 2002.............. 159,672,160 154,366,800
August 2002............ 159,624,220 154,063,180
September 2002......... 159,576,280 153,775,540
October 2002........... 159,512,360 153,455,940
November 2002.......... 159,448,440 153,120,360
December 2002.......... 159,384,520 152,800,760
January 2003........... 159,304,620 152,449,200
February 2003.......... 159,208,740 152,113,620
March 2003............. 159,112,860 151,762,060
April 2003............. 159,016,980 151,410,500
May 2003............... 158,905,120 151,042,960
June 2003.............. 158,777,280 150,659,440
July 2003.............. 158,649,440 150,291,900
August 2003............ 158,521,600 149,908,380
September 2003......... 158,377,780 149,492,900
October 2003........... 158,233,960 149,093,400
November 2003.......... 158,058,180 148,677,920
December 2003.......... 157,898,380 148,262,440
January 2004........... 157,738,580 147,846,960
February 2004.......... 157,546,820 147,415,500
March 2004............. 157,355,060 146,968,060
April 2004............. 157,163,300 146,520,620
May 2004............... 156,971,540 146,057,200
June 2004.............. 156,763,800 145,593,780
July 2004.............. 156,540,080 145,114,380
August 2004............ 156,316,360 144,634,980
</TABLE>
<TABLE>
<CAPTION>
CLASS C CLASS C
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
(US$) (US$)
<S> <C> <C>
September 2004......... 156,076,660 144,139,600
October 2004........... 155,836,960 143,628,240
November 2004.......... 155,581,280 143,132,860
December 2004.......... 155,325,600 142,621,500
January 2005........... 155,069,920 142,094,160
February 2005.......... 154,782,280 141,566,820
March 2005............. 154,510,620 141,023,500
April 2005............. 154,222,980 140,496,160
May 2005............... 153,919,360 139,920,880
June 2005.............. 153,615,740 139,377,560
July 2005.............. 153,296,140 138,786,300
August 2005............ 152,976,540 138,211,020
September 2005......... 152,640,960 137,635,740
October 2005........... 152,305,380 137,044,480
November 2005.......... 151,953,820 136,437,240
December 2005.......... 151,602,260 135,830,000
January 2006........... 151,234,720 135,206,780
February 2006.......... 150,867,180 134,583,560
March 2006............. 150,483,660 133,944,360
April 2006............. 150,100,140 133,289,180
May 2006............... 149,700,640 132,634,000
June 2006.............. 149,285,160 131,962,840
July 2006.............. 148,869,680 131,307,660
August 2006............ 148,454,200 130,620,520
September 2006......... 148,022,740 129,933,380
October 2006........... 147,575,300 129,230,260
November 2006.......... 147,127,860 128,527,140
December 2006.......... 146,664,440 127,808,040
January 2007........... 146,201,020 127,088,940
February 2007.......... 145,721,620 126,353,860
March 2007............. 145,226,240 125,618,780
April 2007............. 144,746,840 124,867,720
May 2007............... 144,235,480 124,100,680
June 2007.............. 143,724,120 123,333,640
July 2007.............. 143,196,780 122,550,620
August 2007............ 142,669,440 121,751,620
September 2007......... 142,126,120 120,968,600
October 2007........... 141,582,800 120,153,620
November 2007.......... 141,007,520 119,338,640
December 2007.......... 140,448,220 118,507,680
January 2008........... 139,872,940 117,676,720
February 2008.......... 139,281,680 116,829,780
March 2008............. 138,674,440 115,966,860
April 2008............. 138,083,180 115,103,940
May 2008............... 137,459,960 114,241,020
June 2008.............. 136,836,740 113,346,140
July 2008.............. 136,181,560 112,451,260
August 2008............ 135,542,360 111,540,400
September 2008......... 134,887,180 110,645,520
October 2008........... 134,216,020 109,718,680
November 2008.......... 133,544,860 108,791,840
December 2008.......... 132,857,720 107,833,040
January 2009........... 132,154,600 106,874,240
February 2009.......... 131,451,480 105,915,440
</TABLE>
E-8-1
<PAGE> 2
CLASS C TARGET PRINCIPAL BALANCES (CONTINUED)
<TABLE>
<CAPTION>
CLASS C CLASS C
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
(US$) (US$)
<S> <C> <C>
March 2009............. 130,732,380 104,940,660
April 2009............. 129,997,300 103,949,900
May 2009............... 129,262,220 102,959,140
June 2009.............. 128,511,160 101,952,400
July 2009.............. 127,744,120 100,929,680
August 2009............ 126,977,080 99,906,960
September 2009......... 126,194,060 98,852,280
October 2009........... 125,411,040 97,813,580
November 2009.......... 124,596,060 96,742,920
December 2009.......... 123,781,080 95,672,260
January 2010........... 122,966,100 94,585,620
February 2010.......... 122,119,160 93,483,000
March 2010............. 121,272,220 92,380,380
April 2010............. 120,409,300 91,261,780
May 2010............... 119,530,400 90,127,200
June 2010.............. 118,651,500 88,992,620
July 2010.............. 117,756,620 87,842,060
August 2010............ 116,845,760 86,675,520
September 2010......... 115,934,900 85,493,000
October 2010........... 114,992,080 84,310,480
November 2010.......... 114,049,260 83,111,980
December 2010.......... 113,106,440 81,897,500
January 2011........... 112,131,660 80,683,020
February 2011.......... 111,156,880 79,436,580
March 2011............. 110,166,120 78,190,140
April 2011............. 109,159,380 76,927,720
May 2011............... 108,136,660 75,649,320
June 2011.............. 107,113,940 74,370,920
July 2011.............. 106,059,260 73,060,560
August 2011............ 105,020,560 71,766,180
September 2011......... 103,949,900 70,439,840
October 2011........... 102,863,260 69,097,520
November 2011.......... 101,776,620 67,755,200
December 2011.......... 100,658,020 66,380,920
January 2012........... 99,539,420 65,006,640
February 2012.......... 98,404,840 63,616,380
March 2012............. 97,270,260 62,210,140
April 2012............. 96,103,720 60,803,900
May 2012............... 94,921,200 59,365,700
June 2012.............. 93,738,680 57,911,520
July 2012.............. 92,540,180 56,473,320
August 2012............ 91,325,700 55,003,160
September 2012......... 90,095,240 53,501,040
October 2012........... 88,848,800 52,014,900
November 2012.......... 87,570,400 50,480,820
December 2012.......... 86,307,980 48,962,720
January 2013........... 85,013,600 47,412,660
February 2013.......... 83,719,220 45,878,580
March 2013............. 82,392,880 44,296,560
April 2013............. 81,066,540 42,714,540
May 2013............... 79,708,240 41,100,560
June 2013.............. 78,349,940 39,486,580
July 2013.............. 76,959,680 37,872,600
August 2013............ 75,585,400 37,377,220
September 2013......... 74,163,180 36,881,840
October 2013........... 72,740,960 36,386,460
</TABLE>
<TABLE>
<CAPTION>
CLASS C CLASS C
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
(US$) (US$)
<S> <C> <C>
November 2013.......... 71,302,760 35,859,120
December 2013.......... 69,848,580 35,347,760
January 2014........... 68,362,440 34,804,440
February 2014.......... 66,876,300 34,261,120
March 2014............. 65,358,200 33,717,800
April 2014............. 63,840,100 33,142,520
May 2014............... 62,306,020 32,583,220
June 2014.............. 60,755,960 31,991,960
July 2014.............. 59,173,940 31,400,700
August 2014............ 57,591,920 30,809,440
September 2014......... 55,977,940 30,186,220
October 2014........... 54,347,980 29,563,000
November 2014.......... 52,702,040 28,923,800
December 2014.......... 51,056,100 28,284,600
January 2015........... 49,362,220 27,629,420
February 2015.......... 47,668,340 26,958,260
March 2015............. 45,958,480 26,287,100
April 2015............. 44,232,640 25,583,980
May 2015............... 42,474,840 24,896,840
June 2015.............. 40,717,040 24,177,740
July 2015.............. 38,927,280 23,458,640
August 2015............ 38,383,960 22,707,580
September 2015......... 37,824,660 21,972,500
October 2015........... 37,249,380 21,205,460
November 2015.......... 36,674,100 20,438,420
December 2015.......... 36,066,860 19,639,420
January 2016........... 35,475,600 18,840,420
February 2016.......... 34,852,380 18,041,420
March 2016............. 34,229,160 17,210,460
April 2016............. 33,589,960 16,379,500
May 2016............... 32,934,780 15,532,560
June 2016.............. 32,263,620 14,653,660
July 2016.............. 31,592,460 13,774,760
August 2016............ 30,905,320 12,879,880
September 2016......... 30,202,200 11,985,000
October 2016........... 29,483,100 11,074,140
November 2016.......... 28,764,000 10,131,320
December 2016.......... 28,012,940 9,188,500
January 2017........... 27,261,880 8,229,700
February 2017.......... 26,494,840 7,254,920
March 2017............. 25,711,820 6,264,160
April 2017............. 24,912,820 5,257,420
May 2017............... 24,113,820 4,234,700
June 2017.............. 23,282,860 3,196,000
July 2017.............. 22,451,900 2,141,320
August 2017............ 21,588,980 1,086,640
September 2017......... 20,726,060 --
October 2017........... 19,847,160 --
November 2017.......... 18,952,280 --
December 2017.......... 18,041,420 --
January 2018........... 17,114,580 --
February 2018.......... 16,155,780 --
March 2018............. 15,196,980 --
April 2018............. 14,222,200 --
May 2018............... 13,231,440 --
June 2018.............. 12,224,700 --
</TABLE>
E-8-2
<PAGE> 3
CLASS C TARGET PRINCIPAL BALANCES (CONTINUED)
<TABLE>
<CAPTION>
CLASS C CLASS C
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
(US$) (US$)
<S> <C> <C>
August 2018............ 10,163,280 --
September 2018......... 9,108,600 --
