Standard Formulas for the Analysis of Mortgage-Backed Securities and Other Related Securities

The Bond Market Association Uniform Practices/Standard Formulas

Chapter SF Standard Formulas for the Analysis of Mortgage-Backed Securities and Other Related Securities

Table of Contents A. Computational Accuracy SF-3

B. Prepayments SF-4

1. Cash Flows SF-4 2. Mortgage Prepayment Models SF-5 3. Average Prepayment Rates for Mortgage Pools SF-11 4. ABS Prepayment Rates for Asset Pools SF-13

C. Defaults SF-16

1. Mortgage Cash Flows with Defaults: Description of Basic Concepts SF-16 2. Specifying Mortgage Default Assumptions: Standards and Definitions SF-17 3. Standard Formulas for Computing Mortgage Cash Flows with Defaults SF-18 4. The Standard Default Assumption (SDA) SF-20 5. Use of the SDA for Products Other Than 30-Year Conventional Mortgages SF-22 6. Numerical Examples of SDA SF-22

D. Assumptions for Generic Pools SF-39

1. Mortgage Maturity SF-39 2. Mortgage Age SF-40 3. Mortgage Coupon SF-43

E. Day Counts SF-44

1. Calendar Basis SF-44 2. Delay Days SF-44

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F. Settlement-Based Calculations SF-45

1. General Rules SF-45 2. CMO Bonds with Unknown Settlement Factors SF-46 3. Freddie Mac Multiclass PCs (REMICs) SF-47

G. Yield and Yield-Related Measures SF-48

1. General Rules SF-48 2. Calculations for Floating-Rate MBS SF-52 3. Putable Project Loans SF-55

H. Accrual Instruments SF-56

1. Average Life of Accrual Instruments SF-56 2. Accrual Calculations for CMO Z-Bonds SF-57

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A. Computational Accuracy Many common calculations for mortgage-related securities (yields, durations, prepayment rates, etc.) require the calculation of a large number of intermediate quantities (cash flows, principal balances, etc.). All intermediate calculations should be carried out to their full precision, preserving at least ten significant digits of accuracy. This will generally require double-precision com- puter arithmetic. The only quantities that should be assigned an integer variable type are those that represent whole numbers of days, months or years.

Only when all computations are complete should the final values be rounded for display. Results may be shown to any desired number of decimal places, provided that the last digit presented has been obtained by rounding and not by truncating the complete figure.

The numerical examples that appear throughout the document are intended to provide simple checks against improper implementation of the Standard Formulas, not an exhaustive set of benchmarks that would guarantee conformance.

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B. Prepayments 1. Cash Flows

For a level-payment fixed-rate mortgage pool with gross weighted-average coupon C%, current weighted-average remaining term M months, and M0-M months elapsed since origination, the amortized loan balance (as a fraction of par) is

−M 1– (1+ C 1200) BAL = −M 1– (1+ C 1200) 0

and the scheduled gross monthly payment (also as a fraction of par) is

GROSS MORTGAGE PAYMENT = PRINCIPAL + INTEREST − + = (BAL1 BAL2 ) (BAL1 * C 1200) C 1200 = − 1 – (1+ C 1200) M 0 .

The net payment passed through to investors consists of the scheduled gross payment above, plus unscheduled prepayments, minus a servicing fee of BAL1 * S/1200, where the servicing percentage (S) is the difference between the gross coupon (C) and the net pass-through coupon of the security.

The pool factor (F) expresses the principal remaining in the pool each month as a fraction of the original face amount. The survival factor (F/BAL) represents the fraction of $1.00 unit loans remaining in the pool from those originally present at issuance:

POOL FACTOR = SURVIVAL FACTOR * AMORTIZED LOAN BALANCE. By convention, mortgage-related security analysis assumes that all prepayments are whole prepayments on $1.00 unit loans within the pool.

The cash flows of more complex mortgage securities (CMO bonds, Graduated-Payment Mortgages, Adjustable-Rate Mortgages, etc.) are governed by specific contractual features not addressed here.

Example: A mortgage pass-through is issued with a net coupon of 9.0%, a gross coupon of 9.5% and a term of 360 months. If prepayments for the first month are 0.00025022 (as a fraction of par), then the first cash flow paid to investors will consist of the following components:

(1) Scheduled Amortization = 0.00049188, (2) Unscheduled Prepayments = 0.00025022, (3) Gross Mortgage Interest = 0.00791667, (4) Servicing Fee = 0.00041667,

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Pass-Through Principal = (1) + (2) = 0.00074210,

Pass-Through Interest = (3) – (4) = 0.00750000,

Pass-Through Cash Flow = (1) + (2) + (3) – (4) = 0.00824210.

2. Mortgage Prepayment Models

The prepayment rate of a mortgage pool may be expressed in a number of different ways. These measures are equally valid, although a particular method may be more useful in a given instance.

a. The SMM (Single Monthly Mortality) rate of a mortgage pool is the percentage of the mortgage loans outstanding at the beginning of a month assumed to terminate during the month. That is, if in some month the initial and final pool factors are F1 and F2, respectively (as fractions of the original face amount), and the amortized loan balances are BAL1 and BAL2 (as fractions of par), then

 BAL   SMM F = F *  2  * 1−  2 1     BAL1 100 .

An equivalent means of specifying a one-month prepayment rate is to separate the factor drop for the month (F1–F2) into scheduled and unscheduled principal payments. If there were no unscheduled prepayments during the month, then the factor for the end of the month would have been

= BAL2 Fsched F1 BAL1 .

The quantity F1–Fsched represents amortization for the month, and Fsched–F2 represents early prepayment of principal. The one-month prepayment rate can then be defined as

F − F SMM = 100 sched 2 Fsched .

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b. The CPR (Conditional Prepayment Rate or Constant Prepayment Rate) model is similar to SMM, except that it expresses the prepayment percentage as an annually compounded rate:

12  SMM CPR 1–  = 1 −  100  100 .

The terms “CPR” and “Monthly CPR” have sometimes been used to express prepayment rates on a monthly basis equivalent to the SMM. This is not recommended, and in the present document, “CPR” will refer exclusively to the annualized prepayment rate defined in the equation above.

c. The Standard Prepayment Model of The Bond Market Association specifies a prepayment percentage for each month in the life of the underlying mortgages, expressed on an annualized basis. Thus, 100% PSA (Prepayment Speed Assumptions) assumes prepayment rates of 0.2% CPR in the first month following origination of the mortgage loans (not the pool) and an additional 0.2% CPR in each succeeding month until the 30th month. In the 30th month and beyond, 100% PSA assumes a fixed annual prepayment rate of 6.0% CPR. To calculate the prepayment rate for any specific multiple of PSA, adjust the annual prepayment rate at 100% PSA by that multiple. (For example, 200% PSA assumes prepayment rates equal to twice the CPRs from the 100% PSA model, on a pool-by-pool basis.) In general,

PSA  CPR = min  * 0.2 * max {1,min {MONTH, 30} } , 100 ,  100 

where MONTH refers to the accrual period during which the age of the mortgage loans increases from MONTH – 1 to MONTH. If the loan age is computed as zero subsequent to pool-issue date, then for the purposes of the PSA calculations, MONTH equals 1 for all prior months. In the case of Freddie Mac and Fannie Mae pools with “same-month” loan concentrations greater than 50%, MONTH would equal 1 for the first two months of the pool. For Freddie Macs, these pools are identified by the WALA remaining at 0 for the first two months of the pool. For Fannie Maes, these pools are identified by the original WAM being one month greater than the original loan term for a given pool type. For example, an original WAM of 361 would be reported for a “CL” pool that has an original loan term of 360 months.

These CPRs can then be converted into SMMs according to the formula from part (b.) above.

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For expositional purposes, AGE is defined as a point in time, whereas MONTH is defined as a span of time. Pool factors therefore are reported as of an AGE whereas prepayment rates are reported for a MONTH. When a mortgage loan is originated, AGE= 0. After MONTH=1, AGE = 1. The diagram below illustrates the distinction.

Month 1 Month 2 Month 3 Month 4 . . .

Age: 0 1 2 3 4 . . .

Mortgages in their first 30 months are commonly referred to as “new”; mortgages older than 30 months are considered “seasoned.”

If the prepayment rate resulting from any of these calculations is either negative or unusually large, then there may be an error in one or both of the pool factors, or possi- bly in the coupon rate or term to maturity assumed for amortizing the mortgage balance. Such results must be taken with caution.

Example: Suppose that for a Ginnie Mae I 9.0% pass-through issued 3/1/88 with a remaining term of 359 months, the 6/1/89 and 7/1/89 pool factors were

= F1 0.85150625

and

= F2 0.84732282 ,

respectively. How would one compute the prepayment speed for 6/89 using PSA?

The amortized loan balance was

−344 1− (1+ 9.5 1200) = = BAL1 −359 0.99213300 1− (1+ 9.5 1200)

on 6/1/89, and was

−343 1− (1+ 9.5 1200) = = BAL2 −359 0.99157471 1− (1+ 9.5 1200)

on 7/1/89, so with no June prepayments the 7/1/89 pool factor would have been

= BAL2 = Fsched F1 0.85102709. BAL1

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This allows us to calculate

− = Amortization = F1 Fsched 0.00047916,

− = Prepayments = Fsched F2 0.00370427,

0.00370427 SMM = 100 = 0.435270%, 0.85102709

 12   SMM  =  −  −   = CPR 100 1 1  5.1000%.  100 

With respect to the underlying 360-month mortgages, 2/88 was month 1, so 6/89 counts as month 17. Therefore,

CPR PSA = 100 * = 150.00%. min {0.2 * MONTH 6.0}

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Prepayment Rate Conversion Table

SMM CPR PSA* SMM CPR PSA* SMM CPR PSA* SMM CPR PSA* .05 0.6 10 2.30 24.4 406 4.55 42.8 714 6.80 57.0 951 .10 1.2 20 2.35 24.8 414 4.60 43.2 719 6.85 57.3 955 .15 1.8 30 2.40 25.3 421 4.65 43.5 725 6.90 57.6 960 .20 2.4 40 2.45 25.7 429 4.70 43.9 731 6.95 57.9 964 .25 3.0 49 2.50 26.2 437 4.75 44.2 737 7.00 58.1 969 .30 3.5 59 2.55 26.7 444 4.80 44.6 743 7.05 58.4 973 .35 4.1 69 2.60 27.1 452 4.85 44.9 749 7.10 58.7 978 .40 4.7 78 2.65 27.6 459 4.90 45.3 755 7.15 58.9 982 .45 5.3 88 2.70 28.0 467 4.95 45.6 760 7.20 59.2 987 .50 5.8 97 2.75 28.4 474 5.00 46.0 766 7.25 59.5 991 .55 6.4 107 2.80 28.9 481 5.05 46.3 772 7.30 59.7 996 .60 7.0 116 2.85 29.3 489 5.10 46.6 777 7.35 60.0 1000 .65 7.5 125 2.90 29.8 496 5.15 47.0 783 7.40 60.3 1004 .70 8.1 135 2.95 30.2 503 5.20 47.3 789 7.45 60.5 1008 .75 8.6 144 3.00 30.6 510 5.25 47.6 794 7.50 60.8 1013 .80 9.2 153 3.05 31.0 517 5.30 48.0 800 7.55 61.0 1017 .85 9.7 162 3.10 31.5 524 5.35 48.3 805 7.60 61.3 1021 .90 10.3 171 3.15 31.9 532 5.40 48.6 811 7.65 61.5 1025 .95 10.8 180 3.20 32.3 539 5.45 49.0 816 7.70 61.8 1029 1.00 11.4 189 3.25 32.7 546 5.50 49.3 821 7.75 62.0 1034 1.05 11.9 198 3.30 33.1 552 5.55 49.6 827 7.80 62.3 1038 1.10 12.4 207 3.35 33.6 559 5.60 49.9 832 7.85 62.5 1042 1.15 13.0 216 3.40 34.0 566 5.65 50.2 837 7.90 62.8 1046 1.20 13.5 225 3.45 34.4 573 5.70 50.6 843 7.95 63.0 1050 1.25 14.0 234 3.50 34.8 580 5.75 50.9 848 8.00 63.2 1054 1.30 14.5 242 3.55 35.2 587 5.80 51.2 853 8.05 63.5 1058 1.35 15.0 251 3.60 35.6 593 5.85 51.5 858 8.10 63.7 1062 1.40 15.6 259 3.65 36.0 600 5.90 51.8 863 8.15 63.9 1066 1.45 16.1 268 3.70 36.4 607 5.95 52.1 868 8.20 64.2 1070 1.50 16.6 276 3.75 36.8 613 6.00 52.4 873 8.25 64.4 1074 1.55 17.1 285 3.80 37.2 620 6.05 52.7 879 8.30 64.6 1077 1.60 17.6 293 3.85 37.6 626 6.10 53.0 884 8.35 64.9 1081 1.65 18.1 302 3.90 38.0 633 6.15 53.3 889 8.40 65.1 1085 1.70 18.6 310 3.95 38.3 639 6.20 53.6 893 8.45 65.3 1089 1.75 19.1 318 4.00 38.7 645 6.25 53.9 898 8.50 65.6 1093 1.80 19.6 326 4.05 39.1 652 6.30 54.2 903 8.55 65.8 1096 1.85 20.1 335 4.10 39.5 658 6.35 54.5 908 8.60 66.0 1100 1.90 20.6 343 4.15 39.9 664 6.40 54.8 913 8.65 66.2 1104 1.95 21.0 351 4.20 40.2 671 6.45 55.1 918 8.70 66.5 1108 2.00 21.5 359 4.25 40.6 677 6.50 55.4 923 8.75 66.7 1111 2.05 22.0 367 4.30 41.0 683 6.55 55.6 927 8.80 66.9 1115 2.10 22.5 375 4.35 41.4 689 6.60 55.9 932 8.85 67.1 1118 2.15 23.0 383 4.40 41.7 695 6.65 56.2 937 8.90 67.3 1122 2.20 23.4 390 4.45 42.1 701 6.70 56.5 942 8.95 67.5 1126 2.25 23.9 398 4.50 42.5 708 6.75 56.8 946 9.00 67.8 1129

SMM – Single Monthly Mortality (monthly prepayment rate in percent) CPR – Conditional Prepayment Rate (annual prepayment rate in percent) PSA – Standard Prepayment Model of The Bond Market Association (percentage of PSA [Prepayment Speed Assumption] model: 100% = 6% CPR) * PSA CONVERSION IS ONLY VALID AFTER THE 29TH MONTH OF MORTGAGE LIFE. 02/01/99 SF-9

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas 0.17 0.34 0.51 0.69 0.87 1.06 1.25 1.44 1.64 1.84 2.05 2.26 2.48 2.70 2.93 3.16 3.40 3.65 3.91 4.17 4.44 4.72 5.01 5.30 5.61 5.93 6.27 6.61 6.97 7.35 1000 950 0.16 0.32 0.49 0.66 0.83 1.00 1.18 1.36 1.55 1.74 1.93 2.13 2.34 2.54 2.76 2.97 3.20 3.43 3.66 3.91 4.15 4.41 4.67 4.95 5.23 5.52 5.82 6.13 6.46 6.79 900 0.15 0.31 0.46 0.62 0.78 0.95 1.12 1.29 1.46 1.64 1.82 2.01 2.20 2.39 2.59 2.79 3.00 3.21 3.43 3.65 3.88 4.11 4.36 4.60 4.86 5.12 5.40 5.68 5.97 6.27 850 0.14 0.29 0.44 0.59 0.74 0.89 1.05 1.21 1.37 1.54 1.71 1.88 2.06 2.24 2.42 2.61 2.80 3.00 3.20 3.40 3.61 3.83 4.05 4.27 4.51 4.75 4.99 5.24 5.50 5.77 es. 800 0.13 0.27 0.41 0.55 0.69 0.84 0.98 1.13 1.29 1.44 1.60 1.76 1.92 2.09 2.26 2.43 2.61 2.79 2.97 3.16 3.35 3.55 3.75 3.96 4.17 4.38 4.60 4.83 5.06 5.30 ag tg r 750 0.13 0.25 0.38 0.51 0.65 0.78 0.92 1.06 1.20 1.35 1.49 1.64 1.79 1.95 2.10 2.26 2.42 2.59 2.76 2.93 3.10 3.28 3.46 3.65 3.84 4.04 4.23 4.44 4.65 4.86 ing mo y l r e tgage Origination 700 0.12 0.24 0.36 0.48 0.60 0.73 0.86 0.98 1.12 1.25 1.38 1.52 1.66 1.80 1.95 2.09 2.24 2.39 2.54 2.70 2.86 3.02 3.19 3.35 3.53 3.70 3.88 4.06 4.25 4.44 the und f 650 0.11 0.22 0.33 0.44 0.56 0.67 0.79 0.91 1.03 1.15 1.28 1.40 1.53 1.66 1.79 1.92 2.06 2.20 2.34 2.48 2.62 2.77 2.92 3.07 3.22 3.38 3.54 3.70 3.87 4.04 n o io inat ig 600 0.10 0.20 0.31 r 0.41 0.51 0.62 0.73 0.84 0.95 1.06 1.17 1.29 1.40 1.52 1.64 1.76 1.88 2.01 2.13 2.26 2.39 2.52 2.66 2.79 2.93 3.07 3.21 3.35 3.50 3.65 r o e 550 0.09 0.19 0.28 0.37 0.47 0.57 0.67 0.76 0.86 0.97 1.07 1.17 1.28 1.38 1.49 1.60 1.71 1.82 1.93 2.05 2.17 2.28 2.40 2.52 2.64 2.77 2.89 3.02 3.15 3.28 nths aft mo f 500 0.08 0.17 0.25 0.34 r o 0.43 0.51 0.60 0.69 0.78 0.87 0.97 1.06 1.15 1.25 1.35 1.44 1.54 1.64 1.74 1.84 1.95 2.05 2.15 2.26 2.37 2.48 2.59 2.70 2.81 2.93 e umb 450 0.08 0.15 0.23 0.31 0.38 0.46 0.54 0.62 0.70 0.78 0.86 0.95 1.03 1.12 1.20 1.29 1.37 1.46 1.55 1.64 1.73 1.82 1.91 2.01 2.10 2.20 2.29 2.39 2.49 2.59 o the n e. at 400 0.07 0.13 0.20 0.27 0.34 0.41 0.48 0.55 0.62 0.69 0.76 0.84 0.91 0.98 1.06 1.13 1.21 1.29 1.36 1.44 1.52 1.60 1.68 1.76 1.84 1.92 2.01 2.09 2.18 2.26 nding t o es. cur c esp r r ing ag o e ina r 350 0.06 0.12 0.18 0.24 0.30 0.36 0.42 0.48 0.54 0.60 0.67 0.73 0.79 0.86 0.92 0.98 1.05 1.12 1.18 1.25 1.32 1.38 1.45 1.52 1.59 1.66 1.73 1.80 1.87 1.95 e l b w c il o e diff nt SMM. v ults w ale 300 0.05 0.10 0.15 0.20 0.25 0.31 0.36 0.41 0.46 0.51 0.57 0.62 0.67 0.73 0.78 0.84 0.89 0.95 1.00 1.06 1.12 1.17 1.23 1.29 1.35 1.40 1.46 1.52 1.58 1.64 v es ol ha ui and the r o q as r 250 nth e 0.04 0.08 0.13 0.17 0.21 0.25 0.30 0.34 0.38 0.43 0.47 0.51 0.56 0.60 0.65 0.69 0.74 0.78 0.83 0.87 0.92 0.97 1.01 1.06 1.11 1.15 1.20 1.25 1.30 1.35 es in a p e PSA, ag ne-mo tg r o-dat 200 0.03 0.07 0.10 0.13 0.17 0.20 0.24 0.27 0.31 0.34 0.37 0.41 0.44 0.48 0.51 0.55 0.59 0.62 0.66 0.69 0.73 0.76 0.80 0.84 0.87 0.91 0.95 0.98 1.02 1.06 r t o , es the o v ear i 150 0.03 0.05 0.08 0.10 0.13 0.15 0.18 0.20 0.23 0.25 0.28 0.31 0.33 0.36 0.38 0.41 0.44 0.46 0.49 0.51 0.54 0.57 nt that mo 0.59 0.62 0.65 0.67 0.70 0.73 0.76 0.78 1-y e w g o o the ONE-MONTH PSA, xt nth, Conversion of One-Month PSA to SMM Based on Months after Mor 100 0.02 0.03 0.05 0.07 0.08 0.10 0.12 0.13 0.15 0.17 0.19 0.20 0.22 0.24 0.25 0.27 0.29 0.31 0.32 0.34 0.36 0.37 0.39 0.41 0.43 0.44 0.46 0.48 0.50 0.51 nding t o the e o r 3-mo umn and r o esp cise t ol r e c r le f r o f 0.01 0.02 0.03 0.03 0.04 0.05 0.06 0.07 0.08 0.08 0.09 0.10 0.11 0.12 0.13 0.13 0.14 0.15 0.16 0.17 0.18 0.19 0.19 0.20 0.21 0.22 0.23 0.24 0.24 0.25 PSA:50 n o e imp io t umn c c l b ol il n se r e io ults w inat r o not use this tab nths he int es 1 2 3 4 5 6 7 8 9 e ig o R D T Find the c 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 ft Or M A

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3. Average Prepayment Rates for Mortgage Pools

Often it is necessary to calculate an average prepayment rate for a single mortgage pool or an aggregation of pools (such as those backing a particular CMO) over a specific historical period.* Regardless of which particular prepayment model is chosen, the proper speed is that which, if applied separately to the underlying mortgages over the entire period, would result in the actual aggregate balance recorded at the end of the period. Pools which were not present at the start of the period should be excluded from the calculation entirely, as should any pools with incorrect or missing factors at the start or end of the period.**

For certain security types, including many CMOs backed by classes of two or more other CMOs, and many whole loan pass-throughs with principal/interest stripping, the cash flows and principal balances are not derived from pro rata shares of mortgage pass-throughs, and no single prepayment rate or aggregate balance is sufficient to characterize the security cash flows. In these cases, it is generally not meaningful to define an average prepayment rate, and none should be reported. Instead, the average prepayment rate for each underlying CMO class should be reported individually, or if not practical, then summarized together as a range (lowest and highest).

Unless otherwise specified, amortization of updated fixed-rate mortgage pools should be based exclusively on the most recent weighted average maturity information (WAM or WARM) and prepayment calculations on the most recent weighted average loan age (WALA) information provided by the issuer or guarantor at the time the calculation is performed. (See Section D.) Thus, it is not necessary to save prior information for these pools once updated values become available, nor is it necessary to recompute previously calculated prepayment rates. This method, while computationally simple, will produce different results for the same time period when calculations are made at different times. Thus, the January 1991 PSA rate for a pool may be different when calculated in February 1992 than when first computed in February 1991, because the WAM and/or the WALA may not have decreased and/or increased, respectively, by exactly 12 months. Individual firms may use either method to report historical prepayment rates. This decision affects only calculations of historical prepayment rates; projected cash flows, yields, average lives, and other measures are not affected, since forward projections always use the most recently available data.

