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{"sheet":"Financial Model","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",{"$f":"F3/1000","v":7.3999999999999996E-2},74,null,null,null,null,"Target","Difference"]
[null,null,null,"Subprime Repayment Years",30,null,null,null,"Equity IRR",{"$f":"H65","v":false}]
[null,null,null,"Initial PD",0.19692473205109787,null,null,null,"Debt IRR",{"$f":"H68","v":3.4992813529855171E-2},3.4999999900000002E-2,{"$f":"J5-K5","v":-7.186370144830756E-6}]
[null,null,null,"Years of High Default",7]
[null,null,null,"Stable PD",0.01]
[null,null,null,"LGD",{"$f":"F8/100","v":0.41},41]
[null,null,null,"Delay in Recoveries",4]
[null,"Financial Structure Assumptions"]
[null,null,null,"Amount of Subprime Loans",1000]
[null,null,null,"Loans/Equity",5]
[null,null,null,"Equity to Assets",{"$f":"1/E12","v":0.2}]
[null,null,null,"Interest Rate on Top-tier Debt",{"$f":"F14/1000","v":4.1000000000000002E-2},41]
[null,null,null,"Fees",7.0000000000000007E-2]
[null,"Time Line"]
[null,null,null,"Period",null,null,null,0,{"$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":7},null,null,{"$f":"I17<=$F$18","v":true},{"$f":"J17<=$F$18","v":true},true,true,true,true,true,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false,false]
[null,"Annual Assumptions"]
[null,null,null,"PD",null,{"$f":"E5","v":0.19692473205109787},{"$f":"E7","v":0.01},null,{"$f":"I18*$F$20+NOT(I18)*$G$20","v":0.19692473205109787},{"$f":"J18*$F$20+NOT(J18)*$G$20","v":0.19692473205109787},0.19692473205109787,0.19692473205109787,0.19692473205109787,0.19692473205109787,0.19692473205109787,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01,0.01]
[null,null,null,"Cumulative Defaults Index",null,null,null,1,{"$f":"H21*(1+I20)","v":1.1969247320510978},{"$f":"I21*(1+J20)","v":1.4326288141955923},1.7147488595597413,2.0524253192634689,2.4565986253143164,2.9403636513614333,3.5193939755385713,3.5545879152939568,3.5901337944468965,3.6260351323913653,3.6622954837152788,3.6989184385524316,3.735907622937956,3.7732666991673356,3.8109993661590091,3.8491093598205994,3.8876004534188056,3.9264764579529938,3.9657412225325239,4.0053986347578494,4.0454526211054276,4.0859071473164823,4.1267662187896468,4.1680338809775437,4.209714219787319,4.2518113619851921,4.2943294756050436,4.3372727703610945,4.3806454980647054,4.4244519530453523]
[null,null,null,"Cumulative Defaults  ",null,null,null,null,{"$f":"1-I23","v":0.19692473205109784},{"$f":"1-J23","v":0.35507011400879895},0.48207275899936131,0.58406544215537648,0.66597324350972076,0.73175137302946636,0.78457616201871361,0.78673040039852649,0.78886309639454122,0.7909744654305958,0.79306472077628976,0.79513407356852694,0.79718273283284169,0.79921090550451324,0.80121879644946814,0.80320660848497338,0.80517454240012376,0.80712279697612244,0.80905156900636122,0.81096105331629764,0.8128514427831347,0.81472292835530336,0.81657569907175032,0.81840994208103279,0.82022584266022247,0.82202358423362021,0.823803348391284,0.82556531490737117,0.82730966175829745,0.82903656514071444]
[null,null,null,"Loans being paid",null,null,null,1,{"$f":"H23*(1-I20)","v":0.80307526794890216},{"$f":"I23*(1-J20)","v":0.64492988599120105},0.51792724100063869,0.41593455784462352,0.33402675649027919,0.26824862697053364,0.21542383798128642,0.21326959960147354,0.21113690360545881,0.20902553456940423,0.20693527922371019,0.20486592643147308,0.20281726716715834,0.20078909449548676,0.19878120355053189,0.19679339151502656,0.19482545759987629,0.19287720302387754,0.19094843099363876,0.18903894668370236,0.18714855721686532,0.18527707164469667,0.18342430092824971,0.18159005791896721,0.17977415733977753,0.17797641576637976,0.17619665160871598,0.17443468509262883,0.17269033824170255,0.17096343485928553]
