Interpolated
Market Rates
Months End of Month
Pricing Rate Discount Factor 0.9969 0.9939 0.9909 0.9879 0.9848 0.9819 0.9788 0.9757 0.9726 0.9694 0.9661 0.9628 0.9593 0.9558 0.9522 0.9486 0.9449 0.9412 0.9374 0.9336 0.9297 0.9258 0.9218 0.9178 0.9138 0.9099 0.9058 0.9018 0.8977 0.8936 0.8894 0.8852 0.8810 0.8768 0.8725 0.8682 0.8641 0.8601 0.8560 0.8519 0.8477 0.8436 0.8395 0.8353 0.8311 0.8269 Notional 14,400,000 13,600,000 13,600,000 13,600,000 13,600,000 13,600,000 13,600,000 13,600,000 13,600,000 13,600,000 13,600,000 13,600,000 13,600,000 12,800,000 12,800,000 12,800,000 12,800,000 12,800,000 12,800,000 12,800,000 12,800,000 12,800,000 12,800,000 12,800,000 12,800,000
Wachovia Swap Swap Fx Cash Flow rate 5.79% (13,215,430) 5.79% (65,620) 5.79% (65,620) 5.79% (65,620) 5.79% (65,620) 5.79% (65,620) 5.79% (65,620) 5.79% (65,620) 5.79% (65,620) 5.79% (65,620) 5.79% (65,620) 5.79% (65,620) 5.79% (65,620) 5.79% (61,760) 5.79% (61,760) 5.79% (61,760) 5.79% (61,760) 5.79% (61,760) 5.79% (61,760) 5.79% (61,760) 5.79% (61,760) 5.79% (61,760) 5.79% (61,760) 5.79% (61,760) 5.79% (12,861,760)
Spot
Swap
Spread
PV
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46
####### Aug/01 Sep/01 Oct/01 Nov/01 Dec/01 Jan/02 Feb/02 Mar/02 Apr/02 May/02 Jun/02 Jul/02 Aug/02 Sep/02 Oct/02 Nov/02 Dec/02 Jan/03 Feb/03 Mar/03 Apr/03 May/03 Jun/03 Jul/03 Aug/03 Sep/03 Oct/03 Nov/03 Dec/03 Jan/04 Feb/04 Mar/04 Apr/04 May/04 Jun/04 Jul/04 Aug/04 Sep/04 Oct/04 Nov/04 Dec/04 Jan/05 Feb/05 Mar/05 Apr/05 May/05
3.740% 3.698% 3.656% 3.650% 3.681% 3.669%
3.656%
0.000%
3.669%
0.000%
3.709%
3.798%
3.798%
0.000%
4.297%
4.332%
0.035%
4.721%
4.787%
0.066%
3.740% 3.698% 3.656% 3.650% 3.681% 3.669% 3.682% 3.695% 3.709% 3.739% 3.768% 3.798% 3.840% 3.881% 3.923% 3.964% 4.006% 4.048% 4.089% 4.131% 4.172% 4.214% 4.255% 4.297% 4.332% 4.368% 4.403% 4.438% 4.474% 4.509% 4.544% 4.580% 4.615% 4.650% 4.686% 4.721% 4.746% 4.770% 4.795% 4.820% 4.844% 4.869% 4.894% 4.918% 4.943% 4.968%
47 48 49 50 51 52 53 54 55 56 57 58 59 60 61
Jun/05 Jul/05 Aug/05 Sep/05 Oct/05 Nov/05 Dec/05 Jan/06 Feb/06 Mar/06 Apr/06 May/06 Jun/06 Jul/06 Aug/06
5.017%
5.110%
0.093%
5.241%
5.339%
0.098%
4.992% 5.017% 5.036% 5.054% 5.073% 5.092% 5.110% 5.129% 5.148% 5.166% 5.185% 5.204% 5.222% 5.241% 5.260%
0.8227 0.8185 0.8145 0.8105 0.8064 0.8024 0.7983 0.7943 0.7902 0.7862 0.7821 0.7780 0.7740 0.7699 0.7658
Rate
6.000%
5.000% 4.000% Spot Rate 3.000% 2.000% 1.000%
0.000%
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41
Months
achovia Swap FRN Cash Flow Value of Swap Notional
Banc of America Swap Swap rate Fx Cash Flow FRN Cash Flow Value of Swap (1,274,478) #######