For certain security types, such as Fannie Mae Trust strips and Megapools, multiple pass- through pools are actually combined into a new pass-through security (an aggregate pool for which the issuer reports monthly factors). Even in these cases, historical and projected prepayments should be calculated on the basis of the most detailed pool information available for the underlying mortgages.

* For a mortgage security (including but not limited to CMOs, REMICs, Megapools and strips), the phrase “prepayment rate since issue” can refer to the time since issuance of either the underlying pass-through pools or the mortgage security itself. Market partici- pants should therefore distinguish between “prepayment rate since pool issue” and “prepayment rate since deal issue.” The precise wording is left to the user’s discretion, so long as the intent is clear. ** Note that an aggregate calculation for “prepayment rate since pool issue” generally does not refer to a historical period with a uniform starting date. Therefore, the only pools that should be excluded from this particular calculation are those with incorrect or missing factors at the end of the period.

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With the Standard Prepayment Model, these calculations will generally require an iterative trial-and-error procedure, even for a single pool; the aggregate PSA speed should not be computed as a weighted average of individual pool speeds. Likewise, it is generally not accu- rate to apply an average prepayment speed to a hypothetical single pool having the aggregate WAC and WAM of the pools to be analyzed. At best, these calculations can provide a first iteration toward the correct value. Average prepayment rates that do not meet the precise specifications of the preceding paragraphs should be acknowledged as nonstandard approxi- mations.

Iteration is not necessary for computing average prepayment rates in terms of SMM or CPR. Instead, one should sum the scheduled balances for the loans at the end of the period, computed as if there were no prepayments during the period. The average prepayment rate for the aggregation is then

 1    FINAL AGGREG. BAL  months in period  SMM = 100 1–  actual  avg   FINAL AGGREG. BAL    sched  ,

 12    FINAL AGGREG. BAL  months in period  CPR = 100 1–  actual  avg     FINAL AGGREG. BALsched   .

Finally, for the special case in which all the mortgages in the sample being considered are fully seasoned at the start of the period, even the aggregate PSA speed can be computed without iteration:

CPR PSA = 100 * avg . avg 6.0

Example: Consider two Ginnie Mae I 9.0% pass-throughs with the following characteristics:

Pool 1 Pool 2

Original Face: $1,000,000 $2,000,000

Original Remaining Term: 358 mo 360 mo

Origination Date: 4/1/88 12/1/88

1/1/89 Factor: 0.86925218 0.99950812

7/1/89 Factor: 0.84732282 0.98290230

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To determine the average prepayment rate of the two pools over the first six months of 1989, first compute the actual final balance,

1,000,000 (0.84732282) + 2,000,000 (0.98290230) = 2,813,127.42 ,

and the scheduled final balance,

1 –(1 + 9.5 1200)–343 1,000,000 (0.86925218) 1 –(1 + 9.5 1200)–349

1 –(1 + 9.5 1200)–353 + 2,000,000 (0.99950812) = 2,859, 330.23. 1 –(1 + 9.5 1200)–359

Then,

 1    2,813,127.42 6  SMM = 100 1–   = 0.271142% , avg   2,859, 330.23     12    2,813,127.42 6  CPR = 100 1–   = 3.2056% , avg   2,859, 330.23   

and, by iterative trial-and-error,

PSA avg = 212.02% .

4. ABS Prepayment Rates for Asset Pools

The ABS model defines an increasing sequence of monthly prepayment rates (SMM, the percentage of remaining loans that prepay each month), which corresponds to a constant absolute level of loan prepayments in all future periods. For a pool of new loans, the SMM sequence for X% ABS is equivalent to the prepayment each month of X% of the loans originally in the pool. For a pool of seasoned loans, however, this interpretation of the SMM sequence is generally not valid. To avoid possible confusion, the ABS speed and the age of the underlying loans (not the pool) should always be converted directly into a sequence of SMM rates according to the formula

100 * ABS SMM = 100 – ABS * (MONTH –1).

02/01/99 SF-13

If desired, one can then convert these SMM rates into CPR or PSA according to the usual formulas. (See Section B.2.)

For purposes of describing an empirical prepayment pattern over a selected historical period, the appropriate ABS speed is the one whose monthly prepayment rates give the correct cumulative paydown for the period. The following formula provides the correct historical ABS speed for any time interval in which the loan age, pool factor and amortized loan balance (as a fraction of par) changed from AGE1, F1, BAL1 to AGE2, F2, BAL2:

(F F ) − (BAL BAL ) ABS = 100 1 2 1 2 − AGE2 (F1 F2 ) AGE1(BAL1 BAL2 ).

The size of the pool at origination is not required. BAL may be calculated as in Section B.1.

Example: For a pool of 36-month car loans issued 1/1/89 with an original WAM of 34 months, a prepayment speed of 2% ABS for 9/89 would correspond to

100 * 2 SMM = = 2.5000%. 100 – 2 * (11–1)

If the gross WAC of the pool is 10.00% and the 10/1/89 factor is 0.64140448, then the average prepayment speed over the nine-month life of the pool is

 –34  1.00000000 1– (1+10 1200)   −     –25  0.64140448 1– (1+10 1200)  ABS = 100 = 1.7000%.  –34  1.00000000 1– (1+10 1200) 11  − 2     –25  0.64140448 1– (1+10 1200) 

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Conversion of ABS to SMM

Months after 0.50 0.75 1.00 1.25 1.50 1.75 2.00 Origination ABS ABS ABS ABS ABS ABS ABS

1 0.50 0.75 1.00 1.25 1.50 1.75 2.00 2 0.50 0.76 1.01 1.27 1.52 1.78 2.04 3 0.51 0.76 1.02 1.28 1.55 1.81 2.08 4 0.51 0.77 1.03 1.30 1.57 1.85 2.13 5 0.51 0.77 1.04 1.32 1.60 1.88 2.17 6 0.51 0.78 1.05 1.33 1.62 1.92 2.22 7 0.52 0.79 1.06 1.35 1.65 1.96 2.27 8 0.52 0.79 1.08 1.37 1.68 1.99 2.33 9 0.52 0.80 1.09 1.39 1.70 2.03 2.38 10 0.52 0.80 1.10 1.41 1.73 2.08 2.44 11 0.53 0.81 1.11 1.43 1.76 2.12 2.50 12 0.53 0.82 1.12 1.45 1.80 2.17 2.56 13 0.53 0.82 1.14 1.47 1.83 2.22 2.63 14 0.53 0.83 1.15 1.49 1.86 2.27 2.70 15 0.54 0.84 1.16 1.52 1.90 2.32 2.78 16 0.54 0.85 1.18 1.54 1.94 2.37 2.86 17 0.54 0.85 1.19 1.56 1.97 2.43 2.94 18 0.55 0.86 1.20 1.59 2.01 2.49 3.03 19 0.55 0.87 1.22 1.61 2.05 2.55 3.13 20 0.55 0.87 1.23 1.64 2.10 2.62 3.23 21 0.56 0.88 1.25 1.67 2.14 2.69 3.33 22 0.56 0.89 1.27 1.69 2.19 2.77 3.45 23 0.56 0.90 1.28 1.72 2.24 2.85 3.57 24 0.56 0.91 1.30 1.75 2.29 2.93 3.70 25 0.57 0.91 1.32 1.79 2.34 3.02 3.85 26 0.57 0.92 1.33 1.82 2.40 3.11 4.00 27 0.57 0.93 1.35 1.85 2.46 3.21 4.17 28 0.58 0.94 1.37 1.89 2.52 3.32 4.35 29 0.58 0.95 1.39 1.92 2.59 3.43 4.55 30 0.58 0.96 1.41 1.96 2.65 3.55 4.76 31 0.59 0.97 1.43 2.00 2.73 3.68 5.00 32 0.59 0.98 1.45 2.04 2.80 3.83 5.26 33 0.60 0.99 1.47 2.08 2.88 3.98 5.56 34 0.60 1.00 1.49 2.13 2.97 4.14 5.88 35 0.60 1.01 1.52 2.17 3.06 4.32 6.25 36 0.61 1.02 1.54 2.22 3.16 4.52 6.67 37 0.61 1.03 1.56 2.27 3.26 4.73 7.14 38 0.61 1.04 1.59 2.33 3.37 4.96 7.69 39 0.62 1.05 1.61 2.38 3.49 5.22 8.33 40 0.62 1.06 1.64 2.44 3.61 5.51 9.09 41 0.63 1.07 1.67 2.50 3.75 5.83 10.00 42 0.63 1.08 1.69 2.56 3.90 6.19 11.11 43 0.63 1.09 1.72 2.63 4.05 6.60 12.50 44 0.64 1.11 1.75 2.70 4.23 7.07 14.29 45 0.64 1.12 1.79 2.78 4.41 7.61 16.67 46 0.65 1.13 1.82 2.86 4.62 8.24 20.00 47 0.65 1.15 1.85 2.94 4.84 8.97 25.00 48 0.65 1.16 1.89 3.03 5.08 9.86 33.33 49 0.66 1.17 1.92 3.13 5.36 10.94 50.00 50 0.66 1.19 1.96 3.23 5.66 12.28 100.00

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C. Defaults The following description of default analysis is intended only for the analysis of credit-sensitive securities (e.g., subordinated securities such as B-pieces, mezzanines, etc.). Standard prepayment analysis projects cash flows assuming that unscheduled payoffs are composed of both voluntary prepayments and defaults. When the following default methodology is being used, voluntary prepayments and defaults are projected separately.

1. Mortgage Cash Flows with Defaults: Description of Basic Concepts

A loan in default is defined as one that no longer pays principal and interest and then remains delinquent until liquidated. Thus, delinquencies that cure are not included in this computation.

When a loan first goes into default, it is included in New Defaults for the given month. New Defaults are projected forward using the Monthly Default Rate and the prior month’s Performing Balance before subtracting the current month’s scheduled amortization.

The prior month’s Performing Balance is the total balance of all loans that have continued to make full monthly payments through the prior month. These, plus Loans in Foreclosure, are the loans that survive into the current month. In the current month, they will either default (New Defaults), prepay (Voluntary Prepayments), or merely amortize. As with New Defaults, Voluntary Prepayments are also projected forward using the prior month’s Performing Balance. However, Voluntary Prepayments are computed after the current month’s Scheduled Amortization is subtracted.

Expected Amortization in a given month is the amortized principal that is expected to be received from all existing loans, including those currently in default that have not yet been liquidated (Loans in Foreclosure). If there are New Defaults, then Amortization from Defaults is the amount of principal that is not received from the borrowers, and Actual Amortization is the amount of principal that is actually received from the borrowers. (A loan’s original amortization schedule continues to be computed even while it is in foreclosure.)

Analogously, Expected Interest in a given month is interest due on the balance of all existing loans (including Loans in Foreclosure). Interest Lost is the amount of interest not received, and Actual Interest is Expected Interest minus Interest Lost.

Usually (but not always), Servicer Advances are made. If principal and interest are advanced, the amount of principal advanced each month is equal to Amortization from Defaults, and the amount of interest advanced exactly compensates for Lost Interest. The result is that investors receive all Expected Amortization and Expected Interest regardless of the amount of New Defaults and Loans in Foreclosure. New Defaults, however, are still calculated based on the prior month’s Performing Balance only.

Liquidation of New Defaults is assumed to occur after a fixed user-specified number of months (Months to Liquidation). If the liquidation results in a loss, the loss is taken in the month of liquidation, treated as a loss of principal (Principal Loss), and the amount of the loss is based on the Loss Severity and the unpaid principal balance of New Defaults when the loan first went into default.

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2. Specifying Mortgage Default Assumptions: Standards and Definitions

Introduction

The prepayment calculations discussed in Section B.2. derive monthly prepayment rates (SMM) from a vector of pool factors (F) over time. In other words, a prepayment rate is derived from actual performance data.

The Default Standards are intended to be used for projecting cash flows, not for deriving historical default rates from actual performance data. In other words, we start with a Monthly Default Rate (MDR) and use it to calculate New Defaults (NEW DEF) in a given month.

Default Analysis Standards and Definitions

a. Default analysis is intended to model defaults only, not delinquencies. Delinquent loans that are cured will not be part of this analysis. For this purpose, a loan in default is one that no longer pays principal and interest and then remains delinquent until liquidated.

b. Default analysis specifies default rates, not loss rates. Loss rates (i.e., “Loss Severities”) are specified separately.

c. The default rate in a given month is specified as a percentage of the aggregate performing balance of all loans still outstanding at the end of the prior month, before taking into account the current month’s scheduled amortization.

d. Prepayment rates and default rates are specified separately. Total unscheduled principal received will then be the sum of Voluntary Prepayments and Principal Recoveries from liquidations.

e. The prepayment rate in a given month is specified as a percentage of the aggregate performing balance of all loans still outstanding at the end of the prior month, after remov- ing the current month’s scheduled amortization. Prepayments will still be deemed to have a scheduled component, whereas the default balance is computed before taking into account the current month’s amortization. Voluntary Prepayments are constrained by the following condition: Actual Amortization plus New Defaults plus Voluntary Prepayments cannot exceed the prior period’s Performing Balance. (If they do, then cap Voluntary Prepayments such that the current period’s Performing Balance is zero.)

f. When performing default analysis, in addition to specifying default rates, the following assumptions must be specified: • Time to Liquidation after the loan first misses a payment (“0 months to Liquidation” means that liquidation proceeds are received in the month the loan first becomes delinquent). • Loss Severity or Loss Severity curve. “Loss Severity” is defined as a loss amount divided by the principal balance of the loan at the time it goes into default. A “Loss Severity curve” is a vector of different loss severities over time. • Whether or not P&I are advanced in the structure. If P&I are advanced, they are assumed to be advanced every month through to liquidation.

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g. The Loss Severity is applied to the balance of the loan as of the month it first went into default. The loss rate should include all costs: foreclosure costs, servicer interest advances and principal advances.

If P&I are being advanced, the maximum principal amount that can be passed through to investors when the loan is finally liquidated is the balance of the loan when it became delinquent minus any principal that has been advanced.

If P&I are not being advanced, then 0% loss severity (i.e., 100% recovery) will not include recovery of unpaid interest unless explicitly specified to the contrary.

Note: With this definition and “Time to Liquidation” as defined above, 0 months to liquidation with 0% Loss Severity will produce the same total principal cash flow as Voluntary Prepayment, except that Scheduled Amortization is not broken out separately. (Also, if P&I are not being advanced, the default cash flow will not include the final month’s interest.)

h. Because defaults are being specified as a percentage of the then outstanding Performing Balance, a higher prepayment assumption at a given default rate will result in lower cumulative defaults. Therefore, a table must be produced that shows cumulative defaults in a matrix format using the different default and prepayment rates employed in the analysis.

i. A similar matrix of loss amounts should also be produced using the Loss Severity assumption.

3. Standard Formulas for Computing Mortgage Cash Flows with Defaults

The following formulas detail the calculations:

PERF BAL(i) = Performing Balance in month i

= PERF BAL(i–1) – NEW DEF(i) – VOL PREPAY(i) – ACT AM (i)

NEW DEF(i) = New Defaults

= PERF BAL(i–1) * MDR(i) FCL(i) = Loans in Foreclosure

= (NEW DEF(i) + FCL(i–1) – ADB(i)) – AM DEF(i)

SCH AM(i) = Amortization Schedule assuming no prepayments

EXP AM(i) = Expected Amortization

= (PERF BAL(i–1) + FCL(i–1) – ADB(i)) * [1–SCH AM(i)/SCH AM(i–1)] VOL PREPAY(i) = Voluntary Prepayments

= PERF BAL(i–1) * [SCH AM(i)/SCH AM(i–1)] * SMM(i)

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AM DEF(i) = Amortization from Defaults

If P&I are advanced:

= (NEW DEF(i) + FCL(i–1) – ADB(i)) * [1–SCH AM(i)/SCH AM(i–1)] or if P&I are not advanced:

= 0

ACT AM(i) = Actual Amortization

= (PERF BAL(i–1) – NEW DEF(i)) * [1 – SCH AM(i)/SCH AM(i–1)] EXP INT(i) = Expected Interest

= (PERF BAL(i–1) + FCL(i–1)) * Net Mortgage Rate LOST INT(i) = Interest Lost

= (NEW DEF(i) + FCL(i–1)) * Net Mortgage Rate ACT INT(i) = Actual Interest

= EXP INT(i) – LOST INT(i) = (PERF BAL(i–1) – NEW DEF(i))

* Net Mortgage Rate PRIN RECOV(i) = Principal Recovery

= MAX [ADB(i) – PRIN LOSS(i) ; 0]

PRIN LOSS(i) = Principal Loss

= MIN [NEW DEF(i – months until recovery) * Severity Rate ; ADB(i)] ADB(i) = Amortized Default Balance in Recovery Month

If P&I are advanced:

= NEW DEF(i – months until recovery)

* [SCH AM(i–1)/SCH AM(i–1–months until recovery)] or if P&I are not advanced:

= NEW DEF(i – months until recovery) * 1 MDR(i) = Monthly Default Rate

SMM(i) = Monthly Prepayment Rate

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Notes for clarification:

a. “New Defaults” are the product of the default rate and prior period’s Performing Balance.

b. “Voluntary Prepayments” are the product of the prepayment rate and the prior period’s Performing Balance, minus expected amortization from performing balance.

c. Voluntary Prepayments and New Defaults are constrained by the following condition: Actual Amortization + New Defaults + Voluntary Prepayments cannot exceed the prior period’s Performing Balance. (See Section C. 2.e.)

d. “Expected Amortization” is computed from the sum of the prior period’s Performing Balance and Loans in Foreclosure.

e. Loans in Foreclosure do not include any loans that are liquidated in the current month.

f. Expected Amortization and Amortization from Defaults are not computed for loans in their liquidation month. (This is a consequence of (d) and (e).)

g. “Actual Amortization” is computed based on the prior period’s Performing Balance minus New Defaults.

h. Principal Recovery is constrained by the following condition:

If Amortization from Defaults is advanced, the maximum Principal Recovery amount is the loan balance when the loan went into foreclosure minus the cumulative amortization advanced until the loan was liquidated (i.e., the Amortized Default Balance in the liquidation month). (See Section C. 2.g.)

i. Principal Loss is constrained by the following condition:

If Amortization from Defaults is advanced, the maximum Principal Loss is the Amortized Default Balance in the liquidation month.

j. Default rate is set to 0 for the last n months before the scheduled final maturity of the pool where n = Time to Liquidation.

4. The Standard Default Assumption (SDA)

A Standard Default Assumption (“100% SDA”) for performing default analysis will have the following characteristics:

a. Rise from 0 to “peak” during the first 30 months of mortgage age;

b. Remain constant at peak value for the next 30 months (i.e., months 30 to 60 are at peak value);

c. Decline from “peak” to “tail” over the next 60 months (i.e., decline begins in month 61 and reaches tail value in month 120);

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d. Remain constant at “tail” value for the remaining life of the pool (except for the last n months, when the default rate will be 0. n = Time to Liquidation); and

e. Reach a default peak of 0.60% per annum and decline to a default tail of 0.03% per annum.

f. To adjust the Standard Default Assumption rate for any specific multiple of SDA, adjust the annual default rate at 100% SDA by that multiple. (For example, 200% SDA assumes a default rate equal to twice the annual rates specified by 100% SDA.)

g. When implementing default percentages, the annual default rates must be converted to Monthly Default Rates according to the following formula:

MDR = Monthly Default Rate = 100 * (1–(1–(Annual Default Rate /100))1/12 (in percent)

The following table illustrates the default matrix that must be produced as discussed in Section C.2.h. For example, 100% SDA would result in approximately 2.78% cumulative defaults over the life of a pool of new 8%, 30-year mortgages that also prepay at 150% PSA.

% SDA 50 100 150 200 250 300 100 1.56 3.09 4.59 6.08 7.53 8.97 125 1.47 2.92 4.35 5.76 7.14 8.51 150 1.40 2.78 4.13 5.47 6.79 8.08 175 1.33 2.64 3.93 5.20 6.45 7.69 % PSA 200 1.26 2.51 3.74 4.95 6.14 7.32 250 1.15 2.28 3.40 4.50 5.59 6.66 300 1.05 2.08 3.10 4.11 5.10 6.08 400 0.88 1.74 2.60 3.45 4.29 5.12 500 0.74 1.48 2.21 2.93 3.64 4.35

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100% SDA is represented graphically as follows:

Annualized Default Rate

Peak 0.6 ) %

( 0.5

e t a R

l 0.4 u a f e D 0.3 l a u n n

A 0.2

0.1 Tail 0.0 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 * 30 Year of Mortgage Life * Last 12 months are at a 0% default rate assuming 12 months to liquidation for 30-year loans. (See Section C.3.j.)

5. Use of the SDA for Products Other Than 30-Year Conventional Mortgages

The SDA was designed for use with fully amortizing residential mortgages with a term of at least 15 years. It was not intended to be used with other securitized products, e.g., balloon mortgages, commercial mortgages, home equity loans or any nonmortgage assets such as auto loans and credit card receivables.

6. Numerical Examples of SDA

Sample Cash Flows

The following two sample cash-flow tables were computed using new 30-year loans with an 8% WAC, 12-month recovery period, 20 percent loss severity and servicer advances. Further, Cash Flow A illustrates 1% Monthly Prepayments (1% SMM) with a 1% Monthly Default Rate (1% MDR), and Cash Flow B illustrates 150% PSA Prepayments with 100% SDA.

