<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
March 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)
<TABLE>
<S> <C>
333-56575 13-3375162
(Commission File Number) (IRS Employer Identification No.)
</TABLE>
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
Morgan Stanley Aircraft Finance ("MSAF") reports that on March 15, 2000 it
consummated a securitization of 29 aircraft previously purchased by affiliates
of Morgan Stanley Dean Witter & Co. ("MSDW"). Simultaneously with the
securitization, MSAF also refinanced its subclass A-1 notes.
In connection with the securitization and refinancing, MSAF issued five
subclasses of notes (the "NEW NOTES"). The New Notes were offered to qualified
institutional buyers in the United States under Rule 144A and outside the United
States under Regulation S. As required by the indenture under which MSAF's notes
issued on March 3, 1998 were issued (the "INDENTURE") (such notes, other than
the refinanced subclass A-1 notes, the "1998 NOTES"), MSAF received confirmation
from the Rating Agencies (as defined in the Indenture) of the following ratings
of the 1998 Notes:
<TABLE>
<CAPTION>
RATING AGENCIES
---------------------------------------------
STANDARD & POOR'S MOODY'S DUFF & PHELPS
----------------- ------- -------------
<S> <C> <C> <C>
Subclass A-2 Notes.......................................... AA Aa2 AA
Subclass B-1 Notes.......................................... A A2 A
Subclass C-1 Notes.......................................... BBB Baa2 BBB
Subclass D-1 Notes.......................................... BB Ba2 BB
</TABLE>
Upon consummation of the securitization and refinancing, MSAF acquired the
29 additional aircraft. MSAF's enlarged portfolio, including the 29 additional
aircraft and related leases, supports its obligations under both the 1998 Notes
and the New Notes. Attached as Exhibit 1 is a description of MSAF's enlarged
portfolio.
In connection with the securitization and refinancing, MSAF 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 also changed. Attached as
Exhibit 3 are new stress tables for the 1998 Notes. Also under the new
assumptions and with the enlarged portfolio, MSAF's assumed monthly lease
rentals and assumed portfolio values changed. 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 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 were 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.
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 were 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).
2
<PAGE> 3
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
<TABLE>
<S> <C>
Date: March 15, 2000 By: /s/ SCOTT PETERSON
------------------------------------------
Signatory Trustee
</TABLE>
EXHIBIT INDEX
<TABLE>
<S> <C>
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
</TABLE>
3
<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. 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. Upon consummation of this offering, we
will acquire these new aircraft-owning subsidiaries and as a result will own the
29 aircraft. The 29 additional aircraft had an aggregate appraised value of
$1,047.8 million as of November 30, 1999. As of February 1, 2000, all of these
aircraft were subject to lease contracts with 24 lessees based in 16 countries.
The following table sets forth certain information as of February 15, 2000
with respect to the 29 additional aircraft (except for appraised values which
are as of November 30, 1999). For more information regarding each lessee, you
should refer to "-- Description of the Lessees" below.
<TABLE>
<CAPTION>
APPRAISED VALUE
ENGINE SERIAL DATE OF AS OF NOVEMBER 30,
TYPE CONFIGURATION NUMBER MANUFACTURE LESSEE 1999
- ---- --------------- ------ ----------- ------ ------------------
($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 Oct-93 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 Jun-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 Feb-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, Morten 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 BK INFORMATION MORTON BEYER
AIRCRAFT TYPE CONFIGURATION NUMBER MANUFACTURE LIMITED 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 Oct-93 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 56-3B2 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 56-3C1 26295 Dec-93 22,596,442 26,024,250 25,560,000 25,546,000
B737-300 CFM 56-3B1 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 56-3B2 23811 Oct-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 Jun-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 Feb-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 Jul-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 32,132,698
A320-200 30,225,000 30,500,955
A321-100 40,000,000 38,932,667
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 $2,000,891,389
==============
</TABLE>
E-1-3
<PAGE> 4
- ---------------
(1) Aircraft that has not been delivered.
(2) This aircraft is not currently capable of extended range missions but ILFC
has agreed to pay for the cost of an extended range modification to the
aircraft upon MSAF's request at any time following the termination or
expiration of the lease for the aircraft. The appraisals of the aircraft
assume that the extended range modification has been carried out.
The aggregate values calculated by each of the five appraisers for the
portfolio are as follows:
<TABLE>
<CAPTION>
AGGREGATE
APPRAISED VALUE
AS OF NOVEMBER 30,
APPRAISER 1999
--------- ------------------
($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
Morten Beyer and Agnew...................................... 2,103.1
</TABLE>
The following table sets forth certain selected statistics relating to the
appraisals of the portfolio at November 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............................ 13.7%
</TABLE>
E-1-4
<PAGE> 5
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.
The following table sets forth the exposure as of February 15, 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 VALUE
NUMBER OF ENGINE AS OF NOVEMBER 30,
MANUFACTURER TYPE OF AIRCRAFT AIRCRAFT BODY TYPE STAGE 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%)........... F-50 2 Turboprop 3 0.62%
F-70 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 15, 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%
Flugfelagid Atlanta H.F. (AIR ATLANTA ICELANDIC)............ 1 2.45%
Region Air (BVI) Ltd........................................ 2 2.25%
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................................................... 1 1.09%(2)
----------- -------
Total..................................................... 61 + engine 100.00%
=========== =======
</TABLE>
- ---------------
(1) Aircraft that has not been delivered.
(2) This aircraft is currently the subject of a non-binding letter of intent for
lease with a carrier based in the Middle East.
E-1-6
<PAGE> 7
The following table sets forth the exposure as of February 15, 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
NUMBER OF AS 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%
Iceland..................................................... 2 3.44%
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%
Singapore................................................... 2 2.25%
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)
Off-lease................................................... 1 1.09%(2)
----------- -------
Total..................................................... 61 + engine 100.00%
=========== =======
</TABLE>
- ---------------
(1) Aircraft that has not been delivered.
(2) This aircraft is currently the subject of a non-binding letter of intent
for lease with a carrier based in the Middle East.
The following table sets forth the exposure as of February 15, 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
NUMBER OF AS OF NOVEMBER 30,
REGION(1) AIRCRAFT 1999
- --------- ----------- ------------------
<S> <C> <C>
Developed
Europe.................................................... 18 + engine 27.41%
North America............................................. 12 15.44%
Pacific................................................... 4 9.97%
Emerging
Asia...................................................... 8 16.44%
Latin America............................................. 5 7.39%
Europe and Middle East.................................... 6 6.65%
Other
Other..................................................... 7 5.61%(2)
Off-lease................................................. 1 1.09%(3)
----------- -------
Total.................................................. 61 +
engine..... 100.00%
=========== =======
</TABLE>
- ---------------
(1) Regions are defined according to designations published by Morgan Stanley
Capital International.
E-1-7
<PAGE> 8
(2) Includes aircraft that has not been delivered.
(3) This aircraft is currently the subject of a non-binding letter of intent
for lease with a carrier based in the Middle East.
The following table sets forth the exposure as of February 15, 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
APPRAISED VALUE
NUMBER OF AS OF NOVEMBER 30,
YEAR OF MANUFACTURE AIRCRAFT 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
APPRAISED VALUE
NUMBER OF AS OF NOVEMBER 30,
SEAT CATEGORY AIRCRAFT 1999
------------- ----------- ------------------
<S> <C> <C> <C>
<50................ F-50......................................... 2 0.62%
51-120............. B737-500, F-70............................... 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 B737-300QC 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 Jul-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 Feb-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 Oct-93
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
Singapore Region AA A310-300 JT9D-7R4E1 409 Nov-85
Singapore Region AA A310-300 JT9D-7R4E1 410 Nov-85
Europe and Middle East... Greece Olympic B737-400 CFM 56-3C1 25371 Jan-92
(Emerging) Hungary Malev F70 TAY MK620-15 11564 Dec-95
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 Jun-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
Iceland Air Atlantic
Icelandic B747-300 CF6-80C2 24106 Apr-88
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................ -- -- B737-400 CFM 56-3B2 24234 Oct-88
Total
<CAPTION>
% OF PORTFOLIO
APPRAISED BY 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%
22.3 1.12%
22.7 1.13%
Europe and Middle East... 25.1 1.26%
(Emerging) 13.7 0.68%
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%
49.0 2.45%
21.7 1.08%(2)
38.9 1.95%
24.6 1.23%
91.6 4.58%
Off-lease................ 21.9 1.09%(3)
-------
2,000.9
=======
</TABLE>
- ---------------
(1) Regions are defined according to designations published by Morgan Stanley
Capital International.
(2) Aircraft that has not been delivered.
(3) This aircraft is currently the subject of a non-binding letter of intent for
lease with a carrier based in the Middle East.
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
15, 2000.
<TABLE>
<CAPTION>
ENGINE CURRENT ON NUMBER OF
TYPE & VARIANT BODY SEATS MANUFACTURER(1) PRODUCTION YEARS FLEET ORDER OPERATORS(2)
- -------------- --------- ----- --------------- ------------------ ------- ----- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Airbus A300-600R........................ Wide 220 2 X GE 1987- 77 0 13
2 X PW 1988- 85 31 9
Airbus A310-300......................... Wide 180 2 X GE 1985- 82 0 21
2 X PW 1985- 66 5 21
Airbus A320-200......................... Narrow 150 2 X CFM 1988- 470 209 48
2 X IAE 1988- 306 188 50
2 X TBA 0 100 0
Airbus A321-100......................... Narrow 185 2 X CFM 1993- 42 5 4
2 X IAE 1993- 41 13 9
Airbus A330-300......................... Wide 295 2 X GE 1993- 16 10 4
2 X PW 1994- 37 36 9
2 X RR 1992- 27 14 6
2 X TBA 0 4 1
Airbus A340-300......................... Wide 295 4 X CFM 1992- 144 53 25
Boeing 737-300.......................... Narrow 130 2 X CFM 1984- 1067 0 96
Boeing 737-300F......................... Freight 0 2 X CFM (all conversions) 3 0 3
Boeing 737-300QC........................ Narrow 130 2 X CFM (all conversions) 29 0 6
Boeing 737-400.......................... Narrow 150 2 X CFM 1988- 477 1 70
Boeing 737-500.......................... Narrow 110 2 X CFM 1989- 384 0 39
Boeing 747-300.......................... Wide 400 4 X GE 1982-1990 16 0 6
4 X PW 1982-1988 40 0 12
4 X RR 1984-1988 22 0 4
Boeing 747-400.......................... Wide 412 4 X GE 1988- 211 49 26
4 X PW 1988- 183 21 12
4 X RR 1988- 113 4 6
TBA 0 1 0
Boeing 757-200.......................... Narrow 200 2 X PW 1984- 380 41 17
2 X RR 1982- 501 12 42
2 X TBA 0 16 0
Boeing 767-200ER........................ Wide 180 2 X GE 1985- 58 10 13
2 X PW 1984- 49 0 12
Boeing 767-300ER........................ Wide 220 2 X GE 1986- 258 41 42
2 X PW 1987- 152 11 23
2 X RR 1989- 31 0 2
2 X TBA 0 9 0
Fokker 50............................... Turboprop 50 2 X PW 1987- 188 0 30
Fokker 70............................... Narrow 70 2 X RR 1994- 43 0 9
MDC MD-82............................... Narrow 140 2 X PW 1981-1997 584 0 28
MDC MD-83............................... Narrow 140 2 X PW 1984-1999 278 0 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 15, 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
Aeromexico Mexico 1934 Scheduled Cintra (90%) 9 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
2 A300-600R
3 A321-130
Air Atlanta Iceland 1986 Chartered and Private (100%) 1 B747-100
Icelandic Wet Leases 2 B747-200B
3 B747-300
1 L10-11 Tristar
Air Europa Spain 1986 Scheduled and Juan Jose Hidalgo 8 B737-300
Chartered Acera (79%) 4 B737-400
A Guiterrex Saiz (7.2%) 7 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%) 1 ATR 42
Chartered Groupe Bullore (30%) 2 DC-10-30
1 DC-10-30ER
1 F-27
11 F-100
4 F-28
2 MD-82
10 MD-83
Air Macau Macau 1994 Scheduled Macau Aviation Services 2 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 A320-200
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 A340-300
Chartered Public (16.74%) 1 ATR 42-300
Government of Mauritius 2 ATR 42-500
(10.86%) 2 B767-200ER
Rogers & Company (4.49%)
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
1 B747-200B
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
8 B737-700
5 MD-82
28 MD-83
Asiana South Korea 1988 Scheduled and Kumho Group (54.2%) 3 A321-200
Chartered Pacific Investment Capital, 20 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 A310-300
Braathens Norway 1946 Scheduled and Braganza (33.4%) 5 B737-400
Chartered Other (31.2%) 20 B737-500
KLM (30%) 8 B737-700
Bramora (5.4%) 10 BAe-146-200
4 F-100
Britannia United Kingdom 1961 Chartered Thomson Travel Holdings 4 B737-800
(100%) 22 B757-200
4 B767-200EM
2 B767-200ER
10 B767-300ER
Canada 3000 Canada 1988 Chartered Canadian Investors (55%) 5 A320-200
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 (25%) 6 B737-200C
4 B747-400
14 B767-300ER
4 DC 10-30
4 DC 10-30ER
31 F-28
10 Dash 8-100
14 Dash 8-300
Cathay Pacific Hong Kong 1946 Scheduled Swire Pacific (43.9%) 12 A330-300
and Freight China International Trust 14 A340-300
and Investment Corp (25%) 3 B747-200F
Other (31.1%) 1 B747-200SF
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 4 A300-B4-200
and Freight (71.1%) 10 B737-800
Other (28.9%) 2 B747-200F
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 Beechjet 400
(5.3%) 2 Dornier 328
1 Hawker 800
1 Learjet-60
9 Metro 23
Continental United States of 1934 Scheduled Other (71%) 31 ATR 42-300
America Northwest Airlines (15%) 6 ATR 42-500
Air Partners LP (14%) 2 ATR 72-210
13 B727-200A
4 B727-200F
65 B737-300
66 B737-500
36 B737-700
41 B737-800
2 B747-200B
39 B757-200
14 B777-200ER
1 DC 9-31
2 DC 9-32
27 DC 10-30
3 DC10-30ER
21 EMB-120
1 EMB-120ER
7 ERJ-135
56 ERJ-145
5 MD-81
56 MD-82
8 MD-83
25 Raytheon 1900
</TABLE>
E-1-13
<PAGE> 14
<TABLE>
<CAPTION>
BEGAN SERVICE OPERATING
LESSEE DOMICILE OPERATION TYPE OWNERSHIP FLEET(1)
- ------ -------- --------- ------- --------- ---------
<S> <C> <C> <C> <C> <C>
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%)
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%) 4 ATR 72-200
and Freight Government of The 2 BAe 146-300
Netherlands (25%) 19 B737-300
19 B737-400
4 B737-800
8 B747-200B
2 B747-200SF
3 B747-300
20 B747-400
12 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%) 2 A300 B4-100F
Postal Groupe La Poste (50%) 4 ATR 72-200
3 B737-200A
1 B737-200QC
15 B737-300QC
Lithuanian Lithuania 1991 Scheduled and Government of Lithuania 1 An-24-RV
Chartered (100%) 2 B737-200A
1 B737-300
1 B737-500
2 Saab 340
2 Saab 2000
6 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
6 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%) 3 A320-200
3 A321-200
2 A330-200
5 B757-200
1 DC10-30
1 L10-11 Tristar
</TABLE>
E-1-14
<PAGE> 15
<TABLE>
<CAPTION>
BEGAN SERVICE OPERATING
LESSEE DOMICILE OPERATION TYPE OWNERSHIP FLEET(1)
- ------ -------- --------- ------- --------- ---------
<S> <C> <C> <C> <C> <C>
National Airlines United States of 1998 Scheduled Rio Hotel, Harrah 12 B757-200
America Entertainments
and Wexford Management
(100%)
Olympic Greece 1957 Scheduled Government of Greece (100%) 1 A300-B4-100
1 A300-B4-200
2 A300-600R
4 A340-300
4 ATR 42-300
7 ATR 72-200
2 B717-200
11 B737-200A
1 B737-300
12 B737-400
1 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%)
Region Air Singapore 1988 Chartered Hotel Properties Ltd 2 A310-300
(100%)
Southwest United States of 1981 Scheduled Public (90%) 35 B737-200A
America Employees (10%) 195 B737-300
25 B737-500
58 B737-700
TransAer Ireland 1991 Chartered Translift Holding (100%) 1 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%) 1 B727-200
America Employees (30%) 11 B727-200A
Prince Al-Waleed bin Talal 2 B747-100
(5%) 10 B767-200EM
6 B767-300ER
16 DC-9-31
12 DC-9-32
1 DC-9-33CF
7 DC-9-51
1 L10-11 Tristar
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 15, 2000, we had 61 leases in effect, covering our whole
portfolio except one aircraft which was off-lease. Under three of the lease
contracts, the lessee has not yet taken delivery of the aircraft. In two cases
delivery is scheduled for April 1, 2000 and in the third case delivery is
scheduled for March 17, 2000. Our one off-lease aircraft is subject to a
non-binding letter of intent for lease. 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 15, 2000 (with appraised
values as of November 30, 1999).