[null,"Revenues"]
[null,null,"Subprime Loan Balance"]
[null,null,null,"Opening Balance",null,null,null,null,{"$f":"H29","v":1000},{"$f":"I29","v":795.16624787317596},631.75679531532387,501.46464949465911,397.6392290067111,314.95734868133275,249.15938429767687,196.83772822893539,191.40736460795284,185.81229936739442,180.04032525097483,174.07848065369456,167.91300172291687,161.52927143114749,154.91176542892842,148.04399447413849,140.90844322110678,133.48650513924295,125.75841331632073,117.70316688606074,109.29845280318902,100.52056267163567,91.344304312919093,81.742907741963336,71.687925196546828,61.149124844199008,50.094377766564477,38.48953779595157,26.29831375187895,13.482133596828742]
[null,null,null,"Less: Repayments",null,{"$f":"E4","v":30},null,null,{"$f":"PPMT($F$30,I17,$F$27,-$H$29)*I23","v":7.9090200757261258},{"$f":"PPMT($F$30,J17,$F$27,-$H$29)*J23","v":6.8215522593500033},5.8836081817343091,5.0746287531145278,4.3768817002266536,3.7750728870602379,3.2560110779049247,3.4619863386931899,3.6809915944789204,3.9138511227456574,4.1614413447705472,4.4246941242407321,4.7046002745402005,5.0022132879076135,5.3186533005006496,5.6551113082903202,6.012853649652766,6.3932267715298003,6.7976622970967746,7.2276824140111176,7.68490560352146,8.1710527320002271,8.6879535278265614,9.2375534679968698,9.821921100382351,10.443255829192539,11.103896192947261,11.806328666113105,12.553197017531419,13.347312260860459]
[null,null,null,"Less: Default",null,null,null,null,{"$f":"I26*I20","v":196.92473205109786},{"$f":"J26*J20","v":156.58790029850203},124.40853763893044,98.750791734833456,78.304998625151725,62.022891496595655,49.065644990836539,1.9683772822893539,1.9140736460795285,1.8581229936739443,1.8004032525097484,1.7407848065369456,1.6791300172291688,1.615292714311475,1.5491176542892842,1.480439944741385,1.4090844322110678,1.3348650513924296,1.2575841331632074,1.1770316688606075,1.0929845280318902,1.0052056267163567,0.91344304312919089,0.81742907741963333,0.71687925196546831,0.6114912484419901,0.5009437776656448,0.38489537795951573,0.26298313751878949,0.13482133596828744]
[null,null,null,"Closing Balance",null,null,null,{"$f":"E11","v":1000},{"$f":"I26-I27-I28","v":795.16624787317596},{"$f":"J26-J27-J28","v":631.75679531532387},501.46464949465911,397.6392290067111,314.95734868133275,249.15938429767687,196.83772822893539,191.40736460795284,185.81229936739442,180.04032525097483,174.07848065369456,167.91300172291687,161.52927143114749,154.91176542892842,148.04399447413849,140.90844322110678,133.48650513924295,125.75841331632073,117.70316688606074,109.29845280318902,100.52056267163567,91.344304312919093,81.742907741963336,71.687925196546828,61.149124844199008,50.094377766564477,38.48953779595157,26.29831375187895,13.482133596828742,-4.3853809472693683E-15]
[null,null,null,"Interest Income",null,{"$f":"E3","v":7.3999999999999996E-2},null,null,{"$f":"I26*$F$30","v":74},{"$f":"J26*$F$30","v":58.842302342615021},46.750002853333967,37.10838406260477,29.425302946496622,23.306843802418623,18.437794438028089,14.565991888941218,14.16414498098851,13.750110153187187,13.322984068572136,12.881807568373397,12.425562127495848,11.953166085904915,11.463470641740702,10.955255591086248,10.427224798361902,9.8780013803039779,9.3061225854077332,8.7100343495684953,8.0880855074359879,7.4385216377010392,6.7594785191560129,6.048975172905287,5.304906464544465,4.5250352384707266,3.706983954725771,2.8482257969004161,1.9460752176390423,0.99767788616532682]
[null,null,"Recoveries of Defaults"]