October 2018........... 8,021,960 --
November 2018.......... 6,935,320 --
December 2018.......... 5,816,720 --
January 2019........... 4,698,120 --
February 2019.......... 3,547,560 --
March 2019............. 2,381,020 --
April 2019............. 1,198,500 --
May 2019............... -- --
June 2019.............. -- --
July 2019.............. -- --
August 2019............ -- --
September 2019......... -- --
October 2019........... -- --
November 2019.......... -- --
December 2019.......... -- --
January 2020........... -- --
February 2020.......... -- --
March 2020............. -- --
April 2020............. -- --
May 2020............... -- --
June 2020.............. -- --
July 2020.............. -- --
August 2020............ -- --
September 2020......... -- --
October 2020........... -- --
November 2020.......... -- --
December 2020.......... -- --
January 2021........... -- --
February 2021.......... -- --
March 2021............. -- --
April 2021............. -- --
May 2021............... -- --
June 2021.............. -- --
July 2021.............. -- --
August 2021............ -- --
</TABLE>
<TABLE>
<CAPTION>
CLASS C CLASS C
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
(US$) (US$)
<S> <C> <C>
September 2021......... -- --
October 2021........... -- --
November 2021.......... -- --
December 2021.......... -- --
January 2022........... -- --
February 2022.......... -- --
March 2022............. -- --
April 2022............. -- --
May 2022............... -- --
June 2022.............. -- --
July 2022.............. -- --
August 2022............ -- --
September 2022......... -- --
October 2022........... -- --
November 2022.......... -- --
December 2022.......... -- --
January 2023........... -- --
February 2023.......... -- --
March 2023............. -- --
April 2023............. -- --
May 2023............... -- --
June 2023.............. -- --
July 2023.............. -- --
August 2023............ -- --
September 2023......... -- --
October 2023........... -- --
November 2023.......... -- --
December 2023.......... -- --
January 2024........... -- --
February 2024.......... -- --
March 2024............. -- --
April 2024............. -- --
May 2024............... -- --
June 2024.............. -- --
July 2024.............. -- --
August 2024............ -- --
September 2024......... -- --
October 2024........... -- --
</TABLE>
E-8-3
<PAGE> 1
EXHIBIT 9
CLASS D TARGET PRINCIPAL BALANCES
<TABLE>
<CAPTION>
CLASS D CLASS D
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
(US$) (US$)
<S> <C> <C>
March 2000........... 110,000,000 110,000,000
April 2000........... 110,000,000 110,000,000
May 2000............. 110,000,000 110,000,000
June 2000............ 110,000,000 110,000,000
July 2000............ 110,000,000 110,000,000
August 2000.......... 110,000,000 110,000,000
September 2000....... 110,000,000 110,000,000
October 2000......... 110,000,000 109,999,467
November 2000........ 110,000,000 109,997,175
December 2000........ 110,000,000 109,992,508
January 2001......... 110,000,000 109,985,035
February 2001........ 110,000,000 109,974,404
March 2001........... 110,000,000 109,960,316
April 2001........... 110,000,000 109,942,503
May 2001............. 110,000,000 109,920,727
June 2001............ 110,000,000 109,894,765
July 2001............ 110,000,000 109,864,413
August 2001.......... 110,000,000 109,829,479
September 2001....... 110,000,000 109,789,782
October 2001......... 110,000,000 109,745,152
November 2001........ 110,000,000 109,695,426
December 2001........ 110,000,000 109,640,449
January 2002......... 110,000,000 109,580,070
February 2002........ 110,000,000 109,514,148
March 2002........... 110,000,000 109,442,544
April 2002........... 109,999,964 109,365,125
May 2002............. 109,999,750 109,281,762
June 2002............ 109,999,231 109,192,330
July 2002............ 109,998,291 109,096,708
August 2002.......... 109,996,824 108,994,779
September 2002....... 109,994,732 108,886,428
October 2002......... 109,991,919 108,771,542
November 2002........ 109,988,294 108,650,013
December 2002........ 109,983,767 108,521,734
January 2003......... 109,978,253 108,386,602
February 2003........ 109,971,667 108,244,514
March 2003........... 109,963,927 108,095,372
April 2003........... 109,954,953 107,939,076
May 2003............. 109,944,664 107,775,533
June 2003............ 109,932,985 107,604,647
July 2003............ 109,919,838 107,426,326
August 2003.......... 109,905,147 107,240,481
September 2003....... 109,888,839 107,047,023
October 2003......... 109,870,840 106,845,863
November 2003........ 109,851,078 106,636,915
December 2003........ 109,829,481 106,420,097
January 2004......... 109,805,978 106,195,323
February 2004........ 109,780,499 105,962,511
March 2004........... 109,752,976 105,721,582
April 2004........... 109,723,339 105,472,455
May 2004............. 109,691,520 105,215,053
June 2004............ 109,657,452 104,949,296
July 2004............ 109,621,068 104,675,109
August 2004.......... 109,582,302 104,392,417
</TABLE>
<TABLE>
(US$) (US$)
<CAPTION>
CLASS D CLASS D
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
<S> <C> <C>
September 2004....... 109,541,088 104,101,145
October 2004......... 109,497,362 103,801,220
November 2004........ 109,451,057 103,492,568
December 2004........ 109,402,110 103,175,118
January 2005......... 109,350,458 102,848,800
February 2005........ 109,296,036 102,513,543
March 2005........... 109,238,782 102,169,278
April 2005........... 109,178,633 101,815,937
May 2005............. 109,115,527 101,453,451
June 2005............ 109,049,402 101,081,754
July 2005............ 108,980,197 100,700,779
August 2005.......... 108,907,850 100,310,462
September 2005....... 108,832,301 99,910,736
October 2005......... 108,753,490 99,501,537
November 2005........ 108,671,357 99,082,802
December 2005........ 108,585,840 98,654,468
January 2006......... 108,496,882 98,216,473
February 2006........ 108,404,423 97,768,754
March 2006........... 108,308,404 97,311,250
April 2006........... 108,208,766 96,843,901
May 2006............. 108,105,452 96,366,646
June 2006............ 107,998,402 95,879,426
July 2006............ 107,887,560 95,382,181
August 2006.......... 107,772,867 94,874,854
September 2006....... 107,654,266 94,357,385
October 2006......... 107,531,701 93,829,717
November 2006........ 107,405,114 93,291,793
December 2006........ 107,274,449 92,743,556
January 2007......... 107,139,650 92,184,951
February 2007........ 107,000,660 91,615,920
March 2007........... 106,857,423 91,036,410
April 2007........... 106,709,884 90,446,364
May 2007............. 106,557,987 89,845,729
June 2007............ 106,401,676 89,234,450
July 2007............ 106,240,898 88,612,474
August 2007.......... 106,075,596 87,979,746
September 2007....... 105,905,716 87,336,215
October 2007......... 105,731,204 86,681,828
November 2007........ 105,552,004 86,016,532
December 2007........ 105,368,064 85,340,276
January 2008......... 105,179,329 84,653,009
February 2008........ 104,985,745 83,954,678
March 2008........... 104,787,259 83,245,234
April 2008........... 104,583,816 82,524,625
May 2008............. 104,375,365 81,792,802
June 2008............ 104,161,850 81,049,716
July 2008............ 103,943,221 80,295,316
August 2008.......... 103,719,423 79,529,553
September 2008....... 103,490,405 78,752,379
October 2008......... 103,256,113 77,963,745
November 2008........ 103,016,495 77,163,603
December 2008........ 102,771,500 76,351,905
January 2009......... 102,521,074 75,528,603
February 2009........ 102,265,166 74,693,649
</TABLE>
E-9-1
<PAGE> 2
CLASS D TARGET PRINCIPAL BALANCES (CONTINUED)
<TABLE>
<CAPTION>
CLASS D CLASS D
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
(US$) (US$)
<S> <C> <C>
March 2009........... 102,003,725 73,846,998
April 2009........... 101,736,698 72,988,602
May 2009............. 101,464,034 72,118,414
June 2009............ 101,185,682 71,236,389
July 2009............ 100,901,591 70,342,480
August 2009.......... 100,611,709 69,436,641
September 2009....... 100,315,985 68,518,827
October 2009......... 100,014,369 67,588,993
November 2009........ 99,706,810 66,647,094
December 2009........ 99,393,256 65,693,085
January 2010......... 99,073,659 64,726,922
February 2010........ 98,747,967 63,748,560
March 2010........... 98,416,130 62,757,955
April 2010........... 98,078,099 61,755,064
May 2010............. 97,733,822 60,739,843
June 2010............ 97,383,250 59,712,248
July 2010............ 97,026,334 58,672,237
August 2010.......... 96,663,024 57,619,767
September 2010....... 96,293,270 56,554,794
October 2010......... 95,917,023 55,477,277
November 2010........ 95,534,233 54,387,174
December 2010........ 95,144,852 53,284,441
January 2011......... 94,748,829 52,169,038
February 2011........ 94,346,117 51,040,922
March 2011........... 93,936,666 49,900,053
April 2011........... 93,520,427 48,746,388
May 2011............. 93,097,353 47,579,888
June 2011............ 92,667,393 46,400,510
July 2011............ 92,230,500 45,208,215
August 2011.......... 91,786,625 44,002,962
September 2011....... 91,335,720 42,784,710
October 2011......... 90,877,737 41,553,420
November 2011........ 90,412,628 40,309,052
December 2011........ 89,940,344 39,051,565
January 2012......... 89,460,838 37,780,920
February 2012........ 88,974,061 36,497,078
March 2012........... 88,479,967 35,200,000
April 2012........... 87,978,507 33,889,646
May 2012............. 87,469,634 32,565,978
June 2012............ 86,953,300 31,228,957
July 2012............ 86,429,459 29,878,543
August 2012.......... 85,898,062 28,514,700
