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{"sheet":"Assumptions","index":0,"n_rows":68,"n_cols":38,"rows_kept":68,"cut":false,"hidden":false,"merged":[]}
["Assumptions"]
[null,"Subprime Debt Assumptions"]
[null,null,null,"Rate Charged on Sub-prime Loans",7.0000000000000007E-2]
[null,null,null,"Subprime Repayment Years",30,null,null,null,"Equity IRR",{"$f":"H65","v":9.5317847693842106E-2}]
[null,null,null,"Initial PD",0.02,null,null,null,"Debt IRR",{"$f":"H68","v":3.5000000002779696E-2}]
[null,null,null,"Years of High Default",5]
[null,null,null,"Stable PD",0.01]
[null,null,null,"LGD",0.6]
[null,null,null,"Delay in Recoveries",3]
[null,"Financial Structure Assumptions"]
[null,null,null,"Amount of Subprime Loans",1000]
[null,null,null,"Loans/Equity",10]
[null,null,null,"Equity to Assets",{"$f":"1/E12","v":0.1}]
[null,null,null,"Interest Rate on Top-tier Debt",3.5000000000000003E-2]
[null,null,null,"Fees",7.0000000000000007E-2]
[null,"Time Line"]
[null,null,null,"Period",null,null,null,0,{"$f":"H17+1","v":1},{"$f":"I17+1","v":2},3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30]
[null,null,null,"High Default Period",null,{"$f":"E6","v":5},null,null,{"$f":"I17<=$F$18","v":true},{"$f":"J17<=$F$18","v":true},true,true,true,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false]
[null,"Annual Assumptions"]
[null,null,null,"PD",null,{"$f":"E5","v":0.02},{"$f":"E7","v":0.01},null,{"$f":"I18*$F$20+NOT(I18)*$G$20","v":0.02},{"$f":"J18*$F$20+NOT(J18)*$G$20","v":0.02},0.02,0.02,0.02,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01]
[null,null,null,"Cumulative Defaults Index",null,null,null,1,{"$f":"H21*(1+I20)","v":1.02},{"$f":"I21*(1+J20)","v":1.0404},1.0612079999999999,1.08243216,1.1040808032,1.1151216112319999,1.1262728273443199,1.1375355556177631,1.1489109111739408,1.1604000202856803,1.1720040204885371,1.1837240606934225,1.1955613013003568,1.2075169143133604,1.2195920834564939,1.2317880042910589,1.2441058843339696,1.2565469431773093,1.2691124126090825,1.2818035367351732,1.2946215721025249,1.3075677878235501,1.3206434657017856,1.3338499003588034,1.3471883993623914,1.3606602833560153,1.3742668861895755,1.3880095550514713,1.401889650601986,1.415908547108006]
[null,null,null,"Cumulative Defaults  ",null,null,null,null,{"$f":"I21-1","v":2.0000000000000018E-2},{"$f":"J21-1","v":4.0399999999999991E-2},6.1207999999999929E-2,8.2432159999999977E-2,0.10408080320000002,0.11512161123199993,0.12627282734431988,0.13753555561776309,0.14891091117394084,0.16040002028568034,0.17200402048853713,0.18372406069342251,0.19556130130035676,0.20751691431336039,0.21959208345649395,0.23178800429105895,0.24410588433396962,0.25654694317730931,0.26911241260908247,0.28180353673517322,0.29462157210252493,0.3075677878235501,0.32064346570178559,0.33384990035880335,0.34718839936239143,0.3606602833560153,0.37426688618957549,0.38800955505147128,0.401889650601986,0.41590854710800595]
[null,null,null,"Loans being paid",null,null,null,1,{"$f":"H23*(1-I20)","v":0.98},{"$f":"I23*(1-J20)","v":0.96039999999999992},0.94119199999999992,0.92236815999999988,0.90392079679999982,0.89488158883199986,0.88593277294367989,0.87707344521424313,0.86830271076210064,0.8596196836544796,0.85102348681793483,0.84251325194975546,0.83408811943025785,0.82574723823595531,0.81748976585359578,0.80931486819505982,0.80122171951310917,0.79320950231797804,0.78527740729479822,0.77742463322185018,0.76965038688963172,0.76195388302073541,0.75433434419052803,0.7467910007486227,0.73932309074113645,0.73192985983372505,0.72461056123538781,0.71736445562303397,0.7101908110668036,0.70308890295613558]
[null,"Revenues"]
[null,null,"Subprime Loan Balance"]
