Sample Model- Asset Backed Securities

Tranche A

Tranche B

Tranche C

Tranche D

Structure

Collateral Pool-Borrowers

Originator

Installments

Special Purpose Vehicle

Sell Collateral Pool

Proceeds

Collections Account(Overseen

by Trustee)

Payments from borrowers deposited by Originator

Issue Tranches

Proceeds

Payments passed through in order of Priority to investors

Consideration

Placement of bonds

Investors

Model information-Cash Flow Analysis

Collateral Pool

Defaults and Prepayment stresses

Rating specific Default and Loss rates and CPR

applied

Cash Flow Waterfall and Priorities of Payments

Purpose•The excel Cash Flow model replicates the waterfall and priorities of payments to generate scenario based pro-forma cash flows.

Scenarios• Each scenario is a rating specific loss scenario that runs from a hypothetical recession from a starting month to ending month.

• A Prepayment stress is also modeled that runs from a start month to an end month. Greater the prepayment rate, lesser the excess spread and more stressful the scenario.

Ultimate Principal• We test for ultimate principal given the pass through nature of the notes .

•A Tranche would pass a rating level if it gets redeemed by its legal final maturity date

Timely Interest• A Tranche passes a rating level if it is paid its interest accrued on all interest payment dates up to its redemption date

Rating Level• A Tranche is assigned a rating if it passes on the above 2 tests at the highest rating level tested

Model Output

Deal Structure

AssetsStarting Balance Margin Type First Payment Date Maturity Date Maturity(Months) € 100,000,000 7.50% Fixed 15-Jan-16 15-Dec-24 108

LiabilitiesTranche Starting Balance Type Index Margin Subordination

A € 45,000,000 Floating 1 Month Euribor 1.50% 55.00%

B € 25,000,000 Floating 1 Month Euribor 2.00% 30.00%

C € 20,000,000 Floating 1 Month Euribor 3.00% 10.00%D € 10,000,000 Floating 1 Month Euribor 3.50% 0.00%

Total € 100,000,000

Date and timingClosing date 15-Dec-15First notes Payment Date 15-Jan-16Notes Legal Final Maturity date 15-Dec-25Day Count Fraction Actual/360Payment Frequency Monthly

Senior FeesTrustee Fee 0.15%

Servicer Fee 0.20%

Administrative Fee 0.05%Fee charged as a % of the previous' month ending collateral balance

Deal structureWaterfall Use Interest Proceeds Use Principal Proceeds

1. Trustee Fee 2. Servicer Fee 3. Administrative Fee 4. Tranche A interest 5. Tranche B Interest 6. Tranche C Interest 7. Tranche D Interest 8. Tranche A principal (until Tranche is redeemed) 9. Tranche B principal (until Tranche is redeemed) 10. Tranche C principal (until Tranche is redeemed) 11. Tranche D principal (until Tranche is redeemed) 12. Release to excess spread

Senior Fee Payments

Interest Payments

Principal Payments

Retained by SPV

Model Assumptions

Recession Simulation

The model stresses cash flows by applying a recession that runs from a start month to an end month. This scenario results in foreclosures-leading to defaults and recoveries applied equally across the months. This has 2 components

PrepaymentsThe model applies prepayments to the collateral pool. Although prepayments accelerate the redemption of the notes, they also reduce the balance faster, resulting in lesser overall interest collections to service the interest on the liabilities This is entered as an annualized value (CPR)

Interest Rates The structure has fixed rate assets-but floating rate liabilities (indexed to 1 month Euribor). An adverse movement in interest rates can increase interest liabilities. Entered as a vector

Default Rate

The proportion of the beginning balance that defaults

Loss Severity

The proportion of the defaulted balance that is lost and not recovered

Net Loss

The proportion of the beginning balance that is lost

The Rating ProcessRating Level Default Multiple Loss Multiple Defaults Applied Losses Applied Net Loss

AAA 2.7 2.7 95% 68% 63.79%AA 2.2 2.2 77% 55% 42.35%A 2 2 70% 50% 35.00%

BBB 1.5 1.5 53% 38% 19.69%

BB 1.2 1.2 42% 30% 12.60%B 1 1 35% 25% 8.75%

Defaults

Default stresses YesDefaults Applied 42%Losses Applied 30%Defaults and losses start month 1Defaults and losses end month 36

Prepayments

Prepayment stresses YesAnnualized CPR 5%Prepayment start month 1Prepayment end month 36