September 2012....... 85,359,062 27,137,389
October 2012......... 84,812,413 25,746,570
November 2012........ 84,258,067 24,342,208
December 2012........ 83,695,978 22,924,263
January 2013......... 83,126,098 21,492,699
February 2013........ 82,548,380 20,047,477
March 2013........... 81,962,779 18,588,561
April 2013........... 81,369,247 17,115,913
May 2013............. 80,767,737 15,629,496
June 2013............ 80,158,204 14,129,273
July 2013............ 79,540,600 12,615,208
August 2013.......... 78,914,880 11,087,264
September 2013....... 78,280,998 9,545,405
October 2013......... 77,638,906 7,989,594
</TABLE>
<TABLE>
(US$) (US$)
<CAPTION>
CLASS D CLASS D
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
<S> <C> <C>
November 2013........ 76,988,559 6,419,794
December 2013........ 76,329,911 4,835,971
January 2014......... 75,662,916 3,238,088
February 2014........ 74,987,529 1,626,110
March 2014........... 74,303,702 --
April 2014........... 73,611,391 --
May 2014............. 72,910,550 --
June 2014............ 72,201,134 --
July 2014............ 71,483,096 --
August 2014.......... 70,756,391 --
September 2014....... 70,020,974 --
October 2014......... 69,276,800 --
November 2014........ 68,523,823 --
December 2014........ 67,761,998 --
January 2015......... 66,991,281 --
February 2015........ 66,211,625 --
March 2015........... 65,422,986 --
April 2015........... 64,625,320 --
May 2015............. 63,818,580 --
June 2015............ 63,002,723 --
July 2015............ 62,177,704 --
August 2015.......... 61,343,478 --
September 2015....... 60,500,000 --
October 2015......... 59,647,226 --
November 2015........ 58,785,112 --
December 2015........ 57,913,612 --
January 2016......... 57,032,683 --
February 2016........ 56,142,281 --
March 2016........... 55,242,360 --
April 2016........... 54,332,878 --
May 2016............. 53,413,789 --
June 2016............ 52,485,050 --
July 2016............ 51,546,617 --
August 2016.......... 50,598,446 --
September 2016....... 49,640,492 --
October 2016......... 48,672,713 --
November 2016........ 47,695,064 --
December 2016........ 46,707,501 --
January 2017......... 45,709,982 --
February 2017........ 44,702,462 --
March 2017........... 43,684,897 --
April 2017........... 42,657,245 --
May 2017............. 41,619,462 --
June 2017............ 40,571,504 --
July 2017............ 39,513,328 --
August 2017.......... 38,444,891 --
September 2017....... 37,366,149 --
October 2017......... 36,277,060 --
November 2017........ 35,177,581 --
December 2017........ 34,067,667 --
January 2018......... 32,947,277 --
February 2018........ 31,816,367 --
March 2018........... 30,674,894 --
April 2018........... 29,522,816 --
May 2018............. 28,360,089 --
June 2018............ 27,186,671 --
</TABLE>
E-9-2
<PAGE> 3
CLASS D TARGET PRINCIPAL BALANCES (CONTINUED)
<TABLE>
<CAPTION>
CLASS D CLASS D
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
(US$) (US$)
<S> <C> <C>
August 2018.......... 24,807,591 --
September 2018....... 23,601,843 --
October 2018......... 22,385,234 --
November 2018........ 21,157,720 --
December 2018........ 19,919,260 --
January 2019......... 18,669,810 --
February 2019........ 17,409,329 --
March 2019........... 16,137,774 --
April 2019........... 14,855,103 --
May 2019............. 13,561,273 --
June 2019............ 12,256,242 --
July 2019............ 10,939,969 --
August 2019.......... 9,612,411 --
September 2019....... 8,273,526 --
October 2019......... 6,923,272 --
November 2019........ 5,561,607 --
December 2019........ 4,188,489 --
January 2020......... 2,803,877 --
February 2020........ 1,407,728 --
March 2020........... -- --
April 2020........... -- --
May 2020............. -- --
June 2020............ -- --
July 2020............ -- --
August 2020.......... -- --
September 2020....... -- --
October 2020......... -- --
November 2020........ -- --
December 2020........ -- --
January 2021......... -- --
February 2021........ -- --
March 2021........... -- --
April 2021........... -- --
May 2021............. -- --
June 2021............ -- --
July 2021............ -- --
August 2021.......... -- --
</TABLE>
<TABLE>
(US$) (US$)
<CAPTION>
CLASS D CLASS D
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
<S> <C> <C>
September 2021....... -- --
October 2021......... -- --
November 2021........ -- --
December 2021........ -- --
January 2022......... -- --
February 2022........ -- --
March 2022........... -- --
April 2022........... -- --
May 2022............. -- --
June 2022............ -- --
July 2022............ -- --
August 2022.......... -- --
September 2022....... -- --
October 2022......... -- --
November 2022........ -- --
December 2022........ -- --
January 2023......... -- --
February 2023........ -- --
March 2023........... -- --
April 2023........... -- --
May 2023............. -- --
June 2023............ -- --
July 2023............ -- --
August 2023.......... -- --
September 2023....... -- --
October 2023......... -- --
November 2023........ -- --
December 2023........ -- --
January 2024......... -- --
February 2024........ -- --
March 2024........... -- --
April 2024........... -- --
May 2024............. -- --
June 2024............ -- --
July 2024............ -- --
August 2024.......... -- --
September 2024....... -- --
October 2024......... -- --
</TABLE>
E-9-3
<PAGE> 1
EXHIBIT 10
POOL FACTORS
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
March 2000..................... 74.28% 100.00% 100.00% 100.00% 92.12% 100.00% 99.88% 100.00% 100.00%
April 2000..................... 73.31% 100.00% 100.00% 95.32% 91.78% 99.99% 99.83% 100.00% 100.00%
May 2000....................... 72.52% 100.00% 100.00% 94.23% 91.44% 99.97% 99.78% 100.00% 100.00%
June 2000...................... 71.05% 100.00% 100.00% 92.11% 91.10% 99.94% 99.72% 100.00% 100.00%
July 2000...................... 70.05% 100.00% 100.00% 91.16% 90.76% 99.90% 99.65% 100.00% 100.00%
August 2000.................... 69.26% 100.00% 100.00% 90.07% 90.42% 99.85% 99.58% 100.00% 100.00%
September 2000................. 67.77% 100.00% 100.00% 88.04% 90.07% 99.79% 99.50% 100.00% 100.00%
October 2000................... 66.77% 100.00% 100.00% 86.80% 89.72% 99.73% 99.41% 100.00% 100.00%
November 2000.................. 65.99% 100.00% 100.00% 85.67% 89.28% 99.65% 99.31% 100.00% 100.00%
December 2000.................. 64.82% 100.00% 100.00% 83.75% 88.93% 99.58% 99.21% 100.00% 99.99%
January 2001................... 63.63% 100.00% 100.00% 82.71% 88.58% 99.49% 99.10% 100.00% 99.99%
February 2001.................. 62.64% 100.00% 100.00% 81.50% 88.23% 99.40% 98.98% 100.00% 99.98%
March 2001..................... 61.39% 100.00% 100.00% 79.48% 87.87% 99.30% 98.85% 100.00% 99.96%
April 2001..................... 60.34% 100.00% 100.00% 78.32% 87.52% 99.20% 98.72% 100.00% 99.95%
May 2001....................... 59.25% 100.00% 100.00% 77.12% 87.16% 99.09% 98.58% 100.00% 99.93%
June 2001...................... 58.00% 100.00% 100.00% 75.18% 86.71% 98.97% 98.43% 100.00% 99.90%
July 2001...................... 56.93% 100.00% 100.00% 73.97% 86.35% 98.85% 98.27% 100.00% 99.88%
August 2001.................... 55.85% 100.00% 100.00% 72.70% 85.99% 98.72% 98.11% 100.00% 99.84%
September 2001................. 54.56% 100.00% 100.00% 70.73% 85.63% 98.59% 97.94% 100.00% 99.81%
October 2001................... 53.50% 100.00% 100.00% 69.33% 85.17% 98.45% 97.76% 100.00% 99.77%
November 2001.................. 52.41% 100.00% 100.00% 68.07% 84.81% 98.31% 97.57% 99.99% 99.72%
December 2001.................. 51.10% 100.00% 100.00% 66.08% 84.45% 98.16% 97.38% 99.99% 99.67%
January 2002................... 50.05% 100.00% 100.00% 64.88% 83.99% 98.00% 97.18% 99.99% 99.62%
February 2002.................. 48.95% 100.00% 100.00% 63.60% 83.62% 97.84% 96.97% 99.99% 99.56%
March 2002..................... 47.61% 100.00% 100.00% 62.73% 83.25% 97.68% 96.75% 99.99% 99.49%
April 2002..................... 46.54% 100.00% 100.00% 61.35% 82.79% 97.51% 96.53% 99.99% 99.42%
May 2002....................... 45.42% 100.00% 100.00% 60.01% 82.42% 97.33% 96.30% 99.98% 99.35%
June 2002...................... 44.13% 100.00% 100.00% 58.24% 81.95% 97.15% 96.06% 99.98% 99.27%
July 2002...................... 43.02% 100.00% 100.00% 56.85% 81.58% 96.96% 95.81% 99.98% 99.18%
August 2002.................... 41.93% 100.00% 100.00% 55.41% 81.11% 96.77% 95.56% 99.97% 99.09%
September 2002................. 40.60% 100.00% 100.00% 53.61% 80.74% 96.58% 95.30% 99.97% 98.99%
October 2002................... 39.51% 100.00% 100.00% 51.93% 80.27% 96.38% 95.03% 99.97% 98.88%
November 2002.................. 38.40% 100.00% 100.00% 50.50% 79.89% 96.17% 94.75% 99.96% 98.77%
December 2002.................. 37.08% 100.00% 100.00% 48.69% 79.42% 95.96% 94.47% 99.96% 98.66%
January 2003................... 35.98% 100.00% 100.00% 47.31% 78.95% 95.75% 94.18% 99.95% 98.53%
February 2003.................. 34.85% 100.00% 100.00% 45.87% 78.57% 95.53% 93.88% 99.94% 98.40%
March 2003..................... 33.58% 100.00% 100.00% 44.46% 78.09% 95.31% 93.57% 99.94% 98.27%
April 2003..................... 32.51% 100.00% 100.00% 42.84% 77.62% 95.08% 93.25% 99.93% 98.13%
May 2003....................... 31.34% 100.00% 100.00% 41.48% 77.15% 94.85% 92.93% 99.92% 97.98%
June 2003...................... 30.19% 100.00% 100.00% 39.77% 76.68% 94.61% 92.60% 99.91% 97.82%
July 2003...................... 29.02% 100.00% 100.00% 38.25% 76.20% 94.37% 92.26% 99.90% 97.66%
August 2003.................... 27.84% 100.00% 100.00% 36.87% 75.81% 94.12% 91.92% 99.89% 97.49%
September 2003................. 26.68% 100.00% 100.00% 35.17% 75.34% 93.87% 91.56% 99.88% 97.32%
