CORRESP 11 filename11.htm SEC Letter
(202) 274-2007   nquint@luselaw.com

May 14, 2009

VIA EDGAR

Securities and Exchange Commission

Division of Corporation Finance

100 F Street, N.E.

Washington, D.C. 20549

 

Attn.: Christian Windsor, Esq.

Mail Stop 4561

 

  Re: Territorial Bancorp Inc. (Registration No. 333-155388)

Registration Statement on Form S-1

Dear Mr. Windsor:

On behalf of Territorial Bancorp Inc. (the “Company”) and in accordance with Rule 101 of Regulation S-T, we are hereby transmitting Pre-effective Amendment No. 3 to the Company’s Registration Statement on Form S-1 (the “Amended S-1”). Set forth below are the comments from the Staff’s comment letter dated May 12, 2009, as well as the Company’s responses to those comments. The Amended S-1 has been blacklined to reflect changes from the original filing.

The Implementation of stock-based benefit plans will dilute your ownership interest, page 25

 

1. We note your response to our prior comment number 7. It is the staff’s understanding that the shares of Territorial held by the mutual holding company can be voted as part of any shareholder approval of the equity plans. Since the Board can direct how the shares held by the mutual holding company can be voted, approval of the equity plans is assured. Therefore, we reissue the prior comment regarding the risk to the shareholders that they would have little control over the approval of the equity compensation plans or the structure of those plans.

As discussed with the staff, page 26 has been revised to reflect the historical results with respect to stockholder adoption of stock-based benefit plans.

Securities and Exchange Commission

May 14, 2009

Page 2

 

Recent Developments, page 31

We note your new disclosure in this section and your response to comment one in your May 4, 2009 letter. We have the following comments:

 

2. On page F-19 you disclose that because the trust preferred securities market is inactive you use a discounted cash flow model to determine the estimated fair value of your trust preferred securities. You also use a discounted cash flow model to determine if they are other-than-temporarily impaired.

 

  a. Please provide us with the cash flow analysis used to determine that the estimated fair value of PreTSL XXII was $699,000 at March 31, 2009. Please identify all of the key assumptions and explain how you determined the assumptions were appropriate and consistent with the guidance in SFAS 157 and related interpretations.

Attached as Appendix A please find the Company’s cash flow analysis with respect to the determination of fair value. The assumptions used in the cash flow analysis are:

 

  •  

Actual calls, defaults and deferrals which have occurred to date are incorporated into the cash flow.

 

  •  

No recovery is assumed on deferrals or defaults which have occurred to date.

 

 

•

  

The auction is not successful in year 10 and the cash flows continue to year 30. This assumption is more conservative because it is unlikely that the performance of the trust preferred securities would have improved to allow for the call of the securities at the end of the 10th year.

 

  •  

There are no additional collateral pre-payments for the life of the deal

 

  •  

The following default assumptions were used in the cash flow analysis:

2009         5.30%

2010         2.40%

2011         .70%

2012         .70

2013         .70%

2014         and thereafter .35%

Securities and Exchange Commission

May 14, 2009

Page 3

 

  •  

The default assumptions were applied to the outstanding collateral balances to calculate the increase in defaults.

 

  •  

10% recovery on modeled defaults with a two-year recovery.

The default assumptions were obtained from analyses prepared by an independent third-party valuation advisory firm, Red Pine Advisors. Red Pine reviewed the financial condition of all of the issuers in the pools and independently created default assumptions for the remaining 27-year expected life of the security. The default assumptions have increased in the first quarter and are significantly higher that the original default rate assumption of 1.20% every three years. For December 31, 2008, the default assumptions for 2009 and 2010 were 3.40% and 2.20%, respectively.

 

  b. Please provide us with the cash flow analysis used to support that you will be able to collect all amounts due and that you will recover the entire amortized cost of PreTSL XXII as of March 31, 2009. Please identify all of the key assumptions and explain how you determined the assumptions were appropriate and consistent with the guidance in FSP FAS 115-2 and FAS 124-2.

Attached as Appendix A please find the Company’s cash flow analysis. The assumptions used in the cash flow analysis are listed in response to Comment 2.a., above. The assumptions considered all of the defaults which have occurred through March 31, 2009 and assume higher levels of defaults for the next five years. It was also assumed that the securities will not be called in year 10, as originally projected, and the transaction will continue to year 30.