######### (415,430) 27,000,000 27,000,000 26,887,500 26,775,000 26,662,500 26,550,000 26,437,500 26,325,000 26,212,500 26,100,000 25,987,500 25,875,000 25,762,500 25,650,000 25,537,500 25,425,000 25,312,500 25,200,000 25,087,500 24,975,000 24,862,500 24,750,000 24,637,500 24,525,000 24,412,500 24,300,000 24,187,500 24,075,000 23,962,500 23,850,000 23,737,500 23,625,000 23,512,500 23,400,000 23,287,500 23,175,000 23,062,500 22,950,000 22,837,500 22,725,000 22,612,500 22,500,000 22,387,500 22,275,000 22,162,500 22,050,000 21,937,500
5.73% 5.73% (21,636,978) 20,362,500 5.73% (128,925) 5.73% (128,388) 5.73% (127,851) 5.73% (127,313) 5.73% (126,776) 5.73% (126,239) 5.73% (125,702) 5.73% (125,165) 5.73% (124,628) 5.73% (124,090) 5.73% (123,553) 5.73% (123,016) 5.73% (122,479) 5.73% (121,942) 5.73% (121,404) 5.73% (120,867) 5.73% (120,330) 5.73% (119,793) 5.73% (119,256) 5.73% (118,718) 5.73% (118,181) 5.73% (117,644) 5.73% (117,107) 5.73% (116,570) 5.73% (116,033) 5.73% (115,495) 5.73% (114,958) 5.73% (114,421) 5.73% (113,884) 5.73% (113,347) 5.73% (112,809) 5.73% (112,272) 5.73% (111,735) 5.73% (111,198) 5.73% (110,661) 5.73% (110,123) 5.73% (109,586) 5.73% (109,049) 5.73% (108,512) 5.73% (107,975) 5.73% (107,438) 5.73% (106,900) 5.73% (106,363) 5.73% (105,826) 5.73% (105,289)
21,825,000 21,712,500 21,600,000 21,487,500 21,375,000 21,262,500 21,150,000 21,037,500 20,925,000 20,812,500 20,700,000 20,587,500 20,475,000 20,362,500
5.73% (104,752) 5.73% (104,214) 5.73% (103,677) 5.73% (103,140) 5.73% (102,603) 5.73% (102,066) 5.73% (101,528) 5.73% (100,991) 5.73% (100,454) 5.73% (99,917) 5.73% (99,380) 5.73% (98,843) 5.73% (98,305) 5.73% (97,768) 5.73% (20,459,731)
41
43
45
47
49
51
53
55
57
59
Fx CF w/ Loan Additional Ammount Spread (bp) 41 440,789 real ammount (22,069,343) 432,365 (138,150) (137,574) (136,999) (136,423) (135,848) (135,272) (134,696) (134,121) (133,545) (132,969) (132,394) (131,818) 1 (131,243) 2 (130,667) 3 (130,091) 4 (129,516) 5 (128,940) 6 (128,364) 7 (127,789) 8 (127,213) 9 (126,638) 10 (126,062) 11 (125,486) (124,911) 1 (124,335) 2 (123,759) 3 (123,184) 4 (122,608) 5 (122,033) 6 (121,457) 7 (120,881) 8 (120,306) 9 (119,730) 10 (119,154) 11 (118,579) (118,003) 1 (117,428) 2 (116,852) 3 (116,276) 4 (115,701) 5 (115,125) 6 (114,549) 7 (113,974) 8 (113,398) 9 (112,823) 10
(112,247) (111,671) (111,096) (110,520) (109,944) (109,369) (108,793) (108,218) (107,642) (107,066) (106,491) (105,915) (105,339) (104,764) (20,466,688)
11 1 2 3 4 5 6 7 8 9 10 11
3.5