October 2003................... 25.52% 100.00% 100.00% 33.37% 74.77% 93.61% 91.20% 99.87% 97.13%
November 2003.................. 24.35% 100.00% 100.00% 31.92% 74.30% 93.35% 90.83% 99.85% 96.94%
December 2003.................. 23.16% 100.00% 100.00% 30.32% 73.82% 93.09% 90.46% 99.84% 96.75%
January 2004................... 21.16% 100.00% 100.00% 28.74% 71.52% 92.82% 90.07% 99.82% 96.54%
February 2004.................. 20.05% 100.00% 100.00% 27.28% 71.06% 92.55% 89.68% 99.80% 96.33%
March 2004..................... 18.90% 100.00% 100.00% 26.11% 70.60% 92.27% 89.28% 99.79% 96.11%
April 2004..................... 17.84% 100.00% 100.00% 24.45% 70.06% 91.99% 88.87% 99.77% 95.88%
May 2004....................... 16.73% 100.00% 100.00% 23.69% 69.59% 91.70% 88.46% 99.75% 95.65%
June 2004...................... 15.66% 100.00% 100.00% 22.49% 69.05% 91.41% 88.03% 99.73% 95.41%
July 2004...................... 14.55% 100.00% 100.00% 21.06% 68.59% 91.12% 87.60% 99.70% 95.16%
August 2004.................... 13.47% 100.00% 100.00% 19.63% 68.05% 90.82% 87.17% 99.68% 94.90%
September 2004................. 12.37% 100.00% 100.00% 18.08% 67.59% 90.52% 86.72% 99.65% 94.64%
October 2004................... 11.29% 100.00% 100.00% 16.16% 67.05% 90.21% 86.27% 99.62% 94.36%
</TABLE>
E-10-1
<PAGE> 2
POOL FACTORS (CONTINUED)
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
November 2004.................. 10.21% 100.00% 100.00% 14.60% 66.51% 89.90% 85.80% 99.59% 94.08%
December 2004.................. 9.12% 100.00% 100.00% 12.86% 65.97% 89.59% 85.34% 99.56% 93.80%
January 2005................... 8.02% 100.00% 100.00% 11.13% 65.43% 89.27% 84.86% 99.53% 93.50%
February 2005.................. 6.90% 100.00% 100.00% 9.56% 64.96% 88.94% 84.37% 99.50% 93.19%
March 2005..................... 5.75% 100.00% 100.00% 7.84% 64.35% 88.62% 83.88% 99.46% 92.88%
April 2005..................... 4.65% 100.00% 100.00% 6.00% 63.81% 88.29% 83.38% 99.42% 92.56%
May 2005....................... 3.52% 100.00% 100.00% 4.28% 63.27% 87.95% 82.87% 99.38% 92.23%
June 2005...................... 2.41% 100.00% 100.00% 2.58% 62.73% 87.61% 82.36% 99.34% 91.89%
July 2005...................... 1.28% 100.00% 100.00% 0.00% 62.19% 87.27% 81.83% 99.29% 91.55%
August 2005.................... 0.18% 99.51% 100.00% 0.00% 61.58% 86.92% 81.30% 99.25% 91.19%
September 2005................. 0.00% 98.68% 100.00% 0.00% 61.05% 86.57% 80.76% 99.20% 90.83%
October 2005................... 0.00% 97.74% 100.00% 0.00% 60.44% 86.21% 80.22% 99.14% 90.46%
November 2005.................. 0.00% 96.92% 100.00% 0.00% 59.83% 85.86% 79.66% 99.09% 90.08%
December 2005.................. 0.00% 96.08% 100.00% 0.00% 59.30% 85.49% 79.10% 99.03% 89.69%
January 2006................... 0.00% 95.26% 100.00% 0.00% 58.69% 85.13% 78.53% 98.97% 89.29%
February 2006.................. 0.00% 94.43% 100.00% 0.00% 58.09% 84.76% 77.95% 98.91% 88.88%
March 2006..................... 0.00% 93.95% 100.00% 0.00% 57.49% 84.38% 77.36% 98.85% 88.46%
April 2006..................... 0.00% 93.04% 100.00% 0.00% 56.89% 84.00% 76.77% 98.78% 88.04%
May 2006....................... 0.00% 92.37% 100.00% 0.00% 56.29% 83.62% 76.17% 98.71% 87.61%
June 2006...................... 0.00% 91.56% 100.00% 0.00% 55.62% 83.24% 75.56% 98.63% 87.16%
July 2006...................... 0.00% 90.73% 100.00% 0.00% 55.02% 82.85% 74.94% 98.55% 86.71%
August 2006.................... 0.00% 89.91% 100.00% 0.00% 54.36% 82.45% 74.32% 98.47% 86.25%
September 2006................. 0.00% 89.10% 100.00% 0.00% 53.77% 82.06% 73.68% 98.39% 85.78%
October 2006................... 0.00% 88.18% 100.00% 0.00% 53.11% 81.65% 73.04% 98.30% 85.30%
November 2006.................. 0.00% 87.36% 100.00% 0.00% 52.46% 81.25% 72.39% 98.21% 84.81%
December 2006.................. 0.00% 86.53% 100.00% 0.00% 51.81% 80.84% 71.74% 98.11% 84.31%
January 2007................... 0.00% 85.69% 100.00% 0.00% 51.16% 80.43% 71.07% 98.01% 83.80%
February 2007.................. 0.00% 84.86% 100.00% 0.00% 50.51% 80.01% 70.40% 97.91% 83.29%
March 2007..................... 0.00% 84.17% 100.00% 0.00% 49.86% 79.59% 69.72% 97.80% 82.76%
April 2007..................... 0.00% 83.24% 100.00% 0.00% 49.16% 79.17% 69.03% 97.69% 82.22%
May 2007....................... 0.00% 82.38% 100.00% 0.00% 48.52% 78.74% 68.34% 97.58% 81.68%
June 2007...................... 0.00% 81.54% 100.00% 0.00% 47.82% 78.31% 67.64% 97.46% 81.12%
July 2007...................... 0.00% 80.68% 100.00% 0.00% 47.12% 77.88% 66.92% 97.33% 80.56%
August 2007.................... 0.00% 79.87% 100.00% 0.00% 46.43% 77.44% 66.20% 97.21% 79.98%
September 2007................. 0.00% 79.16% 100.00% 0.00% 45.74% 77.00% 65.48% 97.07% 79.40%
October 2007................... 0.00% 78.34% 100.00% 0.00% 45.06% 76.55% 64.74% 96.94% 78.80%
November 2007.................. 0.00% 77.52% 100.00% 0.00% 44.38% 76.11% 64.00% 96.79% 78.20%
December 2007.................. 0.00% 76.69% 100.00% 0.00% 43.64% 75.65% 63.25% 96.64% 77.58%
January 2008................... 0.00% 75.86% 100.00% 0.00% 42.97% 75.20% 62.49% 96.49% 76.96%
February 2008.................. 0.00% 75.04% 100.00% 0.00% 42.24% 74.74% 61.72% 96.33% 76.32%
March 2008..................... 0.00% 74.58% 100.00% 0.00% 41.52% 74.28% 60.95% 96.17% 75.68%
April 2008..................... 0.00% 73.77% 100.00% 0.00% 40.80% 73.81% 60.17% 96.00% 75.02%
May 2008....................... 0.00% 72.95% 100.00% 0.00% 40.09% 73.34% 59.38% 95.83% 74.36%
June 2008...................... 0.00% 72.15% 100.00% 0.00% 39.38% 72.87% 58.58% 95.65% 73.68%
July 2008...................... 0.00% 71.33% 100.00% 0.00% 38.62% 72.39% 57.77% 95.46% 73.00%
August 2008.................... 0.00% 70.52% 100.00% 0.00% 37.92% 71.91% 56.96% 95.27% 72.30%
September 2008................. 0.00% 69.81% 100.00% 0.00% 37.18% 71.42% 56.14% 95.07% 71.59%
October 2008................... 0.00% 69.02% 100.00% 0.00% 36.44% 70.94% 55.31% 94.86% 70.88%
November 2008.................. 0.00% 68.25% 100.00% 0.00% 35.70% 70.44% 54.47% 94.65% 70.15%
December 2008.................. 0.00% 67.47% 100.00% 0.00% 34.92% 69.95% 53.63% 94.44% 69.41%
January 2009................... 0.00% 66.69% 100.00% 0.00% 34.20% 69.45% 52.77% 94.21% 68.66%
February 2009.................. 0.00% 65.91% 100.00% 0.00% 33.43% 68.95% 51.91% 93.98% 67.90%
March 2009..................... 0.00% 65.27% 100.00% 0.00% 32.72% 68.44% 51.04% 93.74% 67.13%
April 2009..................... 0.00% 64.48% 100.00% 0.00% 31.97% 67.94% 50.17% 93.50% 66.35%
May 2009....................... 0.00% 63.69% 100.00% 0.00% 31.22% 67.42% 49.28% 93.24% 65.56%
June 2009...................... 0.00% 62.91% 100.00% 0.00% 30.43% 66.91% 48.39% 92.99% 64.76%
July 2009...................... 0.00% 62.11% 100.00% 0.00% 29.70% 66.39% 47.49% 92.72% 63.95%
August 2009.................... 0.00% 61.33% 100.00% 0.00% 28.93% 65.87% 46.58% 92.44% 63.12%
</TABLE>
E-10-2
<PAGE> 3
POOL FACTORS (CONTINUED)
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
September 2009................. 0.00% 60.55% 100.00% 0.00% 28.17% 65.34% 45.66% 92.16% 62.29%
October 2009................... 0.00% 59.74% 100.00% 0.00% 27.42% 64.81% 44.74% 91.87% 61.44%
November 2009.................. 0.00% 58.96% 100.00% 0.00% 26.67% 64.28% 43.81% 91.57% 60.59%
December 2009.................. 0.00% 58.16% 100.00% 0.00% 25.89% 63.75% 42.87% 91.26% 59.72%
January 2010................... 0.00% 57.35% 100.00% 0.00% 25.16% 63.21% 41.92% 90.95% 58.84%
February 2010.................. 0.00% 56.54% 100.00% 0.00% 24.40% 62.66% 40.96% 90.62% 57.95%
March 2010..................... 0.00% 56.09% 100.00% 0.00% 23.65% 62.12% 40.00% 90.29% 57.05%
April 2010..................... 0.00% 55.30% 100.00% 0.00% 22.86% 61.57% 39.03% 89.95% 56.14%
May 2010....................... 0.00% 54.48% 100.00% 0.00% 22.13% 61.02% 38.05% 89.60% 55.22%
June 2010...................... 0.00% 53.68% 100.00% 0.00% 21.37% 60.46% 37.06% 89.24% 54.28%
July 2010...................... 0.00% 52.15% 100.00% 0.00% 20.61% 59.90% 36.06% 88.87% 53.34%
August 2010.................... 0.00% 51.37% 100.00% 0.00% 19.87% 59.34% 35.06% 88.49% 52.38%
September 2010................. 0.00% 50.59% 100.00% 0.00% 19.14% 58.77% 34.05% 88.10% 51.41%
October 2010................... 0.00% 49.79% 100.00% 0.00% 18.38% 58.20% 33.03% 87.70% 50.43%
November 2010.................. 0.00% 49.02% 100.00% 0.00% 17.64% 57.63% 32.00% 87.30% 49.44%
December 2010.................. 0.00% 47.17% 100.00% 0.00% 16.92% 57.05% 30.97% 86.88% 48.44%
January 2011................... 0.00% 46.40% 100.00% 0.00% 16.22% 56.48% 29.92% 86.45% 47.43%
February 2011.................. 0.00% 45.63% 100.00% 0.00% 15.49% 55.89% 28.87% 86.01% 46.40%
March 2011..................... 0.00% 44.84% 100.00% 0.00% 14.81% 55.31% 27.81% 85.56% 45.36%
April 2011..................... 0.00% 44.09% 100.00% 0.00% 14.08% 54.72% 26.75% 85.10% 44.31%
May 2011....................... 0.00% 43.33% 100.00% 0.00% 13.39% 54.13% 25.67% 84.62% 43.25%
June 2011...................... 0.00% 42.60% 100.00% 0.00% 12.71% 53.53% 24.59% 84.14% 42.18%
July 2011...................... 0.00% 41.86% 100.00% 0.00% 12.02% 52.93% 23.50% 83.64% 41.10%
August 2011.................... 0.00% 41.12% 100.00% 0.00% 11.34% 52.33% 22.40% 83.14% 40.00%
September 2011................. 0.00% 40.38% 100.00% 0.00% 10.67% 51.72% 21.29% 82.62% 38.90%
October 2011................... 0.00% 39.63% 100.00% 0.00% 9.99% 51.12% 20.18% 82.09% 37.78%
November 2011.................. 0.00% 38.89% 100.00% 0.00% 9.32% 50.50% 19.05% 81.54% 36.64%
December 2011.................. 0.00% 38.14% 100.00% 0.00% 8.66% 49.89% 17.92% 80.99% 35.50%