Included in Appendix A please find a summary (“Other-Than-Temporary Impairment – March 31, 2009) that projects the Company will be able to recover the entire amortized cost of PreTSL XXIII. Since the present value of cash flows is greater than the amortized cost basis, the security is not considered to be impaired under FSP FAS 115-2 and 124-2. The cash flow analysis indicates that the credit enhancement features built into the security should allow the Bank to recover the entire amortized cost basis of the security. In assessing this issue, the Company considered several factors, including the fact that PreTSL XXIII is one of the largest TPS pools. The size of the pool provides a large amount of credit enhancement in the form of excess interest and overcollateralization provided to the D class by the lower-rate income note class.

Please note that page 35 has been revised to remove an inadvertent reference as to the Company’s expectation that it would be able to collect “all amounts due according to the original contractual terms of the security.”

Securities and Exchange Commission

May 14, 2009

Page 4

 

  c. Please identify the key differences between the cash flow analysis used to determine the fair value of the security and the cash flow analysis used to support your OTTI assessment. Provide objective evidence that supports these differences between your estimate of cash flows expected to be collected for your OTTI assessment and the estimate of cash flows used to determine fair value.

The assumptions used in the cash flow analysis are listed in response to Comment 2.a., above.

For the impairment analysis, the security’s effective current yield of 3.42% was used to discount the cash flows. Paragraph 24 of FSP FAS 115-2 indicates that the current yield should be used to discount the cash flows.

For the fair value analysis, since Level 1 and 2 inputs in accordance with SFAS 157 were not available, the Company used a discounted cash flow and risk-adjusted discount rate as a level 3 input. Since the trust preferred securities market is inactive, the Company used corporate bonds to arrive at an estimate what the current yield would be on trust preferred securities. The Company used Bloomberg to find the yield on BBB+, BBB and BB+ corporate bonds issued by banks as of March 31, 2009. A 1.0% liquidity premium was added to the weighted average yield of 12.11% on these bonds to arrive at a risk-adjusted discount rate of 13.11%. The liquidity premium was determined by finding the spread between the yield on BBB-rated corporate bonds and trust preferred securities at the end of 2007, when the trust preferred securities market was last active.

The Company’s discounted cash flow analysis was one input considered in determining fair value. The Company also obtained a valuation report prepared by Red Pine Advisors. Management considered the range of values and decided that Red Pine’s estimate of value should be assigned a 70% weight and a 30% weighted should be assigned to the Company’s discounted cash flow estimate. A greater weighting was placed on Red Pine’s estimate because it was prepared by an outside third-party. Based on this weighting, the fair value of PreTSL XXIII was 19.74 at March 31, 2009.

The spreadsheets used in the impairment and fair value analyses are attached as Appendix A to this letter.

* * * * *

Securities and Exchange Commission

May 14, 2009

Page 5

 

We trust the foregoing is responsive to the staff’s comments. The Company wishes to have the registration statement declared effective as soon as possible. We therefore request that the staff advise the undersigned at (202) 274-2007 or Lawrence Spaccasi of this office at (202) 274-2037 as soon as possible if it has any further comments.

Respectfully,

\s\ Ned Quint

Ned Quint

Enclosures

cc: David Lyon, Esq.

Michael Volley, CPA

Kevin Vaughn, CPA

Allan S. Kitagawa, Chairman of the Board,

    President and Chief Executive Officer

Lawrence Spaccasi, Esq.

Appendix A

Territorial Savings Bank

Margin of Trust Preferred Securities Compared to BBB Corporate Bonds

March 31, 2009

 

     Amount of
Securities
Purchased		    Effective
Yield
@ 12/31/07		     Amount of
Securities
Purchased
Times
Effective
Yield

PreTSL XXIII

    3,600,000    7.52 %   270,720

PreTSL XXIV

    3,500,000    7.66 %   268,100

Weighted Average Yield

    7,100,000    7.59 %   538,820

Yield on BBB Corporate Bonds @ 12/31/07

       6.82 %  

Margin of Trust Preferred Securities over Corporate Bonds @ 12/31/07

       0.77 %  

Adjustment for credit and liquidity risk of trust preferred (margin of trust preferred over corporate bonds rounded to the next highest 25 basis points)

       1.00 %  

Yield on BBB Corporate Bonds @ 3/31/09 (see attached)

