BlackRock Ramp Loss Distribution Analysis Sample Clauses

BlackRock Ramp Loss Distribution Analysis. The tables below show the Collateral Loss to Maturity and the Weighted-Average Life (WAL) of the referenced class at the Breakeven Percentage of the BlackRock Ramp Loss Distribution. The Breakeven Percentage of the BlackRock Ramp Loss Distribution is the highest percentage that can be sustained without a writedown to the referenced class assuming: · Various Prepayment Speeds · Various Interest Rate Stresses · Delinquency Trigger Fails (no stepdown) · 40% Loss Severity · 12-Month Lag from Default to Loss Class M-1 % of BR_Ramp 999% 1856% 3517% 9438% WAL (Yrs) 5.5 3.6 2.9 2.3 Total Losses 23.54% 19.76% 18.71% 18.16% Loss on Bond - - - - Libor Spot Spot Spot Spot % of BR_Ramp 972% 1843% 3525% 9498% WAL (Yrs) 5.6 3.6 2.9 2.3 Total Losses 23.35% 19.73% 18.72% 18.16% Loss on Bond - - - - ▇▇▇▇▇ Forward Forward Forward Forward % of BR_Ramp 895% 1770% 3518% 9574% WAL (Yrs) 5.9 3.6 2.9 2.3 Total Losses 22.78% 19.51% 18.71% 18.17% Loss on Bond - - - - Libor Fwd + 200 bps Fwd + 200 bps Fwd + 200 bps Fwd + 200 bps % of BR_Ramp 757% 1685% 3550% 10172% WAL (Yrs) 7.1 3.7 2.9 2.3 Total Losses 21.33% 19.21% 18.76% 18.24% Loss on Bond - - - - Libor Fwd + 400 bps Fwd + 400 bps Fwd + 400 bps Fwd + 400 bps % of BR_Ramp 927% 1803% 3521% 9537% WAL (Yrs) 5.7 3.6 2.9 2.3 Total Losses 23.03% 19.61% 18.72% 18.17% Loss on Bond - - - - Libor BR_FW D BR_FWD BR_FWD BR_FWD % of BR_Ramp 450% 283% 303% 931% WAL (Yrs) 16.1 8.8 5.2 3.4 Total Losses 13.50% 8.27% 5.86% 4.92% Loss on Bond - - - - Libor Spot Spot Spot Spot % of BR_Ramp 439% 277% 305% 950% WAL (Yrs) 16.4 9.0 5.2 3.4 Total Losses 13.17% 8.14% 5.98% 5.01% Loss on Bond - - - - ▇▇▇▇▇ Forward Forward Forward Forward % of BR_Ramp 411% 261% 314% 1035% WAL (Yrs) 17.0 9.2 5.2 3.4 Total Losses 12.33% 7.80% 5.98% 5.39% Loss on Bond - - - - Libor Fwd + 200 bps Fwd + 200 bps Fwd + 200 bps Fwd + 200 bps % of BR_Ramp 325% 231% 322% 1133% WAL (Yrs) 18.2 10.4 5.1 3.4 Total Losses 9.75% 6.93% 6.08% 5.83% Loss on Bond - - - - Libor Fwd + 400 bps Fwd + 400 bps Fwd + 400 bps Fwd + 400 bps % of BR_Ramp 423% 268% 312% 1002% WAL (Yrs) 16.7 9.1 5.2 3.4 Total Losses 12.69% 7.95% 5.96% 5.25% Loss on Bond - - - - Libor BR_FWD BR_FWD BR_FWD BR_FWD · Fixed Prepayment Speeds at 50% of PPC · ARM Prepayment Speeds at 100% of PPC · Forward LIBOR Interest Rate Stress · Delinquency Trigger Fails (no stepdown) · 40% Loss Severity · 12-Month Lag from Default to Loss % of BR_Ramp 1711% % of BR_Ramp 286% WAL (Yrs) 3.8 WAL (Yrs) 16.6 Total Losses 19.86% Total Losses 8.34...