January 2012................... 0.00% 37.38% 100.00% 0.00% 8.03% 49.27% 16.78% 80.42% 34.35%
February 2012.................. 0.00% 36.48% 100.00% 0.00% 7.37% 48.65% 15.64% 79.84% 33.18%
March 2012..................... 0.00% 35.54% 100.00% 0.00% 6.74% 48.03% 14.48% 79.25% 32.00%
April 2012..................... 0.00% 34.58% 100.00% 0.00% 6.12% 47.40% 13.32% 78.64% 30.81%
May 2012....................... 0.00% 33.69% 100.00% 0.00% 5.49% 46.77% 12.15% 78.02% 29.61%
June 2012...................... 0.00% 32.66% 100.00% 0.00% 4.92% 46.13% 10.97% 77.38% 28.39%
July 2012...................... 0.00% 31.86% 100.00% 0.00% 4.33% 45.50% 9.78% 76.73% 27.16%
August 2012.................... 0.00% 30.95% 100.00% 0.00% 3.73% 44.86% 8.59% 76.07% 26.00%
September 2012................. 0.00% 29.90% 99.64% 0.00% 3.18% 44.21% 7.38% 75.40% 24.91%
October 2012................... 0.00% 28.96% 98.95% 0.00% 2.62% 43.57% 6.17% 74.71% 23.71%
November 2012.................. 0.00% 28.43% 98.41% 0.00% 2.06% 42.92% 4.95% 74.00% 22.44%
December 2012.................. 0.00% 27.91% 97.70% 0.00% 1.54% 42.26% 3.73% 73.28% 21.07%
January 2013................... 0.00% 27.32% 96.68% 0.00% 1.02% 41.61% 2.49% 72.54% 19.66%
February 2013.................. 0.00% 26.74% 95.47% 0.00% 0.51% 40.95% 1.25% 71.79% 18.22%
March 2013..................... 0.00% 26.17% 94.13% 0.00% 0.00% 40.29% 0.00% 71.03% 16.90%
April 2013..................... 0.00% 25.64% 92.69% 0.00% 0.00% 39.62% 0.00% 70.25% 15.56%
May 2013....................... 0.00% 24.84% 90.29% 0.00% 0.00% 38.95% 0.00% 69.45% 14.21%
June 2013...................... 0.00% 24.47% 89.08% 0.00% 0.00% 38.28% 0.00% 68.63% 12.84%
July 2013...................... 0.00% 24.12% 87.80% 0.00% 0.00% 37.60% 0.00% 67.80% 11.47%
August 2013.................... 0.00% 23.71% 86.18% 0.00% 0.00% 36.93% 0.00% 66.96% 10.08%
September 2013................. 0.00% 23.31% 84.48% 0.00% 0.00% 36.25% 0.00% 66.09% 8.68%
October 2013................... 0.00% 22.73% 81.83% 0.00% 0.00% 35.56% 0.00% 65.21% 7.26%
November 2013.................. 0.00% 22.19% 79.25% 0.00% 0.00% 34.87% 0.00% 64.31% 5.84%
December 2013.................. 0.00% 21.84% 77.49% 0.00% 0.00% 34.18% 0.00% 63.40% 4.40%
January 2014................... 0.00% 21.04% 73.46% 0.00% 0.00% 33.49% 0.00% 62.46% 2.94%
February 2014.................. 0.00% 20.40% 70.57% 0.00% 0.00% 32.79% 0.00% 61.51% 1.48%
March 2014..................... 0.00% 20.04% 69.04% 0.00% 0.00% 32.09% 0.00% 60.54% 0.00%
April 2014..................... 0.00% 19.21% 65.71% 0.00% 0.00% 31.39% 0.00% 59.56% 0.00%
May 2014....................... 0.00% 18.74% 63.92% 0.00% 0.00% 30.69% 0.00% 58.55% 0.00%
June 2014...................... 0.00% 18.27% 62.17% 0.00% 0.00% 29.98% 0.00% 57.52% 0.00%
</TABLE>
E-10-3
<PAGE> 4
POOL FACTORS (CONTINUED)
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
July 2014...................... 0.00% 17.80% 60.44% 0.00% 0.00% 29.27% 0.00% 56.48% 0.00%
August 2014.................... 0.00% 17.34% 58.66% 0.00% 0.00% 28.55% 0.00% 55.41% 0.00%
September 2014................. 0.00% 16.90% 56.81% 0.00% 0.00% 27.83% 0.00% 54.33% 0.00%
October 2014................... 0.00% 16.47% 54.87% 0.00% 0.00% 27.11% 0.00% 53.23% 0.00%
November 2014.................. 0.00% 16.06% 52.90% 0.00% 0.00% 26.39% 0.00% 52.10% 0.00%
December 2014.................. 0.00% 15.67% 50.87% 0.00% 0.00% 25.66% 0.00% 50.96% 0.00%
January 2015................... 0.00% 15.28% 48.76% 0.00% 0.00% 24.93% 0.00% 49.79% 0.00%
February 2015.................. 0.00% 14.90% 46.62% 0.00% 0.00% 24.20% 0.00% 48.61% 0.00%
March 2015..................... 0.00% 14.51% 44.46% 0.00% 0.00% 23.46% 0.00% 47.40% 0.00%
April 2015..................... 0.00% 13.70% 40.73% 0.00% 0.00% 22.72% 0.00% 46.17% 0.00%
May 2015....................... 0.00% 12.81% 37.80% 0.00% 0.00% 21.98% 0.00% 44.92% 0.00%
June 2015...................... 0.00% 12.33% 36.35% 0.00% 0.00% 21.24% 0.00% 43.65% 0.00%
July 2015...................... 0.00% 11.85% 34.91% 0.00% 0.00% 20.49% 0.00% 42.35% 0.00%
August 2015.................... 0.00% 11.41% 33.27% 0.00% 0.00% 19.74% 0.00% 41.04% 0.00%
September 2015................. 0.00% 10.87% 32.00% 0.00% 0.00% 18.98% 0.00% 39.70% 0.00%
October 2015................... 0.00% 9.73% 29.33% 0.00% 0.00% 18.23% 0.00% 38.33% 0.00%
November 2015.................. 0.00% 9.16% 28.30% 0.00% 0.00% 17.47% 0.00% 36.95% 0.00%
December 2015.................. 0.00% 8.62% 27.14% 0.00% 0.00% 16.70% 0.00% 35.54% 0.00%
January 2016................... 0.00% 8.09% 25.95% 0.00% 0.00% 15.94% 0.00% 34.10% 0.00%
February 2016.................. 0.00% 7.56% 24.74% 0.00% 0.00% 15.17% 0.00% 32.65% 0.00%
March 2016..................... 0.00% 7.03% 23.48% 0.00% 0.00% 14.40% 0.00% 31.17% 0.00%
April 2016..................... 0.00% 6.52% 22.20% 0.00% 0.00% 13.62% 0.00% 29.66% 0.00%
May 2016....................... 0.00% 6.03% 20.90% 0.00% 0.00% 12.84% 0.00% 28.13% 0.00%
June 2016...................... 0.00% 4.19% 16.76% 0.00% 0.00% 12.06% 0.00% 26.57% 0.00%
July 2016...................... 0.00% 3.83% 15.32% 0.00% 0.00% 11.28% 0.00% 24.99% 0.00%
August 2016.................... 0.00% 3.12% 15.32% 0.00% 0.00% 10.49% 0.00% 23.38% 0.00%
September 2016................. 0.00% 2.40% 15.32% 0.00% 0.00% 9.70% 0.00% 21.75% 0.00%
October 2016................... 0.00% 0.33% 13.72% 0.00% 0.00% 8.91% 0.00% 20.09% 0.00%
November 2016.................. 0.00% 0.25% 12.70% 0.00% 0.00% 8.11% 0.00% 18.40% 0.00%
December 2016.................. 0.00% 0.25% 11.70% 0.00% 0.00% 7.32% 0.00% 16.69% 0.00%
January 2017................... 0.00% 0.25% 10.74% 0.00% 0.00% 6.52% 0.00% 14.94% 0.00%
February 2017.................. 0.00% 0.21% 8.33% 0.00% 0.00% 5.71% 0.00% 13.18% 0.00%
March 2017..................... 0.00% 0.00% 0.00% 0.00% 0.00% 4.90% 0.00% 11.38% 0.00%
April 2017..................... 0.00% 0.00% 0.00% 0.00% 0.00% 4.09% 0.00% 9.56% 0.00%
May 2017....................... 0.00% 0.00% 0.00% 0.00% 0.00% 3.28% 0.00% 7.70% 0.00%
June 2017...................... 0.00% 0.00% 0.00% 0.00% 0.00% 2.46% 0.00% 5.82% 0.00%
July 2017...................... 0.00% 0.00% 0.00% 0.00% 0.00% 1.65% 0.00% 3.91% 0.00%
August 2017.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.82% 0.00% 1.97% 0.00%
September 2017................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2017................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2017.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2017.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2018................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2018.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2018..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2018..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2018....................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2018...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2018...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2018.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2018................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2018................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2018.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2018.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2019................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2019.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2019..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2019..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
</TABLE>
E-10-4
<PAGE> 5
POOL FACTORS (CONTINUED)
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
May 2019....................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2019...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2019...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2019.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2019................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2019................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2019.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2019.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2020................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2020.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2020..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2020..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2020....................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2020...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2020...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2020.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2020................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2020................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2020.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2020.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2021................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2021.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2021..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2021..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2021....................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2021...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2021...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2021.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2021................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2021................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2021.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2021.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2022................