PRESENT VALUE OF ALL
CONTRACTED LEASE RENTAL
PAYMENTS................. Approximately $742.0 million (discounted to the
closing date of this offering at a rate of 7.50%).
This amount represents 40.5% of our total debt
outstanding upon the closing of this offering.
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 42 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.......... Thirty 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 56 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 42
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 7.50%) is approximately $5.1
million less than the note target price of the
aircraft on the closing date of this offering.
SECURITY DEPOSITS.......... Under 56 of the leases, the lessee has provided
security for its obligations. Our total security
deposits are $39.2 million in cash and $1.8 million
in letters of credit. Together these security
deposits are equivalent to 2.13 months of
contracted lease rental payments. For a discussion
of cash security deposits that ILFC holds on our
behalf, you should refer to "Liquidity -- ILFC
Facility".
E-1-16
<PAGE> 17
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.
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, based in Sweden). To our knowledge, only two
lessees wet lease their aircraft: Transaer (to
Libyan Airlines) and Pegasus (to Eurofly, based in
Italy). Our consent was not required for these wet
leases.
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 15, 2000. As of the date of this report, we are
not aware of events or circumstances since that date that would cause the
assumptions to be unreliable. In formulating the Base Case, we have taken
account of the issuance of the following subclasses of New Notes:
<TABLE>
<CAPTION>
SUBCLASS OF NEW NOTES AMOUNT MONTHLY COUPON
--------------------- ------------ ---------------------
($ MILLIONS)
<S> <C> <C>
Subclass A-3.................................. 580 1 Month LIBOR + 0.52%
Subclass A-4.................................. 200 1 Month LIBOR + 0.54%
Subclass A-5.................................. 400 1 Month LIBOR + 0.58%
Subclass B-2.................................. 75 1 Month LIBOR + 1.05%
Subclass C-2.................................. 55 9.60%
------
$1,310
======
</TABLE>
E-2-1
<PAGE> 2
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 55.6% of lease rentals, leaving 35.9% of
lease rentals available to repay principal in the first year, assuming
consummation of the securitization and refinancing.
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 15, 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.
E-2-2
<PAGE> 3
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)
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.
E-2-3
<PAGE> 4
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.
- 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 5.97% 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 make payments in accordance with the order of
priorities set forth in MSAF's prospectus dated November 4, 1998 under
"Description of Notes -- Priority of Payments".
- 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. Statements of yields for a particular subclass of notes in these tables
are based on the assumption that the purchase price for such notes is 100% of
the face value.
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....................................... 5.5 3.0 5.5 3.0 5.5 3.1 6.1 3.3 6.8 3.5
Subclass B-1....................................... 13.0 6.7 13.0 6.7 13.0 6.7 14.0 6.7 14.0 6.8
Subclass C-1....................................... 12.3 8.6 13.0 8.6 13.0 8.6 15.1 10.2 16.6 12.5
Subclass D-1....................................... 12.2 9.7 14.0 10.1 14.0 10.1 17.0 12.3 (1)
</TABLE>
- ---------------
(1) Not all principal repaid prior to Final Maturity Date (Yield = 5.13%).
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....................................... 5.5 3.1 5.5 3.1 5.5 3.1 6.8 3.1 6.8 3.1
Subclass B-1....................................... 13.0 6.7 13.0 6.7 13.0 6.7 14.0 6.7 14.0 6.7
Subclass C-1....................................... 13.0 8.6 13.0 8.6 13.0 8.6 15.0 9.6 15.6 10.2
Subclass D-1....................................... 13.6 10.1 14.0 10.1 14.0 10.1 16.0 11.6 21.0 16.2
</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................................................ 5.5 3.1 6.7 3.0 5.5 3.0 5.5 3.0
Subclass B-1................................................ 13.0 6.7 13.0 6.7 13.0 6.8 13.0 6.8
Subclass C-1................................................ 13.0 8.6 13.0 8.8 13.0 9.9 13.7 10.3
Subclass D-1................................................ 14.0 10.1 14.0 10.2 14.0 11.4 14.2 11.7
</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........................................... 5.5 3.1 5.5 3.1 5.5 3.1 5.5 3.1
Subclass B-1........................................... 13.0 6.7 13.0 6.7 13.0 6.7 13.0 6.8
Subclass C-1........................................... 13.0 8.6 13.0 8.7 13.0 9.8 13.8 10.2
Subclass D-1........................................... 14.0 10.1 14.0 10.1 14.0 11.4 14.3 11.7
</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 6.7 13.0 6.7 14.1 6.8
3................................................ 13.0 6.7 13.0 6.7 13.2 6.8
5................................................ 13.0 6.7 13.0 6.7 13.2 6.8
10............................................... 13.0 6.7 13.0 6.7 13.2 6.7
</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 6.7 13.2 6.7 14.0 6.8
3................................................ 13.0 6.7 13.0 6.8 14.0 6.8
5................................................ 13.0 6.7 13.0 6.7 14.0 6.8
10............................................... 13.0 6.7 13.0 6.7 14.0 6.7
</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)................................. 13.0 8.6 13.1 8.7 15.0 10.5
3................................................ 13.0 8.6 13.1 8.8 15.1 10.2
5................................................ 13.0 8.6 13.1 8.7 13.9 9.6
10............................................... 13.0 8.6 13.0 8.6 13.2 9.1
</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)................................. 13.0 8.6 14.1 9.7 15.1 10.6
3................................................ 13.0 8.6 13.2 9.2 15.0 10.5
5................................................ 13.0 8.6 13.1 8.8 15.0 10.4
10............................................... 13.0 8.6 13.1 8.6 14.4 9.6
</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 14.4 11.1 16.0 12.0
3................................................ 14.0 10.1 14.0 10.6 16.0 11.9
5................................................ 14.0 10.1 14.0 10.3 15.6 11.7
10............................................... 14.0 10.1 14.0 10.3 14.9 10.9
</TABLE>
- ---------------
* Base Case
EXPECTED MATURITIES AND WEIGHTED AVERAGE LIVES OF SUBCLASS D-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)................................. 14.0 10.1 15.6 11.9 16.3 12.3
3................................................ 14.0 10.1 15.1 11.6 16.0 12.1
5................................................ 14.0 10.1 14.3 11.2 16.0 12.0
10............................................... 14.0 10.1 14.0 10.5 16.0 11.4
</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-2007 91 7.00% Jun-2011 23 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% Feb-2013 38 8.86% None 0 8.86% None 0
Base Case - 10%........... 5.13% Sep-2007 211 8.86% Mar-2011 103 8.86% Feb-2015 16
</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........... 26,299,918
May 2000............. 18,159,742
June 2000............ 22,702,755
July 2000............ 16,973,964
August 2000.......... 18,180,075
September 2000....... 22,710,991
October 2000......... 17,515,197
November 2000........ 18,107,622
December 2000........ 22,034,089
January 2001......... 17,075,927
February 2001........ 18,330,805
March 2001........... 22,037,187
April 2001........... 17,542,045
May 2001............. 17,944,760
June 2001............ 21,953,432
July 2001............ 17,395,741
August 2001.......... 18,330,552
September 2001....... 21,972,775
October 2001......... 18,235,068
November 2001........ 18,193,373
December 2001........ 21,892,987
January 2002......... 17,316,872
February 2002........ 18,242,523
March 2002........... 21,891,090
April 2002........... 18,134,870
May 2002............. 18,301,447
June 2002............ 20,853,005
July 2002............ 17,913,605
August 2002.......... 18,794,469
September 2002....... 20,883,069
October 2002......... 18,513,025
November 2002........ 18,508,469
December 2002........ 20,599,744
January 2003......... 17,643,920
February 2003........ 18,422,727
March 2003........... 20,111,157
April 2003........... 18,893,938
May 2003............. 18,112,813
June 2003............ 20,348,317
July 2003............ 18,249,207
August 2003.......... 18,253,943
September 2003....... 20,231,608
October 2003......... 19,517,466
November 2003........ 18,493,358
December 2003........ 19,561,358
January 2004......... 18,481,749
February 2004........ 18,469,498
March 2004........... 19,533,340
April 2004........... 19,677,006
May 2004............. 18,504,306
</TABLE>
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
June 2004............ 19,521,306
July 2004............ 18,430,517
August 2004.......... 18,459,855
September 2004....... 19,527,855
October 2004......... 19,639,542
November 2004........ 18,280,958
December 2004........ 19,414,568
January 2005......... 18,346,568
February 2005........ 18,346,568
March 2005........... 19,108,977
April 2005........... 19,548,058
May 2005............. 18,472,563
June 2005............ 18,599,571
July 2005............ 18,599,571
August 2005.......... 18,570,875
September 2005....... 18,570,875
October 2005......... 19,570,182
November 2005........ 18,537,872
December 2005........ 18,524,210
January 2006......... 18,524,210
February 2006........ 18,524,210
March 2006........... 18,481,857
April 2006........... 19,292,858
May 2006............. 18,407,089
June 2006............ 18,348,828
July 2006............ 18,327,189
August 2006.......... 18,275,570
September 2006....... 18,264,257
October 2006......... 19,086,028
November 2006........ 18,222,843
December 2006........ 18,194,251
January 2007......... 18,157,532
February 2007........ 18,157,532
March 2007........... 18,157,532
April 2007........... 18,941,919
May 2007............. 18,097,911
June 2007............ 18,082,659
July 2007............ 18,082,659
August 2007.......... 17,773,434
September 2007....... 17,773,434
October 2007......... 18,509,901
November 2007........ 17,762,088
December 2007........ 17,685,852
January 2008......... 17,685,852
February 2008........ 17,641,560
March 2008........... 17,604,067
April 2008........... 17,456,460
May 2008............. 17,368,338
June 2008............ 17,352,204
July 2008............ 17,335,388
</TABLE>
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
August 2008.......... 17,335,388
September 2008....... 17,335,388
October 2008......... 17,258,270
November 2008........ 17,162,540
December 2008........ 17,162,540
January 2009......... 17,152,670
February 2009........ 17,142,842
March 2009........... 17,133,034
April 2009........... 17,133,034
May 2009............. 17,069,632
June 2009............ 17,069,632
July 2009............ 17,012,965
August 2009.......... 16,965,429
September 2009....... 16,965,429
October 2009......... 16,965,429
November 2009........ 16,894,311
December 2009........ 16,857,998
January 2010......... 16,857,998
February 2010........ 16,857,998
March 2010........... 16,826,929
April 2010........... 16,664,711
May 2010............. 16,664,711
June 2010............ 16,580,826
July 2010............ 22,716,139
August 2010.......... 16,330,653
September 2010....... 16,330,653
October 2010......... 16,165,499
November 2010........ 15,972,159
December 2010........ 25,116,702
January 2011......... 15,809,809
February 2011........ 15,809,809
March 2011........... 15,719,809
April 2011........... 15,640,874
May 2011............. 15,584,748
June 2011............ 15,451,427
July 2011............ 15,410,251
August 2011.......... 15,385,486
September 2011....... 15,365,122
October 2011......... 15,365,122
November 2011........ 15,294,127
December 2011........ 15,235,323
January 2012......... 15,174,614
February 2012........ 15,174,614
March 2012........... 15,174,614
April 2012........... 20,638,135
May 2012............. 14,870,783
June 2012............ 18,311,527
July 2012............ 14,710,999
August 2012.......... 14,708,671
September 2012....... 19,885,660
</TABLE>
E-4-1
<PAGE> 2
MONTHLY LEASE RENTALS (CONTINUED)
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
October 2012......... 17,867,304
November 2012........ 14,229,433
December 2012........ 14,068,037
January 2013......... 14,068,037
February 2013........ 13,987,507
March 2013........... 13,924,739
April 2013........... 17,084,281
May 2013............. 21,997,135
June 2013............ 13,234,803
July 2013 13,186,455
August 2013.......... 13,186,455
September 2013....... 13,186,455
October 2013......... 16,716,779
November 2013........ 16,192,838
December 2013........ 12,758,040
January 2014......... 21,406,124
February 2014........ 17,554,276
March 2014........... 12,120,782
April 2014........... 18,270,505
May 2014............. 11,756,471
June 2014............ 11,756,471
July 2014............ 11,641,183
August 2014.......... 11,535,363
September 2014....... 11,535,363
October 2014......... 11,535,363
November 2014........ 11,396,514
December 2014........ 11,329,940
January 2015......... 11,329,940
February 2015........ 11,329,940
March 2015........... 11,254,486
April 2015........... 18,207,074
May 2015............. 17,111,705
June 2015............ 10,379,234
July 2015............ 10,379,234
