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Table of Contents
Index to Financial Statements
The Company acquired ETCF Asset Funding Corporation and the retained beneficial interests in October 2003 (see Note 4). The carrying
value of this retained beneficial interest is subject to future volatility in credit, interest rate and prepayment risk. The following table presents a
sensitivity analysis of each of portfolio of securitized receivables at December 31, 2004 (dollars in thousands):
The sensitivities and estimates shown in the preceding table are hypothetical; actual future performance and results can vary significantly.
As the sensitivity analysis table shows, changes in the fair value based on a 10% variation in assumptions generally cannot be extrapolated
because the relationship of the change in assumption to the change in fair value may not be linear. Also, in this table, the effect of a variation in
a particular assumption on the fair value of the preference shares is calculated without changing any other assumption. Changes in one factor
may result in changes in another factor (for example, increases in market interest rates may result in lower prepayments and increased credit
losses), which might magnify or counteract the sensitivities.
93
RV
1999-1
Marine
1999-2
RV
1999-3
RV/Marine
2001-1
RV/Marine
2004-1
Fair value of residual investment
(1)
At December 31, 2004
$
9,024
$
10,871
$
2,825
$
3,538
$
10,877
At October 20, 2003 (initial value)
$
9,740
$
12,775
$
4,223
$
3,981
n/a
Weighted
-
average remaining life (years)
0.85
1.12
1.90
2.67
3.21
Weighted
-
average prepayment speed
26
%
25
%
20
%
25
%
20
%
Impact of 10% adverse change
$
(8
)
$
133
$
75
$
37
$
(331
)
Impact of 20% adverse change
$
(1
)
$
265
$
109
$
79
$
(590
)
Weighted
-
average discount rate
9
%
9
%
9
%
9
%
15
%
Impact of 10% adverse change
$
(63
)
$
(100
)
$
(44
)
$
(77
)
$
(575
)
Impact of 20% adverse change
$
(125
)
$
(199
)
$
(87
)
$
(151
)
$
(1,078
)
Weighted
-
average expected credit losses
1.74
%
2.34
%
1.88
%
3.44
%
1.48
%
Impact of 10% adverse change
$
(185
)
$
(172
)
$
(196
)
$
(477
)
$
(352
)
Impact of 20% adverse change
$
(370
)
$
(343
)
$
(332
)
$
(950
)
$
(658
)
Actual credit losses
Since trust inception
(2)
$
29,104
$
9,464
$
9,498
$
11,303
n/a
Since acquisition on October 20,
2003
$
5,031
$
1,021
$
1,609
$
3,575
n/a
For the year ended December 31, 2004
Actual interest payments received
$
1,205
$
1,009
$
385
$
1,809
n/a
Actual principal payments received
$
81
$
206
$
84
n/a
n/a
(1)
Based on calculated discounted expected future cash flows, premised on weighted-average life, prepayment speed, discount rate and expected credit losses shown in this table.
(2)
Default base on the entire balance of the amount securitized as follows: 1990-1: $1,000,003; 1992-2: $550,000; 1999-3: $374,531; 2001-1: $529,467; 2004-1: $308,996.