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All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e r o 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 R 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 P M y e at fault nthl 0.01 0.01 0.01 0.01 e 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 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 o R D M y d al r e e v iz t o nth r c o e fault B M 474,884 485,034 495,397 505,978 516,781 527,812 539,074 550,572 562,312 574,299 586,537 599,032 611,789 624,814 638,112 651,689 665,550 679,702 694,151 708,902 723,962 739,338 755,036 771,062 787,424 804,129 821,183 838,593 856,368 874,515 893,041 911,955 931,264 950,977 971,101 991,646 mo e n R A D I Cash Flow A oss L incipal 96,016 98,060 r 100,147 102,278 104,454 106,675 108,942 111,257 113,621 116,034 118,498 121,013 123,581 126,203 128,879 131,612 134,401 137,249 140,157 143,125 146,156 149,249 152,408 155,632 158,924 162,285 165,715 169,218 172,793 176,443 180,170 183,974 187,857 191,821 195,868 200,000 P y r e v o c incipal e r 378,868 386,973 395,249 403,700 412,328 421,137 430,131 439,315 448,691 458,265 468,039 478,019 488,208 498,611 509,233 520,077 531,149 542,453 553,994 565,777 577,806 590,088 602,628 615,430 628,500 641,844 655,467 669,376 683,575 698,072 712,872 727,982 743,407 759,155 775,233 791,646 P R est r ual t e c nt A I 245,948 251,205 256,572 262,052 267,648 273,360 279,193 285,149 291,229 297,437 303,775 310,246 316,854 323,599 330,486 337,518 344,697 352,027 359,510 367,150 374,949 382,913 391,043 399,343 407,817 416,469 425,301 434,318 443,524 452,923 462,518 472,313 482,314 492,523 502,946 513,587 524,449 535,539 546,861 558,418 570,217 582,263 594,559 607,113 619,928 633,011 646,366 660,000 est r ost e L 6,667 nt 36,563 37,344 38,142 38,957 39,788 40,638 41,505 42,390 43,294 44,217 45,159 46,121 47,103 48,106 49,130 50,175 51,242 52,332 53,444 54,580 55,740 56,924 58,132 59,366 60,626 61,912 63,225 64,565 65,934 67,331 68,758 70,214 71,700 73,218 74,768 76,349 71,213 65,964 60,598 55,113 49,507 43,778 37,923 31,940 25,825 19,576 13,191 I d d e e t est c r e e n) anc v nt xp io I 282,511 288,549 294,714 301,009 307,436 313,998 320,698 327,539 334,523 341,654 348,934 356,367 363,957 371,705 379,616 387,693 395,939 404,359 412,954 421,730 430,689 439,836 449,175 458,709 468,443 478,381 488,526 498,884 509,458 520,254 531,275 542,527 554,014 565,741 577,714 589,936 595,663 601,503 607,458 613,531 619,725 626,041 632,483 639,052 645,753 652,587 659,557 666,667 d E A e r uidat A t r ual t est o liq r c mo e A 35,123 35,603 36,089 36,582 37,081 37,587 A 38,100 38,620 39,147 39,682 40,223 40,773 41,329 41,893 42,465 43,045 43,632 44,228 44,832 45,444 46,064 46,693 47,330 47,976 48,631 49,295 49,968 50,650 51,341 52,042 52,753 53,473 54,203 54,943 55,693 56,453 57,223 58,005 58,796 59,599 60,412 61,237 62,073 62,920 63,779 64,650 65,532 66,427 nt ime t t r m nths (t o 671 faults r mo e 4,769 4,834 4,900 4,967 5,035 5,104 5,174 5,244 5,316 5,388 5,462 5,536 5,612 5,689 5,766 5,845 5,925 6,006 6,088 6,171 6,255 6,340 6,427 6,515 6,603 6,694 6,785 6,878 F 6,971 7,067 7,163 7,261 7,360 7,460 7,562 7,666 7,770 7,145 6,515 5,882 5,245 4,604 3,959 3,310 2,657 1,999 1,337 A d Default Methodology D incipal and I r 20.00% 12 mo P y nts r y e me it r y untar e v pa r aft ol e 372,294 380,254 388,382 396,680 405,152 413,803 422,635 431,653 440,860 450,261 459,859 469,659 479,664 489,879 500,308 510,956 521,828 532,927 544,259 555,828 567,640 579,699 592,011 604,581 617,414 630,515 643,891 657,547 671,488 685,721 700,252 715,086 730,231 745,692 761,477 777,591 794,042 810,837 827,983 845,486 863,355 881,598 900,221 919,232 938,641 958,454 978,680 999,329 e e V r v P o Standar c e oss S n L R io d e t c izat e t r 39,893 40,437 40,989 41,549 42,116 42,691 43,274 43,864 44,463 45,070 45,685 46,309 46,941 47,582 48,231 48,890 49,557 50,234 50,919 51,614 52,319 53,033 53,757 54,491 55,235 55,989 56,753 57,528 58,313 59,109 59,916 60,734 61,563 62,403 63,255 64,118 64,994 65,149 65,312 xp 65,481 65,658 65,841 66,032 66,231 66,436 66,649 66,870 67,098 E mo A t r r o t c mo a F 0.9622 0.9631 0.9640 0.9649 0.9658 0.9667 0.9676 0.9685 0.9694 0.9702 0.9711 A 0.9719 0.9728 0.9736 0.9745 0.9753 0.9762 0.9770 0.9778 0.9786 0.9794 0.9802 0.9810 0.9818 0.9826 0.9834 0.9842 0.9849 0.9857 0.9865 0.9872 0.9880 0.9887 0.9895 0.9902 0.9909 0.9916 0.9924 0.9931 0.9938 0.9945 0.9952 0.9959 0.9966 0.9973 0.9980 0.9987 1.0000 0.9993 1% MDR 1% SMM e ur e e at at n los I c e 999,329 y R r o 5,004,723 5,111,727 5,220,981 5,332,532 5,446,428 5,562,717 5,681,450 5,802,677 5,926,450 6,052,822 6,181,847 6,313,581 6,448,079 6,585,399 6,725,599 6,868,740 7,014,883 7,164,089 7,316,424 7,471,950 7,630,735 7,792,847 7,958,355 8,127,328 8,299,839 8,475,962 8,655,771 8,839,343 9,026,756 9,218,089 9,413,424 9,612,844 9,816,434 9,887,394 9,083,115 8,261,054 7,420,848 6,562,127 5,684,515 4,787,627 3,871,069 2,934,442 1,977,334 pa F 10,024,279 10,236,469 10,453,093 10,674,244 e fault R r e P D w e faults N e 372,649 380,614 388,746 397,049 405,527 414,183 423,020 432,043 441,256 450,662 460,265 470,070 480,081 490,302 500,737 511,391 522,268 533,374 544,712 556,287 568,105 580,171 592,489 605,065 617,905 631,013 644,396 658,058 672,007 686,247 700,785 715,626 730,779 746,247 762,039 778,161 794,620 811,423 828,577 846,088 863,966 882,216 900,848 919,868 939,285 959,107 979,342 D 1,000,000 e ming r 360 8.00% o alanc f r B e 36,484,857 37,264,924 38,061,395 38,874,612 39,704,922 40,552,682 41,418,255 42,302,010 43,204,327 44,125,591 45,066,195 46,026,543 47,007,045 48,008,119 49,030,193 50,073,703 51,139,095 52,226,823 53,337,352 54,471,153 55,628,712 56,810,522 58,017,084 59,248,915 60,506,537 61,790,487 63,101,310 64,439,565 65,805,819 67,200,655 68,624,665 70,078,454 71,562,639 73,077,852 74,624,734 76,203,943 77,816,148 79,462,034 81,142,299 82,857,654 84,608,828 86,396,561 88,221,612 90,084,753 91,986,774 93,928,478 95,910,689 97,934,244 C P 100,000,000 A AM W W nth 9 8 7 6 5 4 3 2 1 o 48 47 46 45 44 43 42 41 40 39 38 37 36 35 34 33 32 31 30 29 28 27 26 25 24 23 22 21 20 19 18 17 16 15 14 13 12 11 10 M

02/01/99 SF-23

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e r o 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 R 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 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 P M y e at fault nthl e 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 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 o R D M y d al r e e v iz t o nth r c o e fault B M 170,409 174,125 177,921 181,798 185,757 189,800 193,930 198,147 202,454 206,852 211,343 215,930 220,614 225,398 230,283 235,272 240,366 245,569 250,881 256,306 261,846 267,504 273,281 279,180 285,204 291,356 297,637 304,052 310,601 317,290 324,119 331,093 338,214 345,485 mo 352,910 360,491 368,232 376,137 384,208 392,449 400,864 409,456 418,229 427,187 436,333 445,672 455,207 464,943 e n R A D I Cash Flow A oss L incipal 34,624 35,375 36,141 36,924 37,724 38,540 39,374 40,226 41,095 41,983 42,890 43,815 44,761 45,726 46,712 47,719 48,747 49,797 50,868 51,963 53,080 54,222 55,387 56,577 57,792 59,032 60,299 61,592 62,913 64,261 65,638 67,044 68,480 69,945 71,442 72,970 74,530 76,123 77,749 79,410 81,105 82,837 84,604 86,409 88,251 90,132 92,053 94,014 r P y r e v o c incipal e r 135,785 138,751 141,780 144,874 148,033 151,260 154,556 157,921 161,358 164,869 168,454 172,115 175,853 179,672 183,571 187,553 191,619 195,772 200,013 204,344 208,766 213,282 217,894 222,603 227,413 232,324 237,338 242,459 247,689 253,028 258,481 264,049 269,734 275,540 281,468 287,521 293,702 300,014 306,458 313,039 319,758 326,619 333,625 340,778 348,082 355,539 363,154 370,929 P R est r ual t e c 88,257 90,182 92,148 94,156 96,206 98,300 nt A 100,439 102,623 104,853 107,131 109,457 111,833 114,259 116,737 119,267 121,850 124,489 127,183 129,935 132,744 135,614 138,544 141,536 144,591 147,711 150,897 154,150 157,472 160,865 164,328 167,866 171,477 175,165 178,931 182,777 186,703 190,712 194,806 198,986 203,254 207,613 212,062 216,606 221,245 225,982 230,819 235,758 240,800 I est r ost e L nt 13,120 13,406 13,699 13,997 14,302 14,613 14,931 15,256 15,587 15,926 16,272 16,625 16,986 17,354 17,730 18,114 18,506 18,907 19,316 19,734 20,160 20,596 21,041 21,495 21,959 22,432 22,916 23,410 23,914 24,429 24,955 25,492 26,040 26,600 27,171 27,755 28,351 28,960 29,581 30,216 30,864 31,525 32,200 32,890 33,594 34,313 35,048 35,797 I d d e e t est c r e e n) anc v nt xp io I 101,377 103,588 105,846 108,153 110,508 112,913 115,370 117,879 120,441 123,057 125,729 128,458 131,245 134,091 136,997 139,964 142,995 146,090 149,251 152,478 155,774 159,139 162,576 166,086 169,670 173,329 177,066 180,882 184,779 188,757 192,820 196,969 201,205 205,531 209,948 214,458 219,063 223,766 228,567 233,470 238,476 243,587 248,807 254,136 259,577 265,133 270,805 276,597 d E A e r uidat A t r ual t est o liq r c mo e A A 18,322 18,572 18,825 19,082 19,343 19,607 19,874 20,146 20,421 20,699 20,982 21,268 21,559 21,853 22,151 22,454 22,760 23,071 23,386 23,705 24,028 24,356 24,689 25,026 25,368 25,714 26,065 26,421 26,781 27,147 27,517 27,893 28,274 28,660 29,051 29,448 29,850 30,257 30,670 31,089 31,513 31,943 32,379 32,821 33,269 33,723 34,184 34,650 nt ime t t r m nths (t o faults r mo e 2,488 2,522 2,556 2,591 2,626 2,662 2,699 2,736 2,773 2,811 2,849 2,888 2,927 2,967 3,008 3,049 3,091 3,133 F 3,175 3,219 3,263 3,307 3,352 3,398 3,445 3,492 3,539 3,588 3,637 3,686 3,737 3,788 3,839 3,892 3,945 3,999 4,053 4,109 4,165 4,221 4,279 4,337 4,397 4,457 4,518 4,579 4,642 4,705 A d Default Methodology D incipal and I r 20.00% 12 mo P y nts r y e me it r y untar e v pa r aft ol e 133,537 136,452 139,428 142,467 145,571 148,742 151,979 155,286 158,662 162,111 165,633 169,229 172,902 176,653 180,483 184,395 188,389 192,469 196,634 200,888 205,233 209,669 214,199 218,825 223,548 228,372 233,298 238,327 243,464 248,708 254,064 259,532 265,116 270,818 276,641 282,586 288,656 294,855 301,184 307,647 314,246 320,984 327,864 334,889 342,062 349,385 356,863 364,499 e e V r v P o Standar c e oss S n L R io d e t c izat e t r 20,809 21,093 21,381 21,673 21,969 22,269 22,573 22,881 23,193 23,510 23,831 24,156 24,486 24,820 25,159 25,502 25,851 26,203 26,561 26,924 27,291 27,664 28,041 28,424 28,812 29,205 29,604 30,008 30,418 30,833 31,254 31,681 32,113 xp 32,551 32,996 33,446 33,903 34,366 34,835 35,310 35,792 36,281 36,776 37,278 37,787 38,303 38,826 39,356 E mo A t r r o t c mo a 0.9102 0.9114 0.9127 0.9139 0.9152 0.9164 0.9176 0.9188 0.9200 0.9212 0.9224 0.9236 0.9248 0.9259 0.9271 0.9282 0.9294 0.9305 0.9316 0.9328 0.9339 0.9350 0.9361 0.9372 0.9383 0.9393 0.9404 0.9415 0.9425 0.9436 0.9446 0.9456 0.9467 0.9477 0.9487 0.9497 0.9507 0.9517 0.9527 0.9537 0.9546 0.9556 0.9566 0.9575 0.9585 0.9594 0.9603 0.9613 F A 1% MDR 1% SMM e ur e e at at n los I c e y R r o 1,795,132 1,834,306 1,874,315 1,915,174 1,956,903 1,999,520 2,043,043 2,087,492 2,132,885 2,179,243 2,226,585 2,274,933 2,324,307 2,374,729 2,426,221 2,478,805 2,532,504 2,587,341 2,643,341 2,700,527 2,758,924 2,818,558 2,879,454 2,941,639 3,005,140 3,069,985 3,136,200 3,203,816 3,272,861 3,343,365 3,415,358 3,488,872 3,563,938 3,640,589 3,718,858 3,798,778 3,880,385 3,963,712 4,048,796 4,135,675 4,224,384 4,314,962 4,407,448 4,501,883 4,598,306 4,696,758 4,797,283 4,899,923 pa F e fault R r e P D w e faults N e 133,723 136,639 139,618 142,660 145,767 148,940 152,180 155,489 158,869 162,320 165,845 169,444 173,120 176,874 180,707 184,622 188,619 192,702 196,871 201,128 205,475 209,915 214,448 219,077 223,805 228,632 233,561 238,594 243,734 248,983 254,342 259,814 265,402 271,108 276,934 282,883 288,958 295,161 301,494 307,961 314,564 321,307 328,191 335,220 342,398 349,726 357,209 364,849 D e ming r 360 8.00% o alanc f r B e 13,086,669 13,372,250 13,663,913 13,961,783 14,265,993 14,576,673 14,893,961 15,217,994 15,548,915 15,886,866 16,231,997 16,584,456 16,944,397 17,311,977 17,687,357 18,070,698 18,462,168 18,861,937 19,270,178 19,687,069 20,112,790 20,547,527 20,991,467 21,444,802 21,907,730 22,380,450 22,863,168 23,356,091 23,859,434 24,373,413 24,898,251 25,434,174 25,981,413 26,540,206 27,110,792 27,693,418 28,288,335 28,895,799 29,516,072 30,149,420 30,796,117 31,456,441 32,130,675 32,819,109 33,522,040 34,239,769 34,972,604 35,720,859 C P A AM W W nth o 96 95 94 93 92 91 90 89 88 87 86 85 84 83 82 81 80 79 78 77 76 75 74 73 72 71 70 69 68 67 66 65 64 63 62 61 60 59 58 57 56 55 54 53 52 51 50 49 M

02/01/99 SF-24

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e r o 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 R 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 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 P M y e at fault nthl e 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 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 o R D M y d al r e e v iz t o nth r c o e 59,577 60,918 62,287 63,687 65,116 66,577 68,069 69,594 71,151 72,742 74,367 76,028 77,724 79,457 81,228 83,036 84,883 86,771 88,698 90,668 92,680 94,734 96,834 98,978 fault B M 101,168 103,405 105,691 108,025 110,410 112,845 115,333 mo 117,874 120,469 123,120 125,828 128,594 131,418 134,304 137,250 140,260 143,334 146,474 149,681 152,956 156,301 159,717 e 163,206 166,769 n R A D I Cash Flow A oss L incipal 12,198 12,470 12,748 13,032 13,322 13,618 13,921 14,230 14,545 14,868 15,197 15,534 15,878 16,229 16,587 16,954 17,328 17,710 18,101 18,500 18,907 19,323 19,748 20,182 r 20,625 21,078 21,541 22,013 22,495 22,988 23,491 24,005 24,530 25,067 25,614 26,173 26,745 27,328 27,924 28,532 29,153 29,788 30,436 31,098 31,774 32,464 33,169 33,889 P y r e v o c incipal 47,379 48,448 49,539 50,655 51,795 52,959 54,148 55,364 56,606 57,874 59,170 60,494 61,847 63,228 64,640 66,082 67,555 69,060 70,598 72,168 73,773 75,412 77,086 78,796 80,543 82,327 84,150 86,012 87,914 89,857 91,841 93,868 95,939 98,054 e r 100,214 102,420 104,674 106,976 109,327 111,728 114,181 116,686 119,245 121,858 124,527 127,253 130,037 132,881 P R est r ual t e c 30,856 31,550 32,260 32,984 33,725 34,481 35,254 36,043 36,850 37,674 38,516 39,376 40,254 41,152 42,069 43,005 43,962 44,940 45,938 46,958 48,000 49,064 50,151 51,262 nt 52,396 53,555 54,739 55,948 57,183 58,444 59,732 61,048 62,393 63,766 65,168 66,600 68,063 69,558 71,084 72,643 74,235 75,861 77,522 79,218 80,950 82,719 84,526 86,372 A I est r ost e L 4,587 4,690 4,796 4,903 5,013 5,126 5,241 5,358 5,478 5,601 5,726 5,854 5,984 6,118 6,254 6,393 6,535 6,681 6,829 6,981 7,136 7,294 7,455 7,621 7,789 7,961 8,137 8,317 8,501 8,688 8,880 9,075 9,275 9,479 9,688 9,901 nt 10,118 10,340 10,567 10,799 11,036 11,277 11,524 11,776 12,034 12,297 12,566 12,840 I d d e e t est c r e e n) anc 35,443 36,240 37,055 37,888 38,738 39,607 40,495 41,402 42,328 43,275 44,242 45,229 46,239 47,270 48,323 49,399 50,498 51,620 52,767 53,939 55,136 56,358 57,607 58,882 60,185 61,516 62,876 64,265 65,683 67,132 68,612 70,124 71,668 73,245 74,856 76,501 78,182 79,898 81,651 83,442 85,270 87,138 89,046 90,994 92,984 95,016 97,092 99,212 v nt xp io I d E A e r uidat A t r ual t est o liq r c mo 9,557 9,688 9,820 9,954 e A A 10,090 10,227 10,367 10,509 10,652 10,797 10,945 11,094 11,246 11,399 11,555 11,713 11,872 12,034 12,199 12,365 12,534 12,705 12,879 13,054 13,233 13,413 13,596 13,782 13,970 14,161 14,354 14,550 14,749 14,950 15,154 15,361 15,571 15,783 15,999 16,217 16,438 16,663 16,890 17,121 17,354 17,591 17,831 18,075 nt ime t t r m nths (t o faults r mo e 1,298 1,315 1,333 1,352 1,370 1,389 1,408 1,427 1,446 1,466 1,486 1,506 1,527 1,548 1,569 F 1,590 1,612 1,634 1,656 1,679 1,702 1,725 1,749 1,773 1,797 1,821 1,846 1,871 1,897 1,923 1,949 1,976 2,003 2,030 2,058 2,086 2,114 2,143 2,172 2,202 2,232 2,263 2,293 2,325 2,356 2,389 2,421 2,454 A d Default Methodology D incipal and I r 20.00% 12 mo P y nts r y e me it r y untar e 46,655 47,705 48,779 49,876 50,996 52,141 53,310 v 54,505 55,726 56,973 58,247 59,548 60,878 62,236 63,624 65,041 66,490 67,969 69,480 71,024 72,601 74,211 75,857 77,538 79,255 81,009 82,800 84,630 86,499 88,408 90,359 92,351 94,385 96,464 98,586 pa r aft ol e 100,754 102,969 105,231 107,541 109,901 112,311 114,772 117,286 119,854 122,476 125,155 127,890 130,684 e e V r v P o Standar c e oss S n L R io d e t c izat e t r 10,855 11,003 11,153 11,305 11,460 11,616 11,775 11,936 12,098 12,264 12,431 12,601 12,773 12,947 13,124 13,303 13,485 13,669 13,855 14,044 14,236 14,430 14,627 14,827 15,029 15,235 15,442 15,653 15,867 16,084 xp 16,303 16,526 16,751 16,980 17,212 17,447 17,685 17,926 18,171 18,419 18,670 18,925 19,184 19,445 19,711 19,980 20,253 20,529 E mo A t r r o t c mo a 0.8386 0.8404 0.8421 0.8438 0.8455 0.8472 0.8489 0.8505 0.8522 0.8538 0.8555 0.8571 0.8587 0.8603 0.8619 0.8635 0.8651 0.8666 0.8682 0.8697 0.8712 0.8727 0.8743 0.8758 0.8772 0.8787 0.8802 0.8817 0.8831 0.8845 0.8860 0.8874 0.8888 0.8902 0.8916 0.8930 0.8944 0.8957 0.8971 0.8984 0.8998 0.9011 0.9024 0.9037 0.9050 0.9063 0.9076 0.9089 F A 1% MDR 1% SMM e ur e e at at n los I c e 627,176 641,300 655,730 670,473 685,535 700,924 716,645 732,707 749,116 765,880 783,007 800,503 818,377 836,637 855,290 874,346 893,813 913,699 934,013 954,765 975,963 997,618 y R r o 1,019,738 1,042,333 1,065,414 1,088,991 1,113,073 1,137,673 1,162,800 1,188,467 1,214,683 1,241,462 1,268,814 1,296,751 1,325,287 1,354,433 1,384,203 1,414,610 1,445,666 1,477,386 1,509,784 1,542,874 1,576,670 1,611,187 1,646,440 1,682,446 1,719,219 1,756,776 pa F e fault R r e P D w e faults N e 46,751 47,803 48,878 49,976 51,098 52,244 53,415 54,611 55,833 57,082 58,357 59,660 60,992 62,351 63,741 65,160 66,609 68,090 69,603 71,149 72,727 74,340 75,987 77,670 79,388 81,144 82,937 84,769 86,640 88,551 90,504 92,498 94,534 96,615 98,739 100,910 103,126 105,390 107,703 110,065 112,477 114,941 117,457 120,027 122,652 125,333 128,070 130,867 D e ming r 360 8.00% o alanc f r 4,572,168 4,675,131 4,780,327 4,887,804 4,997,609 5,109,793 5,224,405 5,341,497 5,461,122 5,583,333 5,708,185 5,835,734 5,966,037 6,099,152 6,235,139 6,374,058 6,515,972 6,660,943 6,809,037 6,960,319 7,114,856 7,272,718 7,433,975 7,598,697 7,766,959 7,938,834 8,114,400 8,293,734 8,476,915 8,664,024 8,855,145 9,050,361 9,249,759 9,453,427 9,661,455 9,873,935 B e 10,090,960 10,312,625 10,539,029 10,770,272 11,006,454 11,247,680 11,494,055 11,745,689 12,002,690 12,265,173 12,533,251 12,807,043 C P A AM W W nth o 99 98 97 144 143 142 141 140 139 138 137 136 135 134 133 132 131 130 129 128 127 126 125 124 123 122 121 120 119 118 117 116 115 114 113 112 111 110 109 108 107 106 105 104 103 102 101 100 M