August 2015.......... 10,379,234
September 2015....... 10,379,234
</TABLE>
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
October 2015......... 18,131,152
November 2015........ 9,738,110
December 2015........ 9,686,195
January 2016......... 9,686,195
February 2016........ 9,686,195
March 2016........... 9,686,195
April 2016........... 9,634,807
May 2016............. 9,634,807
June 2016............ 26,972,818
July 2016............ 8,610,359
August 2016.......... 8,537,659
September 2016....... 8,494,670
October 2016......... 24,494,266
November 2016........ 7,834,803
December 2016........ 7,718,814
January 2017......... 11,299,052
February 2017........ 7,529,178
March 2017........... 24,025,724
April 2017........... 19,820,868
May 2017............. 6,308,438
June 2017............ 9,883,191
July 2017............ 6,087,449
August 2017.......... 6,082,582
September 2017....... 6,082,582
October 2017......... 5,925,310
November 2017........ 5,925,310
December 2017........ 5,839,716
January 2018......... 5,839,716
February 2018........ 11,592,746
March 2018........... 9,821,985
April 2018........... 18,282,691
May 2018............. 7,206,060
June 2018............ 12,209,340
July 2018............ 4,054,017
August 2018.......... 11,383,758
September 2018....... 3,699,201
</TABLE>
<TABLE>
<CAPTION>
LEASE
MONTH RENTALS
- --------------------- ----------
(US$)
<S> <C>
October 2018......... 3,699,201
November 2018........ 7,763,854
December 2018........ 6,892,544
January 2019......... 3,282,827
February 2019........ 3,241,548
March 2019........... 8,695,766
April 2019........... 2,934,047
May 2019............. 17,918,100
June 2019............ 2,400,637
July 2019............ 2,400,637
August 2019.......... 2,400,637
September 2019....... 5,169,376
October 2019......... 11,007,345
November 2019........ 5,574,365
December 2019........ 5,206,064
January 2020......... 1,632,100
February 2020........ 1,632,100
March 2020........... 1,632,100
April 2020........... 13,561,661
May 2020............. 1,246,451
June 2020............ 4,719,329
July 2020............ 1,783,087
August 2020.......... 1,048,152
September 2020....... 1,048,152
October 2020......... 1,048,152
November 2020........ 1,048,152
December 2020........ 5,937,046
January 2021......... 2,501,666
February 2021........ 2,484,770
March 2021........... 2,429,037
April 2021........... 506,143
May 2021............. 506,143
June 2021............ 5,481,496
July 2021............ 309,573
August 2021.......... 6,197,419
September 2021....... 0
</TABLE>
E-4-2
<PAGE> 1
EXHIBIT 5
ASSUMED PORTFOLIO VALUES
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
March 2000........... 2,000.89
April 2000........... 1,994.03
May 2000............. 1,987.14
June 2000............ 1,980.22
July 2000............ 1,973.27
August 2000.......... 1,966.30
September 2000....... 1,959.29
October 2000......... 1,952.26
November 2000........ 1,945.20
December 2000........ 1,938.11
January 2001......... 1,930.99
February 2001........ 1,923.84
March 2001........... 1,916.67
April 2001........... 1,909.46
May 2001............. 1,902.23
June 2001............ 1,894.97
July 2001............ 1,887.67
August 2001.......... 1,880.35
September 2001....... 1,873.00
October 2001......... 1,865.62
November 2001........ 1,858.21
December 2001........ 1,850.77
January 2002......... 1,843.30
February 2002........ 1,835.80
March 2002........... 1,828.28
April 2002........... 1,820.72
May 2002............. 1,813.13
June 2002............ 1,805.51
July 2002............ 1,797.86
August 2002.......... 1,790.18
September 2002....... 1,782.47
October 2002......... 1,774.73
November 2002........ 1,766.96
December 2002........ 1,759.16
January 2003......... 1,751.33
February 2003........ 1,743.47
March 2003........... 1,735.58
April 2003........... 1,727.66
May 2003............. 1,719.70
June 2003............ 1,711.72
July 2003............ 1,703.70
August 2003.......... 1,695.66
September 2003....... 1,687.58
October 2003......... 1,679.47
November 2003........ 1,671.33
December 2003........ 1,663.15
</TABLE>
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
January 2004......... 1,654.95
February 2004........ 1,646.71
March 2004........... 1,638.45
April 2004........... 1,630.15
May 2004............. 1,621.82
June 2004............ 1,613.45
July 2004............ 1,605.06
August 2004.......... 1,596.63
September 2004....... 1,588.17
October 2004......... 1,579.68
November 2004........ 1,571.15
December 2004........ 1,562.60
January 2005......... 1,554.01
February 2005........ 1,545.39
March 2005........... 1,536.73
April 2005........... 1,528.04
May 2005............. 1,519.32
June 2005............ 1,510.57
July 2005............ 1,501.79
August 2005.......... 1,492.97
September 2005....... 1,484.11
October 2005......... 1,475.23
November 2005........ 1,466.31
December 2005........ 1,457.35
January 2006......... 1,448.37
February 2006........ 1,439.35
March 2006........... 1,430.29
April 2006........... 1,421.21
May 2006............. 1,412.09
June 2006............ 1,402.93
July 2006............ 1,393.74
August 2006.......... 1,384.52
September 2006....... 1,375.26
October 2006......... 1,365.97
November 2006........ 1,356.64
December 2006........ 1,347.28
January 2007......... 1,337.88
February 2007........ 1,328.45
March 2007........... 1,318.98
April 2007........... 1,309.48
May 2007............. 1,299.95
June 2007............ 1,290.38
July 2007............ 1,280.77
August 2007.......... 1,271.13
September 2007....... 1,250.08
October 2007......... 1,240.58
</TABLE>
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
November 2007........ 1,231.04
December 2007........ 1,221.47
January 2008......... 1,211.87
February 2008........ 1,202.23
March 2008........... 1,192.55
April 2008........... 1,182.84
May 2008............. 1,173.09
June 2008............ 1,163.31
July 2008............ 1,153.50
August 2008.......... 1,143.64
September 2008....... 1,133.76
October 2008......... 1,123.83
November 2008........ 1,113.87
December 2008........ 1,103.88
January 2009......... 1,093.85
February 2009........ 1,083.78
March 2009........... 1,073.67
April 2009........... 1,063.53
May 2009............. 1,053.36
June 2009............ 1,043.14
July 2009............ 1,032.89
August 2009.......... 1,022.61
September 2009....... 1,012.28
October 2009......... 1,001.92
November 2009........ 991.52
December 2009........ 981.09
January 2010......... 970.62
February 2010........ 960.11
March 2010........... 949.56
April 2010........... 938.98
May 2010............. 928.36
June 2010............ 917.70
July 2010............ 907.11
August 2010.......... 896.67
September 2010....... 886.20
October 2010......... 875.68
November 2010........ 865.13
December 2010........ 854.83
January 2011......... 844.64
February 2011........ 834.42
March 2011........... 824.16
April 2011........... 813.86
May 2011............. 803.52
June 2011............ 793.15
July 2011............ 782.74
August 2011.......... 772.30
</TABLE>
E-5-1
<PAGE> 2
ASSUMED PORTFOLIO VALUES (CONTINUED)
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
September 2011....... 761.82
October 2011......... 751.30
November 2011........ 740.75
December 2011........ 730.16
January 2012......... 719.53
February 2012........ 708.86
March 2012........... 698.16
April 2012........... 687.54
May 2012............. 677.03
June 2012............ 666.56
July 2012............ 656.14
August 2012.......... 645.68
September 2012....... 635.36
October 2012......... 625.16
November 2012........ 615.02
December 2012........ 604.84
January 2013......... 594.63
February 2013........ 584.38
March 2013........... 574.09
April 2013........... 563.85
May 2013............. 553.86
June 2013............ 544.03
July 2013............ 534.18
August 2013.......... 524.29
September 2013....... 514.36
October 2013......... 504.41
November 2013........ 494.66
December 2013........ 484.97
January 2014......... 475.59
February 2014........ 466.37
March 2014........... 457.25
April 2014........... 448.25
May 2014............. 439.37
June 2014............ 430.45
July 2014............ 421.51
August 2014.......... 412.54
September 2014....... 403.53
October 2014......... 394.49
November 2014........ 385.43
December 2014........ 376.33
</TABLE>
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
January 2015......... 367.20
February 2015........ 358.04
March 2015........... 348.85
April 2015........... 339.89
May 2015............. 331.16
June 2015............ 322.53
July 2015............ 313.87
August 2015.......... 305.18
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
</TABLE>
<TABLE>
<CAPTION>
ASSUMED
MONTH PORTFOLIO VALUE
- --------------------- ---------------
($ MILLIONS)
<S> <C>
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
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.......... 0
</TABLE>
E-5-2
<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........... 70.20% 70.20% 59.67%
April 2000........... 70.20% 70.19% 59.67%
May 2000............. 70.20% 70.17% 59.67%
June 2000............ 70.19% 70.16% 59.66%
July 2000............ 70.19% 70.15% 59.66%
August 2000.......... 70.19% 70.13% 59.65%
September 2000....... 70.18% 70.12% 59.63%
October 2000......... 70.18% 70.10% 59.62%
November 2000........ 70.17% 70.09% 59.61%
December 2000........ 70.17% 70.08% 59.59%
January 2001......... 70.17% 70.06% 59.57%
February 2001........ 70.17% 70.05% 59.54%
March 2001........... 70.16% 70.03% 59.52%
April 2001........... 70.16% 70.02% 59.49%
May 2001............. 70.15% 70.00% 59.46%
June 2001............ 70.15% 69.99% 59.43%
July 2001............ 70.15% 69.98% 59.40%
August 2001.......... 70.15% 69.96% 59.36%
September 2001....... 70.14% 69.95% 59.32%
October 2001......... 70.14% 69.93% 59.28%
November 2001........ 70.13% 69.92% 59.24%
December 2001........ 70.13% 69.91% 59.19%
January 2002......... 70.12% 69.89% 59.14%
February 2002........ 70.12% 69.88% 59.09%
March 2002........... 70.12% 69.86% 59.04%
April 2002........... 70.12% 69.85% 58.99%
May 2002............. 70.11% 69.84% 58.93%
June 2002............ 70.11% 69.82% 58.87%
July 2002............ 70.10% 69.81% 58.81%
August 2002.......... 70.10% 69.79% 58.74%
September 2002....... 70.10% 69.78% 58.67%
October 2002......... 70.10% 69.77% 58.60%
November 2002........ 70.09% 69.75% 58.53%
December 2002........ 70.09% 69.74% 58.46%
January 2003......... 70.08% 69.72% 58.38%
February 2003........ 70.08% 69.71% 58.30%
March 2003........... 70.08% 69.70% 58.22%
April 2003........... 70.08% 69.68% 58.14%
May 2003............. 70.07% 69.67% 58.05%
June 2003............ 70.07% 69.65% 57.96%
July 2003............ 70.06% 69.64% 57.87%
August 2003.......... 70.06% 69.63% 57.78%
September 2003....... 70.05% 69.61% 57.68%
October 2003......... 70.05% 69.60% 57.58%
November 2003........ 70.05% 69.58% 57.48%
December 2003........ 70.05% 69.57% 57.38%
January 2004......... 70.04% 69.56% 57.27%
February 2004........ 70.04% 69.54% 57.16%
March 2004........... 70.03% 69.53% 57.05%
April 2004........... 70.03% 69.51% 56.94%
May 2004............. 70.03% 69.50% 56.82%
June 2004............ 70.03% 69.49% 56.71%
July 2004............ 70.02% 69.47% 56.58%
August 2004.......... 70.02% 69.46% 56.46%
September 2004....... 70.01% 69.44% 56.34%
</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......... 70.01% 69.43% 56.21%
November 2004........ 70.00% 69.42% 56.08%
December 2004........ 70.00% 69.40% 55.94%
January 2005......... 70.00% 69.39% 55.81%
February 2005........ 70.00% 69.37% 55.67%
March 2005........... 69.99% 69.36% 55.53%
April 2005........... 69.99% 69.34% 55.39%
May 2005............. 69.98% 69.33% 55.24%
June 2005............ 69.98% 69.32% 55.09%
July 2005............ 69.98% 69.30% 54.94%
August 2005.......... 69.98% 69.29% 54.79%
September 2005....... 69.97% 69.27% 54.63%
October 2005......... 69.97% 69.26% 54.48%
November 2005........ 69.96% 69.25% 54.32%
December 2005........ 69.96% 69.23% 54.15%
January 2006......... 69.96% 69.22% 53.99%
February 2006........ 69.96% 69.20% 53.82%
March 2006........... 69.95% 69.19% 53.65%
April 2006........... 69.95% 69.18% 53.48%
May 2006............. 69.94% 69.16% 53.30%
June 2006............ 69.94% 69.16% 53.12%
July 2006............ 69.93% 69.13% 52.94%
August 2006.......... 69.93% 69.13% 52.76%
September 2006....... 69.93% 69.11% 52.57%
October 2006......... 69.93% 69.10% 52.39%
November 2006........ 69.92% 69.08% 52.20%
December 2006........ 69.92% 69.07% 52.00%
January 2007......... 69.91% 69.05% 51.81%
February 2007........ 69.91% 69.04% 51.61%
March 2007........... 69.91% 69.02% 51.41%
April 2007........... 69.91% 69.01% 51.20%
May 2007............. 69.90% 68.99% 51.00%
June 2007............ 69.90% 68.99% 50.79%
July 2007............ 69.89% 68.97% 50.58%
August 2007.......... 69.89% 68.96% 50.37%
September 2007....... 69.89% 68.94% 50.15%
October 2007......... 69.89% 68.93% 49.93%
November 2007........ 69.88% 68.92% 49.71%
December 2007........ 69.88% 68.90% 49.49%
January 2008......... 69.87% 68.89% 49.26%
February 2008........ 69.87% 68.87% 49.03%
March 2008........... 69.86% 68.86% 48.80%
April 2008........... 69.86% 68.85% 48.57%
May 2008............. 69.86% 68.83% 48.33%
June 2008............ 69.86% 68.82% 48.09%
July 2008............ 69.85% 68.80% 47.85%
August 2008.......... 69.85% 68.78% 47.61%
September 2008....... 69.84% 68.78% 47.36%
October 2008......... 69.84% 68.76% 47.11%
November 2008........ 69.84% 68.75% 46.86%
December 2008........ 69.84% 68.73% 46.60%
January 2009......... 69.83% 68.72% 46.35%
February 2009........ 69.83% 68.71% 46.09%
March 2009........... 69.82% 68.70% 45.83%
April 2009........... 69.82% 68.69% 45.56%
</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............. 69.82% 68.67% 45.30%
June 2009............ 69.82% 68.66% 45.03%
