U.S. Floorplan Risk Management
U.S. Lease Securitization
Break-Even Analysis*
Break-Even for FCALT 2018-B Compared to Historical Pool Performance
Return Rate
Cumulative Residual Loss / (Gain)
*
100%
90%
80%
70%
60%
Break-Even
100% Return Rate Assumed
Memo: Worst Recent 12-Month Portfolio Experience = 82%
(CY 2008)
100%
80%
A-2 Break-Even = 86.8%
60%
A-3 Break-Even = 46.0%
40%
A-4 Break-Even = 34.3%
50%
40%
20%
30%
Memo: Worst Recent 12-Month Portfolio Experience = 18.3%
(CY 2008)
20%
0%
10%
-20%
0%
0 2 4
6 8
10
12
14 16 18
20
22
24 26
28
30
32
02
4 6
8 10 12
14 16 18 20
22 24 26
26
28 30 32
Period (Months)
Period (Months)
2014-A
2014-B
2014-A
―2017-A
2014-B
-2017-B
2015-A
―2018-A
2015-B
2018-B
2016-A
-2017-A
―2017-B
2015-A
2018-A
2015-B
2016-A
-2018-B
Assumes cumulative net credit losses stress of 5%; break-evens are specific to FCALT 2018-B
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