       12.11 %  

Risk-Adjusted Discount Rate on Trust Preferred Securities

       13.11 %  

 

A-1

Territorial Savings Bank

BBB Bank Corporate Bonds

March 31, 2009

 

Issuer

    Coupon    Maturity
Date		    Price of
Bond		    Rating    Yield    Amount
Outstanding		    Yield
Times
Amount
Outstanding		  

BB&T CAPT TR I

    5.85    8/18/2035    77.49    BBB+    7.89    500,000,000    39,450,000  

BB&T CAPT TR II

    6.75    6/7/2036    87.61    BBB+    7.86    600,000,000    47,160,000  

COMERICA CAP TR

    6.58    2/20/2037    34.00    BBB    19.41    500,000,000    97,050,000  

FIFTH THIRD BANK

    8.25    3/1/2038    59.74    BBB+    14.00    1,000,000,000    140,000,000  

FIRST MIDWEST I

    6.95    12/1/2033    60.14    BB+    12.03    125,000,000    15,037,500  

BANK ONE CAP III

    8.75    9/1/2030    74.00    BBB+    12.19    475,000,000    57,902,500  

M&I MARSH&ILSLE

    6.00    12/16/2030    35.77    BBB+    17.59    4,455,000    783,635  

MARSHALL &ILSLEY

    6.30    3/13/2038    37.04    BBB+    17.23    743,000    128,019  

SOVEREIGN CAP TR

    7.91    6/13/2036    65.82    BBB+    12.27    300,000,000    36,810,000  

SUNTRUST CAPITAL

    6.10    12/15/2036    57.00    BBB    11.14    1,000,000,000    111,400,000  
            Total       4,505,198,000    545,721,653  
            Weighted Average Yield    12.11 %

 

A-2

Territorial Savings Bank

Other-Than-Temporary Impairment

March 31, 2009

 

     Dollar Price
of TSB’s
Security
Based on
Discounted
Cash Flow		    Estimated
Market Value
Calculated by
Red Pine
Advisors		    Estimated
Dollar Price
TSB’s
Security &		     Estimated
Fair Value #		    Book
Value @
12/31/08		    Difference
Between
Estimated
Fair Value
and Book
Value		    Current
Quarter’s
Credit Loss
(See
Below)		    Other
Comprehensive
Income
(Difference
Less Credit
Loss)		    Book
Value @
3/31/2009 $

PreTSL XXIII

    27.50    16.42    19.74     699,352    3,542,088    2,842,736    —      —      3,542,088

PreTSL XXIV

    25.29    12.21    16.13     561,646    997,767    436,121    298,042    138,079    561,636
     Amount of
Securities
Purchased		    Amount of
Securities
Issued		    Percentage of
Securities
Owned		     Total
Present
Value of
Cash Flows,
EITF 99-20		    Present
Value of
Cash Flows
for TSB’s
Security
(Percentage
Owned times
Total Present
Value)		    Outstanding
Principal		    Credit
Loss Recorded
in Previous
Quarters		    Amortized
Cost Basis
(Outstanding
Principal Less
Credit
Loss Recorded
in Previous
Quarters)		    Credit Loss
(Difference
Between
PV of Cash
Flows and
Amortized
Cost Basis)

PreTSL XXIII

    3,600,000    72,500,000    4.97 %   71,996,304    3,574,989    3,542,088    —      3,542,088    —  

PreTSL XXIV

    3,500,000    68,850,000    5.08 %   62,591,101    3,181,828    3,481,230    1,360    3,479,870    298,042

Notes:

 

& Estimated dollar price of TSB’s security is equal to the price calculated using market value estimated by Red Pine Advisors and by the discounted cash flow. The estimated market value was calculated by weighting Red Pine’s value by 70% and the discounted cash flow by 30%.

 

# Estimated fair value is the estimated dollar price times outstanding principal

 

$ Book value @ 3/31/09 is equal to the original principal balance less any principal repayments and impairment charges (credit and other comprehensive income).

 

A-3

Territorial Savings Bank

Discounted Cash Flow Value

March 31, 2009

 

     Amount of
Securities
Outstanding		    Discounted
Value %		    Dollar Price
of TSB’s
Security
Based on
Discounted
Cash Flow &

PreTSL XXIII

    71,989,379    19,797,220    27.50

PreTSL XXIV

    69,023,743    17,455,058    25.29

 

& Dollar price of TSB’s security was estimated by dividing the discounted value by the amount of securities currently outstanding.