July 2009............ 69.81% 68.64% 44.75%
August 2009.......... 69.81% 68.63% 44.48%
September 2009....... 69.80% 68.61% 44.20%
October 2009......... 69.80% 68.60% 43.92%
November 2009........ 69.79% 68.59% 43.64%
December 2009........ 69.79% 68.57% 43.35%
January 2010......... 69.79% 68.57% 43.07%
February 2010........ 69.79% 68.54% 42.78%
March 2010........... 69.78% 68.54% 42.48%
April 2010........... 69.78% 68.52% 42.19%
May 2010............. 69.77% 68.51% 41.89%
June 2010............ 69.77% 68.49% 41.59%
July 2010............ 69.77% 68.48% 41.29%
August 2010.......... 69.77% 68.46% 40.98%
September 2010....... 69.76% 68.45% 40.67%
October 2010......... 69.76% 68.43% 40.36%
November 2010........ 69.75% 68.43% 40.05%
December 2010........ 69.75% 68.41% 39.73%
January 2011......... 69.75% 68.40% 39.41%
February 2011........ 69.75% 68.38% 39.09%
March 2011........... 69.74% 68.37% 38.77%
April 2011........... 69.74% 68.36% 38.44%
May 2011............. 69.73% 68.34% 38.11%
June 2011............ 69.73% 68.33% 37.78%
July 2011............ 69.72% 68.31% 37.45%
August 2011.......... 69.72% 68.30% 37.11%
September 2011....... 69.72% 68.29% 36.77%
October 2011......... 69.72% 68.27% 36.43%
November 2011........ 69.71% 68.26% 36.08%
December 2011........ 69.71% 68.24% 35.74%
January 2012......... 69.70% 68.24% 35.39%
February 2012........ 69.70% 68.21% 35.03%
March 2012........... 69.70% 68.21% 34.68%
April 2012........... 69.70% 68.19% 34.32%
May 2012............. 69.69% 68.18% 33.96%
June 2012............ 69.69% 68.17% 33.60%
July 2012............ 69.69% 68.15% 33.23%
August 2012.......... 69.69% 68.14% 32.86%
September 2012....... 69.69% 68.10% 32.49%
October 2012......... 69.69% 68.09% 32.12%
November 2012........ 69.69% 68.07% 31.74%
December 2012........ 69.69% 68.07% 31.36%
January 2013......... 69.69% 68.05% 30.98%
February 2013........ 69.69% 68.05% 30.60%
March 2013........... 69.69% 68.04% 30.21%
April 2013........... 69.67% 68.02% 29.82%
May 2013............. 69.67% 68.01% 29.43%
June 2013............ 69.67% 67.99% 29.04%
July 2013............ 69.67% 67.98% 28.64%
August 2013.......... 69.67% 67.96% 28.24%
September 2013....... 69.67% 67.95% 27.84%
October 2013......... 69.67% 67.93% 27.44%
November 2013........ 69.67% 67.91% 27.03%
December 2013........ 69.67% 67.89% 26.62%
January 2014......... 69.66% 67.86% 26.20%
</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........ 69.66% 67.84% 25.79%
March 2014........... 69.66% 67.81% 25.37%
April 2014........... 69.65% 67.78% 24.95%
May 2014............. 69.65% 67.75% 24.53%
June 2014............ 69.64% 67.72% 24.10%
July 2014............ 69.64% 67.68% 23.67%
August 2014.......... 69.63% 67.64% 23.24%
September 2014....... 69.62% 67.59% 22.81%
October 2014......... 69.61% 67.55% 22.37%
November 2014........ 69.60% 67.50% 21.93%
December 2014........ 69.59% 67.44% 21.49%
January 2015......... 69.58% 67.39% 21.05%
February 2015........ 69.56% 67.33% 20.60%
March 2015........... 69.54% 67.27% 20.15%
April 2015........... 69.53% 67.20% 19.70%
May 2015............. 69.51% 67.12% 19.24%
June 2015............ 69.48% 67.04% 18.79%
July 2015............ 69.46% 66.96% 18.33%
August 2015.......... 69.43% 66.87% 17.86%
September 2015....... 69.40% 66.78% 17.40%
October 2015......... 69.37% 66.68% 16.93%
November 2015........ 69.34% 66.59% 16.46%
December 2015........ 69.30% 66.47% 15.99%
January 2016......... 69.26% 66.36% 15.51%
February 2016........ 69.22% 66.24% 15.03%
March 2016........... 69.17% 66.11% 14.55%
April 2016........... 69.12% 65.98% 14.07%
May 2016............. 69.07% 65.83% 13.58%
June 2016............ 69.01% 65.69% 13.09%
July 2016............ 68.95% 65.53% 12.60%
August 2016.......... 68.89% 65.38% 12.11%
September 2016....... 68.82% 65.21% 11.61%
October 2016......... 68.74% 65.03% 11.11%
November 2016........ 68.66% 64.86% 10.61%
December 2016........ 68.59% 64.66% 10.10%
January 2017......... 68.50% 64.46% 9.59%
February 2017........ 68.40% 64.26% 9.08%
March 2017........... 68.31% 64.04% 8.57%
April 2017........... 68.20% 63.82% 8.05%
May 2017............. 68.09% 63.59% 7.54%
June 2017............ 67.98% 63.34% 7.02%
July 2017............ 67.86% 63.10% 6.49%
August 2017.......... 67.72% 62.84% 5.97%
September 2017....... 67.59% 62.57% 5.44%
October 2017......... 67.45% 62.29% 4.90%
November 2017........ 67.30% 62.00% 4.37%
December 2017........ 67.15% 61.70% 3.83%
January 2018......... 66.98% 61.39% 3.29%
February 2018........ 66.81% 61.08% 2.75%
March 2018........... 66.63% 60.74% 2.21%
April 2018........... 66.45% 60.39% 1.66%
May 2018............. 66.25% 60.05% 1.11%
June 2018............ 66.05% 59.68% 0.56%
July 2018............ 65.83% 59.31% 0.00%
August 2018.......... 65.60% 58.92%
September 2018....... 65.37% 58.52%
October 2018......... 65.13% 58.11%
</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>
November 2018........ 64.88% 57.68%
December 2018........ 64.61% 57.24%
January 2019......... 64.34% 56.79%
February 2019........ 64.06% 56.34%
March 2019........... 63.76% 55.86%
April 2019........... 63.46% 55.37%
May 2019............. 63.13% 54.87%
June 2019............ 62.80% 54.35%
July 2019............ 62.46% 53.82%
August 2019.......... 62.10% 53.28%
September 2019....... 59.58% 50.56%
October 2019......... 57.06% 47.84%
November 2019........ 54.54% 45.13%
December 2019........ 52.02% 42.41%
January 2020......... 49.50% 39.69%
February 2020........ 46.98% 36.98%
March 2020........... 44.46% 34.26%
April 2020........... 41.94% 31.54%
May 2020............. 39.42% 28.82%
June 2020............ 36.90% 26.11%
July 2020............ 34.38% 23.39%
August 2020.......... 31.86% 20.67%
September 2020....... 29.34% 17.96%
October 2020......... 26.82% 15.24%
November 2020........ 24.30% 12.52%
December 2020........ 21.78% 9.81%
January 2021......... 19.26% 7.09%
February 2021........ 16.74% 4.37%
March 2021........... 14.22% 0.00%
April 2021........... 11.70%
May 2021............. 9.18%
June 2021............ 6.66%
July 2021............ 4.13%
August 2021.......... 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............. 8.24% 8.23% 8.23%
June 2000............ 8.24% 8.23% 8.23%
July 2000............ 8.24% 8.23% 8.23%
August 2000.......... 8.24% 8.23% 8.23%
September 2000....... 8.24% 8.23% 8.22%
October 2000......... 8.25% 8.23% 8.22%
November 2000........ 8.25% 8.23% 8.22%
December 2000........ 8.25% 8.23% 8.21%
January 2001......... 8.25% 8.24% 8.21%
February 2001........ 8.25% 8.24% 8.20%
March 2001........... 8.26% 8.24% 8.20%
April 2001........... 8.26% 8.24% 8.19%
May 2001............. 8.26% 8.24% 8.19%
June 2001............ 8.26% 8.24% 8.18%
July 2001............ 8.27% 8.24% 8.17%
August 2001.......... 8.27% 8.24% 8.17%
September 2001....... 8.27% 8.24% 8.16%
October 2001......... 8.27% 8.24% 8.15%
November 2001........ 8.27% 8.24% 8.14%
December 2001........ 8.28% 8.24% 8.13%
January 2002......... 8.28% 8.24% 8.12%
February 2002........ 8.28% 8.24% 8.11%
March 2002........... 8.28% 8.24% 8.10%
April 2002........... 8.28% 8.24% 8.09%
May 2002............. 8.29% 8.24% 8.08%
June 2002............ 8.29% 8.24% 8.06%
July 2002............ 8.29% 8.24% 8.05%
August 2002.......... 8.29% 8.24% 8.04%
September 2002....... 8.29% 8.24% 8.02%
October 2002......... 8.30% 8.24% 8.01%
November 2002........ 8.30% 8.24% 7.99%
December 2002........ 8.30% 8.24% 7.98%
January 2003......... 8.30% 8.24% 7.96%
February 2003........ 8.30% 8.24% 7.94%
March 2003........... 8.30% 8.24% 7.93%
April 2003........... 8.31% 8.24% 7.91%
May 2003............. 8.31% 8.24% 7.89%
June 2003............ 8.31% 8.24% 7.87%
July 2003............ 8.31% 8.24% 7.85%
August 2003.......... 8.31% 8.24% 7.83%
September 2003....... 8.32% 8.24% 7.81%
October 2003......... 8.32% 8.24% 7.79%
November 2003........ 8.32% 8.24% 7.77%
December 2003........ 8.32% 8.24% 7.75%
January 2004......... 8.32% 8.24% 7.73%
February 2004........ 8.32% 8.24% 7.71%
March 2004........... 8.33% 8.24% 7.68%
April 2004........... 8.33% 8.24% 7.66%
May 2004............. 8.33% 8.24% 7.64%
June 2004............ 8.33% 8.24% 7.61%
July 2004............ 8.33% 8.24% 7.59%
August 2004.......... 8.33% 8.24% 7.56%
September 2004....... 8.34% 8.24% 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......... 8.34% 8.24% 7.51%
November 2004........ 8.34% 8.24% 7.48%
December 2004........ 8.34% 8.23% 7.45%
January 2005......... 8.34% 8.23% 7.42%
February 2005........ 8.34% 8.23% 7.39%
March 2005........... 8.34% 8.23% 7.36%
April 2005........... 8.34% 8.23% 7.33%
May 2005............. 8.34% 8.23% 7.30%
June 2005............ 8.35% 8.23% 7.27%
July 2005............ 8.35% 8.22% 7.24%
August 2005.......... 8.35% 8.22% 7.21%
September 2005....... 8.35% 8.22% 7.18%
October 2005......... 8.35% 8.22% 7.14%
November 2005........ 8.35% 8.22% 7.11%
December 2005........ 8.35% 8.21% 7.08%
January 2006......... 8.35% 8.21% 7.04%
February 2006........ 8.35% 8.21% 7.01%
March 2006........... 8.35% 8.21% 6.97%
April 2006........... 8.35% 8.20% 6.94%
May 2006............. 8.35% 8.20% 6.90%
June 2006............ 8.35% 8.20% 6.86%
July 2006............ 8.35% 8.19% 6.82%
August 2006.......... 8.35% 8.19% 6.79%
September 2006....... 8.35% 8.19% 6.75%
October 2006......... 8.35% 8.18% 6.71%
November 2006........ 8.35% 8.18% 6.67%
December 2006........ 8.35% 8.17% 6.63%
January 2007......... 8.35% 8.17% 6.59%
February 2007........ 8.35% 8.16% 6.55%
March 2007........... 8.35% 8.16% 6.50%
April 2007........... 8.34% 8.15% 6.46%
May 2007............. 8.34% 8.15% 6.42%
June 2007............ 8.34% 8.14% 6.38%
July 2007............ 8.34% 8.14% 6.33%
August 2007.......... 8.34% 8.13% 6.29%
September 2007....... 8.34% 8.13% 6.24%
October 2007......... 8.33% 8.12% 6.20%
November 2007........ 8.33% 8.11% 6.15%
December 2007........ 8.33% 8.11% 6.10%
January 2008......... 8.33% 8.10% 6.06%
February 2008........ 8.32% 8.09% 6.01%
March 2008........... 8.32% 8.08% 5.96%
April 2008........... 8.32% 8.08% 5.91%
May 2008............. 8.31% 8.07% 5.86%
June 2008............ 8.31% 8.06% 5.81%
July 2008............ 8.31% 8.05% 5.76%
August 2008.......... 8.30% 8.04% 5.71%
September 2008....... 8.30% 8.03% 5.66%
October 2008......... 8.30% 8.02% 5.61%
November 2008........ 8.29% 8.01% 5.56%
December 2008........ 8.29% 8.00% 5.50%
January 2009......... 8.28% 7.99% 5.45%
February 2009........ 8.28% 7.98% 5.40%
March 2009........... 8.27% 7.97% 5.34%
April 2009........... 8.26% 7.96% 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............. 8.26% 7.94% 5.23%
June 2009............ 8.25% 7.93% 5.17%
July 2009............ 8.25% 7.92% 5.12%
August 2009.......... 8.24% 7.90% 5.06%
September 2009....... 8.23% 7.89% 5.00%
October 2009......... 8.22% 7.88% 4.94%
November 2009........ 8.22% 7.86% 4.88%
December 2009........ 8.21% 7.85% 4.83%
January 2010......... 8.20% 7.83% 4.77%
February 2010........ 8.19% 7.81% 4.71%
March 2010........... 8.18% 7.80% 4.64%
April 2010........... 8.17% 7.78% 4.58%
May 2010............. 8.16% 7.76% 4.52%
June 2010............ 8.15% 7.75% 4.46%
July 2010............ 8.14% 7.73% 4.40%
August 2010.......... 8.13% 7.71% 4.33%
September 2010....... 8.12% 7.69% 4.27%
October 2010......... 8.11% 7.67% 4.20%
November 2010........ 8.10% 7.65% 4.14%
December 2010........ 8.09% 7.63% 4.07%
January 2011......... 8.08% 7.61% 4.00%
February 2011........ 8.06% 7.59% 3.94%
March 2011........... 8.05% 7.56% 3.87%
April 2011........... 8.04% 7.54% 3.80%
May 2011............. 8.02% 7.52% 3.73%
June 2011............ 8.01% 7.49% 3.67%
July 2011............ 7.99% 7.47% 3.60%
August 2011.......... 7.98% 7.44% 3.53%
September 2011....... 7.96% 7.41% 3.46%
October 2011......... 7.95% 7.39% 3.38%
November 2011........ 7.93% 7.36% 3.31%
December 2011........ 7.91% 7.33% 3.24%
January 2012......... 7.89% 7.30% 3.17%
February 2012........ 7.88% 7.27% 3.09%
March 2012........... 7.86% 7.24% 3.02%
April 2012........... 7.84% 7.21% 2.95%
May 2012............. 7.82% 7.18% 2.87%
June 2012............ 7.80% 7.15% 2.79%
July 2012............ 7.78% 7.12% 2.72%
August 2012.......... 7.76% 7.08% 2.64%
September 2012....... 7.73% 7.05% 2.57%
October 2012......... 7.71% 7.01% 2.49%
November 2012........ 7.69% 6.98% 2.41%
December 2012........ 7.67% 6.94% 2.33%
January 2013......... 7.64% 6.90% 2.25%
February 2013........ 7.62% 6.87% 2.17%
March 2013........... 7.59% 6.75% 2.09%
April 2013........... 7.57% 6.79% 2.01%
May 2013............. 7.54% 6.75% 1.93%
June 2013............ 7.51% 6.71% 1.85%
July 2013............ 7.48% 6.66% 1.76%
August 2013.......... 7.46% 6.62% 1.68%
September 2013....... 7.43% 6.58% 1.60%
October 2013......... 7.40% 6.53% 1.51%
November 2013........ 7.37% 6.48% 1.43%
December 2013........ 7.33% 6.44% 1.34%
January 2014......... 7.30% 6.39% 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........ 7.27% 6.34% 1.17%
March 2014........... 7.24% 6.29% 1.08%
April 2014........... 7.20% 6.24% 1.00%
May 2014............. 7.17% 6.19% 0.91%
June 2014............ 7.13% 6.14% 0.82%
July 2014............ 7.10% 6.08% 0.73%
August 2014.......... 7.06% 6.03% 0.64%
September 2014....... 7.02% 5.97% 0.55%
October 2014......... 6.98% 5.91% 0.46%
November 2014........ 6.94% 5.86% 0.37%
December 2014........ 6.90% 5.80% 0.28%
January 2015......... 6.86% 5.74% 0.19%
February 2015........ 6.82% 5.68% 0.09%
March 2015........... 6.77% 5.61% 0.00%
April 2015........... 6.73% 5.55%
May 2015............. 6.68% 5.49%
June 2015............ 6.64% 5.42%
July 2015............ 6.59% 5.35%
August 2015.......... 6.54% 5.29%
September 2015....... 6.50% 5.22%
October 2015......... 6.45% 5.15%
November 2015........ 6.40% 5.07%
December 2015........ 6.34% 5.00%
January 2016......... 6.29% 4.93%
February 2016........ 6.24% 4.85%
March 2016........... 6.18% 4.77%
April 2016........... 6.13% 4.69%