Model OutputTranche Timely Interest Ultimate Principal

A PASS PASSB PASS PASSC PASS PASSD FAIL FAIL

Rating level dependent stress factors

Constant CPR level of 5% for all scenarios

Model ResultsB level (base case) – 35% (Default Rate) × 25% ( Loss Severity)

All Tranches pass at this level

01/Jan/1

6

01/Apr/1

6

01/Jul/1

6

01/Oct/

16

01/Jan/1

7

01/Apr/1

7

01/Jul/1

7

01/Oct/

17

01/Jan/1

8

01/Apr/1

8

01/Jul/1

8

01/Oct/

18

01/Jan/1

9

01/Apr/1

9

01/Jul/1

9

01/Oct/

19

01/Jan/2

0

01/Apr/2

0

01/Jul/2

0

01/Oct/

20

01/Jan/2

1

01/Apr/2

1

01/Jul/2

1

01/Oct/

21

01/Jan/2

2

01/Apr/2

2

01/Jul/2

2

01/Oct/

22

01/Jan/2

3

01/Apr/2

3

01/Jul/2

3

01/Oct/

23

01/Jan/2

4

01/Apr/2

4

01/Jul/2

4

01/Oct/2

4 € -

€ 500,000.00

€ 1,000,000.00

€ 1,500,000.00

€ 2,000,000.00

€ 2,500,000.00

€ 3,000,000.00 Collateral Payments

Recoveries Scheduled Principal Prepayments Interest

A

B

C

D

Notes Redemption

A B C D Unpaid Principal

Model ResultsBB level – 42% (Default Rate) × 30% ( Loss Severity)

Tranches A,B, and C pass at this level

01/Jan/1

6

01/Apr/1

6

01/Jul/1

6

01/Oct/

16

01/Jan/1

7

01/Apr/1

7

01/Jul/1

7

01/Oct/

17

01/Jan/1

8

01/Apr/1

8

01/Jul/1

8

01/Oct/

18

01/Jan/1

9

01/Apr/1

9

01/Jul/1

9

01/Oct/

19

01/Jan/2

0

01/Apr/2

0

01/Jul/2

0

01/Oct/

20

01/Jan/2

1

01/Apr/2

1

01/Jul/2

1

01/Oct/

21

01/Jan/2

2

01/Apr/2

2

01/Jul/2

2

01/Oct/

22

01/Jan/2

3

01/Apr/2

3

01/Jul/2

3

01/Oct/

23

01/Jan/2

4

01/Apr/2

4

01/Jul/2

4

01/Oct/2

4 € -

€ 500,000.00

€ 1,000,000.00

€ 1,500,000.00

€ 2,000,000.00

€ 2,500,000.00

€ 3,000,000.00 Collateral Payments

Recoveries Scheduled Principal Prepayments Interest

A

B

C

D

Notes Redemption

A B C D Unpaid Principal

Model ResultsBBB level – 53% (Default Rate) × 38% ( Loss Severity)

Tranches A and B pass at this level

01/Jan/1

6

01/Apr/1

6

01/Jul/1

6

01/Oct/

16

01/Jan/1

7

01/Apr/1

7

01/Jul/1

7

01/Oct/

17

01/Jan/1

8

01/Apr/1

8

01/Jul/1

8

01/Oct/

18

01/Jan/1

9

01/Apr/1

9

01/Jul/1

9

01/Oct/

19

01/Jan/2

0

01/Apr/2

0

01/Jul/2

0

01/Oct/

20

01/Jan/2

1

01/Apr/2

1

01/Jul/2

1

01/Oct/

21

01/Jan/2

2

01/Apr/2

2

01/Jul/2

2

01/Oct/

22

01/Jan/2

3

01/Apr/2

3

01/Jul/2

3

01/Oct/

23

01/Jan/2

4

01/Apr/2

4

01/Jul/2

4

01/Oct/2

4 € -

€ 500,000.00

€ 1,000,000.00

€ 1,500,000.00

€ 2,000,000.00

€ 2,500,000.00

€ 3,000,000.00 Collateral Payments

Recoveries Scheduled Principal Prepayments Interest

A

B

C

D

Notes Redemption

A B C D Unpaid Principal

Model ResultsA level – 70% (Default Rate) × 50% ( Loss Severity)