 

% Discounted value was determined by discounted the cash flows using a risk-adjusted discount rate

All cash flows were prepared by Keefe, Bruyette and Woods

 

A-4

Pre-TSL XXIII

    3 Month Libor @ Dec Reset    1.32%

Cash Flows Prepared by KBW, Cash flows discounted by effective yield.

    Margin    2.10%

Current Cash Flows with Existing Deferrals and Defaults.

    Interest Rate on Security    3.42%

Higher level of deferrals and defaults assumed for next 3 years.

      

March 31, 2009

    Total PV of Cash Flows    71,996,304

BONDS

 

     Class D-1 (BBB)

Date

    Balance    Interest Due    Interest    Principal    Total Cash Flow    Present Value of
Cash Flow
   72,500,000.00    —              

12/22/2006

    72,500,000.00    633,650.00    633,650.00    —        

3/22/2007

    72,500,000.00    619,875.00    619,875.00    —        

6/22/2007

    72,500,000.00    633,650.00    633,650.00    —        

9/22/2007

    72,259,314.52    633,650.00    633,650.00    240,685.48      

12/22/2007

    72,018,196.03    624,681.77    624,681.77    241,118.49      

3/22/2008

    71,843,950.10    622,597.30    622,597.30    174,245.92      

6/22/2008

    71,726,023.54    627,916.12    627,916.12    117,926.56      

9/22/2008

    71,608,330.43    626,885.45    626,885.45    117,693.11      

12/22/2008

    71,379,087.90    619,054.02    619,054.02    229,242.53      

3/22/2009

    71,989,379.10    610,291.20    —      —        

6/22/2009

    72,618,566.28    629,187.17    —      0.00    0.00    0.00

9/22/2009

    73,253,252.55    634,686.27    —      0.00    0.00    0.00

12/22/2009

    73,886,526.91    633,274.37    0.00    —      0.00    0.00

3/22/2010

    74,518,256.72    631,729.81    —      0.00    0.00    0.00

6/22/2010

    75,169,546.28    651,289.56    —      —      0.00    0.00

9/22/2010

    75,826,528.12    656,981.83    0.00    0.00    0.00    0.00

12/22/2010

    76,482,048.45    655,520.34    —      —      0.00    0.00

3/22/2011

    77,135,969.97    653,921.51    —      —      0.00    0.00

6/22/2011

    77,810,138.34    674,168.38    —      0.00    0.00    0.00

9/22/2011

    78,490,198.95    680,060.61    —      0.00    0.00    0.00

12/22/2011

    79,168,746.72    678,547.77    —      —      0.00    0.00

3/22/2012

    79,853,160.54    684,413.82    —      —      0.00    0.00

6/22/2012

    80,551,077.16    697,916.62    —      0.00    0.00    0.00

9/22/2012

    81,255,093.58    704,016.41    —      0.00    0.00    0.00

12/22/2012

    81,957,543.86    702,450.28    —      —      0.00    0.00

3/22/2013

    82,658,280.86    700,737.00    0.00    —      0.00    0.00

6/22/2013

    83,380,714.23    722,433.37    —      0.00    0.00    0.00

9/22/2013

    84,109,461.68    728,747.44    —      0.00    0.00    0.00

12/22/2013

    81,550,454.55    727,126.30    3,286,133.42    0.00    3,286,133.42    2,788,468.89

3/22/2014

    77,685,847.25    697,256.39    4,561,863.69    —      4,561,863.69    3,838,181.28

6/22/2014

    73,851,580.79    678,974.30    4,513,240.76    —      4,513,240.76    3,764,368.07

9/22/2014

    71,404,841.12    645,462.82    3,092,202.48    —      3,092,202.48    2,556,771.43

12/22/2014

    71,054,271.55    617,294.85    654,799.32    324,816.35    979,615.67    803,047.41

3/22/2015

    70,737,690.14    607,514.02    607,514.02    316,581.41    924,095.44    751,112.27

6/22/2015

    70,423,870.12    618,247.41    618,247.41    313,820.02    932,067.43    751,027.37

9/22/2015

    70,107,000.43    615,504.62    615,504.62    316,869.69    932,374.32    744,764.79

12/22/2015

    69,787,073.78    606,075.02    606,075.02    319,926.64    926,001.66    733,334.44