May 2016............. 6.07% 4.62%
June 2016............ 6.01% 4.53%
July 2016............ 5.95% 4.45%
August 2016.......... 5.89% 4.37%
September 2016....... 5.83% 4.28%
October 2016......... 5.77% 4.20%
November 2016........ 5.71% 4.11%
December 2016........ 5.64% 4.02%
January 2017......... 5.58% 3.93%
February 2017........ 5.51% 3.84%
March 2017........... 5.44% 3.74%
April 2017........... 5.37% 3.65%
May 2017............. 5.30% 3.55%
June 2017............ 5.23% 3.45%
July 2017............ 5.16% 3.35%
August 2017.......... 5.08% 3.25%
September 2017....... 5.01% 3.15%
October 2017......... 4.93% 3.04%
November 2017........ 4.85% 2.94%
December 2017........ 4.77% 2.83%
January 2018......... 4.69% 2.72%
February 2018........ 4.61% 2.61%
March 2018........... 4.53% 2.49%
April 2018........... 4.44% 2.38%
May 2018............. 4.36% 2.26%
June 2018............ 4.27% 2.14%
July 2018............ 4.18% 2.02%
August 2018.......... 4.09% 1.90%
September 2018....... 4.00% 1.78%
October 2018......... 3.90% 1.65%
</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>
November 2018........ 3.81% 1.53%
December 2018........ 3.71% 1.40%
January 2019......... 3.61% 1.27%
February 2019........ 3.51% 1.13%
March 2019........... 3.41% 1.00%
April 2019........... 3.31% 0.86%
May 2019............. 3.20% 0.72%
June 2019............ 3.10% 0.58%
July 2019............ 2.99% 0.44%
August 2019.......... 2.88% 0.30%
September 2019....... 2.77% 0.15%
October 2019......... 2.65% 0.00%
November 2019........ 2.54%
December 2019........ 2.42%
January 2020......... 2.30%
February 2020........ 2.18%
March 2020........... 2.06%
April 2020........... 1.94%
May 2020............. 1.81%
June 2020............ 1.68%
July 2020............ 1.55%
August 2020.......... 1.42%
September 2020....... 1.29%
October 2020......... 1.15%
November 2020........ 1.02%
December 2020........ 0.88%
January 2021......... 0.74%
February 2021........ 0.59%
March 2021........... 0.45%
April 2021........... 0.30%
May 2021............. 0.15%
June 2021............ 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............. 154,880,000 154,880,000
April 2000............. 154,880,000 154,830,000
May 2000............... 154,880,000 154,780,000
June 2000.............. 154,880,000 154,720,000
July 2000.............. 154,880,000 154,650,000
August 2000............ 154,880,000 154,580,000
September 2000......... 154,880,000 154,500,000
October 2000........... 154,880,000 154,410,000
November 2000.......... 154,880,000 154,310,000
December 2000.......... 154,880,000 154,210,000
January 2001........... 154,880,000 154,100,000
February 2001.......... 154,880,000 153,980,000
March 2001............. 154,880,000 153,850,000
April 2001............. 154,880,000 153,720,000
May 2001............... 154,880,000 153,580,000
June 2001.............. 154,880,000 153,430,000
July 2001.............. 154,880,000 153,270,000
August 2001............ 154,880,000 153,110,000
September 2001......... 154,880,000 152,940,000
October 2001........... 154,880,000 152,760,000
November 2001.......... 154,870,012 152,570,000
December 2001.......... 154,850,036 152,380,000
January 2002........... 154,830,060 152,180,000
February 2002.......... 154,790,108 151,970,000
March 2002............. 154,760,144 151,750,000
April 2002............. 154,710,204 151,530,000
May 2002............... 154,660,264 151,300,000
June 2002.............. 154,600,336 151,054,500
July 2002.............. 154,530,420 150,804,500
August 2002............ 154,460,504 150,554,500
September 2002......... 154,380,600 150,294,500
October 2002........... 154,290,708 150,024,500
November 2002.......... 154,190,828 149,744,500
December 2002.......... 154,090,948 149,464,500
January 2003........... 153,981,080 149,169,000
February 2003.......... 153,861,224 148,869,000
March 2003............. 153,731,380 148,559,000
April 2003............. 153,601,536 148,233,500
May 2003............... 153,461,704 147,913,500
June 2003.............. 153,311,884 147,583,500
July 2003.............. 153,152,076 147,238,000
August 2003............ 152,992,268 146,898,000
September 2003......... 152,822,472 146,532,500
October 2003........... 152,642,688 146,172,500
November 2003.......... 152,452,916 145,797,000
December 2003.......... 152,263,144 145,421,500
January 2004........... 152,063,384 145,031,500
February 2004.......... 151,853,636 144,636,000
March 2004............. 151,633,900 144,230,500
April 2004............. 151,414,164 143,815,000
May 2004............... 151,184,440 143,399,500
June 2004.............. 150,939,228 142,964,000
July 2004.............. 150,689,528 142,528,500
August 2004............ 150,439,828 142,087,500
</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......... 150,180,140 141,632,000
October 2004........... 149,910,464 141,171,000
November 2004.......... 149,630,800 140,695,500
December 2004.......... 149,351,136 140,224,500
January 2005........... 149,055,984 139,733,500
February 2005.......... 148,756,344 139,232,500
March 2005............. 148,446,716 138,731,500
April 2005............. 148,121,600 138,220,500
May 2005............... 147,801,984 137,699,500
June 2005.............. 147,472,380 137,173,000
July 2005.............. 147,127,288 136,626,500
August 2005............ 146,787,696 136,080,000
September 2005......... 146,422,628 135,523,500
October 2005........... 146,063,060 134,967,000
November 2005.......... 145,688,004 134,390,500
December 2005.......... 145,312,948 133,808,500
January 2006........... 144,923,416 133,216,500
February 2006.......... 144,528,384 132,614,500
March 2006............. 144,123,364 132,002,500
April 2006............. 143,708,356 131,390,500
May 2006............... 143,293,348 130,763,000
June 2006.............. 142,858,364 130,125,500
July 2006.............. 142,423,380 129,478,000
August 2006............ 141,982,896 128,825,000
September 2006......... 141,527,936 128,152,000
October 2006........... 141,067,476 127,479,000
November 2006.......... 140,592,540 126,796,000
December 2006.......... 140,122,092 126,107,500
January 2007........... 139,631,668 125,399,000
February 2007.......... 139,131,256 124,690,500
March 2007............. 138,630,844 123,966,500
April 2007............. 138,120,444 123,232,500
May 2007............... 137,600,056 122,498,500
June 2007.............. 137,074,168 121,749,000
July 2007.............. 136,528,304 120,979,500
August 2007............ 135,982,440 120,204,500
September 2007......... 135,426,588 119,429,500
October 2007........... 134,870,736 118,634,500
November 2007.......... 134,294,908 117,834,000
December 2007.......... 133,713,580 117,018,000
January 2008........... 133,122,264 116,192,000
February 2008.......... 132,520,960 115,356,000
March 2008............. 131,909,668 114,514,500
April 2008............. 131,298,376 113,663,000
May 2008............... 130,671,596 112,796,000
June 2008.............. 130,034,828 111,913,500
July 2008.............. 129,388,072 111,021,000
August 2008............ 128,735,816 110,123,000
September 2008......... 128,063,584 109,215,000
October 2008........... 127,391,352 108,291,500
November 2008.......... 126,709,132 107,358,000
December 2008.......... 126,021,412 106,413,500
January 2009........... 125,313,716 105,454,500
February 2009.......... 124,606,020 104,484,500
</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............. 123,882,836 103,504,500
April 2009............. 123,149,664 102,519,000
May 2009............... 122,416,492 101,508,000
June 2009.............. 121,667,832 100,491,500
July 2009.............. 120,899,196 99,465,000
August 2009............ 120,125,060 98,423,000
September 2009......... 119,350,924 97,365,500
October 2009........... 118,556,812 96,302,500
November 2009.......... 117,757,200 95,224,000
December 2009.......... 116,942,100 94,135,500
January 2010........... 116,117,012 93,026,000
February 2010.......... 115,281,936 91,901,000
March 2010............. 114,441,360 90,776,000
April 2010............. 113,590,796 89,635,500
May 2010............... 112,724,744 88,474,000
June 2010.............. 111,843,204 87,302,500
July 2010.............. 110,951,676 86,110,000
August 2010............ 110,054,648 84,912,000
September 2010......... 109,147,632 83,704,000
October 2010........... 108,225,128 82,475,000
November 2010.......... 107,292,636 81,230,500
December 2010.......... 106,349,144 79,975,000
January 2011........... 105,391,176 78,699,500
February 2011.......... 104,422,208 77,413,000
March 2011............. 103,443,252 76,111,000
April 2011............. 102,458,796 74,803,500
May 2011............... 101,448,864 73,465,000
June 2011.............. 100,433,432 72,121,000
July 2011.............. 99,408,012 70,761,500
August 2011............ 98,367,104 69,381,000
September 2011......... 97,310,708 67,985,000
October 2011........... 96,248,812 66,578,000
November 2011.......... 95,171,428 65,145,500
December 2011.......... 94,084,056 63,707,500
January 2012........... 92,975,696 62,243,000
February 2012.......... 91,851,848 60,773,000
March 2012............. 90,728,000 59,277,500
April 2012............. 89,588,664 57,771,000
May 2012............... 88,428,340 56,243,500
June 2012.............. 87,258,028 54,695,000
July 2012.............. 86,066,728 53,131,000
August 2012............ 84,869,928 51,556,000
September 2012......... 83,663,140 49,950,000
October 2012........... 82,435,364 48,333,000
November 2012.......... 81,192,100 46,700,500
December 2012.......... 79,937,836 45,051,500
January 2013........... 78,663,596 43,371,500
February 2013.......... 77,378,356 41,686,000
March 2013............. 76,077,628 39,974,000
April 2013............. 74,771,400 39,501,000
May 2013............... 73,434,196 39,017,000
June 2013.............. 72,091,492 38,522,000
July 2013.............. 70,733,300 38,016,000
August 2013............ 69,354,120 37,499,000
September 2013......... 67,959,452 36,965,500
October 2013........... 66,553,784 36,421,000
</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.......... 65,122,640 35,860,000
December 2013.......... 63,685,996 35,293,500
January 2014........... 62,222,864 34,705,000
February 2014.......... 60,754,232 34,105,500
March 2014............. 59,260,124 33,495,000
April 2014............. 57,755,016 32,868,000
May 2014............... 56,228,920 32,230,000
June 2014.............. 54,681,836 31,575,500
July 2014.............. 53,119,264 30,904,500
August 2014............ 51,545,692 30,217,000
September 2014......... 49,941,144 29,518,500
October 2014........... 48,325,596 28,803,500
November 2014.......... 46,694,560 28,072,000
December 2014.......... 45,047,024 27,324,000
January 2015........... 43,368,512 26,559,500
February 2015.......... 41,684,500 25,778,500
March 2015............. 39,974,000 24,975,500
April 2015............. 39,501,000 24,161,500
May 2015............... 39,017,000 23,331,000
June 2015.............. 38,522,000 22,478,500
July 2015.............. 38,016,000 21,609,500
August 2015............ 37,499,000 20,724,000
September 2015......... 36,965,500 19,816,500
October 2015........... 36,421,000 18,892,500
November 2015.......... 35,860,000 17,952,000
December 2015.......... 35,293,500 16,989,500
January 2016........... 34,705,000 16,005,000
February 2016.......... 34,105,500 15,004,000
March 2016............. 33,495,000 13,975,500
April 2016............. 32,868,000 12,936,000
May 2016............... 32,230,000 11,869,000
June 2016.............. 31,575,500 10,785,500
July 2016.............. 30,904,500 9,674,500
August 2016............ 30,217,000 8,547,000
September 2016......... 29,518,500 7,397,500
October 2016........... 28,803,500 0
November 2016.......... 28,072,000
December 2016.......... 27,324,000
January 2017........... 26,559,500
February 2017.......... 25,778,500
March 2017............. 24,975,500
April 2017............. 24,161,500
May 2017............... 23,331,000
June 2017.............. 22,478,500
July 2017.............. 21,609,500
August 2017............ 20,724,000
September 2017......... 19,816,500
October 2017........... 18,892,500
November 2017.......... 17,952,000
December 2017.......... 16,989,500
January 2018........... 16,005,000
February 2018.......... 15,004,000
March 2018............. 13,975,500
April 2018............. 12,936,000
May 2018............... 11,869,000
June 2018.............. 10,785,500
</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>
July 2018.............. 9,674,500
August 2018............ 8,547,000
September 2018......... 7,397,500
October 2018........... 0
</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......... 110,000,000 110,000,000
November 2000........ 110,000,000 110,000,000
December 2000........ 110,000,000 109,989,000
January 2001......... 110,000,000 109,989,000
February 2001........ 110,000,000 109,978,000
March 2001........... 110,000,000 109,956,000
April 2001........... 110,000,000 109,945,000
May 2001............. 110,000,000 109,923,000
June 2001............ 110,000,000 109,890,000
July 2001............ 110,000,000 109,868,000
August 2001.......... 110,000,000 109,824,000
September 2001....... 110,000,000 109,791,000
October 2001......... 110,000,000 109,747,000
November 2001........ 110,000,000 109,692,000
December 2001........ 110,000,000 109,637,000
January 2002......... 110,000,000 109,582,000
February 2002........ 110,000,000 109,516,000
March 2002........... 110,000,000 109,439,000
April 2002........... 110,000,000 109,362,000
May 2002............. 110,000,000 109,285,000
June 2002............ 110,000,000 109,197,000
July 2002............ 110,000,000 109,098,000
August 2002.......... 110,000,000 108,999,000
September 2002....... 110,000,000 108,889,000
October 2002......... 110,000,000 108,768,000
November 2002........ 110,000,000 108,647,000
December 2002........ 109,989,000 108,526,000
