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