[null,null,null,"Default",null,null,null,null,{"$f":"I28","v":196.92473205109786},{"$f":"J28","v":156.58790029850203},124.40853763893044,98.750791734833456,78.304998625151725,62.022891496595655,49.065644990836539,1.9683772822893539,1.9140736460795285,1.8581229936739443,1.8004032525097484,1.7407848065369456,1.6791300172291688,1.615292714311475,1.5491176542892842,1.480439944741385,1.4090844322110678,1.3348650513924296,1.2575841331632074,1.1770316688606075,1.0929845280318902,1.0052056267163567,0.91344304312919089,0.81742907741963333,0.71687925196546831,0.6114912484419901,0.5009437776656448,0.38489537795951573,0.26298313751878949,0.13482133596828744]
[null,null,null,"Loss on Default",null,{"$f":"1-E8","v":0.59000000000000008},null,null,{"$f":"I32*$F$33","v":116.18559191014775},{"$f":"J32*$F$33","v":92.386861176116213},73.401037206968965,58.262967123551746,46.199949188839526,36.593505982991438,28.948730544593563,1.1613425965507189,1.129303451186922,1.0962925662676273,1.0622379189807518,1.027063035856798,0.99068671016520971,0.95302270144377044,0.91397941603067778,0.87345956739741726,0.83135981500453016,0.78757038032153359,0.74197463856629242,0.69444868462775855,0.64486087153881533,0.5930713197626506,0.53893139544622271,0.48228315567758373,0.42295875865962634,0.36077983658077423,0.29555682882273049,0.22708827299611431,0.15516005113608583,7.9544588221289597E-2]
[null,null,null,"Delayed Recoveries",null,{"$f":"E9","v":4},null,null,{"$f":"IF(I17>=$F$34,OFFSET(I33,0,-$F$34))","v":false},{"$f":"IF(J17>=$F$34,OFFSET(J33,0,-$F$34))","v":false},false,0,116.18559191014775,92.386861176116213,73.401037206968965,58.262967123551746,46.199949188839526,36.593505982991438,28.948730544593563,1.1613425965507189,1.129303451186922,1.0962925662676273,1.0622379189807518,1.027063035856798,0.99068671016520971,0.95302270144377044,0.91397941603067778,0.87345956739741726,0.83135981500453016,0.78757038032153359,0.74197463856629242,0.69444868462775855,0.64486087153881533,0.5930713197626506,0.53893139544622271,0.48228315567758373,0.42295875865962634,0.36077983658077423]
[null,"Sources and Uses"]
[null,null,"Uses of Funds"]
[null,null,null,"Purchase of Subprime Loans",null,null,null,{"$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":856},{"$f":"H42/H44","v":0.8}]
[null,null,null,"Equity",null,null,null,{"$f":"H39/E12","v":214},{"$f":"H43/H39","v":0.2}]
[null,null,null,"Total Souces",null,null,null,{"$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":856},{"$f":"I50","v":809.18697992427383},776.69979149920403,755.91087191560314,744.72020484842358,625.26595669033793,531.43308304904667,458.1269967311556,400.61925824594681,352.99956206972365,313.21507685565803,279.62373904880377,272.62046806063989,265.53844139790317,258.37384555513705,251.12281136167556,243.78141669227088,236.3456896184741,228.81161203955398,221.17512383464052,213.43212758088376,205.57849388573803,197.61006738503048,189.52267346226785,181.3121257486909,172.9742344679216,164.50481569368048,155.89970159400212,147.15475174066512,138.26586556820229]
[null,null,"Add: Defaults on Interest",null,null,null,null,null,{"$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":46.813020075726115},{"$f":"J60","v":32.487188425069796},20.788919583600912,11.190667067179564,119.45424815808568,93.832873641291215,73.306086317891058,57.507738485208776,47.619696176223144,39.784485214065612,33.59133780685427,7.003270988163889,7.0820266627367339,7.1645958427661238,7.2510341934614857,7.3413946694046697,7.4357270737967713,7.5340775789201118,7.636488204913471,7.7429962537567683,7.8536336951457422,7.9684265007075403,8.087393922762617,8.2105477135769327,8.3378912807693055,8.4694187742411309,8.6051140996783548,8.7449498533370189,8.8888861724628185,9.0368694953102668]