January 2003......... 109,989,000 108,383,000
February 2003........ 109,978,000 108,240,000
March 2003........... 109,956,000 108,097,000
April 2003........... 109,945,000 107,943,000
May 2003............. 109,923,000 107,778,000
June 2003............ 109,890,000 107,602,000
July 2003............ 109,868,000 107,426,000
August 2003.......... 109,824,000 107,239,000
September 2003....... 109,791,000 107,052,000
October 2003......... 109,747,000 106,843,000
November 2003........ 109,692,000 106,634,000
December 2003........ 109,637,000 106,425,000
January 2004......... 109,582,000 106,194,000
February 2004........ 109,516,000 105,963,000
March 2004........... 109,439,000 105,721,000
April 2004........... 109,362,000 105,468,000
May 2004............. 109,285,000 105,215,000
June 2004............ 109,197,000 104,951,000
July 2004............ 109,098,000 104,676,000
August 2004.......... 108,999,000 104,390,000
</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....... 108,889,000 104,104,000
October 2004......... 108,768,000 103,796,000
November 2004........ 108,647,000 103,488,000
December 2004........ 108,526,000 103,180,000
January 2005......... 108,383,000 102,850,000
February 2005........ 108,240,000 102,509,000
March 2005........... 108,097,000 102,168,000
April 2005........... 107,943,000 101,816,000
May 2005............. 107,778,000 101,453,000
June 2005............ 107,602,000 101,079,000
July 2005............ 107,426,000 100,705,000
August 2005.......... 107,239,000 100,309,000
September 2005....... 107,052,000 99,913,000
October 2005......... 106,843,000 99,506,000
November 2005........ 106,634,000 99,088,000
December 2005........ 106,425,000 98,659,000
January 2006......... 106,194,000 98,219,000
February 2006........ 105,963,000 97,768,000
March 2006........... 105,721,000 97,306,000
April 2006........... 105,468,000 96,844,000
May 2006............. 105,215,000 96,371,000
June 2006............ 104,951,000 95,876,000
July 2006............ 104,676,000 95,381,000
August 2006.......... 104,390,000 94,875,000
September 2006....... 104,104,000 94,358,000
October 2006......... 103,796,000 93,830,000
November 2006........ 103,488,000 93,291,000
December 2006........ 103,180,000 92,741,000
January 2007......... 102,850,000 92,180,000
February 2007........ 102,509,000 91,619,000
March 2007........... 102,168,000 91,036,000
April 2007........... 101,816,000 90,442,000
May 2007............. 101,453,000 89,848,000
June 2007............ 101,079,000 89,232,000
July 2007............ 100,705,000 88,616,000
August 2007.......... 100,309,000 87,978,000
September 2007....... 99,913,000 87,340,000
October 2007......... 99,506,000 86,680,000
November 2007........ 99,088,000 86,020,000
December 2007........ 98,659,000 85,338,000
January 2008......... 98,219,000 84,656,000
February 2008........ 97,768,000 83,952,000
March 2008........... 97,306,000 83,248,000
April 2008........... 96,844,000 82,522,000
May 2008............. 96,371,000 81,796,000
June 2008............ 95,876,000 81,048,000
July 2008............ 95,381,000 80,300,000
August 2008.......... 94,875,000 79,530,000
September 2008....... 94,358,000 78,749,000
October 2008......... 93,830,000 77,968,000
November 2008........ 93,291,000 77,165,000
December 2008........ 92,741,000 76,351,000
January 2009......... 92,180,000 75,526,000
February 2009........ 91,619,000 74,690,000
</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........... 91,036,000 73,843,000
April 2009........... 90,442,000 72,985,000
May 2009............. 89,848,000 72,116,000
June 2009............ 89,232,000 71,236,000
July 2009............ 88,616,000 70,345,000
August 2009.......... 87,978,000 69,432,000
September 2009....... 87,340,000 68,519,000
October 2009......... 86,680,000 67,584,000
November 2009........ 86,020,000 66,649,000
December 2009........ 85,338,000 65,692,000
January 2010......... 84,656,000 64,724,000
February 2010........ 83,952,000 63,745,000
March 2010........... 83,248,000 62,755,000
April 2010........... 82,522,000 61,754,000
May 2010............. 81,796,000 60,742,000
June 2010............ 81,048,000 59,708,000
July 2010............ 80,300,000 58,674,000
August 2010.......... 79,530,000 57,618,000
September 2010....... 78,749,000 56,551,000
October 2010......... 77,968,000 55,473,000
November 2010........ 77,165,000 54,384,000
December 2010........ 76,351,000 53,284,000
January 2011......... 75,526,000 52,173,000
February 2011........ 74,690,000 51,040,000
March 2011........... 73,843,000 49,896,000
April 2011........... 72,985,000 48,741,000
May 2011............. 72,116,000 47,575,000
June 2011............ 71,236,000 46,398,000
July 2011............ 70,345,000 45,210,000
August 2011.......... 69,432,000 44,000,000
September 2011....... 68,519,000 42,790,000
October 2011......... 67,584,000 41,558,000
November 2011........ 66,649,000 40,304,000
December 2011........ 65,692,000 39,050,000
January 2012......... 64,724,000 37,785,000
February 2012........ 63,745,000 36,498,000
March 2012........... 62,755,000 35,200,000
April 2012........... 61,754,000 33,891,000
May 2012............. 60,742,000 32,571,000
June 2012............ 59,708,000 31,229,000
July 2012............ 58,674,000 29,876,000
August 2012.......... 57,618,000 28,600,000
September 2012....... 56,551,000 27,401,000
</TABLE>
<TABLE>
(US$) (US$)
<CAPTION>
CLASS D CLASS D
MINIMUM SCHEDULED
PAYMENT DATE TARGET PRINCIPAL TARGET PRINCIPAL
OCCURRING IN BALANCE BALANCE
- ------------ ---------------- ----------------
<S> <C> <C>
October 2012......... 55,473,000 26,081,000
November 2012........ 54,384,000 24,684,000
December 2012........ 53,284,000 23,177,000
January 2013......... 52,173,000 21,626,000
February 2013........ 51,040,000 20,042,000
March 2013........... 49,896,000 18,590,000
April 2013........... 48,741,000 17,116,000
May 2013............. 47,575,000 15,631,000
June 2013............ 46,398,000 14,124,000
July 2013............ 45,210,000 12,617,000
August 2013.......... 44,000,000 11,088,000
September 2013....... 42,790,000 9,548,000
October 2013......... 41,558,000 7,986,000
November 2013........ 40,304,000 6,424,000
December 2013........ 39,050,000 4,840,000
January 2014......... 37,785,000 3,234,000
February 2014........ 36,498,000 1,628,000
March 2014........... 35,200,000 0
April 2014........... 33,891,000
May 2014............. 32,571,000
June 2014............ 31,229,000
July 2014............ 29,876,000
August 2014.......... 28,600,000
September 2014....... 27,401,000
October 2014......... 26,081,000
November 2014........ 24,684,000
December 2014........ 23,177,000
January 2015......... 21,626,000
February 2015........ 20,042,000
March 2015........... 18,590,000
April 2015........... 17,116,000
May 2015............. 15,631,000
June 2015............ 14,124,000
July 2015............ 12,617,000
August 2015.......... 11,088,000
September 2015....... 9,548,000
October 2015......... 7,986,000
November 2015........ 6,424,000
December 2015........ 4,840,000
January 2016......... 3,234,000
February 2016........ 1,628,000
March 2016........... 0
</TABLE>
E-9-2
<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% 97.77% 91.78% 100.00% 99.83% 100.00% 100.00%
May 2000....................... 72.52% 100.00% 100.00% 96.92% 91.44% 100.00% 99.78% 100.00% 100.00%
June 2000...................... 71.05% 100.00% 100.00% 95.51% 91.10% 100.00% 99.72% 100.00% 100.00%
July 2000...................... 70.05% 100.00% 100.00% 94.89% 90.76% 100.00% 99.65% 100.00% 100.00%
August 2000.................... 69.26% 100.00% 100.00% 93.96% 90.42% 100.00% 99.58% 100.00% 100.00%
September 2000................. 67.77% 100.00% 100.00% 92.61% 90.07% 99.99% 99.50% 100.00% 100.00%
October 2000................... 66.77% 100.00% 100.00% 92.01% 89.72% 99.99% 99.41% 100.00% 100.00%
November 2000.................. 65.99% 100.00% 100.00% 91.22% 89.28% 99.98% 99.31% 100.00% 100.00%
December 2000.................. 64.82% 100.00% 100.00% 90.01% 88.93% 99.98% 99.21% 100.00% 99.99%
January 2001................... 63.63% 100.00% 100.00% 89.50% 88.58% 99.97% 99.10% 100.00% 99.99%
February 2001.................. 62.64% 100.00% 100.00% 88.70% 88.23% 99.96% 98.98% 100.00% 99.98%
March 2001..................... 61.39% 100.00% 100.00% 87.53% 87.87% 99.95% 98.85% 100.00% 99.96%
April 2001..................... 60.34% 100.00% 100.00% 87.03% 87.52% 99.94% 98.72% 100.00% 99.95%
May 2001....................... 59.25% 100.00% 100.00% 86.33% 87.16% 99.93% 98.58% 100.00% 99.93%
June 2001...................... 58.00% 100.00% 100.00% 85.25% 86.71% 99.92% 98.43% 100.00% 99.90%
July 2001...................... 56.93% 100.00% 100.00% 84.77% 86.35% 99.90% 98.27% 100.00% 99.88%
August 2001.................... 55.85% 100.00% 100.00% 84.06% 85.99% 99.88% 98.11% 100.00% 99.84%
September 2001................. 54.56% 100.00% 100.00% 83.01% 85.63% 99.86% 97.94% 100.00% 99.81%
October 2001................... 53.50% 100.00% 100.00% 82.47% 85.17% 99.84% 97.76% 100.00% 99.77%
November 2001.................. 52.41% 100.00% 100.00% 81.85% 84.81% 99.82% 97.57% 100.00% 99.72%
December 2001.................. 51.10% 100.00% 100.00% 80.84% 84.45% 99.79% 97.38% 100.00% 99.67%
January 2002................... 50.05% 100.00% 100.00% 80.39% 83.99% 99.76% 97.18% 100.00% 99.62%
February 2002.................. 48.95% 100.00% 100.00% 79.75% 83.62% 99.73% 96.97% 100.00% 99.56%
March 2002..................... 47.61% 100.00% 100.00% 78.67% 83.25% 99.70% 96.75% 100.00% 99.49%
April 2002..................... 46.54% 100.00% 100.00% 77.58% 82.79% 99.66% 96.53% 100.00% 99.42%
May 2002....................... 45.42% 100.00% 100.00% 76.98% 82.42% 99.63% 96.30% 100.00% 99.35%
June 2002...................... 44.13% 100.00% 100.00% 76.20% 81.95% 99.59% 96.06% 99.99% 99.27%
July 2002...................... 43.02% 100.00% 100.00% 75.63% 81.58% 99.54% 95.81% 99.99% 99.18%
August 2002.................... 41.93% 100.00% 100.00% 75.00% 81.11% 99.50% 95.56% 99.99% 99.09%
September 2002................. 40.60% 100.00% 100.00% 74.23% 80.74% 99.45% 95.30% 99.99% 98.99%
October 2002................... 39.51% 100.00% 100.00% 73.62% 80.27% 99.40% 95.03% 99.99% 98.88%
November 2002.................. 38.40% 100.00% 100.00% 73.01% 79.89% 99.34% 94.75% 99.99% 98.77%
December 2002.................. 37.08% 100.00% 100.00% 72.27% 79.42% 99.29% 94.47% 99.99% 98.66%
January 2003................... 35.98% 100.00% 100.00% 71.74% 78.95% 99.23% 94.18% 99.98% 98.53%
February 2003.................. 34.85% 100.00% 100.00% 71.14% 78.57% 99.16% 93.88% 99.98% 98.40%
March 2003..................... 33.58% 100.00% 100.00% 70.55% 78.09% 99.10% 93.57% 99.98% 98.27%
April 2003..................... 32.51% 100.00% 100.00% 69.93% 77.62% 99.03% 93.25% 99.97% 98.13%
May 2003....................... 31.34% 100.00% 100.00% 69.38% 77.15% 98.95% 92.93% 99.97% 97.98%
June 2003...................... 30.19% 100.00% 100.00% 68.65% 76.68% 98.88% 92.60% 99.97% 97.82%
July 2003...................... 29.02% 100.00% 100.00% 68.09% 76.20% 98.80% 92.26% 99.96% 97.66%
August 2003.................... 27.84% 100.00% 100.00% 67.54% 75.81% 98.71% 91.92% 99.96% 97.49%
September 2003................. 26.68% 100.00% 100.00% 66.82% 75.34% 98.63% 91.56% 99.95% 97.32%
October 2003................... 25.52% 100.00% 100.00% 66.16% 74.77% 98.54% 91.20% 99.95% 97.13%
November 2003.................. 24.35% 100.00% 100.00% 65.59% 74.30% 98.44% 90.83% 99.94% 96.94%
December 2003.................. 23.16% 100.00% 100.00% 64.92% 73.82% 98.34% 90.46% 99.93% 96.75%
January 2004................... 21.16% 100.00% 100.00% 64.63% 71.52% 98.24% 90.07% 99.93% 96.54%
February 2004.................. 20.05% 100.00% 100.00% 64.13% 71.06% 98.14% 89.68% 99.92% 96.33%
March 2004..................... 18.90% 100.00% 100.00% 63.65% 70.60% 98.03% 89.28% 99.91% 96.11%
April 2004..................... 17.84% 100.00% 100.00% 62.98% 70.06% 97.91% 88.87% 99.90% 95.88%
May 2004....................... 16.73% 100.00% 100.00% 62.69% 69.59% 97.79% 88.46% 99.89% 95.65%
June 2004...................... 15.66% 100.00% 100.00% 62.01% 69.05% 97.67% 88.03% 99.88% 95.41%
July 2004...................... 14.55% 100.00% 100.00% 61.41% 68.59% 97.55% 87.60% 99.87% 95.16%
August 2004.................... 13.47% 100.00% 100.00% 60.83% 68.05% 97.42% 87.17% 99.85% 94.90%
September 2004................. 12.37% 100.00% 100.00% 60.14% 67.59% 97.28% 86.72% 99.84% 94.64%
October 2004................... 11.29% 100.00% 100.00% 59.43% 67.05% 97.14% 86.27% 99.82% 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% 58.85% 66.51% 97.00% 85.80% 99.81% 94.08%
December 2004.................. 9.12% 100.00% 100.00% 58.16% 65.97% 96.85% 85.34% 99.79% 93.80%
January 2005................... 8.02% 100.00% 100.00% 57.57% 65.43% 96.70% 84.86% 99.77% 93.50%
February 2005.................. 6.90% 100.00% 100.00% 56.98% 64.96% 96.54% 84.37% 99.75% 93.19%
March 2005..................... 5.75% 100.00% 100.00% 56.31% 64.35% 96.38% 83.88% 99.73% 92.88%
April 2005..................... 4.65% 100.00% 100.00% 55.69% 63.81% 96.22% 83.38% 99.71% 92.56%
May 2005....................... 3.52% 100.00% 100.00% 55.14% 63.27% 96.05% 82.87% 99.69% 92.23%
June 2005...................... 2.41% 100.00% 100.00% 54.60% 62.73% 95.87% 82.36% 99.66% 91.89%
July 2005...................... 1.28% 100.00% 100.00% 54.04% 62.19% 95.69% 81.83% 99.63% 91.55%
August 2005.................... 0.18% 100.00% 100.00% 53.57% 61.58% 95.51% 81.30% 99.60% 91.19%
September 2005................. 0.00% 100.00% 100.00% 52.23% 61.05% 95.32% 80.76% 99.57% 90.83%
October 2005................... 100.00% 100.00% 50.35% 60.44% 95.12% 80.22% 99.54% 90.46%
November 2005.................. 100.00% 100.00% 48.72% 59.83% 94.92% 79.66% 99.51% 90.08%
December 2005.................. 100.00% 100.00% 47.05% 59.30% 94.72% 79.10% 99.47% 89.69%