Pricing Rate + Discount Swap End of Months Swap Fx Cash Flow Month Factor rate spread 0 7/31/2001 5.79% (13,214,559) 1 Aug/01 3.744% 0.9969 5.79% (65,620) 2 Sep/01 3.701% 0.9939 5.79% (65,620) 3 Oct/01 3.660% 0.9909 5.79% (65,620) 4 Nov/01 3.654% 0.9879 5.79% (65,620) 5 Dec/01 3.685% 0.9848 5.79% (65,620) 6 Jan/02 3.672% 0.9818 5.79% (65,620) 7 Feb/02 3.686% 0.9788 5.79% (65,620) 8 Mar/02 3.699% 0.9757 5.79% (65,620) 9 Apr/02 3.712% 0.9726 5.79% (65,620) 10 May/02 3.742% 0.9693 5.79% (65,620) 11 Jun/02 3.772% 0.9661 5.79% (65,620) 12 Jul/02 3.802% 0.9628 5.79% (65,620) 13 Aug/02 3.843% 0.9593 5.79% (61,760) 14 Sep/02 3.885% 0.9558 5.79% (61,760) 15 Oct/02 3.926% 0.9522 5.79% (61,760) 16 Nov/02 3.968% 0.9486 5.79% (61,760) 17 Dec/02 4.009% 0.9449 5.79% (61,760) 18 Jan/03 4.051% 0.9411 5.79% (61,760) 19 Feb/03 4.093% 0.9374 5.79% (61,760) 20 Mar/03 4.134% 0.9335 5.79% (61,760) 21 Apr/03 4.176% 0.9296 5.79% (61,760) 22 May/03 4.217% 0.9257 5.79% (61,760) 23 Jun/03 4.259% 0.9217 5.79% (61,760) 24 Jul/03 4.301% 0.9177 5.79% (12,861,760) 25 Aug/03 4.336% 0.9138 26 Sep/03 4.371% 0.9098 27 Oct/03 4.407% 0.9058 28 Nov/03 4.442% 0.9017 29 Dec/03 4.477% 0.8976 30 Jan/04 4.513% 0.8935 31 Feb/04 4.548% 0.8894 32 Mar/04 4.583% 0.8852 33 Apr/04 4.619% 0.8809 34 May/04 4.654% 0.8767 35 Jun/04 4.689% 0.8724 36 Jul/04 4.725% 0.8681 37 Aug/04 4.749% 0.8640 38 Sep/04 4.774% 0.8600 39 Oct/04 4.799% 0.8559 40 Nov/04 4.823% 0.8518 41 Dec/04 4.848% 0.8476 42 Jan/05 4.873% 0.8435 43 Feb/05 4.897% 0.8394 44 Mar/05 4.922% 0.8352 45 Apr/05 4.947% 0.8310 46 May/05 4.971% 0.8268
Wachovia Swap Swap rate 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% Fx Cash Flow (12,844,981) (49,096) (49,096) (49,096) (49,096) (49,096) (49,096) (49,096) (49,096) (49,096) (49,096) (49,096) (49,096) (46,208) (46,208) (46,208) (46,208) (46,208) (46,208) (46,208) (46,208) (46,208) (46,208) (46,208) (12,846,208) Loss to long on Fx (369,578) (16,524) (16,524) (16,524) (16,524) (16,524) (16,524) (16,524) (16,524) (16,524) (16,524) (16,524) (16,524) (15,552) (15,552) (15,552) (15,552) (15,552) (15,552) (15,552) (15,552) (15,552) (15,552) (15,552) (15,552)
47 48 49 50 51 52 53 54 55 56 57 58 59 60 61
Jun/05 Jul/05 Aug/05 Sep/05 Oct/05 Nov/05 Dec/05 Jan/06 Feb/06 Mar/06 Apr/06 May/06 Jun/06 Jul/06 Aug/06
4.996% 5.021% 5.039% 5.058% 5.077% 5.095% 5.114% 5.133% 5.151% 5.170% 5.189% 5.207% 5.226% 5.245% 5.263%
0.8226 0.8184 0.8144 0.8103 0.8063 0.8023 0.7982 0.7942 0.7901 0.7860 0.7820 0.7779 0.7738 0.7698 0.7657