02/01/99 SF-25

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e 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 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 r o R P M y e at fault nthl e 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 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 o R D M y d al r e e v iz t o nth r c o e fault B 19,962 20,435 20,918 21,411 21,916 22,432 22,959 23,499 24,050 24,613 25,189 25,777 26,379 26,994 27,622 28,265 28,921 29,592 30,278 30,979 31,695 32,428 33,176 33,940 34,722 35,521 36,337 37,171 38,023 52,111 50,958 49,829 48,724 47,643 46,585 45,549 44,536 43,544 42,574 41,624 40,694 39,785 38,894 53,290 54,494 55,724 56,981 58,265 M mo e n R A D I Cash Flow A oss 4,140 4,236 4,335 4,436 4,539 4,644 4,752 4,862 4,974 5,089 5,207 5,327 5,449 5,575 5,703 5,834 5,968 6,104 6,244 6,387 6,533 6,682 6,834 6,990 7,149 7,311 7,477 7,647 7,820 9,995 9,776 9,561 9,350 9,144 8,943 8,746 8,552 8,363 8,179 7,997 L incipal r 10,683 10,449 10,220 10,922 11,167 11,416 11,671 11,932 P y r e v o c incipal 15,822 16,198 16,583 16,975 17,377 17,788 18,208 18,637 19,075 19,524 19,982 20,451 20,930 21,419 21,919 22,431 22,954 23,488 24,034 24,592 25,163 25,746 26,342 26,951 27,573 28,209 28,860 29,524 30,203 41,428 40,509 39,609 38,729 37,868 37,024 36,199 35,392 34,601 33,828 33,071 32,331 31,606 30,897 42,367 43,327 44,308 45,309 46,333 e r P R est r ual t e c nt A 10,339 10,583 10,834 11,089 11,351 11,618 11,891 12,170 12,456 12,747 13,046 13,350 13,662 13,980 14,306 14,639 14,979 15,326 15,681 16,044 16,415 16,795 17,182 17,578 17,983 18,397 18,819 19,251 19,693 26,989 26,392 25,807 25,235 24,675 24,127 23,591 23,066 22,552 22,049 21,557 21,076 20,605 20,144 27,599 28,223 28,860 29,511 30,176 I est r ost e L 1,537 1,573 1,611 1,649 1,687 1,727 1,768 1,809 1,852 1,895 1,939 1,985 2,031 2,078 2,127 2,176 2,227 2,278 2,331 2,385 2,440 2,497 2,554 2,613 2,673 2,735 2,798 2,862 2,928 4,012 3,923 3,836 3,751 3,668 3,587 3,507 3,429 3,353 3,278 3,205 3,133 3,063 2,995 4,103 4,196 4,290 4,387 4,486 nt I d d e e t est c r e e n) anc 11,876 12,157 12,444 12,738 13,038 13,345 13,659 13,979 14,307 14,642 14,985 15,335 15,693 16,059 16,433 16,815 17,205 17,605 18,013 18,430 18,856 19,291 19,736 20,191 20,656 21,131 21,617 22,113 22,620 31,001 30,315 29,644 28,986 28,343 27,714 27,098 26,495 25,905 25,327 24,762 24,209 23,668 23,139 31,702 32,419 33,151 33,898 34,662 v nt xp io I d E A e r uidat A t r ual t est o liq r c mo 4,985 5,053 5,122 5,192 5,263 5,335 5,408 5,482 5,556 5,632 5,709 5,787 5,866 5,946 6,027 6,110 6,193 6,278 6,363 6,450 6,538 6,627 6,718 6,810 6,903 6,997 7,092 7,189 7,287 8,810 8,692 8,575 8,459 8,345 8,233 8,122 8,013 7,905 7,798 7,693 7,590 7,488 7,387 8,931 9,053 9,176 9,301 9,428 e A A nt ime t t r m nths (t o 677 686 696 705 715 724 734 744 754 765 775 786 797 807 818 830 841 852 864 876 888 900 912 925 937 950 963 976 990 faults r mo e F 1,196 1,180 1,164 1,149 1,133 1,118 1,103 1,088 1,073 1,059 1,045 1,031 1,017 1,003 1,213 1,229 1,246 1,263 1,280 A d Default Methodology D incipal and I r 20.00% 12 mo P y nts r y e me it r y untar e v 15,614 15,984 16,363 16,749 17,145 17,549 17,962 18,384 18,816 19,257 19,708 20,169 20,641 21,122 21,615 22,118 22,632 23,158 23,695 24,245 24,806 25,379 25,966 26,565 27,177 27,803 28,443 29,096 40,804 39,900 39,015 38,149 37,302 36,473 35,661 34,867 34,090 33,329 32,585 31,857 31,144 30,447 29,764 41,727 42,671 43,635 44,620 45,626 pa r aft ol e e e V r v P o Standar c e oss S n L R io d e t c izat e t r 5,662 5,740 5,818 5,897 5,978 6,059 6,142 6,226 6,311 6,397 6,484 6,573 6,663 6,754 6,846 6,939 7,034 7,130 7,227 7,326 7,426 7,527 7,630 7,734 7,840 7,947 8,055 8,165 9,872 9,739 9,608 9,479 9,351 9,225 9,101 8,978 8,857 8,738 8,620 8,504 8,390 8,277 xp 10,007 10,143 10,282 10,422 10,564 10,709 E mo A t r r o t c mo a 0.7402 0.7426 0.7449 0.7473 0.7496 0.7520 0.7543 0.7566 0.7589 0.7611 0.7634 0.7656 0.7678 0.7700 0.7722 0.7744 0.7765 0.7787 0.7808 0.7829 0.7850 0.7871 0.7892 0.7913 0.7933 0.7954 0.7974 0.7994 0.8261 0.8243 0.8225 0.8206 0.8188 0.8169 0.8150 0.8131 0.8112 0.8092 0.8073 0.8053 0.8034 0.8014 0.8280 0.8298 0.8316 0.8333 0.8351 0.8369 F A 1% MDR 1% SMM e ur e e n los at at I c e r y R 209,902 214,877 219,962 225,161 230,476 235,909 241,462 247,139 252,942 258,874 264,938 271,136 277,471 283,947 290,565 297,330 304,245 311,312 318,535 325,918 333,463 341,174 349,055 357,109 365,341 373,753 382,350 391,136 536,368 524,477 512,838 501,448 490,302 479,393 468,717 458,269 448,045 438,039 428,248 418,666 409,290 400,115 548,519 560,934 573,619 586,580 599,822 613,352 o F pa e fault R r e P D w e faults N e 15,665 16,035 16,414 16,802 17,198 17,603 18,017 18,440 18,872 19,314 19,766 20,228 20,700 21,182 21,676 22,180 22,695 23,221 23,760 24,310 24,872 25,446 26,034 26,634 27,247 27,874 28,514 29,169 39,987 39,102 38,235 37,386 36,556 35,743 34,948 34,170 33,408 32,663 31,933 31,220 30,521 29,838 40,893 41,817 42,762 43,728 44,714 45,722 D e ming r 360 8.00% o alanc f r B 1,530,207 1,566,471 1,603,545 1,641,444 1,680,188 1,719,793 1,760,280 1,801,667 1,843,972 1,887,217 1,931,421 1,976,604 2,022,789 2,069,996 2,118,247 2,167,564 2,217,972 2,269,492 2,322,149 2,375,968 2,430,972 2,487,188 2,544,641 2,603,358 2,663,366 2,724,693 2,787,367 2,851,415 3,910,171 3,823,479 3,738,636 3,655,602 3,574,340 3,494,814 3,416,986 3,340,821 3,266,285 3,193,344 3,121,964 3,052,112 2,983,758 2,916,869 3,998,750 4,089,257 4,181,732 4,276,217 4,372,756 4,471,391 e P C A AM W W nth o 192 191 190 189 188 187 186 185 184 183 182 181 180 179 178 177 176 175 174 173 172 171 170 169 168 167 166 165 151 152 153 154 155 156 157 158 159 160 161 162 163 164 150 149 148 147 146 145 M

02/01/99 SF-26

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e 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 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 r o R P M y e at fault nthl 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 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 e 0.01 0.01 0.01 o R D M y d al r e e v iz t o nth r c o e 6,198 6,359 6,523 6,691 6,863 7,039 7,219 7,403 7,591 7,784 7,981 8,183 8,389 8,600 8,816 9,037 9,263 9,494 9,731 9,973 fault B 10,220 10,473 10,732 10,997 11,268 11,545 11,828 12,117 12,414 12,717 13,026 13,343 13,667 13,998 14,337 14,684 15,038 15,400 15,770 16,149 16,536 16,932 17,337 17,750 18,173 18,606 19,048 19,500 M mo e n R A D I Cash Flow A oss L incipal 1,317 1,350 1,384 1,418 1,454 1,490 1,527 1,565 1,604 1,644 1,684 1,726 1,768 1,812 1,856 1,902 1,948 1,996 2,044 2,094 2,145 2,197 2,250 2,304 2,360 2,417 2,475 2,534 2,595 2,657 2,721 2,786 2,852 2,920 2,989 3,060 3,133 3,207 3,283 3,360 3,440 3,521 3,603 3,688 3,774 3,863 3,953 4,046 r P y r e v o c 4,882 5,009 5,139 5,272 5,409 5,548 5,691 5,837 5,987 6,140 6,297 6,457 6,621 6,788 6,960 7,135 7,315 7,499 7,686 7,879 8,075 8,276 8,482 8,692 8,908 9,128 9,353 9,583 9,818 incipal e r 10,059 10,306 10,557 10,815 11,078 11,348 11,623 11,905 12,193 12,487 12,789 13,096 13,411 13,733 14,062 14,399 14,743 15,095 15,455 P R est r ual t e c 3,210 3,293 3,378 3,465 3,554 3,645 3,739 3,834 3,931 4,031 4,133 4,238 4,345 4,454 4,566 4,680 4,798 4,917 5,040 5,165 5,293 5,424 5,558 5,695 5,836 5,979 6,126 6,276 6,429 6,586 6,747 6,911 7,078 7,250 7,425 7,605 7,788 7,976 8,168 8,364 8,564 8,769 8,979 9,193 9,412 9,636 9,865 nt A 10,099 I est r ost e 477 490 502 515 528 542 556 570 584 599 614 630 646 662 679 696 713 731 749 768 787 806 826 847 868 889 911 933 956 979 L 1,003 1,027 1,052 1,078 1,104 1,131 1,158 1,186 1,214 1,243 1,273 1,304 1,335 1,367 1,399 1,433 1,467 1,501 nt I d d e t e est c r e e 3,687 3,783 3,880 3,980 4,083 4,187 4,294 4,404 4,516 4,631 4,748 4,868 4,991 5,116 5,245 5,376 5,511 5,648 5,789 5,933 6,080 6,231 6,385 6,542 6,703 6,868 7,036 7,209 7,385 7,565 7,749 7,938 8,131 8,328 8,529 8,735 8,946 9,162 9,382 9,607 9,837 n) anc nt 10,073 10,314 10,560 10,811 11,069 11,332 11,601 xp v I io d E A e r uidat A t r ual t est o liq r c mo 2,600 2,636 2,672 2,708 2,745 2,783 2,821 2,859 2,898 2,938 2,978 3,019 3,060 3,102 3,144 3,187 3,230 3,275 3,319 3,365 3,411 3,457 3,504 3,552 3,601 3,650 3,700 3,750 3,801 3,853 3,906 3,959 4,013 4,068 4,123 4,180 4,237 4,295 4,353 4,413 4,473 4,534 4,596 4,659 4,722 4,787 4,852 4,918 e A A nt ime t t r m o nths (t faults r 353 358 363 368 373 378 383 388 394 399 404 410 mo 416 421 427 433 439 445 451 457 463 469 476 482 489 496 502 509 516 523 530 538 545 552 560 568 575 583 591 599 607 616 624 633 641 650 659 668 e F A D d Default Methodology incipal and I r 20.00% 12 mo P y nts r y e me it r y 4,838 4,963 5,092 5,223 5,358 5,495 5,636 5,780 5,928 6,078 6,233 6,391 6,552 6,717 6,886 7,059 7,236 7,417 7,602 7,792 7,985 8,184 8,386 8,594 8,806 untar 9,022 9,244 9,471 9,703 9,940 e v 10,183 10,431 10,684 10,944 11,209 11,480 11,758 12,041 12,331 12,628 12,931 13,241 13,558 13,882 14,213 14,552 14,898 15,252 pa r aft ol e e e V r v P o Standar c e oss S n L R io d e t c izat e t r 2,954 2,994 3,035 3,076 3,118 3,161 3,204 3,248 3,292 3,337 3,382 3,429 3,475 3,523 3,571 3,620 3,669 3,719 3,770 3,821 3,874 3,927 3,980 4,034 4,090 4,145 4,202 4,259 4,317 4,376 4,436 4,497 4,558 4,620 4,683 4,747 4,812 4,878 4,944 5,012 5,080 5,150 5,220 5,291 5,363 5,437 5,511 5,586 xp E mo A t r r o t c mo a 0.6048 0.6081 0.6113 0.6146 0.6178 0.6210 0.6242 0.6273 0.6304 0.6336 0.6367 0.6397 0.6428 0.6458 0.6488 0.6518 0.6548 0.6577 0.6607 0.6636 0.6665 0.6694 0.6722 0.6751 0.6779 0.6807 0.6835 0.6862 0.6890 0.6917 0.6944 0.6971 0.6998 0.7024 0.7051 0.7077 0.7103 0.7129 0.7154 0.7180 0.7205 0.7230 0.7255 0.7280 0.7305 0.7329 0.7354 0.7378 F A 1% MDR 1% SMM e ur e e n los at at I c e 65,031 66,719 68,446 70,213 72,021 73,871 75,764 77,701 79,683 81,711 83,786 85,908 88,080 90,301 92,574 94,899 97,277 99,710 r 102,199 104,744 107,348 110,011 112,736 115,522 118,372 121,286 124,267 127,316 130,434 133,622 136,883 140,218 143,628 147,115 150,681 154,328 158,056 161,869 165,768 169,754 173,830 177,997 y R 182,258 186,614 191,068 195,622 200,277 205,037 o F pa e fault R r e P D w e faults 4,864 4,990 5,119 5,250 5,385 5,523 5,664 5,809 5,957 6,108 6,263 6,421 6,583 6,749 6,918 7,092 7,269 7,450 7,636 7,826 8,020 8,219 8,422 8,629 8,842 9,059 9,281 9,509 9,741 9,979 N e 10,222 10,471 10,725 10,985 11,251 11,522 11,800 12,085 12,375 12,672 12,976 13,287 13,604 13,929 14,261 14,600 14,947 15,302 D e ming r 360 8.00% o alanc f 474,084 486,386 498,975 511,857 525,039 538,527 552,328 566,450 580,898 595,681 610,805 626,279 642,109 658,305 674,872 691,821 709,159 726,895 745,037 763,595 782,577 801,993 821,852 842,164 862,939 884,187 905,918 928,143 950,873 974,118 997,890 r B e 1,022,201 1,047,061 1,072,483 1,098,480 1,125,063 1,152,245 1,180,040 1,208,460 1,237,520 1,267,232 1,297,612 1,328,674 1,360,432 1,392,901 1,426,098 1,460,037 1,494,734 P C A AM W W nth o 240 239 238 237 236 235 234 233 232 231 230 229 228 227 226 225 224 223 222 221 220 219 218 217 216 215 214 213 212 211 210 209 208 207 206 205 204 203 202 201 200 199 198 197 196 195 194 193 M

02/01/99 SF-27

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e 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 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 r o R P M y e at fault nthl e 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 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 o R D M y d al r e e v iz t o nth r c o e 6,041 5,888 5,739 5,592 5,449 5,310 5,173 5,040 4,910 4,783 4,658 4,537 4,418 4,302 4,189 4,079 3,971 3,865 3,762 3,662 3,563 3,467 3,374 3,282 3,193 3,106 3,020 2,937 2,856 2,777 2,699 2,624 2,550 2,478 2,408 2,339 2,272 2,207 2,143 2,081 2,021 1,961 1,904 1,847 1,792 1,738 1,686 1,635 fault B M mo e n R A D I Cash Flow A oss 998 973 948 924 901 878 855 833 812 791 771 751 731 712 693 675 657 640 623 607 590 575 559 544 529 515 501 487 474 461 448 436 424 412 400 389 378 367 L incipal 1,284 1,253 1,222 1,191 1,162 1,133 1,105 1,077 1,050 1,024 r P y r e v o c incipal 4,757 4,636 4,517 4,401 4,288 4,177 4,069 3,963 3,860 3,759 3,660 3,564 3,470 3,378 3,289 3,201 3,115 3,032 2,950 2,871 2,793 2,717 2,643 2,570 2,499 2,430 2,363 2,297 2,233 2,170 2,109 2,049 1,991 1,934 1,878 1,824 1,771 1,720 1,669 1,620 1,572 1,525 1,480 1,435 1,392 1,350 1,308 1,268 e r P R est r ual t e 986 957 928 900 873 847 c 3,129 3,050 2,972 2,896 2,822 2,750 2,679 2,610 2,543 2,477 2,413 2,350 2,288 2,228 2,170 2,112 2,056 2,002 1,948 1,896 1,845 1,796 1,747 1,700 1,654 1,608 1,564 1,521 1,479 1,438 1,398 1,359 1,321 1,284 1,247 1,212 1,177 1,143 1,110 1,078 1,046 1,016 nt A I est r ost e 465 453 442 431 420 409 398 388 378 368 359 349 340 331 323 314 306 298 290 282 274 267 260 253 246 239 233 226 220 214 208 202 196 191 185 180 175 170 165 160 156 151 147 142 138 134 130 126 L nt I d e d t est e c r e e 973 3,594 3,503 3,414 3,327 3,242 3,159 3,078 2,998 2,921 2,845 2,771 2,699 2,628 2,559 2,492 2,426 2,362 2,299 2,238 2,178 2,120 2,063 2,007 n) 1,953 1,899 1,848 1,797 1,747 1,699 1,652 1,606 1,561 1,517 1,474 1,433 1,392 1,352 1,313 1,275 1,238 1,202 1,167 1,132 1,099 1,066 1,034 1,003 anc nt xp I v E io d A e r uidat t A r ual t est o liq c mo r 2,565 2,531 2,497 2,463 2,430 2,397 2,365 2,333 2,302 2,271 2,240 2,210 2,180 2,151 2,122 2,093 2,065 2,037 2,010 1,983 1,956 1,930 1,904 1,878 1,853 1,828 1,803 1,779 1,755 1,731 1,708 1,685 1,662 1,640 1,618 1,596 1,575 1,553 1,533 1,512 1,492 1,471 1,452 1,432 1,413 1,394 1,375 1,357 e A A nt ime t t r m o nths (t faults r mo 348 344 339 334 330 326 321 317 313 308 304 300 296 292 288 284 280 277 273 269 266 262 259 255 252 248 245 242 238 235 232 229 226 223 220 217 214 211 208 205 203 200 197 194 192 189 187 184 e F A D d Default Methodology incipal and I r 20.00% 12 mo P y nts r y me e it y r untar e 4,715 4,595 4,478 4,364 4,252 4,142 4,036 3,931 3,830 3,730 3,633 3,538 3,445 3,354 3,266 3,179 3,095 3,012 2,932 2,853 2,776 2,701 2,628 2,557 2,487 2,419 2,352 2,287 2,224 2,162 2,101 2,042 1,984 1,928 1,873 1,820 1,767 1,716 1,667 1,618 1,570 1,524 1,479 1,435 1,392 1,350 1,309 1,269 pa ol v r aft e e V r e v P o Standar c e oss S n L R io d e t c izat e t r 2,914 2,875 2,836 2,798 2,760 2,723 2,686 2,650 2,614 2,579 2,544 2,510 2,476 2,443 2,410 2,378 2,346 2,314 2,283 2,252 2,222 2,192 2,162 2,133 2,104 2,076 2,048 2,021 1,993 1,967 1,940 1,914 1,888 1,863 1,838 1,813 1,788 1,764 1,741 1,717 1,694 1,671 1,649 1,627 1,605 1,583 1,562 1,541 xp E mo A t r r o t c mo a 0.6015 0.5981 0.5948 0.5914 0.5880 0.5846 0.5812 0.5777 0.5742 0.5707 0.5672 0.5636 0.5600 0.5564 0.5528 0.5492 0.5455 0.5418 0.5381 0.5343 0.5305 0.5267 0.5229 0.5191 F 0.5152 0.5113 0.5073 0.5034 0.4994 0.4954 0.4914 0.4873 0.4832 0.4791 0.4749 0.4708 0.4666 0.4624 0.4581 0.4538 0.4495 0.4452 0.4408 0.4364 0.4320 0.4275 0.4230 0.4185 A 1% MDR 1% SMM e ur e e n los I c at at e r 63,382 61,771 60,197 58,658 57,155 55,686 54,252 52,850 51,480 50,142 48,835 47,558 46,311 45,093 43,903 42,741 41,605 40,497 39,414 38,356 37,323 36,315 35,330 34,369 33,430 32,513 31,618 30,744 29,891 29,058 28,244 27,451 26,676 25,920 25,182 24,461 23,758 23,072 22,403 21,749 21,112 20,490 19,883 19,291 18,713 18,150 17,600 17,064 o y R F pa e fault R r e P D w e faults N e 4,741 4,621 4,503 4,388 4,276 4,167 4,060 3,955 3,853 3,753 3,655 3,560 3,467 3,376 3,287 3,201 3,116 3,033 2,952 2,873 2,796 2,721 2,647 2,576 2,505 2,437 2,370 2,305 2,241 2,179 2,118 2,059 2,001 1,945 1,890 1,836 1,783 1,732 1,682 1,633 1,586 1,539 1,494 1,449 1,406 1,364 1,323 1,283 D e ming r o alanc f 360 8.00% r 462,063 B 450,316 438,838 427,623 416,665 405,959 395,498 385,279 375,295 365,541 356,013 346,705 337,612 328,731 320,056 311,582 303,307 295,224 287,330 279,620 272,091 264,739 257,560 250,549 243,704 237,021 230,495 224,124 217,904 211,832 205,905 200,119 194,471 188,958 183,577 178,325 173,200 168,198 163,317 158,554 153,907 149,372 144,948 140,631 136,420 132,312 128,304 124,395 e P C A AM W W nth o 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 M