January 2006................... 100.00% 100.00% 45.41% 58.69% 94.51% 78.53% 99.43% 89.29%
February 2006.................. 100.00% 100.00% 43.77% 58.09% 94.29% 77.95% 99.39% 88.88%
March 2006..................... 100.00% 100.00% 42.83% 57.49% 94.07% 77.36% 99.35% 88.46%
April 2006..................... 100.00% 100.00% 40.99% 56.89% 93.84% 76.77% 99.31% 88.04%
May 2006....................... 100.00% 100.00% 39.67% 56.29% 93.61% 76.17% 99.26% 87.61%
June 2006...................... 100.00% 100.00% 38.06% 55.62% 93.38% 75.56% 99.21% 87.16%
July 2006...................... 100.00% 100.00% 36.41% 55.02% 93.13% 74.94% 99.16% 86.71%
August 2006.................... 100.00% 100.00% 34.80% 54.36% 92.88% 74.32% 99.10% 86.25%
September 2006................. 100.00% 100.00% 33.18% 53.77% 92.63% 73.68% 99.04% 85.78%
October 2006................... 100.00% 100.00% 31.34% 53.11% 92.37% 73.04% 98.98% 85.30%
November 2006.................. 100.00% 100.00% 29.73% 52.46% 92.11% 72.39% 98.92% 84.81%
December 2006.................. 100.00% 100.00% 28.08% 51.81% 91.84% 71.74% 98.85% 84.31%
January 2007................... 100.00% 100.00% 26.44% 51.16% 91.56% 71.07% 98.78% 83.80%
February 2007.................. 100.00% 100.00% 24.79% 50.51% 91.28% 70.40% 98.71% 83.29%
March 2007..................... 100.00% 100.00% 23.43% 49.86% 90.99% 69.72% 98.63% 82.76%
April 2007..................... 100.00% 100.00% 21.60% 49.16% 90.70% 69.03% 98.55% 82.22%
May 2007....................... 100.00% 100.00% 19.91% 48.52% 90.40% 68.34% 98.47% 81.68%
June 2007...................... 100.00% 100.00% 18.26% 47.82% 90.09% 67.64% 98.38% 81.12%
July 2007...................... 100.00% 100.00% 16.58% 47.12% 89.78% 66.92% 98.29% 80.56%
August 2007.................... 100.00% 100.00% 14.99% 46.43% 89.46% 66.20% 98.19% 79.98%
September 2007................. 100.00% 100.00% 13.38% 45.74% 89.14% 65.48% 98.09% 79.40%
October 2007................... 100.00% 100.00% 11.57% 45.06% 88.81% 64.74% 97.99% 78.80%
November 2007.................. 100.00% 100.00% 9.95% 44.38% 88.47% 64.00% 97.88% 78.20%
December 2007.................. 100.00% 100.00% 8.34% 43.64% 88.13% 63.25% 97.76% 77.58%
January 2008................... 100.00% 100.00% 6.71% 42.97% 87.78% 62.49% 97.64% 76.96%
February 2008.................. 100.00% 100.00% 5.09% 42.24% 87.42% 61.72% 97.52% 76.32%
March 2008..................... 100.00% 100.00% 4.21% 41.52% 87.06% 60.95% 97.39% 75.68%
April 2008..................... 100.00% 100.00% 2.62% 40.80% 86.69% 60.17% 97.26% 75.02%
May 2008....................... 100.00% 100.00% 1.03% 40.09% 86.31% 59.38% 97.12% 74.36%
June 2008...................... 100.00% 100.00% 0.00% 39.38% 85.93% 58.58% 96.97% 73.68%
July 2008...................... 97.38% 100.00% 38.62% 85.54% 57.77% 96.82% 73.00%
August 2008.................... 95.49% 100.00% 37.92% 85.15% 56.96% 96.66% 72.30%
September 2008................. 93.80% 100.00% 37.18% 84.74% 56.14% 96.50% 71.59%
October 2008................... 92.23% 100.00% 36.44% 84.34% 55.31% 96.33% 70.88%
November 2008.................. 90.75% 100.00% 35.70% 83.92% 54.47% 96.16% 70.15%
December 2008.................. 89.33% 100.00% 34.92% 83.50% 53.63% 95.97% 69.41%
January 2009................... 87.96% 100.00% 34.20% 83.07% 52.77% 95.79% 68.66%
February 2009.................. 86.63% 100.00% 33.43% 82.63% 51.91% 95.59% 67.90%
March 2009..................... 85.33% 100.00% 32.72% 82.19% 51.04% 95.39% 67.13%
April 2009..................... 84.07% 100.00% 31.97% 81.74% 50.17% 95.18% 66.35%
May 2009....................... 82.83% 100.00% 31.22% 81.28% 49.28% 94.96% 65.56%
June 2009...................... 81.62% 100.00% 30.43% 80.81% 48.39% 94.73% 64.76%
July 2009...................... 80.43% 100.00% 29.70% 80.34% 47.49% 94.50% 63.95%
August 2009.................... 79.26% 100.00% 28.93% 79.86% 46.58% 94.26% 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................. 78.10% 100.00% 28.17% 79.37% 45.66% 94.01% 62.29%
October 2009................... 76.97% 100.00% 27.42% 78.88% 44.74% 93.75% 61.44%
November 2009.................. 75.84% 100.00% 26.67% 78.38% 43.81% 93.48% 60.59%
December 2009.................. 74.74% 100.00% 25.89% 77.87% 42.87% 93.21% 59.72%
January 2010................... 73.64% 100.00% 25.16% 77.35% 41.92% 92.92% 58.84%
February 2010.................. 72.56% 100.00% 24.40% 76.83% 40.96% 92.62% 57.95%
March 2010..................... 71.49% 100.00% 23.65% 76.29% 40.00% 92.32% 57.05%
April 2010..................... 70.43% 100.00% 22.86% 75.75% 39.03% 92.01% 56.14%
May 2010....................... 69.38% 100.00% 22.13% 75.21% 38.05% 91.68% 55.22%
June 2010...................... 68.34% 100.00% 21.37% 74.65% 37.06% 91.35% 54.28%
July 2010...................... 67.31% 100.00% 20.61% 74.09% 36.06% 91.00% 53.34%
August 2010.................... 66.29% 100.00% 19.87% 73.52% 35.06% 90.64% 52.38%
September 2010................. 65.28% 100.00% 19.14% 72.94% 34.05% 90.28% 51.41%
October 2010................... 64.27% 100.00% 18.38% 72.35% 33.03% 89.90% 50.43%
November 2010.................. 63.27% 100.00% 17.64% 71.76% 32.00% 89.51% 49.44%
December 2010.................. 62.28% 100.00% 16.92% 71.15% 30.97% 89.10% 48.44%
January 2011................... 61.30% 100.00% 16.22% 70.54% 29.92% 88.69% 47.43%
February 2011.................. 60.33% 100.00% 15.49% 69.93% 28.87% 88.26% 46.40%
March 2011..................... 59.36% 100.00% 14.81% 69.30% 27.81% 87.82% 45.36%
April 2011..................... 58.39% 100.00% 14.08% 68.66% 26.75% 87.37% 44.31%
May 2011....................... 57.44% 100.00% 13.39% 68.02% 25.67% 86.90% 43.25%
June 2011...................... 56.49% 100.00% 12.71% 67.37% 24.59% 86.42% 42.18%
July 2011...................... 55.54% 100.00% 12.02% 66.71% 23.50% 85.93% 41.10%
August 2011.................... 54.60% 100.00% 11.34% 66.04% 22.40% 85.42% 40.00%
September 2011................. 53.67% 100.00% 10.67% 65.36% 21.29% 84.90% 38.90%
October 2011................... 52.74% 100.00% 9.99% 64.68% 20.18% 84.36% 37.78%
November 2011.................. 51.81% 100.00% 9.32% 63.99% 19.05% 83.81% 36.64%
December 2011.................. 50.89% 100.00% 8.66% 63.28% 17.92% 83.25% 35.50%
January 2012................... 49.98% 100.00% 8.03% 62.57% 16.78% 82.66% 34.35%
February 2012.................. 49.07% 100.00% 7.37% 61.85% 15.64% 82.06% 33.18%
March 2012..................... 48.16% 100.00% 6.74% 61.13% 14.48% 81.45% 32.00%
April 2012..................... 47.26% 100.00% 6.12% 60.39% 13.32% 80.82% 30.81%
May 2012....................... 46.37% 100.00% 5.49% 59.64% 12.15% 80.17% 29.61%
June 2012...................... 45.47% 100.00% 4.92% 58.89% 10.97% 79.50% 28.39%
July 2012...................... 44.58% 100.00% 4.33% 58.13% 9.78% 78.82% 27.16%
August 2012.................... 43.70% 100.00% 3.73% 57.35% 8.59% 78.12% 26.00%
September 2012................. 42.82% 97.82% 3.18% 56.57% 7.38% 77.40% 24.91%
October 2012................... 41.94% 95.78% 2.62% 55.78% 6.17% 76.66% 23.71%
November 2012.................. 41.06% 93.80% 2.06% 54.98% 4.95% 75.91% 22.44%
December 2012.................. 40.19% 91.85% 1.54% 54.18% 3.73% 75.13% 21.07%
January 2013................... 39.33% 89.93% 1.02% 53.36% 2.49% 74.33% 19.66%
February 2013.................. 38.46% 88.02% 0.51% 52.53% 1.25% 73.52% 18.22%
March 2013..................... 37.60% 86.13% 0.00% 51.70% 0.00% 72.68% 16.90%
April 2013..................... 36.75% 84.26% 50.85% 71.82% 15.56%
May 2013....................... 35.89% 82.40% 50.00% 70.94% 14.21%
June 2013...................... 35.04% 80.54% 49.14% 70.04% 12.84%
July 2013...................... 34.19% 78.70% 48.26% 69.12% 11.47%
August 2013.................... 33.35% 76.86% 47.38% 68.18% 10.08%
September 2013................. 32.51% 75.03% 46.49% 67.21% 8.68%
October 2013................... 31.67% 73.21% 45.59% 66.22% 7.26%
November 2013.................. 30.83% 71.40% 44.68% 65.20% 5.84%
December 2013.................. 30.00% 69.59% 43.76% 64.17% 4.40%
January 2014................... 29.17% 67.78% 42.83% 63.10% 2.94%
February 2014.................. 28.34% 65.99% 41.89% 62.01% 1.48%
March 2014..................... 27.52% 64.19% 40.94% 60.90% 0.00%
April 2014..................... 26.69% 62.40% 39.99% 59.76%
May 2014....................... 25.87% 60.62% 39.02% 58.60%
June 2014...................... 25.06% 58.84% 38.04% 57.41%
</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...................... 24.24% 57.07% 37.05% 56.19%
August 2014.................... 23.43% 55.29% 36.05% 54.94%
September 2014................. 22.62% 53.53% 35.05% 53.67%
October 2014................... 21.81% 51.76% 34.03% 52.37%
November 2014.................. 21.00% 50.00% 33.00% 51.04%
December 2014.................. 20.20% 48.24% 31.96% 49.68%
January 2015................... 19.40% 46.49% 30.91% 48.29%
February 2015.................. 18.60% 44.74% 29.86% 46.87%
March 2015..................... 17.80% 42.99% 28.79% 45.41%
April 2015..................... 17.01% 41.24% 27.71% 43.93%
May 2015....................... 16.21% 39.50% 26.62% 42.42%
June 2015...................... 15.42% 37.76% 25.52% 40.87%
July 2015...................... 14.64% 36.02% 24.41% 39.29%
August 2015.................... 13.85% 34.28% 23.29% 37.68%
September 2015................. 13.06% 32.55% 22.16% 36.03%
October 2015................... 12.28% 30.82% 21.02% 34.35%
November 2015.................. 11.50% 29.09% 19.87% 32.64%
December 2015.................. 10.72% 27.36% 18.71% 30.89%
January 2016................... 9.94% 25.64% 17.54% 29.10%
February 2016.................. 9.17% 23.92% 16.36% 27.28%
March 2016..................... 8.39% 22.20% 15.16% 25.41%
April 2016..................... 7.62% 20.48% 13.96% 23.52%
May 2016....................... 6.85% 18.76% 12.75% 21.58%
June 2016...................... 6.09% 17.05% 11.52% 19.61%
July 2016...................... 5.32% 15.34% 10.28% 17.59%
August 2016.................... 4.55% 13.62% 9.04% 15.54%
September 2016................. 3.79% 11.92% 7.78% 13.45%
October 2016................... 3.03% 10.21% 6.51% 0.00%
November 2016.................. 2.27% 8.50% 5.23%
December 2016.................. 1.51% 6.80% 3.94%
January 2017................... 0.75% 5.10% 2.64%
February 2017.................. 0.00% 3.40% 1.32%
March 2017..................... 1.70% 0.00%
April 2017..................... 0.00%
</TABLE>
E-10-4
<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% 97.77% 91.78% 100.00% 100.00% 100.00% 100.00%
May 2001...................... 71.49% 100.00% 100.00% 96.92% 91.44% 100.00% 100.00% 100.00% 100.00%
June 2001..................... 70.66% 100.00% 100.00% 95.51% 91.10% 100.00% 100.00% 100.00% 100.00%
July 2001..................... 69.80% 100.00% 100.00% 94.89% 90.76% 100.00% 100.00% 100.00% 100.00%
August 2001................... 68.96% 100.00% 100.00% 93.96% 90.42% 100.00% 100.00% 100.00% 100.00%
September 2001................ 68.09% 100.00% 100.00% 92.61% 90.07% 99.99% 100.00% 100.00% 100.00%
October 2001.................. 67.22% 100.00% 100.00% 92.01% 89.72% 99.99% 100.00% 100.00% 100.00%
November 2001................. 66.35% 100.00% 100.00% 91.22% 89.28% 99.98% 99.99% 100.00% 100.00%
December 2001................. 65.47% 100.00% 100.00% 90.01% 88.93% 99.98% 99.97% 100.00% 100.00%
January 2002.................. 64.60% 100.00% 100.00% 89.50% 88.58% 99.97% 99.95% 100.00% 100.00%
February 2002................. 63.72% 100.00% 100.00% 88.70% 88.23% 99.96% 99.91% 100.00% 100.00%
March 2002.................... 62.84% 100.00% 100.00% 87.53% 87.87% 99.95% 99.88% 100.00% 100.00%
April 2002.................... 61.92% 100.00% 100.00% 87.03% 87.52% 99.94% 99.83% 100.00% 100.00%
May 2002...................... 61.04% 100.00% 100.00% 86.33% 87.16% 99.93% 99.78% 100.00% 100.00%
June 2002..................... 60.12% 100.00% 100.00% 85.25% 86.71% 99.92% 99.72% 100.00% 100.00%
July 2002..................... 59.20% 100.00% 100.00% 84.77% 86.35% 99.90% 99.65% 100.00% 100.00%
August 2002................... 58.28% 100.00% 100.00% 84.06% 85.99% 99.88% 99.58% 100.00% 100.00%
September 2002................ 57.36% 100.00% 100.00% 83.01% 85.63% 99.86% 99.50% 100.00% 100.00%
October 2002.................. 56.44% 100.00% 100.00% 82.47% 85.17% 99.84% 99.41% 100.00% 100.00%
November 2002................. 55.48% 100.00% 100.00% 81.85% 84.81% 99.82% 99.31% 100.00% 100.00%
December 2002................. 54.55% 100.00% 100.00% 80.84% 84.45% 99.79% 99.21% 100.00% 99.99%
January 2003.................. 53.60% 100.00% 100.00% 80.39% 83.99% 99.76% 99.10% 100.00% 99.99%
February 2003................. 52.64% 100.00% 100.00% 79.75% 83.62% 99.73% 98.98% 100.00% 99.98%
March 2003.................... 51.68% 100.00% 100.00% 78.67% 83.25% 99.70% 98.85% 100.00% 99.96%
April 2003.................... 50.71% 100.00% 100.00% 77.58% 82.79% 99.66% 98.72% 100.00% 99.95%
May 2003...................... 49.75% 100.00% 100.00% 76.98% 82.42% 99.63% 98.58% 100.00% 99.93%
June 2003..................... 48.78% 100.00% 100.00% 76.20% 81.95% 99.59% 98.43% 100.00% 99.90%
July 2003..................... 47.79% 100.00% 100.00% 75.63% 81.58% 99.54% 98.27% 100.00% 99.88%
August 2003................... 46.79% 100.00% 100.00% 75.00% 81.11% 99.50% 98.11% 100.00% 99.84%
September 2003................ 45.79% 100.00% 100.00% 74.23% 80.74% 99.45% 97.94% 100.00% 99.81%
October 2003.................. 44.79% 100.00% 100.00% 73.62% 80.27% 99.40% 97.76% 100.00% 99.77%
November 2003................. 43.79% 100.00% 100.00% 73.01% 79.89% 99.34% 97.57% 100.00% 99.72%
December 2003................. 42.79% 100.00% 100.00% 72.27% 79.42% 99.29% 97.38% 100.00% 99.67%
January 2004.................. 37.79% 100.00% 100.00% 71.74% 78.95% 99.23% 97.18% 100.00% 99.62%
February 2004................. 36.80% 100.00% 100.00% 71.14% 78.57% 99.16% 96.97% 100.00% 99.56%
March 2004.................... 35.83% 100.00% 100.00% 70.55% 78.09% 99.10% 96.75% 100.00% 99.49%