[null,null,null,"Opening Balance",null,null,null,null,{"$f":"H29","v":1000},{"$f":"I29","v":969.62532455911105},939.35393340061273,909.15925627045283,879.0140633976356,848.89042080575075,827.11433394725191,804.7680780261669,781.81063048820317,758.19860825688727,733.886127033447,708.82465226038744,682.96284125434693,656.24637598449897,628.61778594171142,600.01626051077324,570.37745022315312,539.63325623083631,507.71160730268065,474.53622360331178,440.02636647069448,404.09657336203594,366.65637708843769,327.6100084065547,286.8560809802683,244.28725766685108,199.78989702010369,153.24367883726808,104.52120750695161,53.487591841601045]
[null,null,null,"Less: Repayments",null,{"$f":"E4","v":30},null,null,{"$f":"PPMT($F$30,I17,$F$27,-$H$29)*I23","v":10.374675440888968},{"$f":"PPMT($F$30,J17,$F$27,-$H$29)*J23","v":10.878884667316171},11.407598462147739,11.962007747408119,12.54336132393215,13.287182650441327,14.075112581612499,14.909766757702123,15.793915926433858,16.730495140871383,17.722613502725057,18.773564483436655,19.886836857304445,21.066126282942598,22.315347571521098,23.638647682512296,25.040419490085277,26.525316365847328,28.098267626342075,29.764494896584157,31.529529443951603,33.399230539977928,35.379804910998629,37.477827342220841,39.700262503614539,42.054488070078868,44.548319212634553,47.190034541943781,49.988403590281052,52.952715923184712]
[null,null,null,"Less: Default",null,null,null,null,{"$f":"I26*I20","v":20},{"$f":"J26*J20","v":19.392506491182221},18.787078668012256,18.183185125409057,17.580281267952714,8.488904208057507,8.2711433394725198,8.0476807802616683,7.8181063048820318,7.5819860825688732,7.33886127033447,7.0882465226038747,6.8296284125434692,6.5624637598449898,6.2861778594171147,6.0001626051077324,5.7037745022315312,5.3963325623083636,5.077116073026807,4.7453622360331176,4.4002636647069453,4.040965733620359,3.6665637708843768,3.276100084065547,2.8685608098026831,2.4428725766685107,1.997898970201037,1.5324367883726808,1.0452120750695162,0.53487591841601045]
[null,null,null,"Closing Balance",null,null,null,{"$f":"E11","v":1000},{"$f":"I26-I27-I28","v":969.62532455911105},{"$f":"J26-J27-J28","v":939.35393340061273},909.15925627045283,879.0140633976356,848.89042080575075,827.11433394725191,804.7680780261669,781.81063048820317,758.19860825688727,733.886127033447,708.82465226038744,682.96284125434693,656.24637598449897,628.61778594171142,600.01626051077324,570.37745022315312,539.63325623083631,507.71160730268065,474.53622360331178,440.02636647069448,404.09657336203594,366.65637708843769,327.6100084065547,286.8560809802683,244.28725766685108,199.78989702010369,153.24367883726808,104.52120750695161,53.487591841601045,3.2229774404868294E-13]
[null,null,null,"Interest Income",null,{"$f":"E3","v":7.0000000000000007E-2},null,null,{"$f":"I26*$F$30","v":70},{"$f":"J26*$F$30","v":67.873772719137776},65.754775338042904,63.641147938931702,61.530984437834498,59.422329456402558,57.898003376307642,56.333765461831689,54.726744134174226,53.073902577982111,51.372028892341298,49.617725658227123,47.80739888780429,45.93724631891493,44.003245015919802,42.001138235754134,39.926421515620724,37.774327936158542,35.539812511187648,33.217535652231831,30.801845652948618,28.286760135342519,25.665946396190641,22.932700588458832,20.079925668618785,17.100108036679575,13.985292791407259,10.727057518608767,7.3164845254866133,3.7441314289120733]
[null,null,"Recoveries of Defaults"]
[null,null,null,"Default",null,null,null,null,{"$f":"I28","v":20},{"$f":"J28","v":19.392506491182221},18.787078668012256,18.183185125409057,17.580281267952714,8.488904208057507,8.2711433394725198,8.0476807802616683,7.8181063048820318,7.5819860825688732,7.33886127033447,7.0882465226038747,6.8296284125434692,6.5624637598449898,6.2861778594171147,6.0001626051077324,5.7037745022315312,5.3963325623083636,5.077116073026807,4.7453622360331176,4.4002636647069453,4.040965733620359,3.6665637708843768,3.276100084065547,2.8685608098026831,2.4428725766685107,1.997898970201037,1.5324367883726808,1.0452120750695162,0.53487591841601045]