3/22/2016

    69,465,790.20    603,309.25    603,309.25    321,283.58    924,592.83    725,942.67

6/22/2016

    69,144,956.78    607,131.01    607,131.01    320,833.43    927,964.43    722,276.58

9/22/2016

    68,822,314.25    604,326.92    604,326.92    322,642.53    926,969.45    715,250.26

12/22/2016

    68,482,612.32    594,968.91    594,968.91    339,701.93    934,670.84    715,011.09

3/22/2017

    68,142,338.87    585,526.34    585,526.34    340,273.45    925,799.78    702,220.86

6/22/2017

    67,804,422.61    595,564.04    595,564.04    337,916.26    933,480.30    701,911.26

9/22/2017

    67,463,224.44    592,610.65    592,610.65    341,198.18    933,808.83    696,074.03

12/22/2017

    67,119,210.59    583,219.58    583,219.58    344,013.85    927,233.43    685,248.38

3/22/2018

    66,774,660.93    573,869.25    573,869.25    344,549.66    918,418.91    672,980.25

6/22/2018

    66,432,316.74    583,610.54    583,610.54    342,344.19    925,954.72    672,622.91

9/22/2018

    66,086,674.66    580,618.45    580,618.45    345,642.08    926,260.53    667,014.79

12/22/2018

    65,738,255.69    571,319.30    571,319.30    348,418.97    919,738.27    656,641.08

3/22/2019

    65,697,090.55    562,062.09    562,062.09    41,165.14    603,227.22    427,019.09

6/22/2019

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    402,943.66

9/22/2019

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    399,452.12

12/22/2019

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    391,723.64

3/22/2020

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    388,366.05

6/22/2020

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    389,231.60

9/22/2020

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    385,858.88

12/22/2020

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    378,393.39

3/22/2021

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    371,062.64

6/22/2021

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    376,021.73

9/22/2021

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    372,763.47

12/22/2021

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    365,551.36

3/22/2022

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    358,469.39

6/22/2022

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    363,260.19

9/22/2022

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    360,112.50

12/22/2022

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    353,145.15

3/22/2023

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    346,303.54

6/22/2023

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    350,931.74

9/22/2023

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    347,890.89

12/22/2023

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    341,160.00

3/22/2024

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    338,235.81

6/22/2024

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    338,989.64

9/22/2024

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    336,052.26

12/22/2024

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    329,550.42

3/22/2025

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    323,165.92

6/22/2025

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    327,484.90

9/22/2025

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    324,647.21

12/22/2025

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    318,366.03

3/22/2026

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    312,198.21

6/22/2026

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    316,370.61

9/22/2026

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    313,629.23

12/22/2026

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    307,561.22

3/22/2027

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    301,602.72

6/22/2027

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    305,633.52

9/22/2027

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    302,985.18

12/22/2027

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    297,123.11

3/22/2028

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    294,576.37

6/22/2028

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    295,232.90

9/22/2028

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    292,674.68

12/22/2028

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    287,012.09

3/22/2029

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    281,451.70

6/22/2029

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    285,213.19

9/22/2029

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    282,741.79

12/22/2029

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    277,271.38

3/22/2030

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    271,899.70

6/22/2030

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    275,533.53

9/22/2030

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    273,146.01

12/22/2030

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    267,861.26

3/22/2031

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    262,671.88

6/22/2031

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    266,182.38

9/22/2031

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    263,875.89

12/22/2031

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    258,770.49

3/22/2032

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    256,552.49

6/22/2032

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    257,124.27

9/22/2032

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    254,896.27

12/22/2032

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    249,964.61

3/22/2033

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    245,121.95

6/22/2033

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    248,397.90

9/22/2033

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    246,245.51

12/22/2033

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    241,481.23

3/22/2034

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    236,802.92

6/22/2034

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    239,967.69

9/22/2034

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    237,888.35

12/22/2034

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    233,285.76

3/22/2035

    65,697,090.55    561,710.12    561,710.12    —      561,710.12    228,766.23

6/22/2035

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    231,823.59

9/22/2035

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    229,814.82

12/22/2035

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    225,368.43

3/22/2036

    65,697,090.55    567,951.35    567,951.35    —      567,951.35    223,436.73

6/22/2036

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    223,934.70

9/22/2036

    65,697,090.55    574,192.57    574,192.57    —      574,192.57    221,994.29

12/22/2036

    —      567,951.35    567,951.35    65,697,090.55    66,265,041.90    25,399,793.88

3/22/2037

    —      —      —      —        

6/22/2037

    —      —      —      —         71,996,304.00

 

A-5

Pre-TSL XXIII

      

Fair Value Estimate. Cash Flows Prepared by KBW

      

Current Cash Flows with Existing Deferrals and Defaults.