Tranches A and B pass at this level

01/Jan/1

6

01/Apr/1

6

01/Jul/1

6

01/Oct/

16

01/Jan/1

7

01/Apr/1

7

01/Jul/1

7

01/Oct/

17

01/Jan/1

8

01/Apr/1

8

01/Jul/1

8

01/Oct/

18

01/Jan/1

9

01/Apr/1

9

01/Jul/1

9

01/Oct/

19

01/Jan/2

0

01/Apr/2

0

01/Jul/2

0

01/Oct/

20

01/Jan/2

1

01/Apr/2

1

01/Jul/2

1

01/Oct/

21

01/Jan/2

2

01/Apr/2

2

01/Jul/2

2

01/Oct/

22

01/Jan/2

3

01/Apr/2

3

01/Jul/2

3

01/Oct/

23

01/Jan/2

4

01/Apr/2

4

01/Jul/2

4

01/Oct/2

4 € -

€ 500,000.00

€ 1,000,000.00

€ 1,500,000.00

€ 2,000,000.00

€ 2,500,000.00

€ 3,000,000.00 Collateral Payments

Recoveries Scheduled Principal Prepayments Interest

A

B

C

D

Notes Redemption

A B C D Unpaid Principal

A

B

C

D

Notes Redemption

A B C D Unpaid Principal

Model ResultsAA level – 77% (Default Rate) × 55% ( Loss Severity)

Only Tranche A passes at this level

01/Jan/1

6

01/Apr/1

6

01/Jul/1

6

01/Oct/

16

01/Jan/1

7

01/Apr/1

7

01/Jul/1

7

01/Oct/

17

01/Jan/1

8

01/Apr/1

8

01/Jul/1

8

01/Oct/

18

01/Jan/1

9

01/Apr/1

9

01/Jul/1

9

01/Oct/

19

01/Jan/2

0

01/Apr/2

0

01/Jul/2

0

01/Oct/

20

01/Jan/2

1

01/Apr/2

1

01/Jul/2

1

01/Oct/

21

01/Jan/2

2

01/Apr/2

2

01/Jul/2

2

01/Oct/

22

01/Jan/2

3

01/Apr/2

3

01/Jul/2

3

01/Oct/

23

01/Jan/2

4

01/Apr/2

4

01/Jul/2

4

01/Oct/2

4 € -

€ 500,000.00

€ 1,000,000.00

€ 1,500,000.00

€ 2,000,000.00

€ 2,500,000.00

€ 3,000,000.00 Collateral Payments

Recoveries Scheduled Principal Prepayments Interest

Model ResultsAAA level – 95% (Default Rate) × 68% ( Loss Severity)

Only Tranche A passes at this level

01/Jan/1

6

01/Apr/1

6

01/Jul/1

6

01/Oct/

16

01/Jan/1

7

01/Apr/1

7

01/Jul/1

7

01/Oct/

17

01/Jan/1

8

01/Apr/1

8

01/Jul/1

8

01/Oct/

18

01/Jan/1

9

01/Apr/1

9

01/Jul/1

9

01/Oct/

19

01/Jan/2

0

01/Apr/2

0

01/Jul/2

0

01/Oct/

20

01/Jan/2

1

01/Apr/2

1

01/Jul/2

1

01/Oct/

21

01/Jan/2

2

01/Apr/2

2

01/Jul/2

2

01/Oct/

22

01/Jan/2

3

01/Apr/2

3

01/Jul/2

3

01/Oct/

23

01/Jan/2

4

01/Apr/2

4

01/Jul/2

4

01/Oct/2

4 € -

€ 500,000.00

€ 1,000,000.00

€ 1,500,000.00

€ 2,000,000.00

€ 2,500,000.00

€ 3,000,000.00 Collateral Payments

Recoveries Scheduled Principal Prepayments Interest

A

B

C

D

Notes Redemption

A B C D Unpaid Principal

Model Results-SummaryRatings Assumptions

Rating LevelDefault

Multiple Loss Multiple Defaults Applied Losses Applied Net Loss Tranches PassedAAA 2.7 2.7 95% 68% 63.79% AAA 2.2 2.2 77% 55% 42.35% AA 2 2 70% 50% 35.00% A,B

BBB 1.5 1.5 53% 38% 19.69% A,BBB 1.2 1.2 42% 30% 12.60% A,B,CB 1 1 35% 25% 8.75% A,B,C,D

CPR:5%

Tranche Rating Level

A AAA

B A

C BB

D B