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2022.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2022..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2022..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2022....................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2022...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2022...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2022.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2022................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2022................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2022.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2022.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2023................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2023.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2023..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2023..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2023....................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2023...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2023...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2023.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2023................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2023................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2023.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2023.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2024................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2024.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
</TABLE>
E-10-5
<PAGE> 6
POOL FACTORS (CONTINUED)
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
March 2024..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2024..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2024....................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2024...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2024...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2024.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2024................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2024................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
</TABLE>
E-10-6
<PAGE> 1
EXHIBIT 11
EXTENDED POOL FACTORS
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
March 2000.................... 82.68% 100.00% 100.00% 100.00% 96.07% 100.00% 100.00% 100.00% 100.00%
April 2000.................... 81.92% 100.00% 100.00% 100.00% 95.75% 100.00% 100.00% 100.00% 100.00%
May 2000...................... 81.15% 100.00% 100.00% 100.00% 95.42% 100.00% 100.00% 100.00% 100.00%
June 2000..................... 80.38% 100.00% 100.00% 100.00% 95.10% 100.00% 100.00% 100.00% 100.00%
July 2000..................... 79.61% 100.00% 100.00% 100.00% 94.77% 100.00% 100.00% 100.00% 100.00%
August 2000................... 78.80% 100.00% 100.00% 100.00% 94.45% 100.00% 100.00% 100.00% 100.00%
September 2000................ 78.02% 100.00% 100.00% 100.00% 94.12% 100.00% 100.00% 100.00% 100.00%
October 2000.................. 77.21% 100.00% 100.00% 100.00% 93.79% 100.00% 100.00% 100.00% 100.00%
November 2000................. 76.43% 100.00% 100.00% 100.00% 93.46% 100.00% 100.00% 100.00% 100.00%
December 2000................. 75.61% 100.00% 100.00% 100.00% 93.12% 100.00% 100.00% 100.00% 100.00%
January 2001.................. 74.79% 100.00% 100.00% 100.00% 92.79% 100.00% 100.00% 100.00% 100.00%
February 2001................. 73.97% 100.00% 100.00% 100.00% 92.46% 100.00% 100.00% 100.00% 100.00%
March 2001.................... 73.15% 100.00% 100.00% 100.00% 92.12% 100.00% 100.00% 100.00% 100.00%
April 2001.................... 72.32% 100.00% 100.00% 95.32% 91.78% 99.99% 100.00% 100.00% 100.00%
May 2001...................... 71.49% 100.00% 100.00% 94.23% 91.44% 99.97% 100.00% 100.00% 100.00%
June 2001..................... 70.66% 100.00% 100.00% 92.11% 91.10% 99.94% 100.00% 100.00% 100.00%
July 2001..................... 69.80% 100.00% 100.00% 91.16% 90.76% 99.90% 100.00% 100.00% 100.00%
August 2001................... 68.96% 100.00% 100.00% 90.07% 90.42% 99.85% 100.00% 100.00% 100.00%
September 2001................ 68.09% 100.00% 100.00% 88.04% 90.07% 99.79% 100.00% 100.00% 100.00%
October 2001.................. 67.22% 100.00% 100.00% 86.80% 89.72% 99.73% 100.00% 100.00% 100.00%
November 2001................. 66.35% 100.00% 100.00% 85.67% 89.28% 99.65% 99.99% 100.00% 100.00%
December 2001................. 65.47% 100.00% 100.00% 83.75% 88.93% 99.58% 99.97% 100.00% 100.00%
January 2002.................. 64.60% 100.00% 100.00% 82.71% 88.58% 99.49% 99.95% 100.00% 100.00%
February 2002................. 63.72% 100.00% 100.00% 81.50% 88.23% 99.40% 99.91% 100.00% 100.00%
March 2002.................... 62.84% 100.00% 100.00% 79.48% 87.87% 99.30% 99.88% 100.00% 100.00%
April 2002.................... 61.92% 100.00% 100.00% 78.32% 87.52% 99.20% 99.83% 100.00% 100.00%
May 2002...................... 61.04% 100.00% 100.00% 77.12% 87.16% 99.09% 99.78% 100.00% 100.00%
June 2002..................... 60.12% 100.00% 100.00% 75.18% 86.71% 98.97% 99.72% 100.00% 100.00%
July 2002..................... 59.20% 100.00% 100.00% 73.97% 86.35% 98.85% 99.65% 100.00% 100.00%
August 2002................... 58.28% 100.00% 100.00% 72.70% 85.99% 98.72% 99.58% 100.00% 100.00%
September 2002................ 57.36% 100.00% 100.00% 70.73% 85.63% 98.59% 99.50% 100.00% 100.00%
October 2002.................. 56.44% 100.00% 100.00% 69.33% 85.17% 98.45% 99.41% 100.00% 100.00%
November 2002................. 55.48% 100.00% 100.00% 68.07% 84.81% 98.31% 99.31% 99.99% 100.00%
December 2002................. 54.55% 100.00% 100.00% 66.08% 84.45% 98.16% 99.21% 99.99% 99.99%
January 2003.................. 53.60% 100.00% 100.00% 64.88% 83.99% 98.00% 99.10% 99.99% 99.99%
February 2003................. 52.64% 100.00% 100.00% 63.60% 83.62% 97.84% 98.98% 99.99% 99.98%
March 2003.................... 51.68% 100.00% 100.00% 62.73% 83.25% 97.68% 98.85% 99.99% 99.96%
April 2003.................... 50.71% 100.00% 100.00% 61.35% 82.79% 97.51% 98.72% 99.99% 99.95%
May 2003...................... 49.75% 100.00% 100.00% 60.01% 82.42% 97.33% 98.58% 99.98% 99.93%
June 2003..................... 48.78% 100.00% 100.00% 58.24% 81.95% 97.15% 98.43% 99.98% 99.90%
July 2003..................... 47.79% 100.00% 100.00% 56.85% 81.58% 96.96% 98.27% 99.98% 99.88%
August 2003................... 46.79% 100.00% 100.00% 55.41% 81.11% 96.77% 98.11% 99.97% 99.84%
September 2003................ 45.79% 100.00% 100.00% 53.61% 80.74% 96.58% 97.94% 99.97% 99.81%
October 2003.................. 44.79% 100.00% 100.00% 51.93% 80.27% 96.38% 97.76% 99.97% 99.77%
November 2003................. 43.79% 100.00% 100.00% 50.50% 79.89% 96.17% 97.57% 99.96% 99.72%
December 2003................. 42.79% 100.00% 100.00% 48.69% 79.42% 95.96% 97.38% 99.96% 99.67%
January 2004.................. 37.79% 100.00% 100.00% 47.31% 78.95% 95.75% 97.18% 99.95% 99.62%
February 2004................. 36.80% 100.00% 100.00% 45.87% 78.57% 95.53% 96.97% 99.94% 99.56%
March 2004.................... 35.83% 100.00% 100.00% 44.46% 78.09% 95.31% 96.75% 99.94% 99.49%
April 2004.................... 34.84% 100.00% 100.00% 42.84% 77.62% 95.08% 96.53% 99.93% 99.42%
May 2004...................... 33.82% 100.00% 100.00% 41.48% 77.15% 94.85% 96.30% 99.92% 99.35%
June 2004..................... 32.83% 100.00% 100.00% 39.77% 76.68% 94.61% 96.06% 99.91% 99.27%
July 2004..................... 31.81% 100.00% 100.00% 38.25% 76.20% 94.37% 95.81% 99.90% 99.18%
August 2004................... 30.81% 100.00% 100.00% 36.87% 75.81% 94.12% 95.56% 99.89% 99.09%
September 2004................ 29.79% 100.00% 100.00% 35.17% 75.34% 93.87% 95.30% 99.88% 98.99%
October 2004.................. 28.74% 100.00% 100.00% 33.37% 74.77% 93.61% 95.03% 99.87% 98.88%
</TABLE>
E-11-1
<PAGE> 2
EXTENDED POOL FACTORS (CONTINUED)
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
November 2004................. 27.71% 100.00% 100.00% 31.92% 74.30% 93.35% 94.75% 99.85% 98.77%
December 2004................. 26.69% 100.00% 100.00% 30.32% 73.82% 93.09% 94.47% 99.84% 98.66%
January 2005.................. 25.64% 100.00% 100.00% 28.74% 71.52% 92.82% 94.18% 99.82% 98.53%
February 2005................. 24.59% 100.00% 100.00% 27.28% 71.06% 92.55% 93.88% 99.80% 98.40%
March 2005.................... 23.54% 100.00% 100.00% 26.11% 70.60% 92.27% 93.57% 99.79% 98.27%
April 2005.................... 22.49% 100.00% 100.00% 24.45% 70.06% 91.99% 93.25% 99.77% 98.13%
May 2005...................... 21.41% 100.00% 100.00% 23.69% 69.59% 91.70% 92.93% 99.75% 97.98%
June 2005..................... 20.36% 100.00% 100.00% 22.49% 69.05% 91.41% 92.60% 99.73% 97.82%
July 2005..................... 19.28% 100.00% 100.00% 21.06% 68.59% 91.12% 92.26% 99.70% 97.66%
August 2005................... 18.21% 100.00% 100.00% 19.63% 68.05% 90.82% 91.92% 99.68% 97.49%
September 2005................ 17.13% 100.00% 100.00% 18.08% 67.59% 90.52% 91.56% 99.65% 97.32%
October 2005.................. 16.03% 100.00% 100.00% 16.16% 67.05% 90.21% 91.20% 99.62% 97.13%
November 2005................. 14.93% 100.00% 100.00% 14.60% 66.51% 89.90% 90.83% 99.59% 96.94%
December 2005................. 13.86% 100.00% 100.00% 12.86% 65.97% 89.59% 90.46% 99.56% 96.75%
January 2006.................. 12.74% 100.00% 100.00% 11.13% 65.43% 89.27% 90.07% 99.53% 96.54%
February 2006................. 11.64% 100.00% 100.00% 9.56% 64.96% 88.94% 89.68% 99.50% 96.33%
March 2006.................... 10.54% 100.00% 100.00% 7.84% 64.35% 88.62% 89.28% 99.46% 96.11%