    Discount Rate    13.11%

Higher level of deferrals and defaults assumed for next 3 years.

      

March 31, 2009

    Total PV of Cash Flows    19,797,220

BONDS

 

     Class D-1 (BBB)

Date

    Balance    Interest Due    Interest    Principal    Total Cash Flow    Present Value of
Cash Flow
   72,500,000.00    —              
12/22/2006    72,500,000.00    633,650.00    633,650.00    —        
3/22/2007    72,500,000.00    619,875.00    619,875.00    —        
6/22/2007    72,500,000.00    633,650.00    633,650.00    —        
9/22/2007    72,259,314.52    633,650.00    633,650.00    240,685.48      
12/22/2007    72,018,196.03    624,681.77    624,681.77    241,118.49      
3/22/2008    71,843,950.10    622,597.30    622,597.30    174,245.92      
6/22/2008    71,726,023.54    627,916.12    627,916.12    117,926.56      
9/22/2008    71,608,330.43    626,885.45    626,885.45    117,693.11      
12/22/2008    71,379,087.90    619,054.02    619,054.02    229,242.53      
3/22/2009    71,989,379.10    610,291.20    —      —        
6/22/2009    72,618,566.28    629,187.17    —      0.00    0.00    0.00
9/22/2009    73,253,252.55    634,686.27    —      0.00    0.00    0.00
12/22/2009    73,886,526.91    633,274.37    0.00    —      0.00    0.00
3/22/2010    74,518,256.72    631,729.81    —      0.00    0.00    0.00
6/22/2010    75,169,546.28    651,289.56    —      —      0.00    0.00
9/22/2010    75,826,528.12    656,981.83    0.00    0.00    0.00    0.00
12/22/2010    76,482,048.45    655,520.34    —      —      0.00    0.00
3/22/2011    77,135,969.97    653,921.51    —      —      0.00    0.00
6/22/2011    77,810,138.34    674,168.38    —      0.00    0.00    0.00
9/22/2011    78,490,198.95    680,060.61    —      0.00    0.00    0.00
12/22/2011    79,168,746.72    678,547.77    —      —      0.00    0.00
3/22/2012    79,853,160.54    684,413.82    —      —      0.00    0.00
6/22/2012    80,551,077.16    697,916.62    —      0.00    0.00    0.00
9/22/2012    81,255,093.58    704,016.41    —      0.00    0.00    0.00
12/22/2012    81,957,543.86    702,450.28    —      —      0.00    0.00
3/22/2013    82,658,280.86    700,737.00    0.00    —      0.00    0.00
6/22/2013    83,380,714.23    722,433.37    —      0.00    0.00    0.00
9/22/2013    84,109,461.68    728,747.44    —      0.00    0.00    0.00
12/22/2013    81,550,454.55    727,126.30    3,286,133.42    0.00    3,286,133.42    1,763,869.65
3/22/2014    77,685,847.25    697,256.39    4,561,863.69    —      4,561,863.69    2,370,907.26
6/22/2014    73,851,580.79    678,974.30    4,513,240.76    —      4,513,240.76    2,269,553.46
9/22/2014    71,404,841.12    645,462.82    3,092,202.48    —      3,092,202.48    1,504,525.30
12/22/2014    71,054,271.55    617,294.85    654,799.32    324,816.35    979,615.67    461,341.58
3/22/2015    70,737,690.14    607,514.02    607,514.02    316,581.41    924,095.44    421,380.73
6/22/2015    70,423,870.12    618,247.41    618,247.41    313,820.02    932,067.43    411,230.04
9/22/2015    70,107,000.43    615,504.62    615,504.62    316,869.69    932,374.32    398,022.35
12/22/2015    69,787,073.78    606,075.02    606,075.02    319,926.64    926,001.66    382,616.97
3/22/2016    69,465,790.20    603,309.25    603,309.25    321,283.58    924,592.83    369,775.64
6/22/2016    69,144,956.78    607,131.01    607,131.01    320,833.43    927,964.43    359,086.23
9/22/2016    68,822,314.25    604,326.92    604,326.92    322,642.53    926,969.45    347,066.34
12/22/2016    68,482,612.32    594,968.91    594,968.91    339,701.93    934,670.84    338,720.19