[null,null,null,"Loss on Default",null,{"$f":"E8","v":0.6},null,null,{"$f":"I32*$F$33","v":12},{"$f":"J32*$F$33","v":11.635503894709332},11.272247200807353,10.909911075245434,10.548168760771627,5.0933425248345037,4.9626860036835119,4.8286084681570012,4.6908637829292186,4.5491916495413234,4.4033167622006815,4.2529479135623243,4.0977770475260815,3.9374782559069939,3.7717067156502688,3.6000975630646392,3.4222647013389187,3.2377995373850181,3.0462696438160841,2.8472173416198703,2.6401581988241669,2.4245794401722152,2.1999382625306261,1.965660050439328,1.7211364858816098,1.4657235460011064,1.1987393821206223,0.91946207302360849,0.62712724504170969,0.32092555104960624]
[null,null,null,"Delayed Recoveries",null,{"$f":"E9","v":3},null,null,{"$f":"IF(I17>=$F$34,OFFSET(I33,0,-$F$34))","v":false},{"$f":"IF(J17>=$F$34,OFFSET(J33,0,-$F$34))","v":false},0,12,11.635503894709332,11.272247200807353,10.909911075245434,10.548168760771627,5.0933425248345037,4.9626860036835119,4.8286084681570012,4.6908637829292186,4.5491916495413234,4.4033167622006815,4.2529479135623243,4.0977770475260815,3.9374782559069939,3.7717067156502688,3.6000975630646392,3.4222647013389187,3.2377995373850181,3.0462696438160841,2.8472173416198703,2.6401581988241669,2.4245794401722152,2.1999382625306261,1.965660050439328,1.7211364858816098,1.4657235460011064,1.1987393821206223]
[null,"Sources and Uses"]
[null,null,"Uses of Funds"]
[null,null,null,"Purchase of Subprime Loans",null,null,null,{"$f":"H29","v":1000}]
[null,null,null,"Fees",null,{"$f":"E15","v":7.0000000000000007E-2},null,{"$f":"H37*F38","v":70}]
[null,null,null,"Total Uses",null,null,null,{"$f":"SUM(H37:H38)","v":1070}]
[]
[null,null,"Sources of Funds"]
[null,null,null,"Debt",null,null,null,{"$f":"H39-H43","v":963},{"$f":"H42/H44","v":0.9}]
[null,null,null,"Equity",null,null,null,{"$f":"H39/E12","v":107},{"$f":"H43/H39","v":0.1}]
[null,null,null,"Total Souces",null,null,null,{"$f":"SUM(H42:H43)","v":1070},{"$f":"H44/H44","v":1}]
[]
[null,"Debt Schedule - Top-tier AAA Debt"]
[null,null,"Opening Balance",null,null,null,null,null,{"$f":"H50","v":963},{"$f":"I50","v":916.33032455911109},869.64922853222606,822.92457773066337,764.12378226489682,705.15826498769218,645.85704495461016,585.57901449485598,524.28257902187045,467.01846670219334,408.59702931423311,348.97467447700791,288.10663415911017,225.94693896002897,162.44839245957178,97.562545694653565,31.23967182817394,0,0,0,0,0,0,0,0,0,0,0,0,0]
[null,null,"Add: Defaults on Interest",null,null,null,null,null,{"$f":"I51-I58","v":0},{"$f":"J51-J58","v":0},0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0]
[null,null,"Less: Repayment",null,null,null,null,null,{"$f":"I60","v":46.669675440888959},{"$f":"J60","v":46.681096026885058},46.724650801562717,58.800795465766598,58.96551727720459,59.301220033082018,60.27803045975422,61.296435472985493,57.26411231967711,58.421437387960239,59.622354837225203,60.868040317897709,62.159695199081199,63.498546500457209,64.885846764918213,66.322873866479625,31.23967182817394,0,0,0,0,0,0,0,0,0,0,0,0,0]
[null,null,"Closing Balance",null,null,null,null,{"$f":"H42","v":963},{"$f":"I47+I48-I49","v":916.33032455911109},{"$f":"J47+J48-J49","v":869.64922853222606},822.92457773066337,764.12378226489682,705.15826498769218,645.85704495461016,585.57901449485598,524.28257902187045,467.01846670219334,408.59702931423311,348.97467447700791,288.10663415911017,225.94693896002897,162.44839245957178,97.562545694653565,31.23967182817394,0,0,0,0,0,0,0,0,0,0,0,0,0,0]
