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The carrying values of the retained beneficial interests are 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 (dollars in thousands):
RV
1999-3
RV/Marine
2001-1
RV/Marine
2004-1
Fair value of residual investment(1)
At December 31, 2006 $ 2,335 $ 1,058 $14,138
At initial value(2) $ 4,223 $ 3,981 $10,877
Weighted-average remaining life (years) 0.41 1.91 2.63
Weighted-average prepayment speed 11% 13% 16%
Impact of 10% adverse change $ (0) $ 9 $ (49)
Impact of 20% adverse change $ (1) $ 31 $ (102)
Weighted-average discount rate 15% 2% 12%
Impact of 10% adverse change $ (13) $ (4) $ (423)
Impact of 20% adverse change $ (25) $ (8) $ (819)
Weighted-average expected credit losses 2.03% 2.01% 0.62%
Impact of 10% adverse change $ (34) $ (282) $ (375)
Impact of 20% adverse change $ (68) $ (559) $ (771)
Actual credit losses
Since trust inception(3) $11,452 $17,319 $ 3,407
Since acquisition on October 20, 2003 $ 3,240 $ 9,123 N/A
For the year ended December 31, 2006
Actual cash received $ 74 $ 172 $ 1,254
(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) Initial value at December 31, 2004 for 2004-1 and October 20, 2003 for all remaining.
(3) Default base on the entire balance of the amount securitized as follows: 1999-3: $374,531; 2001-1: $529,467; 2004-1: $308,996.
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.
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