April 2006.................... 9.42% 100.00% 100.00% 6.00% 63.81% 88.29% 88.87% 99.42% 95.88%
May 2006...................... 8.30% 100.00% 100.00% 4.28% 63.27% 87.95% 88.46% 99.38% 95.65%
June 2006..................... 7.18% 100.00% 100.00% 2.58% 62.73% 87.61% 88.03% 99.34% 95.41%
July 2006..................... 6.06% 100.00% 100.00% 0.00% 62.19% 87.27% 87.60% 99.29% 95.16%
August 2006................... 4.92% 99.51% 100.00% 0.00% 61.58% 86.92% 87.17% 99.25% 94.90%
September 2006................ 3.78% 98.68% 100.00% 0.00% 61.05% 86.57% 86.72% 99.20% 94.64%
October 2006.................. 2.65% 97.74% 100.00% 0.00% 60.44% 86.21% 86.27% 99.14% 94.36%
November 2006................. 1.51% 96.92% 100.00% 0.00% 59.83% 85.86% 85.80% 99.09% 94.08%
December 2006................. 0.35% 96.08% 100.00% 0.00% 59.30% 85.49% 85.34% 99.03% 93.80%
January 2007.................. 0.00% 95.26% 100.00% 0.00% 58.69% 85.13% 84.86% 98.97% 93.50%
February 2007................. 0.00% 94.43% 100.00% 0.00% 58.09% 84.76% 84.37% 98.91% 93.19%
March 2007.................... 0.00% 93.95% 100.00% 0.00% 57.49% 84.38% 83.88% 98.85% 92.88%
April 2007.................... 0.00% 93.04% 100.00% 0.00% 56.89% 84.00% 83.38% 98.78% 92.56%
May 2007...................... 0.00% 92.37% 100.00% 0.00% 56.29% 83.62% 82.87% 98.71% 92.23%
June 2007..................... 0.00% 91.56% 100.00% 0.00% 55.62% 83.24% 82.36% 98.63% 91.89%
July 2007..................... 0.00% 90.73% 100.00% 0.00% 55.02% 82.85% 81.83% 98.55% 91.55%
August 2007................... 0.00% 89.91% 100.00% 0.00% 54.36% 82.45% 81.30% 98.47% 91.19%
September 2007................ 0.00% 89.10% 100.00% 0.00% 53.77% 82.06% 80.76% 98.39% 90.83%
October 2007.................. 0.00% 88.18% 100.00% 0.00% 53.11% 81.65% 80.22% 98.30% 90.46%
November 2007................. 0.00% 87.36% 100.00% 0.00% 52.46% 81.25% 79.66% 98.21% 90.08%
December 2007................. 0.00% 86.53% 100.00% 0.00% 51.81% 80.84% 79.10% 98.11% 89.69%
January 2008.................. 0.00% 85.69% 100.00% 0.00% 51.16% 80.43% 78.53% 98.01% 89.29%
February 2008................. 0.00% 84.86% 100.00% 0.00% 50.51% 80.01% 77.95% 97.91% 88.88%
March 2008.................... 0.00% 84.17% 100.00% 0.00% 49.86% 79.59% 77.36% 97.80% 88.46%
April 2008.................... 0.00% 83.24% 100.00% 0.00% 49.16% 79.17% 76.77% 97.69% 88.04%
May 2008...................... 0.00% 82.38% 100.00% 0.00% 48.52% 78.74% 76.17% 97.58% 87.61%
June 2008..................... 0.00% 81.54% 100.00% 0.00% 47.82% 78.31% 75.56% 97.46% 87.16%
July 2008..................... 0.00% 80.68% 100.00% 0.00% 47.12% 77.88% 74.94% 97.33% 86.71%
August 2008................... 0.00% 79.87% 100.00% 0.00% 46.43% 77.44% 74.32% 97.21% 86.25%
September 2008................ 0.00% 79.16% 100.00% 0.00% 45.74% 77.00% 73.68% 97.07% 85.78%
October 2008.................. 0.00% 78.34% 100.00% 0.00% 45.06% 76.55% 73.04% 96.94% 85.30%
November 2008................. 0.00% 77.52% 100.00% 0.00% 44.38% 76.11% 72.39% 96.79% 84.81%
December 2008................. 0.00% 76.69% 100.00% 0.00% 43.64% 75.65% 71.74% 96.64% 84.31%
January 2009.................. 0.00% 75.86% 100.00% 0.00% 42.97% 75.20% 71.07% 96.49% 83.80%
February 2009................. 0.00% 75.04% 100.00% 0.00% 42.24% 74.74% 70.40% 96.33% 83.29%
March 2009.................... 0.00% 74.58% 100.00% 0.00% 41.52% 74.28% 69.72% 96.17% 82.76%
April 2009.................... 0.00% 73.77% 100.00% 0.00% 40.80% 73.81% 69.03% 96.00% 82.22%
May 2009...................... 0.00% 72.95% 100.00% 0.00% 40.09% 73.34% 68.34% 95.83% 81.68%
June 2009..................... 0.00% 72.15% 100.00% 0.00% 39.38% 72.87% 67.64% 95.65% 81.12%
July 2009..................... 0.00% 71.33% 100.00% 0.00% 38.62% 72.39% 66.92% 95.46% 80.56%
August 2009................... 0.00% 70.52% 100.00% 0.00% 37.92% 71.91% 66.20% 95.27% 79.98%
</TABLE>
E-11-2
<PAGE> 3
EXTENDED POOL FACTORS (CONTINUED)
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
September 2009................ 0.00% 69.81% 100.00% 0.00% 37.18% 71.42% 65.48% 95.07% 79.40%
October 2009.................. 0.00% 69.02% 100.00% 0.00% 36.44% 70.94% 64.74% 94.86% 78.80%
November 2009................. 0.00% 68.25% 100.00% 0.00% 35.70% 70.44% 64.00% 94.65% 78.20%
December 2009................. 0.00% 67.47% 100.00% 0.00% 34.92% 69.95% 63.25% 94.44% 77.58%
January 2010.................. 0.00% 66.69% 100.00% 0.00% 34.20% 69.45% 62.49% 94.21% 76.96%
February 2010................. 0.00% 65.91% 100.00% 0.00% 33.43% 68.95% 61.72% 93.98% 76.32%
March 2010.................... 0.00% 65.27% 100.00% 0.00% 32.72% 68.44% 60.95% 93.74% 75.68%
April 2010.................... 0.00% 64.48% 100.00% 0.00% 31.97% 67.94% 60.17% 93.50% 75.02%
May 2010...................... 0.00% 63.69% 100.00% 0.00% 31.22% 67.42% 59.38% 93.24% 74.36%
June 2010..................... 0.00% 62.91% 100.00% 0.00% 30.43% 66.91% 58.58% 92.99% 73.68%
July 2010..................... 0.00% 62.11% 100.00% 0.00% 29.70% 66.39% 57.77% 92.72% 73.00%
August 2010................... 0.00% 61.33% 100.00% 0.00% 28.93% 65.87% 56.96% 92.44% 72.30%
September 2010................ 0.00% 60.55% 100.00% 0.00% 28.17% 65.34% 56.14% 92.16% 71.59%
October 2010.................. 0.00% 59.74% 100.00% 0.00% 27.42% 64.81% 55.31% 91.87% 70.88%
November 2010................. 0.00% 58.96% 100.00% 0.00% 26.67% 64.28% 54.47% 91.57% 70.15%
December 2010................. 0.00% 58.16% 100.00% 0.00% 25.89% 63.75% 53.63% 91.26% 69.41%
January 2011.................. 0.00% 57.35% 100.00% 0.00% 25.16% 63.21% 52.77% 90.95% 68.66%
February 2011................. 0.00% 56.54% 100.00% 0.00% 24.40% 62.66% 51.91% 90.62% 67.90%
March 2011.................... 0.00% 56.09% 100.00% 0.00% 23.65% 62.12% 51.04% 90.29% 67.13%
April 2011.................... 0.00% 55.30% 100.00% 0.00% 22.86% 61.57% 50.17% 89.95% 66.35%
May 2011...................... 0.00% 54.48% 100.00% 0.00% 22.13% 61.02% 49.28% 89.60% 65.56%
June 2011..................... 0.00% 53.68% 100.00% 0.00% 21.37% 60.46% 48.39% 89.24% 64.76%
July 2011..................... 0.00% 52.15% 100.00% 0.00% 20.61% 59.90% 47.49% 88.87% 63.95%
August 2011................... 0.00% 51.37% 100.00% 0.00% 19.87% 59.34% 46.58% 88.49% 63.12%
September 2011................ 0.00% 50.59% 100.00% 0.00% 19.14% 58.77% 45.66% 88.10% 62.29%
October 2011.................. 0.00% 49.79% 100.00% 0.00% 18.38% 58.20% 44.74% 87.70% 61.44%
November 2011................. 0.00% 49.02% 100.00% 0.00% 17.64% 57.63% 43.81% 87.30% 60.59%
December 2011................. 0.00% 47.17% 100.00% 0.00% 16.92% 57.05% 42.87% 86.88% 59.72%
January 2012.................. 0.00% 46.40% 100.00% 0.00% 16.22% 56.48% 41.92% 86.45% 58.84%
February 2012................. 0.00% 45.63% 100.00% 0.00% 15.49% 55.89% 40.96% 86.01% 57.95%
March 2012.................... 0.00% 44.84% 100.00% 0.00% 14.81% 55.31% 40.00% 85.56% 57.05%
April 2012.................... 0.00% 44.09% 100.00% 0.00% 14.08% 54.72% 39.03% 85.10% 56.14%
May 2012...................... 0.00% 43.33% 100.00% 0.00% 13.39% 54.13% 38.05% 84.62% 55.22%
June 2012..................... 0.00% 42.60% 100.00% 0.00% 12.71% 53.53% 37.06% 84.14% 54.28%
July 2012..................... 0.00% 41.86% 100.00% 0.00% 12.02% 52.93% 36.06% 83.64% 53.34%
August 2012................... 0.00% 41.12% 100.00% 0.00% 11.34% 52.33% 35.06% 83.14% 52.38%
September 2012................ 0.00% 40.38% 100.00% 0.00% 10.67% 51.72% 34.05% 82.62% 51.41%
October 2012.................. 0.00% 39.63% 100.00% 0.00% 9.99% 51.12% 33.03% 82.09% 50.43%
November 2012................. 0.00% 38.89% 100.00% 0.00% 9.32% 50.50% 32.00% 81.54% 49.44%
December 2012................. 0.00% 38.14% 100.00% 0.00% 8.66% 49.89% 30.97% 80.99% 48.44%
January 2013.................. 0.00% 37.38% 100.00% 0.00% 8.03% 49.27% 29.92% 80.42% 47.43%
February 2013................. 0.00% 36.48% 100.00% 0.00% 7.37% 48.65% 28.87% 79.84% 46.40%
March 2013.................... 0.00% 35.54% 100.00% 0.00% 6.74% 48.03% 27.81% 79.25% 45.36%
April 2013.................... 0.00% 34.58% 100.00% 0.00% 6.12% 47.40% 26.75% 78.64% 44.31%
May 2013...................... 0.00% 33.69% 100.00% 0.00% 5.49% 46.77% 25.67% 78.02% 43.25%
June 2013..................... 0.00% 32.66% 100.00% 0.00% 4.92% 46.13% 24.59% 77.38% 42.18%
July 2013..................... 0.00% 31.86% 100.00% 0.00% 4.33% 45.50% 23.50% 76.73% 41.10%
August 2013................... 0.00% 30.95% 100.00% 0.00% 3.73% 44.86% 22.40% 76.07% 40.00%
September 2013................ 0.00% 29.90% 99.64% 0.00% 3.18% 44.21% 21.29% 75.40% 38.90%
October 2013.................. 0.00% 28.96% 98.95% 0.00% 2.62% 43.57% 20.18% 74.71% 37.78%
November 2013................. 0.00% 28.43% 98.41% 0.00% 2.06% 42.92% 19.05% 74.00% 36.64%
December 2013................. 0.00% 27.91% 97.70% 0.00% 1.54% 42.26% 17.92% 73.28% 35.50%
January 2014.................. 0.00% 27.32% 96.68% 0.00% 1.02% 41.61% 16.78% 72.54% 34.35%
February 2014................. 0.00% 26.74% 95.47% 0.00% 0.51% 40.95% 15.64% 71.79% 33.18%
March 2014.................... 0.00% 26.17% 94.13% 0.00% 0.00% 40.29% 14.48% 71.03% 32.00%
April 2014.................... 0.00% 25.64% 92.69% 0.00% 0.00% 39.62% 13.32% 70.25% 30.81%
May 2014...................... 0.00% 24.84% 90.29% 0.00% 0.00% 38.95% 12.15% 69.45% 29.61%
June 2014..................... 0.00% 24.47% 89.08% 0.00% 0.00% 38.28% 10.97% 68.63% 28.39%
</TABLE>
E-11-3
<PAGE> 4
EXTENDED POOL FACTORS (CONTINUED)
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
July 2014..................... 0.00% 24.12% 87.80% 0.00% 0.00% 37.60% 9.78% 67.80% 27.16%
August 2014................... 0.00% 23.71% 86.18% 0.00% 0.00% 36.93% 8.59% 66.96% 26.00%