3/22/2017    68,142,338.87    585,526.34    585,526.34    340,273.45    925,799.78    324,855.65
6/22/2017    67,804,422.61    595,564.04    595,564.04    337,916.26    933,480.30    316,926.22
9/22/2017    67,463,224.44    592,610.65    592,610.65    341,198.18    933,808.83    306,754.29
12/22/2017    67,119,210.59    583,219.58    583,219.58    344,013.85    927,233.43    294,820.08
3/22/2018    66,774,660.93    573,869.25    573,869.25    344,549.66    918,418.91    282,748.14
6/22/2018    66,432,316.74    583,610.54    583,610.54    342,344.19    925,954.72    275,821.65
9/22/2018    66,086,674.66    580,618.45    580,618.45    345,642.08    926,260.53    266,963.20
12/22/2018    65,738,255.69    571,319.30    571,319.30    348,418.97    919,738.27    256,577.06
3/22/2019    65,697,090.55    562,062.09    562,062.09    41,165.14    603,227.22    162,939.15
6/22/2019    65,697,090.55    574,192.57    574,192.57    —      574,192.57    150,065.81
9/22/2019    65,697,090.55    574,192.57    574,192.57    —      574,192.57    145,198.26
12/22/2019    65,697,090.55    567,951.35    567,951.35    —      567,951.35    139,011.35
3/22/2020    65,697,090.55    567,951.35    567,951.35    —      567,951.35    134,550.58
6/22/2020    65,697,090.55    574,192.57    574,192.57    —      574,192.57    131,616.90
9/22/2020    65,697,090.55    574,192.57    574,192.57    —      574,192.57    127,347.77
12/22/2020    65,697,090.55    567,951.35    567,951.35    —      567,951.35    121,921.47
3/22/2021    65,697,090.55    561,710.12    561,710.12    —      561,710.12    116,754.14
6/22/2021    65,697,090.55    574,192.57    574,192.57    —      574,192.57    115,477.47
9/22/2021    65,697,090.55    574,192.57    574,192.57    —      574,192.57    111,731.83
12/22/2021    65,697,090.55    567,951.35    567,951.35    —      567,951.35    106,970.93
3/22/2022    65,697,090.55    561,710.12    561,710.12    —      561,710.12    102,437.24
6/22/2022    65,697,090.55    574,192.57    574,192.57    —      574,192.57    101,317.12
9/22/2022    65,697,090.55    574,192.57    574,192.57    —      574,192.57    98,030.79
12/22/2022    65,697,090.55    567,951.35    567,951.35    —      567,951.35    93,853.69
3/22/2023    65,697,090.55    561,710.12    561,710.12    —      561,710.12    89,875.94
6/22/2023    65,697,090.55    574,192.57    574,192.57    —      574,192.57    88,893.18
9/22/2023    65,697,090.55    574,192.57    574,192.57    —      574,192.57    86,009.83
12/22/2023    65,697,090.55    567,951.35    567,951.35    —      567,951.35    82,344.95
3/22/2024    65,697,090.55    567,951.35    567,951.35    —      567,951.35    79,702.56
6/22/2024    65,697,090.55    574,192.57    574,192.57    —      574,192.57    77,964.76
9/22/2024    65,697,090.55    574,192.57    574,192.57    —      574,192.57    75,435.89
12/22/2024    65,697,090.55    567,951.35    567,951.35    —      567,951.35    72,221.56
3/22/2025    65,697,090.55    561,710.12    561,710.12    —      561,710.12    69,160.63
6/22/2025    65,697,090.55    574,192.57    574,192.57    —      574,192.57    68,404.38
9/22/2025    65,697,090.55    574,192.57    574,192.57    —      574,192.57    66,185.61
12/22/2025    65,697,090.55    567,951.35    567,951.35    —      567,951.35    63,365.44
3/22/2026    65,697,090.55    561,710.12    561,710.12    —      561,710.12    60,679.86
6/22/2026    65,697,090.55    574,192.57    574,192.57    —      574,192.57    60,016.34
9/22/2026    65,697,090.55    574,192.57    574,192.57    —      574,192.57    58,069.65
12/22/2026    65,697,090.55    567,951.35    567,951.35    —      567,951.35    55,595.30
