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Fees. 6.34%. Swap. 8.0%. LIBOR. Senior. SUM. 2.3%. 70 bps. (11 – 8.7). 80M. 2.0%. Mezzanine. 9.0%. 10M. 11%. 10M. 25.1%. Equity. (2.3x80 + 2x10 + 11x10)/10 – 6.34. Year 1: Assume 2 percent default rate (no recovery and default occurs before interest payment). Fees. 6.34%.

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  1. Fees 6.34% Swap 8.0% LIBOR Senior SUM 2.3% 70 bps (11 – 8.7) 80M 2.0% Mezzanine 9.0% 10M 11% 10M 25.1% Equity (2.3x80 + 2x10 + 11x10)/10 – 6.34

  2. Year 1: Assume 2 percent default rate (no recovery and default occurs before interest payment) Fees 6.34% Swap 8.0% LIBOR Senior SUM 2.3% 70 bps (11 – 8.7) 80M 2.0% Mezzanine 9.0% 10M 11% 8M 22.9% Equity (2.3x80 + 2x10 + 11x8)/10 – 6.34 Par Value Test = .98

  3. Year 2: Assume 2 percent default rate (no recovery) Par value = .98x.98x100 = 96.04 Fees 6.34% Swap 8.0% LIBOR Senior SUM 2.3% 70 bps (11 – 8.7) 80M 2.0% Mezzanine 9.0% 10M 11% 6.04M 21.1% Equity (2.3x80 + 2x10 + 11x6.4)/10 – 6.34 Par Value Test = .9604

  4. Year 3: Assume 2 percent default rate (no recovery) Par value = .98x.98x.98x100 = 94.11 Fees 6.34% Swap 8.0% LIBOR Senior SUM 2.3% 70 bps (11 – 8.7) 80M 2.0% Mezzanine 9.0% 10M 11% 4.11M 18.62% Equity (2.3x80 + 2x10 + 11x4.11)/10 – 6.34 Par Value Test = .9411

  5. Year 5: Assume 2 percent default rate (no recovery) Par value = .98x.98x.98x.98x.98x100 = 90.39 Fees 6.34% Swap 8.0% LIBOR Senior SUM 2.3% 70 bps (11 – 8.7) 80M 2.0% Mezzanine 9.0% 10M 11% .39M 14.53% Equity (2.3x80 + 2x10 + 11x.39)/10 – 6.34 Par Value Test = .9039

  6. Year 6: Assume 2 percent default rate (no recovery) Par value = 90.39x.98 = 88.58 Fees 6.34% Swap 8.0% LIBOR Senior SUM 2.3% 70 bps (11 – 8.7) 80M 2.0% Mezzanine 9.0% 8.19M 11% .0M 14.1% Equity (2.3x80 + 2x10)/10 – 6.34 Par Value Test = .8858

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