September 2014................ 0.00% 23.31% 84.48% 0.00% 0.00% 36.25% 7.38% 66.09% 24.91%
October 2014.................. 0.00% 22.73% 81.83% 0.00% 0.00% 35.56% 6.17% 65.21% 23.71%
November 2014................. 0.00% 22.19% 79.25% 0.00% 0.00% 34.87% 4.95% 64.31% 22.44%
December 2014................. 0.00% 21.84% 77.49% 0.00% 0.00% 34.18% 3.73% 63.40% 21.07%
January 2015.................. 0.00% 21.04% 73.46% 0.00% 0.00% 33.49% 2.49% 62.46% 19.66%
February 2015................. 0.00% 20.40% 70.57% 0.00% 0.00% 32.79% 1.25% 61.51% 18.22%
March 2015.................... 0.00% 20.04% 69.04% 0.00% 0.00% 32.09% 0.00% 60.54% 16.90%
April 2015.................... 0.00% 19.21% 65.71% 0.00% 0.00% 31.39% 0.00% 59.56% 15.56%
May 2015...................... 0.00% 18.74% 63.92% 0.00% 0.00% 30.69% 0.00% 58.55% 14.21%
June 2015..................... 0.00% 18.27% 62.17% 0.00% 0.00% 29.98% 0.00% 57.52% 12.84%
July 2015..................... 0.00% 17.80% 60.44% 0.00% 0.00% 29.27% 0.00% 56.48% 11.47%
August 2015................... 0.00% 17.34% 58.66% 0.00% 0.00% 28.55% 0.00% 55.41% 10.08%
September 2015................ 0.00% 16.90% 56.81% 0.00% 0.00% 27.83% 0.00% 54.33% 8.68%
October 2015.................. 0.00% 16.47% 54.87% 0.00% 0.00% 27.11% 0.00% 53.23% 7.26%
November 2015................. 0.00% 16.06% 52.90% 0.00% 0.00% 26.39% 0.00% 52.10% 5.84%
December 2015................. 0.00% 15.67% 50.87% 0.00% 0.00% 25.66% 0.00% 50.96% 4.40%
January 2016.................. 0.00% 15.28% 48.76% 0.00% 0.00% 24.93% 0.00% 49.79% 2.94%
February 2016................. 0.00% 14.90% 46.62% 0.00% 0.00% 24.20% 0.00% 48.61% 1.48%
March 2016.................... 0.00% 14.51% 44.46% 0.00% 0.00% 23.46% 0.00% 47.40% 0.00%
April 2016.................... 0.00% 13.70% 40.73% 0.00% 0.00% 22.72% 0.00% 46.17% 0.00%
May 2016...................... 0.00% 12.81% 37.80% 0.00% 0.00% 21.98% 0.00% 44.92% 0.00%
June 2016..................... 0.00% 12.33% 36.35% 0.00% 0.00% 21.24% 0.00% 43.65% 0.00%
July 2016..................... 0.00% 11.85% 34.91% 0.00% 0.00% 20.49% 0.00% 42.35% 0.00%
August 2016................... 0.00% 11.41% 33.27% 0.00% 0.00% 19.74% 0.00% 41.04% 0.00%
September 2016................ 0.00% 10.87% 32.00% 0.00% 0.00% 18.98% 0.00% 39.70% 0.00%
October 2016.................. 0.00% 9.73% 29.33% 0.00% 0.00% 18.23% 0.00% 38.33% 0.00%
November 2016................. 0.00% 9.16% 28.30% 0.00% 0.00% 17.47% 0.00% 36.95% 0.00%
December 2016................. 0.00% 8.62% 27.14% 0.00% 0.00% 16.70% 0.00% 35.54% 0.00%
January 2017.................. 0.00% 8.09% 25.95% 0.00% 0.00% 15.94% 0.00% 34.10% 0.00%
February 2017................. 0.00% 7.56% 24.74% 0.00% 0.00% 15.17% 0.00% 32.65% 0.00%
March 2017.................... 0.00% 7.03% 23.48% 0.00% 0.00% 14.40% 0.00% 31.17% 0.00%
April 2017.................... 0.00% 6.52% 22.20% 0.00% 0.00% 13.62% 0.00% 29.66% 0.00%
May 2017...................... 0.00% 6.03% 20.90% 0.00% 0.00% 12.84% 0.00% 28.13% 0.00%
June 2017..................... 0.00% 4.19% 16.76% 0.00% 0.00% 12.06% 0.00% 26.57% 0.00%
July 2017..................... 0.00% 3.83% 15.32% 0.00% 0.00% 11.28% 0.00% 24.99% 0.00%
August 2017................... 0.00% 3.12% 15.32% 0.00% 0.00% 10.49% 0.00% 23.38% 0.00%
September 2017................ 0.00% 2.40% 15.32% 0.00% 0.00% 9.70% 0.00% 21.75% 0.00%
October 2017.................. 0.00% 0.33% 13.72% 0.00% 0.00% 8.91% 0.00% 20.09% 0.00%
November 2017................. 0.00% 0.25% 12.70% 0.00% 0.00% 8.11% 0.00% 18.40% 0.00%
December 2017................. 0.00% 0.25% 11.70% 0.00% 0.00% 7.32% 0.00% 16.69% 0.00%
January 2018.................. 0.00% 0.25% 10.74% 0.00% 0.00% 6.52% 0.00% 14.94% 0.00%
February 2018................. 0.00% 0.21% 8.33% 0.00% 0.00% 5.71% 0.00% 13.18% 0.00%
March 2018.................... 0.00% 0.00% 0.00% 0.00% 0.00% 4.90% 0.00% 11.38% 0.00%
April 2018.................... 0.00% 0.00% 0.00% 0.00% 0.00% 4.09% 0.00% 9.56% 0.00%
May 2018...................... 0.00% 0.00% 0.00% 0.00% 0.00% 3.28% 0.00% 7.70% 0.00%
June 2018..................... 0.00% 0.00% 0.00% 0.00% 0.00% 2.46% 0.00% 5.82% 0.00%
July 2018..................... 0.00% 0.00% 0.00% 0.00% 0.00% 1.65% 0.00% 3.91% 0.00%
August 2018................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.82% 0.00% 1.97% 0.00%
September 2018................ 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2018.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2018................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2018................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2019.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2019................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2019.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2019.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
</TABLE>
E-11-4
<PAGE> 5
EXTENDED POOL FACTORS (CONTINUED)
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
May 2019...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2019..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2019..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2019................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2019................ 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2019.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2019................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2019................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2020.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2020................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2020.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2020.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2020...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2020..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2020..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2020................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2020................ 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2020.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2020................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2020................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2021.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2021................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2021.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2021.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2021...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2021..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2021..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2021................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2021................ 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2021.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2021................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2021................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2022.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2022................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2022.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2022.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2022...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2022..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2022..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2022................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2022................ 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2022.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2022................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2022................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2023.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2023................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
March 2023.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2023.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2023...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2023..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2023..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2023................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2023................ 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2023.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
November 2023................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
December 2023................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
January 2024.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
February 2024................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
</TABLE>
E-11-5
<PAGE> 6
EXTENDED POOL FACTORS (CONTINUED)
<TABLE>
<CAPTION>
SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS SUBCLASS
PAYMENT DATE OCCURRING IN A-2 A-3 A-4 A-5 B-1 B-2 C-1 C-2 D-1
- ------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
March 2024.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
April 2024.................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
May 2024...................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
June 2024..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
July 2024..................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
August 2024................... 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
September 2024................ 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
October 2024.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
</TABLE>
E-11-6