02/01/99 SF-28

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e 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 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 r o R P M y e at fault nthl e 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 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 o R D M y d al r e e v iz t o nth r 971 938 905 874 843 813 784 756 728 701 675 649 624 600 577 554 531 510 489 468 448 429 410 391 373 356 339 323 307 291 276 261 247 c o e 1,354 1,398 1,443 1,489 1,537 1,585 1,311 1,269 1,229 1,189 1,150 1,112 1,076 1,040 1,005 fault B M mo e n R A D I Cash Flow A 98 94 91 87 83 80 77 73 70 oss 308 317 327 336 346 357 299 290 281 273 265 257 249 241 234 226 219 213 206 199 193 187 181 175 169 163 158 152 147 142 137 132 128 123 119 114 110 106 102 L incipal r P y r e v o 979 947 916 886 856 827 799 771 744 718 693 668 644 620 597 575 553 532 512 492 472 453 435 417 399 382 366 349 334 319 304 289 275 262 248 236 223 211 199 188 177 c incipal 1,046 1,081 1,116 1,153 1,190 1,229 1,012 e r P R est r ual t e 701 724 747 771 796 821 679 657 636 616 596 576 557 539 520 503 486 469 453 437 421 406 391 377 363 350 336 323 311 299 287 275 264 253 242 232 222 212 203 193 184 176 167 159 151 143 135 128 c nt A I est r 98 95 92 89 86 83 80 77 75 72 70 67 65 63 60 58 56 54 52 50 48 46 44 43 41 39 38 36 34 33 32 30 29 27 26 25 24 22 21 20 19 ost e 104 108 111 115 118 122 101 L nt I d e t d est c r e e e 806 832 858 886 914 943 780 755 731 707 684 662 640 619 598 578 558 539 520 502 484 466 450 433 417 401 386 372 357 343 329 316 303 291 278 267 255 244 233 222 212 202 192 182 173 164 155 147 nt xp n) anc I E v io d A e r uidat t A r ual t 993 980 967 954 941 928 916 903 891 879 867 856 844 833 821 810 799 789 778 768 757 747 737 727 717 708 est o liq c mo r 1,251 1,268 1,285 1,302 1,320 1,338 1,234 1,217 1,201 1,185 1,169 1,153 1,137 1,122 1,107 1,092 1,077 1,063 1,048 1,034 1,020 1,007 e A A nt ime t t r m o 99 97 96 nths (t faults r mo 170 172 174 177 179 182 168 165 163 161 159 157 154 152 150 148 146 144 142 140 139 137 135 133 131 129 128 126 124 123 121 119 118 116 115 113 112 110 109 107 106 104 103 101 100 e F A D d Default Methodology incipal and I r 20.00% 12 mo P y nts r y me e it y 984 952 921 891 861 833 805 777 751 725 700 675 651 628 605 583 561 540 520 500 481 462 443 426 408 391 375 359 343 328 313 299 285 271 258 245 233 221 209 198 187 r untar e 1,050 1,084 1,119 1,155 1,192 1,230 1,016 pa ol v r aft e e V r e v P o Standar c n e oss S L R io d e t c izat e t 998 985 972 959 946 933 920 908 896 884 872 860 848 837 826 815 804 r 1,420 1,440 1,459 1,479 1,499 1,520 1,401 1,382 1,364 1,345 1,327 1,309 1,292 1,274 1,257 1,240 1,224 1,207 1,191 1,175 1,159 1,143 1,128 1,113 1,098 1,083 1,068 1,054 1,040 1,026 1,012 xp E mo A t r r o t c mo a 0.3908 0.3955 0.4001 0.4048 0.4094 0.4140 0.3860 0.3813 0.3765 0.3716 0.3668 0.3619 0.3570 0.3520 0.3470 0.3420 0.3369 0.3318 0.3267 0.3215 0.3164 0.3111 0.3059 0.3006 0.2952 0.2899 0.2845 0.2790 0.2735 0.2680 0.2625 F 0.2569 0.2513 0.2456 0.2399 0.2342 0.2284 0.2226 0.2167 0.2108 0.2049 0.1989 0.1929 0.1869 0.1808 0.1746 0.1685 0.1622 A 1% MDR 1% SMM e ur e e n los I c at at 9,744 9,405 9,075 8,753 8,439 8,134 7,836 7,546 7,264 6,989 6,722 6,462 6,208 5,961 5,721 5,487 5,260 5,038 4,823 4,613 4,410 4,211 4,019 3,831 3,649 3,472 3,299 3,132 2,969 2,811 2,658 e 2,508 r 14,114 14,575 15,048 15,533 16,031 16,541 13,664 13,225 12,798 12,381 11,975 11,579 11,193 10,816 10,450 10,093 o y R F pa e fault R r e P D w e 996 964 933 903 873 844 816 789 762 736 710 686 662 638 615 593 571 550 530 510 490 471 453 435 417 400 383 367 352 336 321 307 293 279 266 253 241 228 216 205 194 faults N e 1,063 1,097 1,132 1,169 1,206 1,244 1,029 D e ming r o alanc f 360 8.00% 99,610 96,413 93,296 90,258 87,296 84,409 81,595 78,852 76,180 73,575 71,037 68,565 66,155 63,808 61,522 59,295 57,126 55,014 52,957 50,954 49,004 47,105 45,257 43,457 41,706 40,002 38,343 36,730 35,160 33,632 32,147 30,701 29,296 27,929 26,601 25,309 24,053 22,833 21,646 20,494 19,374 18,286 r 102,889 106,252 109,701 113,238 116,864 120,583 B e P C A AM W W nth o 295 294 293 292 291 290 289 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 M

02/01/99 SF-29

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e 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 0.00 r o R P M y e at fault nthl e 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 o R D M y d al r e e 7 v iz 95 86 77 68 59 51 43 35 28 20 13 t o nth r 233 220 206 194 181 169 158 147 136 125 115 105 c o e fault B M mo e n R A D I 46,961,860 ______Cash Flow A 7 67 64 61 59 56 53 51 48 46 43 41 39 37 34 32 30 28 27 25 23 21 20 13 oss L incipal r P 9,515,314 y r ______e 6 1 0 0 v 98 90 82 74 66 59 51 44 37 31 24 18 12 o 166 155 145 135 126 116 107 c incipal e r P R 37,446,547 ______est 8 4 r ual 94 88 82 76 70 65 59 54 50 45 41 37 32 28 24 20 16 12 t e 121 114 107 100 c nt A I est r 9 8 7 6 5 4 3 2 2 1 1 0 0 0 ost e 18 17 16 15 14 13 12 11 10 10 L nt I d e t d est 8 4 c r e 94 87 81 74 68 62 57 51 46 40 35 30 26 21 16 12 e e 139 131 123 115 108 101 nt xp n) anc I E v io d A e r uidat t A r ual t 698 689 679 670 661 652 644 635 626 618 610 601 599 597 595 593 591 589 587 585 583 581 579 577 est o liq c mo r e A A nt ime t 4,895,697 ______t r m 7 0 o 95 94 92 91 90 89 87 86 85 84 83 82 75 68 61 54 47 40 33 26 20 13 nths (t faults r mo e F A D d Default Methodology incipal and I 614,780 r 20.00% 12 mo P ______y nts 6 0 r y me 92 84 76 69 62 55 49 42 36 30 24 18 12 e it y 176 165 155 145 136 126 117 109 100 r untar e pa ol v r aft e e V r e v P o Standar 47,527,662 c n e oss S L R io d ______e t c izat e t 793 782 772 761 751 741 731 721 711 702 692 683 674 665 656 647 638 629 620 612 603 594 586 577 r xp E mo A 5,510,477 ______t r r o t c mo a 0.1560 0.1497 0.1433 0.1370 0.1305 0.1241 0.1176 0.1110 0.1044 0.0978 0.0911 0.0844 0.0776 0.0708 0.0639 0.0570 0.0500 0.0430 0.0360 0.0289 0.0217 0.0145 0.0073 0.0000 F A 1% MDR 1% SMM e ur 7 0 60 26 e e n los 854 701 563 442 336 245 169 107 I c at at 2,363 2,223 2,086 1,953 1,824 1,699 1,578 1,460 1,346 1,235 1,128 1,023 e r o y R F pa e fault R r e P D 0 0 0 0 0 0 0 0 0 0 0 0 w e 98 90 82 faults 183 172 162 152 142 133 124 115 106 N e D 47,576,640 ______e 0 ming 577 r 9,812 9,004 8,220 7,461 6,793 6,134 5,483 4,841 4,207 3,582 2,965 2,356 1,755 1,162 o alanc f 360 8.00% 17,229 16,203 15,206 14,239 13,299 12,388 11,503 10,644 r B e P C A AM W W nth o otal 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 M T

02/01/99 SF-30

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e r o R P 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007556 0.007285 0.007014 0.006745 0.006476 0.006208 0.005940 0.005674 0.005408 0.005143 0.004879 0.004615 0.004353 0.004091 0.003830 0.003569 0.003310 0.003051 0.002792 0.002535 0.002278 0.002022 0.001767 0.001513 0.001259 0.001006 0.000250 0.000501 0.000753 M y e at fault nthl e o R D 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000485 0.000468 0.000451 0.000434 0.000418 0.000401 0.000384 0.000367 0.000351 0.000334 0.000317 0.000300 0.000284 0.000267 0.000250 0.000234 0.000217 0.000200 0.000184 0.000167 0.000150 0.000133 0.000117 0.000100 0.000083 0.000067 0.000017 0.000033 0.000050 M e ual at fault e nn R A D 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.005800 0.005600 0.005400 0.005200 0.005000 0.004800 0.004600 0.004400 0.004200 0.004000 0.003800 0.003600 0.003400 0.003200 0.003000 0.002800 0.002600 0.002400 0.002200 0.002000 0.001800 0.001600 0.001400 0.001200 0.001000 0.000800 0.000200 0.000400 0.000600 Cash Flow B y d al r e e v iz t o nth r c o e fault B 9,845 8,221 6,588 4,948 3,303 1,653 M mo e 40,756 41,137 41,521 41,909 42,300 42,695 43,092 42,028 40,928 39,795 38,629 37,430 36,200 34,940 33,650 32,331 30,984 29,611 28,212 26,788 25,341 23,872 22,381 20,871 19,342 17,795 16,233 14,655 13,064 11,460 n R A D I oss 998 666 333 L incipal 8,240 8,317 8,394 8,471 8,550 8,629 8,709 8,493 8,270 8,040 7,804 7,561 7,312 7,057 6,796 6,529 6,257 5,979 5,696 5,408 5,116 4,819 4,518 4,213 3,904 3,591 3,276 2,957 2,636 2,312 1,986 1,658 1,329 r P y r e v o c incipal 9,148 7,859 6,563 5,259 3,950 2,637 1,320 e r 32,515 32,820 33,127 33,438 33,750 34,066 34,384 33,535 32,658 31,755 30,825 29,869 28,888 27,883 26,853 25,801 24,727 23,631 22,515 21,380 20,225 19,053 17,864 16,658 15,438 14,204 12,957 11,698 10,428 P R est r ual t e c nt A 489,911 494,494 499,115 503,777 508,478 513,219 518,002 522,825 527,689 532,595 537,544 542,534 547,568 552,644 557,764 562,928 568,135 573,388 578,685 583,868 588,922 593,844 598,631 603,280 607,787 612,148 616,362 620,425 624,334 628,086 631,680 635,112 638,381 641,484 644,419 647,185 649,779 652,201 654,448 656,519 658,413 660,130 661,668 663,026 664,204 666,656 666,019 665,202 I d est e r ost e 11 33 67 L 992 853 723 604 495 397 309 232 166 111 nt n) anc I 3,361 3,392 3,424 3,456 3,488 3,521 3,554 3,577 3,590 3,594 3,587 3,570 3,542 3,503 3,453 3,392 3,318 3,233 3,136 3,027 2,915 2,801 2,684 2,565 2,444 2,320 2,195 2,067 1,938 1,807 1,675 1,541 1,406 1,269 1,131 v io d A e d r uidat e t A est c r e e est o liq r nt xp I 493,272 497,886 502,539 507,233 511,966 516,740 521,555 526,402 531,280 536,190 541,131 546,104 551,110 556,147 561,217 566,319 571,454 576,621 581,822 586,895 591,837 596,645 601,315 605,845 610,230 614,468 618,557 622,492 626,272 629,894 633,355 636,653 639,787 642,753 645,551 648,178 650,632 652,924 e 655,051 657,014 658,810 660,439 661,900 663,192 666,667 666,053 665,269 664,315 E nt ime t t r ual t c mo nths (t A A 69,963 70,084 70,204 70,325 70,446 70,568 70,689 70,811 70,933 71,055 71,177 71,300 71,422 71,545 71,669 71,792 71,916 72,039 72,163 72,268 72,351 72,414 72,456 72,477 72,477 72,456 72,415 72,354 72,271 72,169 72,046 71,904 71,742 71,560 71,358 71,138 70,898 70,640 70,364 70,069 69,757 69,426 69,079 68,715 67,097 67,525 67,938 68,334 d Default Methodology incipal and I r 20.00% 12 mo t P r m 1 3 7 o 93 78 65 53 42 33 24 17 11 r y faults r mo 441 442 443 443 444 445 446 447 446 444 441 436 431 423 415 405 394 381 368 353 337 322 307 e 291 276 261 245 230 214 199 184 168 153 138 123 108 e F it A r D e v r aft e e v y nts o Standar c e oss S me L R y untar pa 25,018 50,057 75,098 ol e 575,025 580,408 585,837 591,312 596,835 602,404 608,022 613,687 619,401 625,164 630,977 636,839 642,751 648,715 654,729 660,794 666,912 673,082 679,304 661,553 643,311 624,591 605,409 585,778 565,713 545,229 524,344 503,073 481,432 459,441 437,115 414,473 391,534 368,316 344,839 321,121 297,182 273,043 248,722 224,239 199,616 174,872 150,028 125,104 100,121 V r P n io d e t c izat e t r A 70,404 70,526 70,647 70,769 70,891 71,013 71,135 71,257 71,379 71,499 71,618 71,736 71,853 71,969 72,084 72,197 xp 72,310 72,421 72,531 72,620 72,689 72,736 72,763 72,768 72,753 72,717 72,660 72,583 72,486 72,368 72,230 72,072 71,895 71,698 71,481 71,246 70,991 70,718 70,429 70,122 69,799 69,459 69,103 68,732 67,098 67,528 67,944 68,346 E mo A t r r 100% SD 150% PSA o t c mo a 0.9622 0.9631 0.9640 0.9649 0.9658 0.9667 0.9676 0.9685 0.9694 0.9702 0.9711 0.9719 0.9728 0.9736 0.9745 0.9753 0.9762 0.9770 0.9778 0.9786 0.9794 0.9802 0.9810 0.9818 0.9826 0.9834 0.9842 0.9849 0.9857 0.9865 0.9872 0.9880 0.9887 0.9895 0.9902 0.9909 0.9916 0.9924 0.9931 0.9938 0.9945 0.9952 0.9959 0.9966 0.9993 1.0000 0.9987 0.9980 0.9973 e e F A at at e y R ur pa e fault R n los r e I c P 1,666 4,993 9,977 e D r 90,506 74,192 59,459 46,321 34,793 24,886 16,611 462,938 467,271 471,642 476,050 480,496 484,980 489,502 494,063 497,198 498,866 499,030 o 497,653 494,697 490,126 483,906 476,002 466,380 455,009 441,856 426,892 411,569 395,897 379,889 363,556 346,911 329,967 312,736 295,233 277,471 259,465 241,228 222,776 204,123 185,285 166,276 147,113 127,811 108,385 F w e faults N 9,931 8,292 1,667 3,331 4,991 6,645 e 36,863 37,208 37,556 37,907 38,260 38,617 38,977 39,340 39,706 40,075 40,447 40,823 41,202 41,584 41,969 42,357 42,749 43,144 43,543 42,464 41,350 40,202 39,021 37,807 36,562 35,287 33,981 32,647 31,285 29,896 28,481 27,042 25,580 24,095 22,589 21,063 19,519 17,957 16,379 14,786 13,180 11,561 D e 360 8.00% ming r o alanc f r C B e 72,841,712 73,523,563 74,211,263 74,904,860 75,604,405 76,309,946 77,021,535 77,739,222 78,463,060 79,193,100 79,929,395 80,671,996 81,420,958 82,176,333 82,938,177 83,706,543 84,481,486 85,263,063 86,051,329 86,846,340 87,622,624 88,379,636 89,116,843 89,833,729 90,529,791 91,204,543 91,857,515 92,488,255 93,096,328 93,681,317 94,242,822 94,780,464 95,293,884 95,782,739 96,246,710 96,685,496 97,098,818 97,486,418 97,848,057 98,183,522 98,492,616 98,775,168 99,031,028 99,260,067 99,906,219 99,785,306 99,637,279 99,462,179 A P AM 100,000,000 W W 9 8 7 6 5 1 2 3 4 nth 48 47 46 45 44 43 42 41 40 39 38 37 36 35 34 33 32 31 30 29 28 27 26 25 24 23 22 21 20 19 18 17 16 15 14 13 12 11 10 o M

02/01/99 SF-31

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e r o R P 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 M y e at fault nthl e o R D 0.000215 0.000223 0.000231 0.000239 0.000247 0.000255 0.000263 0.000271 0.000279 0.000287 0.000295 0.000303 0.000311 0.000318 0.000326 0.000334 0.000342 0.000350 0.000358 0.000366 0.000374 0.000382 0.000390 0.000398 0.000406 0.000414 0.000422 0.000430 0.000438 0.000446 0.000454 0.000462 0.000470 0.000478 0.000485 0.000493 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 0.000501 M e ual at fault e nn R A D 0.002580 0.002675 0.002770 0.002865 0.002960 0.003055 0.003150 0.003245 0.003340 0.003435 0.003530 0.003625 0.003720 0.003815 0.003910 0.004005 0.004100 0.004195 0.004290 0.004385 0.004480 0.004575 0.004670 0.004765 0.004860 0.004955 0.005050 0.005145 0.005240 0.005335 0.005430 0.005525 0.005620 0.005715 0.005810 0.005905 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 0.006000 Cash Flow B y d al r e e v iz t o nth r c o e fault B M 16,024 16,591 17,169 17,755 18,352 18,958 19,574 20,200 20,836 21,483 22,140 22,807 23,486 24,175 24,875 25,587 26,310 27,044 27,790 mo 28,548 29,318 30,100 30,894 31,700 32,519 32,830 33,143 33,459 33,777 34,099 34,423 34,750 35,079 35,412 e 35,747 36,085 36,426 36,770 37,117 37,467 37,820 38,176 38,535 38,898 39,263 39,631 40,003 40,378 n R A D I oss L incipal 3,256 3,371 3,487 3,606 3,727 3,849 3,974 4,101 4,229 4,360 4,493 4,628 4,765 4,904 5,046 5,190 5,336 5,484 5,635 5,788 5,943 6,101 6,261 6,424 6,590 6,652 6,715 6,778 6,842 6,906 6,971 7,037 7,103 7,169 7,236 7,304 7,373 7,442 7,511 7,581 7,652 7,723 7,795 7,868 7,941 8,015 8,089 8,165 r P y r e v o c incipal e 12,768 13,221 13,681 14,149 14,625 15,108 15,600 16,099 16,607 17,122 17,647 18,179 18,721 19,271 19,829 20,397 20,974 21,560 22,155 22,760 23,375 23,999 24,632 25,276 25,930 26,178 26,429 26,681 26,936 27,193 27,452 27,713 27,977 28,242 28,511 r 28,781 29,054 29,329 29,606 29,886 30,168 30,453 30,740 31,030 31,322 31,616 31,913 32,213 P R est r ual t e c nt A 311,973 314,935 317,924 320,941 323,986 327,058 330,159 333,288 336,447 339,634 342,851 346,098 349,374 352,681 356,019 359,388 362,788 366,219 369,683 373,179 376,707 380,268 383,862 387,490 391,152 394,849 398,579 402,345 406,146 409,983 413,856 417,765 421,711 425,695 429,715 433,774 437,871 442,007 446,178 450,385 454,628 458,908 463,224 467,578 471,968 476,397 480,863 485,368 I d e est r ost e n) anc L 1,124 1,169 1,215 1,261 1,308 1,356 1,405 1,454 1,505 1,556 1,608 1,661 1,715 1,769 1,825 1,881 1,939 1,997 2,056 2,116 2,177 2,240 2,303 2,367 2,432 nt 2,494 2,554 2,612 2,667 2,719 2,769 2,815 2,859 2,900 2,938 2,972 3,004 3,032 3,061 3,090 3,119 3,148 3,178 3,208 3,238 3,268 3,299 3,330 v I io d A e d r uidat e t A est c r e e est o liq r nt xp I 313,097 316,104 319,139 322,202 325,294 328,414 331,564 334,743 337,952 341,190 344,459 347,759 351,089 354,451 357,844 361,269 364,726 368,216 371,739 375,295 378,884 382,508 386,165 389,857 393,584 397,343 401,134 404,957 408,813 412,702 416,625 420,580 424,570 428,594 432,653 436,746 440,875 445,039 449,239 453,475 e 457,747 462,056 466,402 470,785 475,206 479,665 484,162 488,698 E nt ime t t r ual t c mo nths (t A A 64,763 64,856 64,950 65,044 65,139 65,234 65,330 65,427 65,524 65,622 65,721 65,820 65,921 66,021 66,123 66,225 66,328 66,431 66,536 66,641 66,746 66,853 66,960 67,067 67,176 67,285 67,395 67,505 67,617 67,729 67,842 67,955 68,069 68,184 68,300 68,417 68,534 68,652 68,770 68,889 69,007 69,126 69,245 69,364 69,484 69,603 69,723 69,843 d Default Methodology incipal and I r 20.00% 12 mo t P r m o r y faults r mo 211 218 225 232 238 245 252 259 266 273 280 287 294 301 308 315 322 330 337 344 351 358 366 373 380 e 388 395 401 407 412 416 420 424 427 429 431 432 433 434 434 435 436 437 437 438 439 440 440 e F it A r D e v r aft e e v y nts o Standar c e oss S me L R y untar pa ol e 365,910 369,391 372,905 376,450 380,028 383,640 387,284 390,962 394,674 398,420 402,201 406,017 409,869 413,756 417,679 421,638 425,635 429,668 433,739 437,848 441,996 446,182 450,407 454,672 458,976 463,321 467,707 472,134 476,602 481,112 485,665 490,261 494,900 499,582 504,309 509,080 513,897 518,755 523,654 528,596 533,580 538,607 543,677 548,791 553,949 559,151 564,397 569,689 V r P n io d e t c izat e t r A 64,975 65,074 65,174 65,275 65,377 65,479 65,582 65,686 65,790 65,895 66,001 66,107 66,215 66,322 66,431 xp 66,540 66,650 66,761 66,872 66,984 67,097 67,211 67,325 67,440 67,556 67,673 67,789 67,906 68,023 68,141 68,258 68,375 68,493 68,611 68,729 68,848 68,966 69,085 69,204 69,323 69,442 69,562 69,682 69,802 69,922 70,042 70,163 70,283 E mo A t r r 100% SD 150% PSA o t c mo a 0.9102 0.9114 0.9127 0.9139 0.9152 0.9164 0.9176 0.9188 0.9200 0.9212 0.9224 0.9236 0.9248 0.9259 0.9271 0.9282 0.9294 0.9305 0.9316 0.9328 0.9339 0.9350 0.9361 0.9372 0.9383 0.9393 0.9404 0.9415 0.9425 0.9436 0.9446 0.9456 0.9467 0.9477 0.9487 0.9497 0.9507 0.9517 0.9527 0.9537 0.9546 0.9556 0.9566 0.9575 0.9585 0.9594 0.9603 0.9613 e e F A at at e y R ur pa e fault R n r los e I c P D e r 152,359 158,519 164,783 171,151 177,626 184,210 190,902 197,706 204,622 211,651 218,797 226,059 233,440 240,941 248,563 256,310 264,181 272,179 280,305 288,561 296,949 305,471 314,129 322,923 331,857 340,931 349,627 357,936 365,847 373,353 380,443 387,108 393,340 399,127 404,460 409,329 413,725 417,636 421,580 425,559 429,571 433,618 437,700 441,817 445,969 450,157 454,381 458,641 o F w e faults N e 10,075 10,546 11,025 11,512 12,007 12,510 13,022 13,543 14,072 14,610 15,157 15,713 16,279 16,853 17,437 18,031 18,634 19,247 19,870 20,504 21,147 21,801 22,465 23,140 23,825 24,522 25,229 25,948 26,678 27,420 28,173 28,939 29,716 30,505 31,307 32,121 32,948 33,259 33,573 33,889 34,208 34,530 34,855 35,183 35,513 35,846 36,182 36,521 D e 360 8.00% ming r o alanc f r C B e 46,365,260 46,806,009 47,250,803 47,699,682 48,152,687 48,609,861 49,071,244 49,536,881 50,006,812 50,481,083 50,959,736 51,442,815 51,930,367 52,422,434 52,919,065 53,420,304 53,926,198 54,436,795 54,952,142 55,472,287 55,997,280 56,527,169 57,062,004 57,601,835 58,146,714 58,696,691 59,251,819 59,812,150 60,377,737 60,948,635 61,524,896 62,106,576 62,693,730 63,286,415 63,884,687 64,488,603 65,098,221 65,713,599 66,334,264 66,960,261 67,591,635 68,228,431 68,870,695 69,518,472 70,171,811 70,830,756 71,495,356 72,165,659 A P AM W W nth 96 95 94 93 92 91 90 89 88 87 86 85 84 83 82 81 80 79 78 77 76 75 74 73 72 71 70 69 68 67 66 65 64 63 62 61 60 59 58 57 56 55 54 53 52 51 50 49 o M