April 2004.................... 34.84% 100.00% 100.00% 69.93% 77.62% 99.03% 96.53% 100.00% 99.42%
May 2004...................... 33.82% 100.00% 100.00% 69.38% 77.15% 98.95% 96.30% 100.00% 99.35%
June 2004..................... 32.83% 100.00% 100.00% 68.65% 76.68% 98.88% 96.06% 99.99% 99.27%
July 2004..................... 31.81% 100.00% 100.00% 68.09% 76.20% 98.80% 95.81% 99.99% 99.18%
August 2004................... 30.81% 100.00% 100.00% 67.54% 75.81% 98.71% 95.56% 99.99% 99.09%
September 2004................ 29.79% 100.00% 100.00% 66.82% 75.34% 98.63% 95.30% 99.99% 98.99%
October 2004.................. 28.74% 100.00% 100.00% 66.16% 74.77% 98.54% 95.03% 99.99% 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% 65.59% 74.30% 98.44% 94.75% 99.99% 98.77%
December 2004................. 26.69% 100.00% 100.00% 64.92% 73.82% 98.34% 94.47% 99.99% 98.66%
January 2005.................. 25.64% 100.00% 100.00% 64.63% 71.52% 98.24% 94.18% 99.98% 98.53%
February 2005................. 24.59% 100.00% 100.00% 64.13% 71.06% 98.14% 93.88% 99.98% 98.40%
March 2005.................... 23.54% 100.00% 100.00% 63.65% 70.60% 98.03% 93.57% 99.98% 98.27%
April 2005.................... 22.49% 100.00% 100.00% 62.98% 70.06% 97.91% 93.25% 99.97% 98.13%
May 2005...................... 21.41% 100.00% 100.00% 62.69% 69.59% 97.79% 92.93% 99.97% 97.98%
June 2005..................... 20.36% 100.00% 100.00% 62.01% 69.05% 97.67% 92.60% 99.97% 97.82%
July 2005..................... 19.28% 100.00% 100.00% 61.41% 68.59% 97.55% 92.26% 99.96% 97.66%
August 2005................... 18.21% 100.00% 100.00% 60.83% 68.05% 97.42% 91.92% 99.96% 97.49%
September 2005................ 17.13% 100.00% 100.00% 60.14% 67.59% 97.28% 91.56% 99.95% 97.32%
October 2005.................. 16.03% 100.00% 100.00% 59.43% 67.05% 97.14% 91.20% 99.95% 97.13%
November 2005................. 14.93% 100.00% 100.00% 58.85% 66.51% 97.00% 90.83% 99.94% 96.94%
December 2005................. 13.86% 100.00% 100.00% 58.16% 65.97% 96.85% 90.46% 99.93% 96.75%
January 2006.................. 12.74% 100.00% 100.00% 57.57% 65.43% 96.70% 90.07% 99.93% 96.54%
February 2006................. 11.64% 100.00% 100.00% 56.98% 64.96% 96.54% 89.68% 99.92% 96.33%
March 2006.................... 10.54% 100.00% 100.00% 56.31% 64.35% 96.38% 89.28% 99.91% 96.11%
April 2006.................... 9.42% 100.00% 100.00% 55.69% 63.81% 96.22% 88.87% 99.90% 95.88%
May 2006...................... 8.30% 100.00% 100.00% 55.14% 63.27% 96.05% 88.46% 99.89% 95.65%
June 2006..................... 7.18% 100.00% 100.00% 54.60% 62.73% 95.87% 88.03% 99.88% 95.41%
July 2006..................... 6.06% 100.00% 100.00% 54.04% 62.19% 95.69% 87.60% 99.87% 95.16%
August 2006................... 4.92% 100.00% 100.00% 53.57% 61.58% 95.51% 87.17% 99.85% 94.90%
September 2006................ 3.78% 100.00% 100.00% 52.23% 61.05% 95.32% 86.72% 99.84% 94.64%
October 2006.................. 2.65% 100.00% 100.00% 50.35% 60.44% 95.12% 86.27% 99.82% 94.36%
November 2006................. 1.51% 100.00% 100.00% 48.72% 59.83% 94.92% 85.80% 99.81% 94.08%
December 2006................. 0.35% 100.00% 100.00% 47.05% 59.30% 94.72% 85.34% 99.79% 93.80%
January 2007.................. 0.00% 100.00% 100.00% 45.41% 58.69% 94.51% 84.86% 99.77% 93.50%
February 2007................. 100.00% 100.00% 43.77% 58.09% 94.29% 84.37% 99.75% 93.19%
March 2007.................... 100.00% 100.00% 42.83% 57.49% 94.07% 83.88% 99.73% 92.88%
April 2007.................... 100.00% 100.00% 40.99% 56.89% 93.84% 83.38% 99.71% 92.56%
May 2007...................... 100.00% 100.00% 39.67% 56.29% 93.61% 82.87% 99.69% 92.23%
June 2007..................... 100.00% 100.00% 38.06% 55.62% 93.38% 82.36% 99.66% 91.89%
July 2007..................... 100.00% 100.00% 36.41% 55.02% 93.13% 81.83% 99.63% 91.55%
August 2007................... 100.00% 100.00% 34.80% 54.36% 92.88% 81.30% 99.60% 91.19%
September 2007................ 100.00% 100.00% 33.18% 53.77% 92.63% 80.76% 99.57% 90.83%
October 2007.................. 100.00% 100.00% 31.34% 53.11% 92.37% 80.22% 99.54% 90.46%
November 2007................. 100.00% 100.00% 29.73% 52.46% 92.11% 79.66% 99.51% 90.08%
December 2007................. 100.00% 100.00% 28.08% 51.81% 91.84% 79.10% 99.47% 89.69%
January 2008.................. 100.00% 100.00% 26.44% 51.16% 91.56% 78.53% 99.43% 89.29%
February 2008................. 100.00% 100.00% 24.79% 50.51% 91.28% 77.95% 99.39% 88.88%
March 2008.................... 100.00% 100.00% 23.43% 49.86% 90.99% 77.36% 99.35% 88.46%
April 2008.................... 100.00% 100.00% 21.60% 49.16% 90.70% 76.77% 99.31% 88.04%
May 2008...................... 100.00% 100.00% 19.91% 48.52% 90.40% 76.17% 99.26% 87.61%
June 2008..................... 100.00% 100.00% 18.26% 47.82% 90.09% 75.56% 99.21% 87.16%
July 2008..................... 100.00% 100.00% 16.58% 47.12% 89.78% 74.94% 99.16% 86.71%
August 2008................... 100.00% 100.00% 14.99% 46.43% 89.46% 74.32% 99.10% 86.25%
September 2008................ 100.00% 100.00% 13.38% 45.74% 89.14% 73.68% 99.04% 85.78%
October 2008.................. 100.00% 100.00% 11.57% 45.06% 88.81% 73.04% 98.98% 85.30%
November 2008................. 100.00% 100.00% 9.95% 44.38% 88.47% 72.39% 98.92% 84.81%
December 2008................. 100.00% 100.00% 8.34% 43.64% 88.13% 71.74% 98.85% 84.31%
January 2009.................. 100.00% 100.00% 6.71% 42.97% 87.78% 71.07% 98.78% 83.80%
February 2009................. 100.00% 100.00% 5.09% 42.24% 87.42% 70.40% 98.71% 83.29%
March 2009.................... 100.00% 100.00% 4.21% 41.52% 87.06% 69.72% 98.63% 82.76%
April 2009.................... 100.00% 100.00% 2.62% 40.80% 86.69% 69.03% 98.55% 82.22%
May 2009...................... 100.00% 100.00% 1.03% 40.09% 86.31% 68.34% 98.47% 81.68%
June 2009..................... 100.00% 100.00% 0.00% 39.38% 85.93% 67.64% 98.38% 81.12%
July 2009..................... 97.38% 100.00% 38.62% 85.54% 66.92% 98.29% 80.56%
August 2009................... 95.49% 100.00% 37.92% 85.15% 66.20% 98.19% 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................ 93.80% 100.00% 37.18% 84.74% 65.48% 98.09% 79.40%
October 2009.................. 92.23% 100.00% 36.44% 84.34% 64.74% 97.99% 78.80%
November 2009................. 90.75% 100.00% 35.70% 83.92% 64.00% 97.88% 78.20%
December 2009................. 89.33% 100.00% 34.92% 83.50% 63.25% 97.76% 77.58%
January 2010.................. 87.96% 100.00% 34.20% 83.07% 62.49% 97.64% 76.96%
February 2010................. 86.63% 100.00% 33.43% 82.63% 61.72% 97.52% 76.32%
March 2010.................... 85.33% 100.00% 32.72% 82.19% 60.95% 97.39% 75.68%
April 2010.................... 84.07% 100.00% 31.97% 81.74% 60.17% 97.26% 75.02%
May 2010...................... 82.83% 100.00% 31.22% 81.28% 59.38% 97.12% 74.36%
June 2010..................... 81.62% 100.00% 30.43% 80.81% 58.58% 96.97% 73.68%
July 2010..................... 80.43% 100.00% 29.70% 80.34% 57.77% 96.82% 73.00%
August 2010................... 79.26% 100.00% 28.93% 79.86% 56.96% 96.66% 72.30%
September 2010................ 78.10% 100.00% 28.17% 79.37% 56.14% 96.50% 71.59%
October 2010.................. 76.97% 100.00% 27.42% 78.88% 55.31% 96.33% 70.88%
November 2010................. 75.84% 100.00% 26.67% 78.38% 54.47% 96.16% 70.15%
December 2010................. 74.74% 100.00% 25.89% 77.87% 53.63% 95.97% 69.41%
January 2011.................. 73.64% 100.00% 25.16% 77.35% 52.77% 95.79% 68.66%
February 2011................. 72.56% 100.00% 24.40% 76.83% 51.91% 95.59% 67.90%
March 2011.................... 71.49% 100.00% 23.65% 76.29% 51.04% 95.39% 67.13%
April 2011.................... 70.43% 100.00% 22.86% 75.75% 50.17% 95.18% 66.35%
May 2011...................... 69.38% 100.00% 22.13% 75.21% 49.28% 94.96% 65.56%
June 2011..................... 68.34% 100.00% 21.37% 74.65% 48.39% 94.73% 64.76%
July 2011..................... 67.31% 100.00% 20.61% 74.09% 47.49% 94.50% 63.95%
August 2011................... 66.29% 100.00% 19.87% 73.52% 46.58% 94.26% 63.12%
September 2011................ 65.28% 100.00% 19.14% 72.94% 45.66% 94.01% 62.29%
October 2011.................. 64.27% 100.00% 18.38% 72.35% 44.74% 93.75% 61.44%
November 2011................. 63.27% 100.00% 17.64% 71.76% 43.81% 93.48% 60.59%
December 2011................. 62.28% 100.00% 16.92% 71.15% 42.87% 93.21% 59.72%
January 2012.................. 61.30% 100.00% 16.22% 70.54% 41.92% 92.92% 58.84%
February 2012................. 60.33% 100.00% 15.49% 69.93% 40.96% 92.62% 57.95%
March 2012.................... 59.36% 100.00% 14.81% 69.30% 40.00% 92.32% 57.05%
April 2012.................... 58.39% 100.00% 14.08% 68.66% 39.03% 92.01% 56.14%
May 2012...................... 57.44% 100.00% 13.39% 68.02% 38.05% 91.68% 55.22%
June 2012..................... 56.49% 100.00% 12.71% 67.37% 37.06% 91.35% 54.28%
July 2012..................... 55.54% 100.00% 12.02% 66.71% 36.06% 91.00% 53.34%
August 2012................... 54.60% 100.00% 11.34% 66.04% 35.06% 90.64% 52.38%
September 2012................ 53.67% 100.00% 10.67% 65.36% 34.05% 90.28% 51.41%
October 2012.................. 52.74% 100.00% 9.99% 64.68% 33.03% 89.90% 50.43%
November 2012................. 51.81% 100.00% 9.32% 63.99% 32.00% 89.51% 49.44%
December 2012................. 50.89% 100.00% 8.66% 63.28% 30.97% 89.10% 48.44%
January 2013.................. 49.98% 100.00% 8.03% 62.57% 29.92% 88.69% 47.43%
February 2013................. 49.07% 100.00% 7.37% 61.85% 28.87% 88.26% 46.40%
March 2013.................... 48.16% 100.00% 6.74% 61.13% 27.81% 87.82% 45.36%
April 2013.................... 47.26% 100.00% 6.12% 60.39% 26.75% 87.37% 44.31%
May 2013...................... 46.37% 100.00% 5.49% 59.64% 25.67% 86.90% 43.25%
June 2013..................... 45.47% 100.00% 4.92% 58.89% 24.59% 86.42% 42.18%
July 2013..................... 44.58% 100.00% 4.33% 58.13% 23.50% 85.93% 41.10%
August 2013................... 43.70% 100.00% 3.73% 57.35% 22.40% 85.42% 40.00%
September 2013................ 42.82% 97.82% 3.18% 56.57% 21.29% 84.90% 38.90%
October 2013.................. 41.94% 95.78% 2.62% 55.78% 20.18% 84.36% 37.78%
November 2013................. 41.06% 93.80% 2.06% 54.98% 19.05% 83.81% 36.64%
December 2013................. 40.19% 91.85% 1.54% 54.18% 17.92% 83.25% 35.50%
January 2014.................. 39.33% 89.93% 1.02% 53.36% 16.78% 82.66% 34.35%
February 2014................. 38.46% 88.02% 0.51% 52.53% 15.64% 82.06% 33.18%
March 2014.................... 37.60% 86.13% 0.00% 51.70% 14.48% 81.45% 32.00%
April 2014.................... 36.75% 84.26% 50.85% 13.32% 80.82% 30.81%
May 2014...................... 35.89% 82.40% 50.00% 12.15% 80.17% 29.61%
June 2014..................... 35.04% 80.54% 49.14% 10.97% 79.50% 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..................... 34.19% 78.70% 48.26% 9.78% 78.82% 27.16%
August 2014................... 33.35% 76.86% 47.38% 8.59% 78.12% 26.00%
September 2014................ 32.51% 75.03% 46.49% 7.38% 77.40% 24.91%
October 2014.................. 31.67% 73.21% 45.59% 6.17% 76.66% 23.71%
November 2014................. 30.83% 71.40% 44.68% 4.95% 75.91% 22.44%
December 2014................. 30.00% 69.59% 43.76% 3.73% 75.13% 21.07%
January 2015.................. 29.17% 67.78% 42.83% 2.49% 74.33% 19.66%
February 2015................. 28.34% 65.99% 41.89% 1.25% 73.52% 18.22%
March 2015.................... 27.52% 64.19% 40.94% 0.00% 72.68% 16.90%
April 2015.................... 26.69% 62.40% 39.99% 71.82% 15.56%
May 2015...................... 25.87% 60.62% 39.02% 70.94% 14.21%
June 2015..................... 25.06% 58.84% 38.04% 70.04% 12.84%
July 2015..................... 24.24% 57.07% 37.05% 69.12% 11.47%
August 2015................... 23.43% 55.29% 36.05% 68.18% 10.08%
September 2015................ 22.62% 53.53% 35.05% 67.21% 8.68%
October 2015.................. 21.81% 51.76% 34.03% 66.22% 7.26%
November 2015................. 21.00% 50.00% 33.00% 65.20% 5.84%
December 2015................. 20.20% 48.24% 31.96% 64.17% 4.40%
January 2016.................. 19.40% 46.49% 30.91% 63.10% 2.94%
February 2016................. 18.60% 44.74% 29.86% 62.01% 1.48%
March 2016.................... 17.80% 42.99% 28.79% 60.90% 0.00%
April 2016.................... 17.01% 41.24% 27.71% 59.76%
May 2016...................... 16.21% 39.50% 26.62% 58.60%
June 2016..................... 15.42% 37.76% 25.52% 57.41%
July 2016..................... 14.64% 36.02% 24.41% 56.19%
August 2016................... 13.85% 34.28% 23.29% 54.94%
September 2016................ 13.06% 32.55% 22.16% 53.67%
October 2016.................. 12.28% 30.82% 21.02% 52.37%
November 2016................. 11.50% 29.09% 19.87% 51.04%
December 2016................. 10.72% 27.36% 18.71% 49.68%
January 2017.................. 9.94% 25.64% 17.54% 48.29%
February 2017................. 9.17% 23.92% 16.36% 46.87%
March 2017.................... 8.39% 22.20% 15.16% 45.41%
April 2017.................... 7.62% 20.48% 13.96% 43.93%
May 2017...................... 6.85% 18.76% 12.75% 42.42%
June 2017..................... 6.09% 17.05% 11.52% 40.87%
July 2017..................... 5.32% 15.34% 10.28% 39.29%
August 2017................... 4.55% 13.62% 9.04% 37.68%
September 2017................ 3.79% 11.92% 7.78% 36.03%
October 2017.................. 3.03% 10.21% 6.51% 34.35%
November 2017................. 2.27% 8.50% 5.23% 32.64%
December 2017................. 1.51% 6.80% 3.94% 30.89%
January 2018.................. 0.75% 5.10% 2.64% 29.10%
February 2018................. 0.00% 3.40% 1.32% 27.28%
March 2018.................... 1.70% 0.00% 25.41%
April 2018.................... 0.00% 23.52%
May 2018...................... 21.58%
June 2018..................... 19.61%
July 2018..................... 17.59%
August 2018................... 15.54%
September 2018................ 13.45%
October 2018.................. 0.00%
</TABLE>
E-11-4