[null,null,"Closing Balance",null,null,null,null,{"$f":"H42","v":856},{"$f":"I47+I48-I49","v":809.18697992427383},{"$f":"J47+J48-J49","v":776.69979149920403},755.91087191560314,744.72020484842358,625.26595669033793,531.43308304904667,458.1269967311556,400.61925824594681,352.99956206972365,313.21507685565803,279.62373904880377,272.62046806063989,265.53844139790317,258.37384555513705,251.12281136167556,243.78141669227088,236.3456896184741,228.81161203955398,221.17512383464052,213.43212758088376,205.57849388573803,197.61006738503048,189.52267346226785,181.3121257486909,172.9742344679216,164.50481569368048,155.89970159400212,147.15475174066512,138.26586556820229,129.22899607289202]
[null,null,"Interest Expense",null,null,{"$f":"E14","v":4.1000000000000002E-2},null,null,{"$f":"I47*$F$51","v":35.096000000000004},{"$f":"J47*$F$51","v":33.176666176895232},31.844691451467366,30.99234574853973,30.533528398785368,25.635904224303857,21.788756405010915,18.78320686597738,16.425389588083821,14.47298204485867,12.841818151081979,11.464573301000955,11.177439190486236,10.887076097314031,10.593327667760619,10.296035265828698,9.9950380843831059,9.6901732743574378,9.3812760936217128,9.0681800772202621,8.7507172308162353,8.4287182493152599,8.1020127627862504,7.7704296119529817,7.4337971556963272,7.0919436131847862,6.7446974434409004,6.3918877653540873,6.0333448213672698,5.6689004882962939]
[]
[null,"Cash Flow Waterfall"]
[null,null,"Revenues from Interest Income on Subprime",null,null,null,null,null,{"$f":"I30","v":74},{"$f":"J30","v":58.842302342615021},46.750002853333967,37.10838406260477,29.425302946496622,23.306843802418623,18.437794438028089,14.565991888941218,14.16414498098851,13.750110153187187,13.322984068572136,12.881807568373397,12.425562127495848,11.953166085904915,11.463470641740702,10.955255591086248,10.427224798361902,9.8780013803039779,9.3061225854077332,8.7100343495684953,8.0880855074359879,7.4385216377010392,6.7594785191560129,6.048975172905287,5.304906464544465,4.5250352384707266,3.706983954725771,2.8482257969004161,1.9460752176390423,0.99767788616532682]
[null,null,"Add: Repayment of Subprime Debt",null,null,null,null,null,{"$f":"I27","v":7.9090200757261258},{"$f":"J27","v":6.8215522593500033},5.8836081817343091,5.0746287531145278,4.3768817002266536,3.7750728870602379,3.2560110779049247,3.4619863386931899,3.6809915944789204,3.9138511227456574,4.1614413447705472,4.4246941242407321,4.7046002745402005,5.0022132879076135,5.3186533005006496,5.6551113082903202,6.012853649652766,6.3932267715298003,6.7976622970967746,7.2276824140111176,7.68490560352146,8.1710527320002271,8.6879535278265614,9.2375534679968698,9.821921100382351,10.443255829192539,11.103896192947261,11.806328666113105,12.553197017531419,13.347312260860459]
[null,null,"Add: Recoveries",null,null,null,null,null,{"$f":"I34","v":false},{"$f":"J34","v":false},false,0,116.18559191014775,92.386861176116213,73.401037206968965,58.262967123551746,46.199949188839526,36.593505982991438,28.948730544593563,1.1613425965507189,1.129303451186922,1.0962925662676273,1.0622379189807518,1.027063035856798,0.99068671016520971,0.95302270144377044,0.91397941603067778,0.87345956739741726,0.83135981500453016,0.78757038032153359,0.74197463856629242,0.69444868462775855,0.64486087153881533,0.5930713197626506,0.53893139544622271,0.48228315567758373,0.42295875865962634,0.36077983658077423]
[null,null,null,"Total Reveneues",null,null,null,null,{"$f":"SUM(I54:I56)","v":81.909020075726119},{"$f":"SUM(J54:J56)","v":65.663854601965028},52.633611035068277,42.183012815719295,149.98777655687104,119.46877786559507,95.094842722901973,76.290945351186153,64.045085764306961,54.257467258924279,46.433155957936251,18.467844289164844,18.25946585322297,18.051671940080155,17.844361861222104,17.637429935233367,17.430765158179877,17.22425085327755,17.017764298535184,16.81117633097703,16.604350925961977,16.3971447500228,16.189406685548867,15.980977325529915,15.771688436465633,15.561362387425916,15.349811543119255,15.136837618691105,14.922230993830089,14.70576998360656]