02/01/99 SF-32

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e r o R P 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 M y e at fault nthl e o R D M 0.000199 0.000191 0.000184 0.000176 0.000168 0.000160 0.000152 0.000144 0.000136 0.000128 0.000120 0.000112 0.000104 0.000096 0.000088 0.000080 0.000073 0.000065 0.000057 0.000049 0.000041 0.000033 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000207 e ual at fault e nn R A D 0.001915 0.001820 0.001725 0.001630 0.001535 0.001440 0.001345 0.001250 0.001155 0.001060 0.002390 0.002295 0.002200 0.002105 0.002010 0.000965 0.000870 0.000775 0.000680 0.000585 0.000490 0.000395 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.002485 Cash Flow B y d al r e e v iz t o nth r c 912 903 894 886 877 868 860 852 843 835 827 819 810 o e fault B 9,902 9,445 8,997 8,556 8,123 7,698 7,280 6,869 6,465 6,069 5,679 5,297 4,921 4,552 4,189 3,834 3,484 3,141 2,804 2,474 2,150 1,831 1,519 1,213 M mo e 12,303 11,806 11,318 10,838 10,366 14,916 14,376 13,845 13,322 12,808 15,465 n R A D I oss 928 854 782 711 641 572 505 439 374 310 248 186 185 183 181 179 178 176 174 173 171 169 168 166 L incipal 2,502 2,401 2,302 2,205 2,109 2,015 1,922 1,831 1,742 1,654 3,031 2,922 2,814 2,709 2,604 1,568 1,483 1,399 1,317 1,237 1,157 1,080 1,003 3,143 r P y r e v 965 726 719 712 705 698 691 684 677 671 664 658 651 645 o c incipal 9,801 9,405 9,016 8,633 8,256 7,887 7,523 7,166 6,814 6,469 6,130 5,797 5,470 5,148 4,832 4,522 4,217 3,918 3,624 3,335 3,052 2,773 2,500 2,232 1,969 1,711 1,457 1,209 e r 11,885 11,030 10,614 10,204 11,454 12,323 P R est r ual t e c nt A 306,129 300,391 297,561 294,756 291,977 289,222 286,493 283,788 281,108 278,452 275,819 273,211 270,625 268,063 265,524 303,247 263,007 260,513 258,042 255,592 253,164 250,758 248,374 246,008 243,662 241,334 239,026 236,736 234,464 232,211 229,976 227,759 225,560 223,379 221,215 219,069 216,941 214,829 212,735 210,657 208,597 206,553 204,525 202,514 200,520 198,541 196,579 309,038 I d est e r 98 89 83 78 75 75 74 73 73 72 71 70 70 69 68 68 67 ost e 952 910 870 830 791 752 714 677 641 605 569 535 500 467 994 434 402 370 339 308 278 249 222 197 175 155 138 122 109 L n) anc nt 1,036 1,080 v I io d A e d r uidat e t A est c r e e est o liq r nt xp I e 301,342 298,471 295,626 292,807 290,013 287,245 284,503 281,785 279,092 276,424 273,780 271,160 268,564 265,991 304,241 263,442 260,915 258,412 255,931 253,473 251,036 248,622 246,230 243,859 241,509 239,181 236,873 234,586 232,320 230,074 227,849 225,643 223,457 221,291 219,144 217,015 214,902 212,807 210,729 208,668 206,623 204,595 202,583 200,588 198,609 196,646 307,165 310,117 E nt ime t t r ual t c mo nths (t 64,399 64,309 64,220 64,132 64,044 63,957 63,871 63,785 63,700 63,616 63,532 63,448 63,366 63,284 64,489 63,202 63,121 63,041 62,961 62,882 62,804 62,726 62,648 62,571 62,493 62,416 62,339 62,261 62,184 62,107 62,030 61,953 61,876 61,800 61,723 61,647 61,570 61,494 61,418 61,342 61,266 61,190 61,114 61,038 60,963 60,887 64,580 64,671 A A d Default Methodology incipal and I r 20.00% 12 mo t P r m o 99 93 86 80 74 67 61 55 49 43 39 34 31 28 25 23 21 20 19 19 19 19 19 19 19 19 19 19 19 19 19 19 r y faults r mo e 184 178 171 164 158 151 145 138 131 125 118 112 106 191 198 204 e F it A r D e v r aft e e v y nts o Standar c e oss S me L R y untar pa ol e 352,298 348,972 345,676 342,410 339,173 335,966 332,787 329,638 326,516 323,423 320,357 317,319 314,308 311,325 355,655 308,368 305,437 302,533 299,654 296,801 293,974 291,172 288,395 285,640 282,908 280,197 277,509 274,842 272,197 269,573 266,970 264,388 261,828 259,288 256,768 254,269 251,790 249,331 246,892 244,473 242,074 239,694 237,333 234,991 232,668 230,364 359,042 362,460 V r P n io d e t c izat e t r A xp 64,583 64,487 64,391 64,296 64,202 64,108 64,015 63,923 63,831 63,740 63,650 63,560 63,471 63,383 64,680 63,295 63,208 63,121 63,035 62,950 62,865 62,781 62,697 62,614 62,532 62,450 62,369 62,289 62,209 62,130 62,051 61,973 61,896 61,819 61,743 61,666 61,590 61,513 61,437 61,361 61,285 61,209 61,133 61,057 60,982 60,906 64,778 64,876 E mo A t r r 100% SD 150% PSA o t c mo a 0.9050 0.9037 0.9024 0.9011 0.8998 0.8984 0.8971 0.8957 0.8944 0.8930 0.8916 0.8902 0.8888 0.8874 0.9063 0.8860 0.8845 0.8831 0.8817 0.8802 0.8787 0.8772 0.8758 0.8743 0.8727 0.8712 0.8697 0.8682 0.8666 0.8651 0.8635 0.8619 0.8603 0.8587 0.8571 0.8555 0.8538 0.8522 0.8505 0.8489 0.8472 0.8455 0.8438 0.8421 0.8404 0.8386 0.9076 0.9089 e e F A at at e y R ur pa e fault R n los r e I c P 9,983 9,886 9,789 9,693 9,597 9,503 9,409 9,316 9,224 e D r 96,174 91,069 86,052 81,122 76,279 71,520 66,845 62,252 57,741 53,311 48,960 44,687 40,492 36,373 32,329 28,652 25,333 22,366 19,743 17,459 15,507 13,879 12,569 11,571 10,878 10,484 10,382 10,281 10,181 10,082 o 128,731 123,069 117,504 112,033 106,655 101,369 134,489 140,346 146,302 F w e 932 923 914 905 896 888 879 871 863 854 846 838 830 822 814 806 798 790 782 775 767 760 752 745 737 faults N e 8,271 7,839 7,414 6,996 6,586 6,183 5,787 5,398 5,016 4,641 4,272 3,910 3,554 3,205 8,710 2,862 2,525 2,194 1,870 1,551 1,238 9,157 9,612 D e 360 8.00% ming r o alanc f r C B e 44,641,915 44,220,795 43,803,485 43,389,947 42,980,143 42,574,036 42,171,591 41,772,770 41,377,537 40,985,859 40,597,698 40,213,021 39,831,793 39,453,981 45,066,883 39,079,549 38,708,466 38,340,698 37,976,213 37,614,978 37,256,962 36,902,132 36,550,166 36,201,041 35,854,735 35,511,225 35,170,490 34,832,507 34,497,256 34,164,713 33,834,859 33,507,671 33,183,129 32,861,212 32,541,899 32,225,169 31,911,003 31,599,380 31,290,280 30,983,682 30,679,568 30,377,918 30,078,711 29,781,930 29,487,555 29,195,566 45,495,737 45,928,516 A P AM W W nth 99 98 97 o 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 M

02/01/99 SF-33

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e r o R P 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 M y e at fault nthl e o R D M 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 e ual at fault e nn R A D 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 Cash Flow B y d al r e e v iz t o nth r c o 802 794 787 779 771 763 756 748 741 733 726 718 711 704 697 690 683 676 669 662 655 648 641 635 628 622 615 609 602 596 590 584 577 571 565 559 553 547 541 535 530 524 518 513 507 501 496 491 e fault B M mo e n R A D I oss 164 163 161 160 158 156 155 153 152 150 149 147 146 145 143 142 140 139 137 136 135 133 132 131 129 128 127 125 124 123 122 120 119 118 117 116 114 113 112 111 110 108 107 106 105 104 103 102 L incipal r P y r e v o 638 632 625 619 613 607 601 595 589 583 577 571 565 559 554 548 542 537 531 526 520 515 509 504 499 494 488 483 478 473 468 463 458 453 448 444 439 434 429 425 420 416 411 406 402 398 393 389 c incipal e r P R est r ual t e c nt A I 194,632 192,701 190,786 188,887 187,003 185,134 183,280 181,442 179,618 177,809 176,015 174,235 172,470 170,719 168,983 167,260 165,552 163,858 162,177 160,510 158,856 157,217 155,590 153,977 152,376 150,789 149,215 147,654 146,105 144,569 143,046 141,535 140,036 138,550 137,076 135,614 134,164 132,725 131,299 129,884 128,481 127,089 125,708 124,339 122,982 121,635 120,299 118,975 d e est r anc ost e 66 66 65 64 64 63 62 62 61 61 60 59 59 58 58 57 56 56 55 55 54 54 53 52 52 51 51 50 50 49 49 48 48 47 47 46 46 45 45 44 44 43 43 42 42 41 41 41 v L d nt n) I A io e r A d uidat e t est est c r r e e e o liq nt nt xp I 194,699 192,767 190,851 188,951 187,066 185,197 183,343 181,503 179,679 177,870 176,075 174,295 172,529 170,778 169,040 167,317 165,608 163,913 162,232 160,565 158,911 157,270 155,643 154,029 152,428 150,841 149,266 147,704 146,155 144,619 143,095 141,583 140,084 138,597 137,123 135,660 134,209 132,771 131,343 129,928 128,524 127,132 125,751 124,382 123,023 121,676 120,340 119,015 E ime t t r ual t c mo nths (t A A d Default Methodology 60,812 60,736 60,661 60,586 60,511 60,436 60,361 60,286 60,211 60,137 60,062 59,988 59,914 59,839 59,765 59,691 59,617 59,543 59,470 59,396 59,322 59,249 59,175 59,102 59,029 58,956 58,883 58,810 58,737 58,664 58,591 58,519 58,446 58,374 58,301 58,229 58,157 58,085 58,013 57,941 57,869 57,798 57,726 57,654 57,583 57,512 57,440 57,369 incipal and I r P t 20.00% 12 mo r m o faults r mo 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 19 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 r y e F e A it D r e v r aft e Standar e v y nts o c e oss S me L R y untar pa ol e 225,812 223,564 221,334 219,122 216,928 214,752 212,593 210,453 208,329 206,223 204,133 202,061 200,006 197,967 195,945 193,940 191,951 189,977 188,021 186,080 184,154 182,245 180,351 178,472 176,609 174,761 172,928 171,111 169,307 167,519 165,745 163,986 162,241 160,511 158,794 157,092 155,404 153,729 152,068 150,421 148,787 147,167 145,559 143,966 142,385 140,817 139,262 228,079 V r P n io d e t c izat e t r A xp 60,755 60,680 60,605 60,530 60,455 60,380 60,305 60,230 60,156 60,081 60,007 59,932 59,858 59,784 59,710 59,636 59,562 59,488 59,414 59,341 59,267 59,194 59,120 59,047 58,974 58,901 58,828 58,755 58,682 58,610 58,537 58,464 58,392 58,320 58,247 58,175 58,103 58,031 57,959 57,887 57,816 57,744 57,672 57,601 57,530 57,458 57,387 60,831 E mo A t r r 100% SD 150% PSA o t c mo a 0.8351 0.8333 0.8316 0.8298 0.8280 0.8261 0.8243 0.8225 0.8206 0.8188 0.8169 0.8150 0.8131 0.8112 0.8092 0.8073 0.8053 0.8034 0.8014 0.7994 0.7974 0.7954 0.7933 0.7913 0.7892 0.7871 0.7850 0.7829 0.7808 0.7787 0.7765 0.7744 0.7722 0.7700 0.7678 0.7656 0.7634 0.7611 0.7589 0.7566 0.7543 0.7520 0.7496 0.7473 0.7449 0.7426 0.7402 0.8369 e e F A at at e y R ur pa n los e fault R I c r e e P 9,042 8,952 8,862 8,774 8,686 8,599 8,512 8,427 8,342 8,257 8,174 8,091 8,008 7,927 7,846 7,765 7,686 7,607 7,528 7,451 7,374 7,297 7,221 7,146 7,072 6,998 6,924 6,851 6,779 6,708 6,637 6,566 6,496 6,427 6,358 6,290 6,222 6,155 6,089 6,023 5,958 5,893 5,828 5,764 5,701 5,638 5,576 9,132 r D o F w e faults 723 716 708 701 694 687 681 674 667 660 653 647 640 634 627 621 615 608 602 596 590 584 578 572 566 560 554 548 542 537 531 525 520 514 509 503 498 492 487 482 477 471 466 461 456 451 446 730 N e D e 360 8.00% ming r o alanc f r C B e 28,618,674 28,333,733 28,051,104 27,770,770 27,492,712 27,216,912 26,943,351 26,672,014 26,402,881 26,135,936 25,871,161 25,608,539 25,348,054 25,089,687 24,833,424 24,579,246 24,327,137 24,077,082 23,829,064 23,583,066 23,339,074 23,097,070 22,857,040 22,618,967 22,382,837 22,148,633 21,916,341 21,685,946 21,457,432 21,230,786 21,005,991 20,783,033 20,561,899 20,342,572 20,125,040 19,909,288 19,695,302 19,483,067 19,272,571 19,063,799 18,856,738 18,651,374 18,447,694 18,245,684 18,045,332 17,846,623 17,649,546 28,905,945 A P AM W W nth o 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 145 M

02/01/99 SF-34

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e r o R P 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 M y e at fault nthl e o R D M 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 e ual at fault e nn R A D 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 Cash Flow B y d al r e e v iz t o nth r c o e 485 480 474 469 464 459 454 448 443 438 433 428 423 419 414 409 404 400 395 390 386 381 377 372 368 363 359 355 350 346 342 338 333 329 325 321 317 313 309 305 301 298 294 290 286 282 279 275 fault B M mo e n R A D I 98 97 96 95 94 93 92 91 90 89 88 87 86 85 84 83 83 82 81 80 79 78 77 76 75 74 74 73 72 71 70 69 69 68 67 66 65 65 64 63 62 61 61 60 59 58 oss 101 100 L incipal r P y r e v o 384 380 376 372 367 363 359 355 351 347 343 339 335 331 327 324 320 316 312 309 305 301 298 294 291 287 284 280 277 273 270 267 263 260 257 253 250 247 244 241 238 235 232 229 226 223 220 217 c incipal e r P R est r ual t e c 84,957 83,924 82,900 81,883 80,876 79,876 78,885 77,902 76,928 75,961 75,002 74,052 73,109 72,174 71,247 70,328 69,416 68,512 67,616 66,727 99,201 98,050 96,909 95,777 94,654 93,540 92,436 91,341 90,255 89,178 88,109 87,050 85,999 nt A I 117,661 116,358 115,065 113,784 112,512 111,252 110,001 108,761 107,531 106,312 105,102 103,902 102,712 101,532 100,362 d est e r ost e 29 29 28 28 28 27 27 27 26 26 26 25 25 25 24 24 24 23 23 23 40 40 39 39 38 38 38 37 37 36 36 35 35 35 34 34 33 33 33 32 32 32 31 31 30 30 30 29 L nt n) anc I v io d A e d r uidat e t A est c r e e est o liq 84,986 83,953 82,928 81,911 80,903 79,903 78,912 77,929 76,954 75,987 75,028 74,077 73,134 72,199 71,272 70,352 69,440 68,536 67,639 66,750 99,235 98,084 96,942 95,809 94,686 93,572 92,468 91,372 90,286 89,208 88,139 87,080 86,029 r nt xp I e 117,701 116,397 115,105 113,822 112,551 111,290 110,039 108,798 107,568 106,348 105,138 103,938 102,747 101,567 100,396 E nt ime t t r ual t c mo nths (t A A 55,343 55,274 55,206 55,138 55,069 55,001 54,933 54,865 54,797 54,729 54,661 54,593 54,526 54,458 54,391 54,323 54,256 54,189 54,122 54,055 57,298 57,227 57,156 57,085 57,015 56,944 56,873 56,803 56,733 56,662 56,592 56,522 56,452 56,382 56,312 56,242 56,173 56,103 56,033 55,964 55,895 55,825 55,756 55,687 55,618 55,549 55,480 55,412 d Default Methodology incipal and I r t 20.00% 12 mo P r m o faults r 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 18 17 17 17 17 17 17 17 r mo y e e F it A D r e v r aft e e v y nts o Standar c e oss S me L R y untar pa 99,332 98,119 96,916 95,723 94,540 93,367 92,204 91,050 89,906 88,772 87,647 86,531 85,425 84,327 83,239 82,160 81,090 80,029 78,977 77,934 ol e 136,190 134,673 133,168 131,676 130,196 128,729 127,273 125,829 124,397 122,977 121,569 120,173 118,787 117,414 116,051 114,700 113,360 112,031 110,713 109,406 108,110 106,824 105,549 104,285 103,031 101,788 100,555 137,720 V r P n io d e t c izat e t r A xp 57,245 57,174 57,103 57,032 56,962 56,891 56,821 56,750 56,680 56,610 56,540 56,470 56,400 56,330 56,260 56,190 56,121 56,051 55,982 55,912 55,843 55,774 55,705 55,636 55,567 55,498 55,429 55,360 55,292 55,223 55,155 55,086 55,018 54,950 54,882 54,814 54,746 54,678 54,610 54,543 54,475 54,408 54,340 54,273 54,206 54,139 54,071 57,316 E mo A t r r 100% SD 150% PSA o t c mo a 0.7354 0.7329 0.7305 0.7280 0.7255 0.7230 0.7205 0.7180 0.7154 0.7129 0.7103 0.7077 0.7051 0.7024 0.6998 0.6971 0.6944 0.6917 0.6890 0.6862 0.6835 0.6807 0.6779 0.6751 0.6722 0.6694 0.6665 0.6636 0.6607 0.6577 0.6548 0.6518 0.6488 0.6458 0.6428 0.6397 0.6367 0.6336 0.6304 0.6273 0.6242 0.6210 0.6178 0.6146 0.6113 0.6081 0.6048 0.7378 e e F A at at e y R ur pa e fault R n los r e I c P 5,453 5,392 5,332 5,272 5,213 5,154 5,096 5,038 4,981 4,924 4,868 4,812 4,756 4,701 4,647 4,593 4,539 4,486 4,433 4,381 4,329 4,277 4,226 4,176 4,125 4,076 4,026 3,977 3,929 3,881 3,833 3,785 3,738 3,692 3,646 3,600 3,554 3,509 3,465 3,420 3,377 3,333 3,290 3,247 3,204 3,162 3,121 5,514 e D r o F w e faults 436 432 427 422 417 413 408 403 399 394 390 385 381 376 372 368 363 359 355 351 347 343 339 334 330 326 323 319 315 311 307 303 300 296 292 289 285 281 278 274 271 267 264 260 257 254 250 441 N e D e 360 8.00% ming r o alanc f r C 9,877,050 B e 17,260,234 17,067,973 16,877,293 16,688,180 16,500,622 16,314,608 16,130,124 15,947,159 15,765,701 15,585,737 15,407,256 15,230,246 15,054,696 14,880,594 14,707,928 14,536,688 14,366,861 14,198,438 14,031,405 13,865,754 13,701,472 13,538,548 13,376,973 13,216,735 13,057,824 12,900,230 12,743,941 12,588,947 12,435,239 12,282,806 12,131,638 11,981,725 11,833,057 11,685,625 11,539,417 11,394,425 11,250,640 11,108,051 10,966,648 10,826,424 10,687,368 10,549,470 10,412,723 10,277,116 10,142,641 10,009,289 17,454,087 A P AM W W nth o 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 193 M