3/22/2027    65,697,090.55    561,710.12    561,710.12    —      561,710.12    53,239.03
6/22/2027    65,697,090.55    574,192.57    574,192.57    —      574,192.57    52,656.88
9/22/2027    65,697,090.55    574,192.57    574,192.57    —      574,192.57    50,948.89
12/22/2027    65,697,090.55    567,951.35    567,951.35    —      567,951.35    48,777.96
3/22/2028    65,697,090.55    567,951.35    567,951.35    —      567,951.35    47,212.71
6/22/2028    65,697,090.55    574,192.57    574,192.57    —      574,192.57    46,183.31
9/22/2028    65,697,090.55    574,192.57    574,192.57    —      574,192.57    44,685.30
12/22/2028    65,697,090.55    567,951.35    567,951.35    —      567,951.35    42,781.26
3/22/2029    65,697,090.55    561,710.12    561,710.12    —      561,710.12    40,968.08
6/22/2029    65,697,090.55    574,192.57    574,192.57    —      574,192.57    40,520.11
9/22/2029    65,697,090.55    574,192.57    574,192.57    —      574,192.57    39,205.80
12/22/2029    65,697,090.55    567,951.35    567,951.35    —      567,951.35    37,535.24
3/22/2030    65,697,090.55    561,710.12    561,710.12    —      561,710.12    35,944.40
6/22/2030    65,697,090.55    574,192.57    574,192.57    —      574,192.57    35,551.36
9/22/2030    65,697,090.55    574,192.57    574,192.57    —      574,192.57    34,398.21
12/22/2030    65,697,090.55    567,951.35    567,951.35    —      567,951.35    32,932.50
3/22/2031    65,697,090.55    561,710.12    561,710.12    —      561,710.12    31,536.74
6/22/2031    65,697,090.55    574,192.57    574,192.57    —      574,192.57    31,191.90
9/22/2031    65,697,090.55    574,192.57    574,192.57    —      574,192.57    30,180.15
12/22/2031    65,697,090.55    567,951.35    567,951.35    —      567,951.35    28,894.18
3/22/2032    65,697,090.55    567,951.35    567,951.35    —      567,951.35    27,966.98
6/22/2032    65,697,090.55    574,192.57    574,192.57    —      574,192.57    27,357.20
9/22/2032    65,697,090.55    574,192.57    574,192.57    —      574,192.57    26,469.84
12/22/2032    65,697,090.55    567,951.35    567,951.35    —      567,951.35    25,341.96
3/22/2033    65,697,090.55    561,710.12    561,710.12    —      561,710.12    24,267.91
6/22/2033    65,697,090.55    574,192.57    574,192.57    —      574,192.57    24,002.54
9/22/2033    65,697,090.55    574,192.57    574,192.57    —      574,192.57    23,224.00
12/22/2033    65,697,090.55    567,951.35    567,951.35    —      567,951.35    22,234.42
3/22/2034    65,697,090.55    561,710.12    561,710.12    —      561,710.12    21,292.07
6/22/2034    65,697,090.55    574,192.57    574,192.57    —      574,192.57    21,059.25
9/22/2034    65,697,090.55    574,192.57    574,192.57    —      574,192.57    20,376.17
12/22/2034    65,697,090.55    567,951.35    567,951.35    —      567,951.35    19,507.94
3/22/2035    65,697,090.55    561,710.12    561,710.12    —      561,710.12    18,681.14
6/22/2035    65,697,090.55    574,192.57    574,192.57    —      574,192.57    18,476.87
9/22/2035    65,697,090.55    574,192.57    574,192.57    —      574,192.57    17,877.55
12/22/2035    65,697,090.55    567,951.35    567,951.35    —      567,951.35    17,115.79
3/22/2036    65,697,090.55    567,951.35    567,951.35    —      567,951.35    16,566.56
6/22/2036    65,697,090.55    574,192.57    574,192.57    —      574,192.57    16,205.35
9/22/2036    65,697,090.55    574,192.57    574,192.57    —      574,192.57    15,679.71
12/22/2036    —      567,951.35    567,951.35    65,697,090.55    66,265,041.90    1,751,460.14
3/22/2037    —      —      —      —        
6/22/2037    —      —      —      —         19,797,219.80

 

A-6