[null,null,"Less: Interest Paid",null,null,null,null,null,{"$f":"MAX(MIN(I57,I51),0)","v":35.096000000000004},{"$f":"MAX(MIN(J57,J51),0)","v":33.176666176895232},31.844691451467366,30.99234574853973,30.533528398785368,25.635904224303857,21.788756405010915,18.78320686597738,16.425389588083821,14.47298204485867,12.841818151081979,11.464573301000955,11.177439190486236,10.887076097314031,10.593327667760619,10.296035265828698,9.9950380843831059,9.6901732743574378,9.3812760936217128,9.0681800772202621,8.7507172308162353,8.4287182493152599,8.1020127627862504,7.7704296119529817,7.4337971556963272,7.0919436131847862,6.7446974434409004,6.3918877653540873,6.0333448213672698,5.6689004882962939]
[null,null,null,"Cash Flow After Interest",null,null,null,null,{"$f":"I57-I58","v":46.813020075726115},{"$f":"J57-J58","v":32.487188425069796},20.788919583600912,11.190667067179564,119.45424815808568,93.832873641291215,73.306086317891058,57.507738485208776,47.619696176223144,39.784485214065612,33.59133780685427,7.003270988163889,7.0820266627367339,7.1645958427661238,7.2510341934614857,7.3413946694046697,7.4357270737967713,7.5340775789201118,7.636488204913471,7.7429962537567683,7.8536336951457422,7.9684265007075403,8.087393922762617,8.2105477135769327,8.3378912807693055,8.4694187742411309,8.6051140996783548,8.7449498533370189,8.8888861724628185,9.0368694953102668]
[null,null,"Less: Repayment",null,null,null,null,null,{"$f":"MAX(MIN(I59,I47),0)","v":46.813020075726115},{"$f":"MAX(MIN(J59,J47),0)","v":32.487188425069796},20.788919583600912,11.190667067179564,119.45424815808568,93.832873641291215,73.306086317891058,57.507738485208776,47.619696176223144,39.784485214065612,33.59133780685427,7.003270988163889,7.0820266627367339,7.1645958427661238,7.2510341934614857,7.3413946694046697,7.4357270737967713,7.5340775789201118,7.636488204913471,7.7429962537567683,7.8536336951457422,7.9684265007075403,8.087393922762617,8.2105477135769327,8.3378912807693055,8.4694187742411309,8.6051140996783548,8.7449498533370189,8.8888861724628185,9.0368694953102668]
[null,null,null,"Cash Flow After Repayment",null,null,null,null,{"$f":"I59-I60","v":0},{"$f":"J59-J60","v":0},0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0]
[null,null,"Dividends",null,null,null,null,null,{"$f":"I61","v":0},{"$f":"J61","v":0},0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0]
[]
[null,null,"Equity cash Flow",null,null,null,null,{"$f":"-H43","v":-214},{"$f":"I62","v":0},{"$f":"J62","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,"Equitty IRR",null,null,null,null,{"$f":"IFERROR(IRR(64:64),FALSE)","v":false}]
[]
[null,null,"Debt Cash Flow",null,null,null,null,{"$f":"-H42","v":-856},{"$f":"I60+I58","v":81.909020075726119},{"$f":"J60+J58","v":65.663854601965028},52.633611035068277,42.183012815719295,149.98777655687104,119.46877786559507,95.094842722901973,76.290945351186153,64.045085764306961,54.257467258924279,46.433155957936251,18.467844289164844,18.25946585322297,18.051671940080155,17.844361861222104,17.637429935233367,17.430765158179877,17.22425085327755,17.017764298535184,16.81117633097703,16.604350925961977,16.3971447500228,16.189406685548867,15.980977325529913,15.771688436465633,15.561362387425916,15.349811543119255,15.136837618691107,14.922230993830087,14.705769983606562]
[null,null,"Debt IRR",null,null,null,null,{"$f":"IRR(67:67)","v":3.4992813529855171E-2}]

{"sheet":"Assmptions","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":[]}