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CRE Finance World, Winter 2012

TRX.II.AAA.1 Primer: Structure, Cashflow & Breakeven Analysis We look forward to seeing you at the June Conference in Washington, DC JW Marriott Hotel June 11-13, 2012 1Deal qualifications include: 1) must contain at least 10 individuals commercial loans, 2) at least 95% of the underlying loans must have been originated in the US, 3) must be a multi-borrower deal and 4) the trustee reports and deal documentation must be reasonably obtainable by Markit 2Bond qualifications include: 1) tranche must be originally rated “AAA” by at least two rating agencies, 2) tranche must have the longest weighted average life of all the senior “AAA” bonds in the deal (if more than one such bond exists, the one with the larger principal balance will qualify), 3) tranche must have an expected WAL of between eight and twelve years, 4) must be denominated in USD and 4) Cannot be insured or guaranteed by any third party. 3Index Review Dates will occur on February 1st, May 1st, August 1st, and November 1st. Index rebalancing operates on a two month lag; all new constituents from an Index Review Date will become effective two Period End Dates following that date on the first day of the next quarter. 4This is the difference between the settlement payment of $198,949.60 and the initial upfront payment $98,446.53. 5RBS, Bank of America, Citibank, Credit Suisse, Deutsche Bank, Gold- man Sachs, J.P. Morgan, Morgan Stanley, Nomura, UBS, and Wells Fargo. 6Cash flows are normalized across every deal. For instance, if a bond accrues from 10/1/11 to 11/1/11 with payment on 1/15/11, Markit assumes the bond accrues from 11/1/11 to 12/1/11 with payment on 12/1/11. Europe CRE Finance World Winter 2012 48


CRE Finance World, Winter 2012
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