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Table of Contents
Index to Financial Statements
The Company acquired DRAFCO and the retained beneficial interest in October 2003 (see Note 3). The carrying value of DRAFCO’s
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 DRAFCO’s securitized receivables at December 31, 2003 (dollars in thousands):
The fair values of DRAFCO’s residual investments were based on calculations of discounted expected future cash flows. These
calculations were premised on weighted-average life, prepayment speed, discount rate and expected credit loss assumptions shown in the
preceding table.
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
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 (for example, increases in market interest rates may result in lower prepayments and increased credit losses),
which might magnify or counteract the sensitivities.
76
RV
1999-1
Marine
1999-2
RV
1999-3
RV/Marine
2001-1
Fair value of residual investment:
At December 31, 2003
$
9,165
$
12,709
$
4,069
$
4,850
At October 20, 2003
$
9,740
$
12,775
$
4,223
$
3,981
Weighted
-
average remaining life (years)
1.58
1.49
1.99
2.54
Weighted
-
average prepayment speed
30
%
36
%
30
%
30
%
Impact of 10% adverse change
$
21
$
65
$
(16
)
$
(75
)
Impact of 20% adverse change
$
24
$
95
$
(29
)
$
(148
)
Weighted
-
average discount rate
6.65
%
6.19
%
7.57
%
6.90
%
Impact of 10% adverse change
$
(100
)
$
(119
)
$
(62
)
$
(85
)
Impact of 20% adverse change
$
(200
)
$
(237
)
$
(122
)
$
(168
)
Weighted
-
average expected credit losses
1.95
%
0.73
%
1.05
%
1.76
%
Impact of 10% adverse change
$
(550
)
$
(97
)
$
(167
)
$
(681
)
Impact of 20% adverse change
$
(1,467
)
$
(194
)
$
(334
)
$
(1,343
)
Actual credit losses
Since trust inception(1)
$
25,502
$
8,762
$
12,379
$
8,191
Since acquisition on October 20, 2003
$
1,206
$
324
$
450
$
847
For the three months ended December 31, 2003:
Actual interest payments received
$
121
$
590
$
36
$
961
Actual principal payments received
$
238
$
250
$
107
n/a
For the year ended December 31, 2003:
Actual interest payments received
$
907
$
801
$
648
$
1,334
Actual principal payments received
$
1,196
$
1,526
$
525
n/a
(1) Defaults based on the entire balance of the amount securitized as follows: 1999-1: $1,000,003; 1999-2: $550,000; 1999-3: $374,531; 2001-1: $529,467.