[null,null,"Interest Expense",null,null,{"$f":"E14","v":3.5000000000000003E-2},null,null,{"$f":"I47*$F$51","v":33.705000000000005},{"$f":"J47*$F$51","v":32.071561359568889},30.437722998627915,28.80236022057322,26.744332379271391,24.680539274569227,22.604996573411359,20.49526550731996,18.349890265765467,16.345646334576767,14.30089602599816,12.214113606695278,10.083732195568857,7.9081428636010145,5.6856937360850131,3.4146890993128749,1.0933885139860879,0,0,0,0,0,0,0,0,0,0,0,0,0]
[]
[null,"Cash Flow Waterfall"]
[null,null,"Revenues from Interest Income on Subprime",null,null,null,null,null,{"$f":"I30","v":70},{"$f":"J30","v":67.873772719137776},65.754775338042904,63.641147938931702,61.530984437834498,59.422329456402558,57.898003376307642,56.333765461831689,54.726744134174226,53.073902577982111,51.372028892341298,49.617725658227123,47.80739888780429,45.93724631891493,44.003245015919802,42.001138235754134,39.926421515620724,37.774327936158542,35.539812511187648,33.217535652231831,30.801845652948618,28.286760135342519,25.665946396190641,22.932700588458832,20.079925668618785,17.100108036679575,13.985292791407259,10.727057518608767,7.3164845254866133,3.7441314289120733]
[null,null,"Add: Repayment of Subprime Debt",null,null,null,null,null,{"$f":"I27","v":10.374675440888968},{"$f":"J27","v":10.878884667316171},11.407598462147739,11.962007747408119,12.54336132393215,13.287182650441327,14.075112581612499,14.909766757702123,15.793915926433858,16.730495140871383,17.722613502725057,18.773564483436655,19.886836857304445,21.066126282942598,22.315347571521098,23.638647682512296,25.040419490085277,26.525316365847328,28.098267626342075,29.764494896584157,31.529529443951603,33.399230539977928,35.379804910998629,37.477827342220841,39.700262503614539,42.054488070078868,44.548319212634553,47.190034541943781,49.988403590281052,52.952715923184712]
[null,null,"Add: Recoveries",null,null,null,null,null,{"$f":"I34","v":false},{"$f":"J34","v":false},0,12,11.635503894709332,11.272247200807353,10.909911075245434,10.548168760771627,5.0933425248345037,4.9626860036835119,4.8286084681570012,4.6908637829292186,4.5491916495413234,4.4033167622006815,4.2529479135623243,4.0977770475260815,3.9374782559069939,3.7717067156502688,3.6000975630646392,3.4222647013389187,3.2377995373850181,3.0462696438160841,2.8472173416198703,2.6401581988241669,2.4245794401722152,2.1999382625306261,1.965660050439328,1.7211364858816098,1.4657235460011064,1.1987393821206223]
[null,null,null,"Total Reveneues",null,null,null,null,{"$f":"SUM(I54:I56)","v":80.374675440888964},{"$f":"SUM(J54:J56)","v":78.752657386453947},77.162373800190636,87.603155686339818,85.709849656475981,83.981759307651245,82.883027033165575,81.79170098030545,75.614002585442577,74.767083722537009,73.923250863223359,73.082153924592987,72.243427394650055,71.406689364058224,70.571540501003227,69.737562965792506,68.904319261612997,68.071351017656141,67.238177700594363,66.404295250154902,65.569174634285233,64.732260319136529,63.892968648809138,63.050686129503845,62.20476761240554,61.35453436928907,60.499272054481139,59.638228546434156,58.770611661768775,57.895586734217403]
[null,null,"Less: Interest Paid",null,null,null,null,null,{"$f":"MAX(MIN(I57,I51),0)","v":33.705000000000005},{"$f":"MAX(MIN(J57,J51),0)","v":32.071561359568889},30.437722998627915,28.80236022057322,26.744332379271391,24.680539274569227,22.604996573411359,20.49526550731996,18.349890265765467,16.345646334576767,14.30089602599816,12.214113606695278,10.083732195568857,7.9081428636010145,5.6856937360850131,3.4146890993128749,1.0933885139860879,0,0,0,0,0,0,0,0,0,0,0,0,0]