02/01/99 SF-35

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e r o R P 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 M y e at fault nthl e o R D M 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 e ual at fault e nn R A D 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 Cash Flow B y d al r e e v iz t o nth r c 271 268 264 261 257 254 250 247 243 240 237 233 230 227 224 220 217 214 211 208 205 202 199 196 193 190 187 184 181 178 176 173 170 167 164 162 159 156 154 151 149 146 143 141 138 136 134 131 o e fault B M mo e n R A D I oss 58 57 56 56 55 54 53 53 52 51 51 50 49 49 48 47 47 46 46 45 44 44 43 42 42 41 41 40 40 39 38 38 37 37 36 36 35 35 34 33 33 32 32 31 31 30 30 29 L incipal r P y r e v o 214 211 208 205 202 200 197 194 191 189 186 183 181 178 176 173 170 168 165 163 161 158 156 153 151 149 146 144 142 139 137 135 133 130 128 126 124 122 120 118 116 114 112 110 108 106 104 102 c incipal e r P R est r ual t e c 64,971 64,104 63,245 62,392 61,547 60,709 59,877 59,053 58,236 57,425 56,622 55,825 55,035 54,251 53,474 52,703 51,939 51,182 50,431 49,686 48,947 48,215 47,489 46,769 46,055 45,347 44,645 43,949 43,259 42,575 41,897 41,224 40,557 39,896 39,240 38,590 37,945 37,306 36,673 36,044 35,422 34,804 34,192 33,585 32,983 32,386 31,794 65,845 nt A I d est e r ost e 22 22 22 21 21 21 20 20 20 20 19 19 19 18 18 18 18 17 17 17 17 16 16 16 16 15 15 15 15 15 14 14 14 14 13 13 13 13 13 12 12 12 12 11 11 11 11 22 L nt n) anc I v io d A e d r uidat e t A est c r e e est o liq 64,993 64,126 63,266 62,413 61,568 60,729 59,898 59,073 58,256 57,445 56,641 55,844 55,053 54,269 53,492 52,721 51,957 51,199 50,448 49,703 48,964 48,232 47,505 46,785 46,071 45,363 44,660 43,964 43,274 42,590 41,911 41,238 40,571 39,909 39,253 38,603 37,958 37,319 36,685 36,057 35,434 34,816 34,203 33,596 32,994 32,397 31,805 65,868 r nt xp I e E nt ime t t r ual t c mo nths (t A A 53,921 53,854 53,787 53,720 53,654 53,587 53,521 53,455 53,388 53,322 53,256 53,190 53,124 53,058 52,993 52,927 52,861 52,796 52,731 52,665 52,600 52,535 52,470 52,405 52,340 52,275 52,210 52,145 52,081 52,016 51,952 51,887 51,823 51,759 51,695 51,631 51,567 51,503 51,439 51,375 51,312 51,248 51,185 51,121 51,058 50,995 50,931 53,988 d Default Methodology incipal and I r t 20.00% 12 mo P r m o faults r 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 17 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 17 r mo y e e F it A D r e v r aft e e v y nts o Standar c e oss S me L R y untar pa 75,873 74,856 73,847 72,846 71,854 70,870 69,895 68,927 67,968 67,017 66,073 65,138 64,211 63,291 62,379 61,475 60,578 59,689 58,808 57,934 57,067 56,207 55,355 54,510 53,672 52,842 52,018 51,201 50,391 49,588 48,792 48,003 47,220 46,444 45,675 44,912 44,155 43,405 42,662 41,925 41,194 40,469 39,750 39,038 38,332 37,631 36,937 76,899 ol e V r P n io d e t c izat e t r A xp 53,938 53,871 53,804 53,737 53,671 53,604 53,538 53,471 53,405 53,339 53,273 53,207 53,141 53,075 53,009 52,944 52,878 52,813 52,747 52,682 52,616 52,551 52,486 52,421 52,356 52,291 52,226 52,162 52,097 52,033 51,968 51,904 51,839 51,775 51,711 51,647 51,583 51,519 51,455 51,391 51,328 51,264 51,201 51,137 51,074 51,011 50,947 54,004 E mo A t r r o 100% SD 150% PSA t c mo a F A 0.5981 0.5948 0.5914 0.5880 0.5846 0.5812 0.5777 0.5742 0.5707 0.5672 0.5636 0.5600 0.5564 0.5528 0.5492 0.5455 0.5418 0.5381 0.5343 0.5305 0.5267 0.5229 0.5191 0.5152 0.5113 0.5073 0.5034 0.4994 0.4954 0.4914 0.4873 0.4832 0.4791 0.4749 0.4708 0.4666 0.4624 0.4581 0.4538 0.4495 0.4452 0.4408 0.4364 0.4320 0.4275 0.4230 0.4185 0.6015 e e at at e y R ur pa e n fault R los I r e c e P 3,038 2,997 2,957 2,917 2,877 2,838 2,799 2,760 2,721 2,683 2,646 2,608 2,571 2,534 2,498 2,461 2,426 2,390 2,355 2,320 2,285 2,251 2,216 2,183 2,149 2,116 2,083 2,050 2,018 1,986 1,954 1,922 1,891 1,860 1,829 1,798 1,768 1,738 1,708 1,679 1,649 1,620 1,592 1,563 1,535 1,507 1,479 3,079 D r o F w e faults 244 240 237 234 231 228 225 221 218 215 212 209 206 203 201 198 195 192 189 186 184 181 178 175 173 170 167 165 162 160 157 155 152 150 147 145 142 140 138 135 133 131 128 126 124 121 119 247 N e D e 360 8.00% ming r o alanc f r B C e 9,615,879 9,486,930 9,359,059 9,232,258 9,106,520 8,981,834 8,858,194 8,735,591 8,614,016 8,493,462 8,373,920 8,255,382 8,137,840 8,021,287 7,905,715 7,791,115 7,677,481 7,564,804 7,453,076 7,342,291 7,232,441 7,123,518 7,015,515 6,908,425 6,802,240 6,696,953 6,592,558 6,489,047 6,386,412 6,284,648 6,183,747 6,083,702 5,984,507 5,886,154 5,788,638 5,691,951 5,596,086 5,501,038 5,406,800 5,313,365 5,220,727 5,128,879 5,037,816 4,947,531 4,858,018 4,769,271 4,681,283 9,745,917 P A AM W W nth o 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 241 M

02/01/99 SF-36

All rights reserved. Reproduction in any form is strictly forbidden. © 1999 The Bond Market Association. The Bond Market Association Uniform Practices/Standard Formulas y y e pa at nthl e r o R P 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 M 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 0.007828 y e at fault nthl e o R D M 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 0.000025 e ual at fault e nn R A D 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 0.000300 Cash Flow B y d al r e e v iz t o nth 99 97 95 93 91 89 86 84 82 80 78 76 75 73 71 69 67 65 63 61 60 58 56 54 52 51 49 47 46 44 36 42 41 39 37 r c 129 126 124 122 119 117 115 112 110 108 106 103 101 o e fault B M mo e n R A D I oss 29 28 28 28 27 27 26 26 25 25 24 24 23 23 23 22 22 21 21 20 20 20 19 19 18 18 18 17 17 16 16 16 15 15 15 14 14 14 13 13 13 12 12 10 11 11 11 11 L incipal r P y r e v 98 96 94 92 90 88 87 85 83 81 80 78 76 74 73 71 69 68 66 64 63 61 60 58 57 55 53 52 50 49 47 46 45 43 42 40 39 38 36 35 33 32 26 31 29 28 27 o 100 c incipal e r P R est r ual t e c 8,672 9,849 9,453 9,061 nt 31,208 30,626 30,050 29,478 28,911 28,349 27,792 27,240 26,693 26,150 25,612 25,078 24,550 24,025 23,506 22,990 22,479 21,973 21,471 20,973 20,480 19,991 19,506 19,026 18,549 18,077 17,609 17,145 16,685 16,229 15,777 15,329 14,884 14,444 14,008 13,575 13,146 12,721 A 12,300 11,883 11,469 11,058 10,652 10,249 I d est e r 9 9 9 9 9 9 8 8 8 8 8 7 7 7 7 7 7 6 6 6 6 6 6 6 5 5 5 5 5 5 4 4 4 4 4 4 4 3 3 3 3 3 ost e 11 10 10 10 10 10 L nt n) anc I v io d A e d r uidat e t A est c r e e 8,675 9,853 9,457 9,064 est o liq 31,218 30,637 30,060 29,488 28,921 28,359 27,802 27,250 26,702 26,159 25,621 25,087 24,558 24,033 23,514 22,998 22,487 21,981 21,478 20,981 20,487 19,998 19,513 19,032 18,556 18,083 17,615 17,151 16,690 16,234 15,782 15,334 14,889 14,449 14,013 13,580 13,151 12,726 12,304 11,887 11,473 11,062 10,655 10,252 r nt xp I e E nt ime t t r ual t c mo nths (t A A 50,868 50,805 50,742 50,679 50,617 50,554 50,491 50,429 50,366 50,304 50,241 50,179 50,117 50,055 49,993 49,931 49,869 49,807 49,746 49,684 49,622 49,561 49,499 49,438 49,377 49,316 49,255 49,194 49,133 49,072 49,011 48,950 48,889 48,829 48,768 48,708 48,648 48,587 48,527 48,467 48,407 48,347 48,287 48,227 47,989 48,167 48,108 48,048 d Default Methodology incipal and I r 20.00% 12 mo t P r m o r y faults 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 16 15 15 15 15 15 15 15 15 15 15 15 15 15 15 15 15 15 15 r 15 15 15 15 15 15 15 mo e e F it A r D e v r aft e e v y nts o Standar c e oss S me L R y untar 9,808 pa 36,249 35,566 34,890 34,219 33,554 32,895 32,241 31,593 30,951 30,314 29,683 29,057 28,436 27,821 27,211 26,606 26,007 25,413 24,824 24,240 23,661 23,087 22,518 21,955 21,396 20,842 20,292 19,748 19,208 18,673 18,143 17,617 17,096 16,579 16,067 15,560 15,057 14,558 14,064 13,574 13,089 12,607 12,130 11,657 11,189 10,724 10,264 ol e V r P n io d e t c izat e t r A xp 50,884 50,821 50,758 50,695 50,632 50,570 50,507 50,444 50,382 50,320 50,257 50,195 50,133 50,071 50,009 49,947 49,885 49,823 49,761 49,699 49,638 49,576 49,515 49,454 49,392 49,331 49,270 49,209 49,148 49,087 49,026 48,965 48,905 48,844 48,784 48,723 48,663 48,603 48,542 48,482 48,422 48,362 48,302 48,242 48,183 48,123 48,063 48,004 E mo A t r r 100% SD 150% PSA o t c mo a 0.4140 0.4094 0.4048 0.4001 0.3955 0.3908 0.3860 0.3813 0.3765 0.3716 0.3668 0.3619 0.3570 0.3520 0.3470 0.3420 0.3369 0.3318 0.3267 0.3215 0.3164 0.3111 0.3059 0.3006 0.2952 0.2899 0.2845 0.2790 0.2735 0.2680 0.2625 0.2569 0.2513 0.2456 0.2399 0.2342 0.2284 0.2226 0.2167 0.2108 e 0.2049 e 0.1989 0.1929 0.1869 0.1808 0.1746 0.1685 0.1622 F A at at e y R ur pa e fault R n los r e 994 971 947 924 902 879 857 835 813 791 769 748 726 705 685 664 643 623 603 583 563 544 524 505 486 467 448 429 411 393 I c P e 1,451 1,424 1,397 1,370 1,344 1,317 1,291 1,265 D 1,239 1,214 1,189 1,163 1,139 1,114 1,090 1,065 1,041 1,018 r o F w e 98 96 94 92 90 88 86 84 82 81 79 77 75 73 71 70 68 66 64 63 61 59 57 56 54 53 51 49 48 46 45 43 41 40 38 37 35 34 33 faults 117 115 113 111 108 106 104 102 100 N e D e 360 8.00% ming r o alanc f r B C e 4,594,049 4,507,562 4,421,817 4,336,808 4,252,529 4,168,974 4,086,138 4,004,014 3,922,597 3,841,881 3,761,861 3,682,531 3,603,886 3,525,920 3,448,628 3,372,004 3,296,044 3,220,741 3,146,091 3,072,089 2,998,729 2,926,005 2,853,914 2,782,450 2,711,608 2,641,383 2,571,770 2,502,765 2,434,362 2,366,556 2,299,343 2,232,719 2,166,677 2,101,215 2,036,327 1,972,008 1,908,254 1,845,061 1,782,423 1,720,338 1,658,799 1,597,803 1,537,346 1,477,423 1,418,030 1,359,162 1,300,816 1,242,987 P A AM W W nth o 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 M

02/01/99 SF-37

02/01/99 SF-38

D. Assumptions for Generic Pools l. Mortgage Maturity

As noted in Section B.3., amortization of fixed-rate mortgage pools should be based on the most recent weighted-average maturity information (WAM or WARM) provided by the issuer or guarantor at the time the calculation is performed. The published WAM for a pool is the WAM as of a particular date. If the calculation is being performed as of a month other than the month to which the WAM applies, the WAM should be incremented or decremented by the number of months prior or subsequent to the WAM as-of month, respectively.

If the issuer or guarantor of a particular pass-through security has not released an updated WAM, the most recently released WAM may be used as described in the preceding para- graph, adjusted as described therein for the time elapsed since the as-of date of the WAM.

If the issuer or guarantor of a particular pass-through security has released neither updated nor original WAM information, then the remaining term to maturity should be used as a proxy.

Fannie Mae and Freddie Mac provide updated WAM information on a monthly basis. Fannie Mae’s and Freddie Mac’s monthly WAM updates are as of the current month. Freddie Mac’s monthly WAM updates appear on its “quartile” tapes.

Ginnie Mae provides updated WAM information on a quarterly basis. The as-of date for the reported WAM depends on when the pool was issued. For pools issued before the third month prior to the start of the current quarter, the WAM is as of four months prior to the month of the quarterly release, as described in the table below:

Month of Data Release For Pools Issued Prior To WAM Information Is As Of January Previous October September April Previous January December July Previous April March October Previous July June

For pools issued during or subsequent to the third month prior to the start of the current quarter, the WAM is as of the pool’s issue date.

To adjust the most recently updated WAM on a Ginnie Mae pool to the current month, the WAM should be decremented by the number of months subsequent to the as-of month for the WAM, as described below:

Current WAM = most recent WAM update – (number of months between the as-of month of the WAM and the current date)

For example, to adjust the WAM for the October 1993 tape for pools issued prior to July 1993 to be consistent with the October 1993 factor, subtract four months from the WAM. For pools issued in July, August and September 1993, subtract three months, two months and one month, respectively.

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In some cases, the WAM that is released exceeds the time to final maturity of the pool. In these cases, the WAM should be set to MIN (updated WAM, time to maturity), where time to maturity is defined as the time between the as-of date and the pool maturity date.

For Fannie Mae pools with “same-month” loan concentrations greater than 50%, the original WAM may be reported as one month greater than the original loan term for a given pool type. For consistency with other mortgage calculations, the first month of amortization should be based on the reported WAM.

2. Mortgage Age

As noted in Section B.3., prepayment calculations should be based on the most recently updated weighted-average loan age information (WALA) provided by the issuer or guarantor at the time the calculation is performed. The published WALA for a pool is the WALA as of a particular date. If the calculation is being performed as of a month other than the month to which the WALA applies, the WALA should be incremented or decremented by the number of months subsequent or prior to the WALA as-of month, respectively.

Ginnie Mae releases updated WALA information on a quarterly basis, and as is the case with Ginnie Mae WAM updates, this information is reported with a lag. For pools issued before the third month prior to the month of the most recent WALA update, the WALA is as of four months prior to the month of the quarterly release, as shown in the table below:

Month of Data Release For Pools Issued Prior To WAM Information Is As Of January Previous October September April Previous January December July Previous April March October Previous July June

For pools issued during or subsequent to the third month prior to the start of the current quarter, the WALA is as of the pool’s issue date.

To adjust the most recently updated WALA on a Ginnie Mae pool to the current month, the WALA should be incremented by the number of months subsequent to the as-of month for the WALA, as described below:

Current WALA = most recent WALA update + (number of months between the as-of month of the WALA and the current date)

For example, to adjust the WALA for the October 1993 tape for pools issued prior to July 1993 to be consistent with the October 1993 factor, add four months to the WALA. For pools issued in July, August and September 1993, add three months, two months and one month, respectively.

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In some cases, a pool’s WAM plus its WALA may add up to more than 360 months for a 30- year pool, or 180 months in the case of a 15-year pool. In those cases, a pool’s age should be defined as 360 – WAM for a 30-year pool, or 180 – WAM for a 15-year pool.

In some cases, the reported WALA may be less than the age of the pool itself. For Ginnie Maes, the age should be set to MAX (updated WALA, pool age), where pool age is defined as the time between pool-issue date and as-of date. For Freddie Mac, the loans in a pool may have an age that is less than the pool age. For any month that the loan age is being calculated for a month prior to the as-of date of the reported WALA, the minimum loan age is zero.

For Fannie Mae MBS calculations prior to December 7, 2000, or when a WALA for any agency security is not reported, the age of the mortgages should be estimated as the average original maturity of the loans (assumed to be 180 or 360 months for 15- and 30-year pools; 120 or 240 months for 10- and 20-year pools), minus the original WAM of the loans (at the time of the pool formation), plus the time elapsed since pool formation. This method is referred to as a Calculated Loan Age, or “CAGE.”

In the case of "same-month" loan concentrations greater than 50%, the original WAM may be reported as one month greater than the original loan term for a given pool type. For example, an original WAM of 361 would be reported for a "CL" pool that has an original loan term of 360 months. The CAGE should be set to 0 for the first month of these pools, instead of –1, which would be the result of the calculation. The second month of these pools would also have a CAGE of 0, while the third month would have a CAGE of 1.

Example of CAGE calculation:

Original Maturity: 360 months Original WAM: 348 months Issue Date: 7/1/91 Current Date: 7/1/92

CAGE is calculated as (360 – 348) + 12 = 24.

In some cases, this calculation will result in an age estimate that is too long. If the age as calculated above is greater than the original maturity minus the current WAM, then CAGE should be defined as the original maturity minus the current WAM.

Example: Original Maturity: 360 months Original WAM: 300 months Current WAM: 348 months Issue Date: 7/1/91 Current Date: 7/1/92

The age estimate (360 – 300) + 12 = 72 is greater than 360 – 348 = 12, so the average loan age should be set to 12.

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If there is a dispersion of loan terms within a given pool, the CAGE calculation will give a loan age estimate that is too long.

If the original WAM of the loans is not available, the average loan age should be estimated as the average original maturity of the loans minus the remaining WAM; if the remaining WAM is not available, the average loan age should be estimated as the average original maturity of the loans minus time to final maturity.

As noted in Section B, the Standard Prepayment Model of The Bond Market Association and the ABS model both specify prepayment percentages based on the age of the underlying loans, not the age of the pool itself. The age of the pool should only be used if there is insuf- ficient information to estimate loan age by any of the above-mentioned methods, subject to the exception noted below. All WAMs and ages should be rounded to the nearest full month for use in calculations.

The examples that follow illustrate the determination of WAM and age for selected Freddie Mac GOLD, Freddie Mac 75-day, Fannie Mae and Ginnie Mae pools.

Freddie Mac 75-Day or Gold Freddie Mac*

WAM reported on quartile tape received March 1993: 342 months Age reported on quartile tape received March 1993: seven months Factor reported on factor tape received March 1993: 0.9708674 Factor reported on factor tape received February 1993: 0.9785748 Gross Coupon: 9.69%

WAM used with factor of 0.9708674 is 342 months (as reported on quartile tape). Age used with factor of 0.9708674 is seven months (as reported on quartile tape). WAM used with factor of 0.9785748 is 343 months (increment the most recently available WAM by one month). Age used with factor of 0.9785748 is six months (decrement the most recently available age by one month).

The one-month PSA rate is 604. The value used for MONTH in the PSA formula is 7.

Fannie Mae

Issue month reported on factor tape received March 1992: Sept. 1991 Original WAM reported on factor tape received March 1992: 350 months WAM reported on factor tape received March 1992: 341 months Factor reported on factor tape received March 1992: 0.96783524 Factor reported on factor tape received February 1992: 0.96891577 Gross Coupon: 10.03%

* Prior to March 1993, the WAMs reported on Freddie Mac’s quartile tape were for the prior month, although the factor reported on the GOLD factor tape reflected scheduled principal advanced through the current settlement month. This made it necessary to decrement the GOLD quartile tape WAM by one month to calculate the prepayment rate. As of March 1993, this calculation will have already been incorporated in the Freddie Mac quartile tape, so no adjustment is necessary.

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Age not reported by Fannie Mae. Average original loan term not reported by Fannie Mae.

WAM used with factor of 0.96783524 is 341 months (as reported on factor tape). Age used with factor of 0.96783524 is 16 months (assume from pool type that average original maturity of loans is 360 months, subtract original WAM of 350 months and add six months elapsed since pool issuance). WAM used with factor of 0.96891577 is 342 months (increment the most recently available WAM by one month). Age used with factor of 0.96891577 is 15 months (decrement the most recently available age by one month).

The one-month PSA rate is 22. The value of MONTH in the PSA formula is 16.

Ginnie Mae Pool

Pool Issue Month: May 1993 WAM as reported on tape received October 1993: 359 months Age reported on tape received October 1993: one month Factor reported on factor tape received October 1993: 0.960000 Factor reported on factor tape received September 1993: 0.970000 Gross Coupon: 7.50%

WAM used with factor of 0.960000 is 355 months (October reported WAM minus four months to adjust for reporting lag). Age used with factor of 0.9600000 is five months (October reported WALA plus four months to adjust for reporting lag). WAM used with factor of 0.9700000 is 356 months (increment WAM used with the October factor by one). Age used with factor of 0.9700000 is four months (decrement WALA used with the October factor by one).

The one-month PSA rate is 1087. The value of MONTH in the PSA formula is 5.

3. Mortgage Coupon

If the issuing agency has not released the gross weighted-average coupon (WAC) of the mortgages underlying a fixed-rate, single-family pool, or if no particular WAC assumption is specified, then a fixed servicing spread above the pass-through rate must be assumed. For recently issued pools, the spread should be as follows:

Ginnie Mae I + 50 bp

Ginnie Mae II + 75 bp

Fannie Mae + 65 bp

Freddie Mac + 65 bp

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E. Day Counts 1. Calendar Basis

The number of days from M1/D1/Y1 to M2/D2/Y2 on a 30/360 calendar basis is computed according to the following algebraic procedure:

If M1 is 2 and D1 is 28 in a nonleap year (or 29 in a leap year), then change D1 to 30.

If D1 is 31, change D1 to 30.

If at this point D1 is 30 and D2 is 31, change D2 to 30. Then, the number of days is

− + − + − N = max {360 *(Y2 Y1) 30 *(M2 M1) (D2 D1),0}

The computation draws no distinctions among business days, holidays and weekends.

These conventions shall apply for both accrued interest and yield calculations on all fixed- rate, mortgage-backed securities, unless explicitly stated otherwise.

Floating-rate and short-term instruments may be quoted on either a Money Market or a Bond-Equivalent Yield basis, following Section G.2. Money Market accounting makes use of the actual number of days from M1/D1/Y1 to M2/D2/Y2, including the former but not the latter, with the day count then divided by 360.

2. Delay Days

Delay refers to the length of time from the end of an interest-accrual period to the actual payment of the interest due. The “stated delay” of a mortgage-backed, pass-through security also includes the time during which interest accrues, and sometimes the accrual date itself. Ginnie Mae and Freddie Mac include the accrual date in their documentation of securities; Fannie Mae does not.

The yield, duration and average life of a pass-through should be calculated and expressed in terms of its actual cash-flow delay, defined as the difference between (1) the date a payment is assumed to be made to investors and (2) the date the payment is assumed to be received from homeowners, assuming 30-day months.

Market practice for CMOs and derivatives has been to use actual delay. The adoption of actual delay as the standard for pass-throughs, and the continuation of the use of actual delay for CMOs and derivatives, will bring greater uniformity to the mortgage market.

Delay days will be assumed to be “actual” unless labeled as “stated,” and stated delay should always be accompanied by a disclosure of the actual delay. Stated delay may also be called, simply, “days to first payment.”

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If the following types of mortgage securities are issued on March 1, and if every full calendar month is counted as 30 days, then the delays are as follows:

Pass-Through First Payment Assumed First Payment Actual Stated Type Due From Homeowners Due to Investors Delay Delay *

Ginnie Mae I April 1 April 15 14 days 45 days Ginnie Mae II April 1 April 20 19 days 50 days Fannie Mae April 1 April 25 24 days 55 days Freddie Mac NONGOLD April 1 May 15 44 days 75 days Freddie Mac GOLD April 1 April 15 14 days 45 days

No conclusions can be drawn concerning the delay of a principal-only CMO bond, and hence the ownership period corresponding to a particular payment, absent explicit disclosure by the issuer. This information is generally available from the issuer for new issues.

F. Settlement-Based Calculations 1. General Rules

For all mortgage pass-throughs and mortgage strips, prospective quotations of yield, duration and average life should be based on the actual settlement date of the transaction or, if not otherwise specified, The Bond Market Association standard settlement date for the quoted delivery month. However, if the quotations are made later than two business days before the standard settlement date, for delivery in the same month, then settlement should be assumed to occur either two business days later or on the last business day of the month, whichever is sooner. In all cases, calculations involving yields or durations should incorpo- rate the correct amount of accrued interest.