Banc of America Swap Value of Long Swap Notional Swap Fx Cash Flow rate 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% (21,633,711) (128,925) (128,388) (127,851) (127,313) (126,776) (126,239) (125,702) (125,165) (124,628) (124,090) (123,553) (123,016) (122,479) (121,942) (121,404) (120,867) (120,330) (119,793) (119,256) (118,718) (118,181) (117,644) (117,107) (116,570) (116,033) (115,495) (114,958) (114,421) (113,884) (113,347) (112,809) (112,272) (111,735) (111,198) (110,661) (110,123) (109,586) (109,049) (108,512) (107,975) (107,438) (106,900) (106,363) (105,826) (105,289) Notional 27,000,000 27,000,000 26,887,500 26,775,000 26,662,500 26,550,000 26,437,500 26,325,000 26,212,500 26,100,000 25,987,500 25,875,000 25,762,500 25,650,000 25,537,500 25,425,000 25,312,500 25,200,000 25,087,500 24,975,000 24,862,500 24,750,000 24,637,500 24,525,000 24,412,500 24,300,000 24,187,500 24,075,000 23,962,500 23,850,000 23,737,500 23,625,000 23,512,500 23,400,000 23,287,500 23,175,000 23,062,500 22,950,000 22,837,500 22,725,000 22,612,500 22,500,000 22,387,500 22,275,000 22,162,500 22,050,000 21,937,500 Swap Fx Cash Flow rate 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% (20,916,678) (113,625) (113,152) (112,678) (112,205) (111,731) (111,258) (110,784) (110,311) (109,838) (109,364) (108,891) (108,417) (107,944) (107,470) (106,997) (106,523) (106,050) (105,577) (105,103) (104,630) (104,156) (103,683) (103,209) (102,736) (102,263) (101,789) (101,316) (100,842) (100,369) (99,895) (99,422) (98,948) (98,475) (98,002) (97,528) (97,055) (96,581) (96,108) (95,634) (95,161) (94,688) (94,214) (93,741) (93,267) (92,794) Loss to long on Fx
(369,578) 27,000,000 27,000,000 26,887,500 26,775,000 26,662,500 26,550,000 26,437,500 26,325,000 26,212,500 26,100,000 25,987,500 25,875,000 25,762,500 25,650,000 25,537,500 25,425,000 25,312,500 25,200,000 25,087,500 24,975,000 24,862,500 24,750,000 24,637,500 24,525,000 24,412,500 24,300,000 24,187,500 24,075,000 23,962,500 23,850,000 23,737,500 23,625,000 23,512,500 23,400,000 23,287,500 23,175,000 23,062,500 22,950,000 22,837,500 22,725,000 22,612,500 22,500,000 22,387,500 22,275,000 22,162,500 22,050,000 21,937,500
(717,787) (15,236) (15,173) (15,109) (15,045) (14,981) (14,918) (14,854) (14,790) (14,726) (14,663) (14,599) (14,535) (14,471) (14,408) (14,344) (14,280) (14,216) (14,153) (14,089) (14,025) (13,961) (13,898) (13,834) (13,770) (13,706) (13,643) (13,579) (13,515) (13,451) (13,388) (13,324) (13,260) (13,196) (13,133) (13,069) (13,005) (12,941) (12,878) (12,814) (12,750) (12,686) (12,623) (12,559) (12,495)
21,825,000 21,712,500 21,600,000 21,487,500 21,375,000 21,262,500 21,150,000 21,037,500 20,925,000 20,812,500 20,700,000 20,587,500 20,475,000 20,362,500
5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73% 5.73%
(104,752) (104,214) (103,677) (103,140) (102,603) (102,066) (101,528) (100,991) (100,454) (99,917) (99,380) (98,843) (98,305) (97,768) (20,459,731)