[null,null,null,"Cash Flow After Interest",null,null,null,null,{"$f":"I57-I58","v":46.669675440888959},{"$f":"J57-J58","v":46.681096026885058},46.724650801562717,58.800795465766598,58.96551727720459,59.301220033082018,60.27803045975422,61.296435472985493,57.26411231967711,58.421437387960239,59.622354837225203,60.868040317897709,62.159695199081199,63.498546500457209,64.885846764918213,66.322873866479625,67.810930747626912,68.071351017656141,67.238177700594363,66.404295250154902,65.569174634285233,64.732260319136529,63.892968648809138,63.050686129503845,62.20476761240554,61.35453436928907,60.499272054481139,59.638228546434156,58.770611661768775,57.895586734217403]
[null,null,"Less: Repayment",null,null,null,null,null,{"$f":"MAX(MIN(I59,I47),0)","v":46.669675440888959},{"$f":"MAX(MIN(J59,J47),0)","v":46.681096026885058},46.724650801562717,58.800795465766598,58.96551727720459,59.301220033082018,60.27803045975422,61.296435472985493,57.26411231967711,58.421437387960239,59.622354837225203,60.868040317897709,62.159695199081199,63.498546500457209,64.885846764918213,66.322873866479625,31.23967182817394,0,0,0,0,0,0,0,0,0,0,0,0,0]
[null,null,null,"Cash Flow After Repayment",null,null,null,null,{"$f":"I59-I60","v":0},{"$f":"J59-J60","v":0},0,0,0,0,0,0,0,0,0,0,0,0,0,0,36.571258919452973,68.071351017656141,67.238177700594363,66.404295250154902,65.569174634285233,64.732260319136529,63.892968648809138,63.050686129503845,62.20476761240554,61.35453436928907,60.499272054481139,59.638228546434156,58.770611661768775,57.895586734217403]
[null,null,"Dividends",null,null,null,null,null,{"$f":"I61","v":0},{"$f":"J61","v":0},0,0,0,0,0,0,0,0,0,0,0,0,0,0,36.571258919452973,68.071351017656141,67.238177700594363,66.404295250154902,65.569174634285233,64.732260319136529,63.892968648809138,63.050686129503845,62.20476761240554,61.35453436928907,60.499272054481139,59.638228546434156,58.770611661768775,57.895586734217403]
[]
[null,null,"Equity cash Flow",null,null,null,null,{"$f":"-H43","v":-107},{"$f":"I62","v":0},{"$f":"J62","v":0},0,0,0,0,0,0,0,0,0,0,0,0,0,0,36.571258919452973,68.071351017656141,67.238177700594363,66.404295250154902,65.569174634285233,64.732260319136529,63.892968648809138,63.050686129503845,62.20476761240554,61.35453436928907,60.499272054481139,59.638228546434156,58.770611661768775,57.895586734217403]
[null,null,"Equitty IRR",null,null,null,null,{"$f":"IFERROR(IRR(64:64),FALSE)","v":9.5317847693842106E-2}]
[]
[null,null,"Debt Cash Flow",null,null,null,null,{"$f":"-H42","v":-963},{"$f":"I60+I58","v":80.374675440888964},{"$f":"J60+J58","v":78.752657386453947},77.162373800190636,87.603155686339818,85.709849656475981,83.981759307651245,82.883027033165575,81.79170098030545,75.614002585442577,74.767083722537009,73.923250863223359,73.082153924592987,72.243427394650055,71.406689364058224,70.571540501003227,69.737562965792506,32.333060342160024,0,0,0,0,0,0,0,0,0,0,0,0,0]
[null,null,"Debt IRR",null,null,null,null,{"$f":"IRR(67:67)","v":3.5000000002779696E-2}]

{"sheet":"Model","index":1,"n_rows":15,"n_cols":5,"rows_kept":15,"cut":false,"hidden":false,"merged":[]}
["Assumptions"]
[null,"Subprime Debt Assumptions"]
[null,null,null,"Rate Charged on Sub-prime Loans",7.0000000000000007E-2]
[null,null,null,"Subprime Repayment Years",30]
[null,null,null,"Initial PD",0.05]
[null,null,null,"Years of High Default",5]
[null,null,null,"Stable PD",0.01]
[null,null,null,"Delay in Recoveries",3]
[null,null,null,"LGD",0.3]
[null,"Financial Structure Assumptions"]
[null,null,null,"Amount of Subprime Loans",1000]
[null,null,null,"Loans/Equity",5]
[null,null,null,"Equity to Assets",{"$f":"1/E12","v":0.2}]
[null,null,null,"Interest Rate on Top-tier Debt",3.5000000000000003E-2]
[null,null,null,"Fees",7.0000000000000007E-2]

{"sheet":"Sheet2","index":2,"n_rows":0,"n_cols":0,"rows_kept":0,"cut":false,"hidden":false,"merged":[]}