CMOs and Asset-Backed Securities (ABSs) should continue to follow corporate settlement rules.

Comparisons between current and historical market quotations should be made on a consistent basis (first-of-month vs. first-of-month, for example, or settlement-date vs. settlement- date). The basis of comparison should be disclosed if it would otherwise be a source of ambiguity or confusion.

a. Settlement Amount

The amount payable by the buyer to the seller on the settlement date is known as the settlement amount, net proceeds or total cost, and is the sum of the principal amount and accrued interest:

COST = [PRINCIPAL AMOUNT] + [ACCRUED INTEREST] .

* These stated delays would be 44, 49, 54 and 74 days, respectively, under the alternate convention in which the accrual date itself is not counted.

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For most mortgage-related securities, the principal amount and accrued interest are computed as described in parts b and c below. Special procedures for CMO bonds whose settlement factors have not been released by the time of settlement, and for Freddie Mac Multiclass PCs (REMICs), are the subjects of Sections F.2. and F.3. below.

b. Principal Amount

For most mortgage-related securities, the principal amount (or “current face amount,” or “current balance”) is equal to the product of the original face amount and the current factor:

PRINCIPAL AMOUNT = FACE * (PRICE/100) * F,

where FACE = original face amount of bond PRICE = price, as a percentage of current face amount F = current factor (factor at start of the payment period containing the settlement date).

c. Accrued Interest

For most mortgage-related securities, interest accrues according to the following standard calculation:

ACCRUED INTEREST = FACE * F * (COUPON/100) * (N/360),

where COUPON = annual coupon rate of the security, in percent N = number of days from the first day of the accrual period (the “as-of” date for the factor F) to the settlement date itself. (The day count is computed according to the 30/360 calendar, as specified in Section E.1.)

2. CMO Bonds with Unknown Settlement Factors

a. General Rule

If settlement occurs in a payment period whose factor is not yet available at the time of settlement, settlement may proceed using the most recently published factor (F0) in place of the current factor (F) in the settlement formulas of Section F.1., to be corrected once the current factor is released. This general rule does not apply to accrual bonds in an accretion period (any payment period immediately following a payment date on which no cash payments were made).

b. CMO Accrual Bonds

For CMO accrual bonds that are traded during their accretion period and settled in a payment period whose current factor is not available at the time of settlement, settlement may proceed using an estimated current factor (Fest) in place of the current factor (F) in the settlement formulas of Section F.1., to be corrected once the current factor is released. The estimated current factor is computed as follows:

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= Fest F0 * [1 + (COUPON/100) * (N 0/360) ],

where F0 is the most recently published factor, COUPON is the annual coupon rate of the security in percent and N0 is the number of days from the “as-of” date for F0 to the “as- of” date for the current settlement factor F, measured according to the 30/360 calendar.

3. Freddie Mac Multiclass PCs (REMICs)

Unlike most other mortgage-related securities, Freddie Mac REMICs have record dates that are in the middle of the month, while the tranche factors are updated at the beginning of the month. This practice requires special considerations for the computation of settlement balances and accrued interest. (Parties to transactions may agree on terms other than those set out here.)

a. Fixed-Rate REMIC Classes

Principal and accrued interest are determined using the factor as of the last Record Date prior to the Settlement Date. Accrued interest will be paid to the seller for the time from the day following that Record Date to the Settlement Date.

Example:

Factor Dates - 1/1, 2/1, 3/1, etc. Record Dates - 1/14, 2/14, 3/14, etc. Settlement Date - 2/15 to 3/14 Accrued Interest calculation - days from 2/15 to Settlement Date (no accrued interest if Settlement Date is 2/15)

A holder of record on 3/14 (the buyer) receives principal and interest from Freddie Mac on 4/15. The dollar amounts are determined by the following formulas, where F(m/d) denotes the factor as of a date, FACE denotes the original face amount and COUPON denotes the annual coupon rate in percent:

Principal = [ F(2 1) − F(3 1) ]* FACE, Interest = F(2 1)* FACE * COUPON/1200.

b. Variable-Rate REMIC Classes

Principal is determined using the factor as of the last Record Date prior to the Settlement Date. Accrued interest is determined using the factor as of the second Record Date prior to the Settlement Date, however, because the accrual period follows the Record Date for variable-rate classes whereas it precedes the Record Date for fixed-rate classes. Therefore, at settlement, one should deduct from the cost the accrued interest for the time from the Settlement Date to the day following the first Record Date on or after the Settlement Date, at the coupon rate in effect as of the Settlement Date.

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Example:

Factor Dates - 1/1, 2/1, 3/1, etc. Record Dates - 1/14, 2/14, 3/14, etc. Settlement Date - 2/15 to 3/14 Accrued Interest calculation - days from Settlement Date to 3/15 (always at least one day of accrued interest)

A holder of record on 2/14 (the seller) receives principal and interest from Freddie Mac on 3/15. The dollar amounts are determined by the following formulas, where F(m/d) denotes the factor as of a date, FACE denotes the original face amount, and COUPON(m/d) denotes the annual coupon rate in percent as of a date:

Principal = [ F(1 1) − F(2 1)]* FACE, Interest = F(1 1)* FACE * COUPON (2 15)/1200.

G. Yield and Yield-Related Measures 1. General Rules

All mortgage-related yields, durations, convexities and holding-period returns should be calculated uniformly on a semiannual-compounding basis, regardless of the frequency of the actual cash flows used in computing these measures.* The correct computations are specified in detail below.

a. Bond-Equivalent Yield (or Semiannual Yield or simply Yield) is the number Y, which sat- isfies the equation

CF CF P = 1 + 2 + ... , (1 + Y 200) 2T1 (1 + Y 200) 2T2

where P is the dollar price of the security (including the correct accrued interest), CFK is the cash flow received by the investor at time TK after settlement (measured in years, on a 30/360 calendar basis, including actual delay days), and the sum is over all future cash flows K=1,2,... . Unlike the standard definitions of yield for government, municipal and corporate bonds, the standard for mortgage-related securities is free of exceptional cases for single- or odd-coupon periods.

b. Mortgage Yield or Monthly Yield: If clearly labeled, yield may also be quoted on a monthly compounding basis:

Mortgage Yield = 1200 [ (1+ Y 200) 1 6 − 1 ].

* In certain instances, semiannual computations are undefined for overnight investments. These are more appropriately analyzed using money-market formula standards.

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However, Mortgage Yield should not be used in the duration or convexity formulas below, where Y refers strictly to Semiannual Yield.

c. Average Life is the dollar-weighted average time to receive future payments of principal (PRK), where again the TK’s measure the time elapsed from the settlement date to the actual receipt of the cash flows:

T PR + T PR + ... Average Life = 1 1 2 2 + + PR1 PR 2 ... .

The precise definition of principal payments for accrual instruments (CMO Z-bonds, GPMs and certain ARMs) is the subject of Section H.1.

d. Macaulay Duration, or simply Duration, is the PV-weighted average time to receive future payments:

1  T CF T CF  Duration =  1 1 + 2 2 + ... + 2T1 + 2T2 P (1 Y 200) (1 Y 200)  .

e. Modified Duration represents the ratio of a small percentage increase in price to the accompanying decrease in Semiannual Yield, assuming cash flows are held fixed. It is calculated by dividing the Macaulay Duration by the appropriate semiannual compounding factor:

Duration Modiﬁed Duration = 1 + Y 200 .

Modified Duration should not be called simply Duration, to avoid confusion between the two concepts.

f. Convexity is a measure of the decrease in price-sensitivity of a security per unit increase in yield. More precisely, convexity equals the price of the security, differentiated twice with respect to Semiannual Yield, divided by the price. Assuming fixed cash flows (no prepayment variability), then

1 T (T +1 2) CF T (T +1 2) CF  Cash-Flow Convexity =  1 1 1 + 2 2 2 + ... 2 + 2T1 + 2T2 (1+ Y/200) P  (1 Y 200) (1 Y 200)  .

Convexity may be divided by 100 for purposes of expression.

g. For securities with fixed cash flows, Modified Duration and Cash-Flow Convexity can be used to approximate the price/yield relationship according to the formula

 2  Y − Y 1  Y − Y  P ≈ P 1− (Mod. Dur.) 0 + (Cash-Flow Conv.)  0   , 0    100 2 100 

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where P0 and Y0 are the price and yield today, respectively, and P and Y are the corresponding new price and yield.

When duration and convexity values are computed which do account for interest-sensitive cash flows in the above equation, reasonable care should be taken to distinguish these measures from their static cash-flow counterparts. (An adjective such as Option-Adjusted, Empirical, Effective or Implied would be appropriate.) For example, the Cash-Flow Convexity of a mortgage pass-through is always positive, while the Effective Convexity is frequently negative. Effective Duration should never be called Duration or Modified Duration.

h. An investment of P0 today, resulting in a market value of PT after T years on the 30/360 calendar, constitutes a Bond-Equivalent Total Rate of Return equal to

1 (2T ) − 200 [ (PT P0 ) 1 ] .

On a nonannualized basis, the Total Percentage Return (or Actual or Simple Total Return) is

− 100 [(PT P0 ) 1 ] .

All cash flows to which the holder would be entitled, as the owner of record during the holding period, are included. Cash flows not coinciding with the first or last day of the holding period should be compounded (or discounted, as appropriate) according to a specified reinvestment rate assumption. In particular, cash flows received on a delayed basis after the end of the holding period are discounted back to the end of the holding period using the assumed reinvestment rate.

The Bond-Equivalent Total Rate of Return is equal to the Bond-Equivalent Yield if the investment is held to final maturity and the intermediate cash flows are reinvested at a rate equal to the Bond-Equivalent Yield.

The phrase Total Return may be used to designate either the Rate of Return or the Percentage Return, but the choice of method should be made clear. Quotations that provide annualized rates other than on a bond-equivalent basis should be avoided.

Example: For a Ginnie Mae I 9.0% pass-through with 14-day actual delay, settled on the issue date, the correct price/yield equation is

CF1 CF2 P = ( ) + ( ) + ... . (1 + Y 200) 2 44 360 (1+ Y 200) 2 74 360

If the security is priced at par with a term of 360 months and an assumed prepayment speed of 150% PSA, then

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P = 100.0000, CF1 = 0.8242, CF2 = 0.8491, CF3 = 0.8738, CFK = ... , CF360 = 0.0562, Yield = 9.10675%, Mortgage Yield = 8.93863%, Average Life = 9.77844 years, Duration = 5.73147 years, Modified Duration = 5.48186 years, Cash-Flow Convexity = 54.4326 years2 (or 0.544326).

In addition, if a variable prepayment-rate model were estimating prices of 99.453 and 100.541 for yield shifts of 10 basis points up and down, respectively, then Effective Duration and Effective Convexity would be the numbers satisfying the equations

 2  0.10 1  0.10 ≈  − ( ) + ( )    99.453 100.000 1 Eff. Dur. Eff. Conv.    100 2 100  ,

 2  −0.10 1  −0.10 ≈  − ( ) + ( )    100.541 100.000 1 Eff. Dur. Eff. Conv.    100 2 100  . The simultaneous solution is

Effective Duration ≈ 5.44 years, Effective Convexity ≈ −60.0 years 2 (or − 0.600) .

If the security is sold three months later at an identical yield, with an assumed bond- equivalent reinvestment rate of R = 8% for the three pass-through cash flows, then

( − ) ( − ) = + + 2 T T1 + + 2 T T2 PT (Sale Price) (Pool Factor) CF1(1 R 200) CF2 (1 R 200) ( − ) + + 2 T T3 CF3 (1 R 200)

2(90−44)/360 2(90−74)/360 = (99.9934) (0.99701075) + 0.8242(1.04) + 0.8491(1.04)

2(90−104)/360 + 0.8738(1.04)

=102.2502 ,

Total Rate of Return = 9.102%,

Total Percentage Return = 2.250%.

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Example: If the same Ginnie Mae I 9.0% pass-through (360-month term, 150% PSA) is purchased at par, but for settlement seven days after the issue date, then the 360 cash flows are the same as in the previous example, but now (with accrued interest)

P = 100.1750,

Yield = 9.10644%.

2. Calculations for Floating-Rate MBS

Definitions follow for two of the most common measures of the value of a floating-rate security: Yield-to-Maturity Spread (YTM Spread) and Discounted Margin (DM). The consistency of calendar assumptions is particularly important for these calculations.

a. The YTM Spread is the difference between (1) the yield of a floating-rate security and (2) the yield of the index rate itself, assuming in both cases that the index rate takes on a certain fixed value for the indefinite future. (Unless otherwise specified, this should be the current level of the index rate.)

(1) Cash flows for the floater are computed strictly according to the specifics of the security (calendar basis, accrued interest, payment delay, reset frequency, reset margin, caps, floors, prepayment rates, etc.). The cash-flow yield of the floater is computed on a 30/360 Bond-Equivalent basis (as specified in Section G.1.) or else on an ACTUAL/360 Money-Market basis (following the same yield formula but defining the exponents TK according to ACTUAL/360 calendar accounting). Ordinarily, the TK will be computed on the same calendar basis as the cash flows. However, it is sometimes necessary to compare two securities whose cash flows are determined by different calendar bases. The TK must be computed on the same calendar basis for both. Quotations should always specify which calendar basis is being used.

(2) The cash-flow yield of the benchmark index is simply the index itself, converted if necessary to a 30/360 Bond-Equivalent basis or an ACTUAL/360 Money-Market basis, depending on the basis used to compute the cash-flow yield of the floater in (1) above. To convert ACTUAL/360 yields to 30/360 yields (or vice versa), the index rate should be multiplied (or divided, as appropriate) by a gross-up factor of 365/360. No gross-up conversion is necessary between ACTUAL/ACTUAL and 30/360 yields. After converting the index rate to the desired calendar basis (30/360 or ACTUAL/360), index rates expressed on a monthly, quarterly or annual compounding basis should be converted to semiannual compounding.

Calendar conventions for the most common reset indexes are as follows:

Index Term Calendar Payment/Compounding LIBOR under 1 year ACT/360 monthly, quarterly, semiannual LIBOR 1 year & over ACT/ACT annual T-Bills ACT/360 quarterly, semiannual, annual TSY/CMT 1 year & over 30/360 semiannual 11th District COFI ACT/ACT monthly

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b. The DM represents the increment over the index rate that causes the settlement price of a floating-rate security to equal the discounted present value of its cash flows, with yield-compounding frequency matching the security payment schedule. As in the YTM Spread calculation, the DM uses assumed future values for the index rate (which must be specified if not equal to the current level). The DM is more general than the YTM Spread, however, in that the DM allows for varying interest-rate scenarios and the YTM Spread does not. At the same time, the DM is less general than the YTM Spread in that DMs cannot be compared for securities with different payment frequencies, while YTM Spreads can. The full equation defining DM is

CF CF P = 1 + 2  I + DM   I + DM   I + DM  1+ 1 * (T − T ) 1+ 1 * (T − T ) * 1+ 2 * (T − T )  100 1 0   100 1 0   100 2 1 

+ CF3  I + DM   I + DM   I + DM  1+ 1 * (T − T ) * 1+ 2 * (T − T ) * 1+ 3 * (T − T )  100 1 0   100 2 1   100 3 2  + ... ,

where P is the dollar price of the security (including the correct accrued interest), CFK is the cash flow received by the investor at time TK (measured in years, and where T0 is settlement day), IK is the assumed index rate from time TK -1 to time TK (with gross-up calendar conversion as described in (2) above, as appropriate, but without semiannual compounding conversion), and the sum is over all future cash flows K = 1,2,... . Ordinarily, the TK will be computed on the same calendar basis as the cash flows. However, it is sometimes necessary to compare two securities whose payment frequencies are the same but whose cash flows are determined by different calendar bases. The TK must be computed on the same calendar basis for both. Quotations should always specify which calendar basis is being used.

Example: Each March 1 and September 1, a hypothetical FRCMO pays the interest accrued during the six-month period ending one month prior to the payment date, computed on an ACTUAL/ACTUAL calendar basis, using a rate that resets monthly to 50 basis points above the three-month LIBOR level on the second business day prior to the first of that month. Assume that the security trades at 99 for settlement on 3/17/89, with three- month LIBOR at 10-3/16%. Assume further that LIBOR was 9-3/8% on 1/30/89 and 10- 15/16% on 2/27/89, and that half the principal is repaid on 9/1/89 and half on 3/1/90.

All calculations will use the same cash flows:

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P = 99 +100 [(28/365) 0.098750 + (16/365) 0.114375] =100.2589, + + CF1 = 50 +100 [(28/365) 0.098750 (31/365) 0.114375 (122/365) 0.106875] = 55.3012,

CF2 = 50 + 50 [(184/365) 0.106875] = 52.6938.

Bond-Equivalent basis (30/360)

Yield of FRCMO:

CF1 CF2 P = ( ) + ( ) (1+ Y 200) 2 164 360 (1+ Y 200) 2 344 360

Result: 10.96675%

Yield of Index:

= + 2 − YIndex 200 { [1 (365 360)10.1875 400] 1 }

Result: 10.46235%

YTM Spread:

= − Y – YIndex 10.96675% 10.46235%

Result: 50.44 basis points

Discounted Margin: CF CF P = 1 + 2  I + DM 164   I + DM 164   I + DM 180  1+ 1 *  1+ 1 *  * 1+ 2 *   100 360  100 360  100 360

= = I1 I2 (365 360)10.1875

Result: 62.05 basis points

Money-Market basis (ACTUAL/360)

Yield of FRCMO:

CF1 CF2 P = ( ) + ( ) (1+ Y 200) 2 168 360 (1+ Y 200) 2 349 360

Result: 10.76838%

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Yield of Index:

2 Y = 200 [(1 +10.1875 400) −1 ] Index

Result: 10.31723%

YTM Spread:

= − Y – YIndex 10.76838% 10.31723%

Result: 45.11 basis points

Discounted Margin:

CF CF P = 1 + 2  I + DM 168   I + DM 168   I + DM 181  1+ 1 *  1+ 1 *  * 1+ 2 *   100 360  100 360  100 360

= = I1 I2 10.1875

Result: 56.89 basis points

3. Putable Project Loans

Certain Federal Housing Administration (FHA) project loans contain provisions allowing the holders of the loans to put them back to the Department of Housing and Urban Development (HUD) in exchange for a ten-year current-coupon FHA debenture. The current coupon is defined as an average ten-year Treasury rate. The face amount of the debenture is the remaining balance of the loan on the put date. The put feature can be exercised for one year beginning in the month following 20 years after the final endorsement date on the loan.

The following assumptions apply to yield and average-life calculations for putable project loans:

a. Although the debentures carry a ten-year current coupon and are backed by the full faith and credit of the U.S. Government, it is uncertain what the market value of the debentures will be immediately after they are issued. The standard assumption has been that the debentures trade roughly 60 basis points above the ten-year Treasury, equating to a dollar price of 96. In lieu of a specific yield assumption, the put price of the remaining project loan balance should therefore be assumed to be 96, unless explicitly stated otherwise.

b. The final endorsement date of a project loan may be before or after the origination of the loan. Therefore, a standard put date cannot be assumed (e.g., 20 years after loan origination). The put date used for calculations should be stated explicitly.

c. Once a put is declared to FHA, the agency is responsible for paying accrued interest on the debentures starting from the put date itself. Therefore, the debentures should be val-

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ued as if received on the put date, regardless of scheduled loan payment dates or payment delay.

Example: Suppose an FHA project loan pass-through has the following characteristics:

Gross Coupon = 7.50%

Net Coupon = 7.43%

Actual Delay = 24 days

Original Term = 40 years

Origination Date = 2/1/79

Put Date = 6/1/99

Put calculations should then be based on the investor’s receiving the 6/99 principal balance (valued at 96%, paid on the put date) plus 100% of the final pass-through cash flow (the principal and interest for 5/99, paid on 6/25/99 according to the scheduled delay). These represent standard valuation assumptions, not actual cash flows. If the security trades at 85 for settlement on 2/1/89, then

Yield to Put = 9.77078%,

Average Life to Put = 9.72452 years.

H. Accrual Instruments 1. Average Life of Accrual Instruments

For CMO Z-bonds, Graduated-Payment Mortgages (GPMs) or Adjustable-Rate Mortgages (ARMs) with capped payments, principal balances can increase over the life of the bonds. Interest accrued (but not paid out) for a payment period is treated as a negative principal payment, occurring on the payment date for that period. This is consistent with the accepted definition of the net cash flow on a payment date as the sum of

(1) simple interest due on the principal balance for the full payment period

and

(2) a return of principal (positive or negative).

No portion of the cash flow is treated as interest-on-interest. Instead, there is a formal conversion of accrued interest to loan principal on payment dates (negative amortization).

It follows that at the end of every payment period, one should first compute the value of “(1)” and then subtract it from the net cash flow on the payment date to obtain the correct value of “(2).” The outstanding principal balance changes by amount “(2),” and only on payment dates, not daily.

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Long-standing market practices have resulted in different methods for calculating average life for pass-through securities (notably GPMs and payment-capped ARMs) and for CMOs. Because of widespread acceptance of these methods within their respective market segments, the Standard Formulas for average life are product-specific.

For GPMs and ARMs, all periodic principal payments, positive or negative, should be included in both the numerator and denominator of the average-life calculation (see Section G.1.c.), so that the denominator equals the principal balance in effect for the period of the settlement date (exclusive of accrued interest). For Z-bonds, the numerator and denominator should include only the positive principal payments (amount “(2)” if positive, 0 otherwise), and the denominator will generally be larger than the principal balance at settlement.

Example: To illustrate these points, consider the following hypothetical accrual instrument:

Net 10% Periodic Principal Repayment Principal Time Cash Flow Interest (= Cash Flow – Interest) Balance 0 –100 100 1 0 10 –10 110 2 11 11 0 110 3 121 11 110 0

If there is no cash-flow delay, then the average life under the GPM/ARM convention is

1(−10) + 2(0) + 3(110) 320 = = 3.20 periods. −10 + 0 + 110 100

Under the Z-bond convention, the average life is

1(0) + 2(0) + 3(110) 330 = = 3.00 periods. 0 + 0 + 10 110

The GPM/ARM definition has the advantage of preserving the intended relationship between average life and interest-rate risk. In particular, the average life of a fixed-income security should roughly equal the term to maturity for which a bullet with the same coupon would have the same price-sensitivity per purchase dollar. This is the purpose for which average life is used in the absence of duration measures. In general, negative principal payments lead to longer average lives, in some cases longer than the final maturity.

It should be noted that the Z-bond definition of average life can substantially understate the true interest-rate sensitivity of a security, and that the combined average life of the bond classes of a CMO containing Z-bonds can be inconsistent with the average life of the underlying collateral. Analysts and traders should be aware of these facts when average-life comparisons are being made.

2. Accrual Calculations for CMO Z-Bonds

The special calculation method for the settlement of accrual bonds has been discontinued for trades made on or after July 15, 1991, with settlement on or after October 1, 1991. Henceforth, these trades will follow the standards set forth in Sections F.1. and F.2.

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