21,825,000 21,712,500 21,600,000 21,487,500 21,375,000 21,262,500 21,150,000 21,037,500 20,925,000 20,812,500 20,700,000 20,587,500 20,475,000 20,362,500
5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05% 5.05%
(92,320) (91,847) (91,373) (90,900) (90,427) (89,953) (89,480) (89,006) (88,533) (88,059) (87,586) (87,113) (86,639) (86,166) (20,448,192)
(12,431) (12,368) (12,304) (12,240) (12,176) (12,113) (12,049) (11,985) (11,921) (11,858) (11,794) (11,730) (11,666) (11,603) (11,539)
4.0 Swap Spread (bp)
Value of Long Swap 8/15/2001 (717,787) 9/15/2001
Pricing Rate + Discount Swap Factor spread
2.664% 2.643% 2.619% 2.613% 2.602% 2.589% 2.595% 2.601% 2.607% 2.648% 2.689% 2.730% 2.788% 2.845% 2.903% 2.960% 3.018% 3.076% 3.133% 3.191% 3.248% 3.306% 3.363% 3.421% 3.467% 3.514% 3.560% 3.606% 3.653% 3.699% 3.745% 3.792% 3.838% 3.884% 3.931% 3.977% 4.008% 4.038% 4.069% 4.099% 4.130% 4.161% 4.191% 4.222% 4.252%
0.9978 0.9956 0.9935 0.9913 0.9892 0.9872 0.9850 0.9828 0.9807 0.9782 0.9757 0.9731 0.9703 0.9674 0.9644 0.9613 0.9582 0.9550 0.9517 0.9483 0.9448 0.9413 0.9377 0.9340 0.9304 0.9268 0.9231 0.9194 0.9156 0.9118 0.9079 0.9040 0.9000 0.8959 0.8919 0.8877 0.8839 0.8802 0.8763 0.8725 0.8686 0.8647 0.8608 0.8568 0.8528
Fx CF w/o Loan Additional Ammount Spread (bp) 41 440,789 real ammount (21,201,382) 432,329 (119,700) (119,201) (118,703) (118,204) (117,705) (117,206) (116,708) (116,209) (115,710) (115,211) (114,713) (114,214) 1 (113,715) 2 (113,216) 3 (112,718) 4 (112,219) 5 (111,720) 6 (111,221) 7 (110,723) 8 (110,224) 9 (109,725) 10 (109,226) 11 (108,728) (108,229) 1 (107,730) 2 (107,231) 3 (106,733) 4 (106,234) 5 (105,735) 6 (105,236) 7 (104,738) 8 (104,239) 9 (103,740) 10 (103,241) 11 (102,743) (102,244) 1 (101,745) 2 (101,246) 3 (100,748) 4 (100,249) 5 (99,750) 6 (99,251) 7 (98,753) 8 (98,254) 9 (97,755) 10
1 2 3 4 5 6 7 8 9 10 11 1 2 3 4 5 6 7 8 9 10 11 1 2 3 4 5 6 7 8 9
4.283% 4.313% 4.344% 4.366% 4.388% 4.410% 4.432% 4.454% 4.476% 4.498% 4.520% 4.542% 4.564% 4.586% 4.608%
0.8488 0.8448 0.8408 0.8370 0.8332 0.8294 0.8256 0.8217 0.8179 0.8140 0.8101 0.8063 0.8024 0.7985 0.7946
(97,256) (96,758) (96,259) (95,760) (95,261) (94,763) (94,264) (93,765) (93,266) (92,768) (92,269) (91,770) (91,271) (90,773) (20,452,774)
11 1 2 3 4 5 6 7 8 9 10 11
10 11 1 2 3 4 5 6 7 8 9 10 11
Value of Swaps Swap Spread 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 Wachovia (7-31-01) (369,578) (369,591) (369,589) (369,587) (369,585) (369,583) (369,581) (369,579) (369,578) (369,576) (369,574) (369,572) B of A (8-15-01) (717,787) (717,787) (717,787) (717,787) (717,787) (717,787) (717,787) (717,787) (717,787) (717,787) (717,787) (717,787)