1. Bear Stearns 2005 EC1 Details of the implementation in the Waterfall Editor R&R Consulting – Santander 2010

2.  R&R Consulting 2010 1. The pool of assets

3.  R&R Consulting 2010 2. Main Program (Sequencer Tab) Distribution Structure: Calculate Available Funds using the SWAP Payment and Yield Maintenance Cap. The result will be distributed across all tranches in the liability structure. Allocation Structure: Use a Trigger to determine, “Which Allocation Plan do I call, A or B?” Note that the pass-through method is the Trigger, specified in the Calculation to the left. Iconography: Grey for calculations, Blue for variables and green for parameters Trigger Calculation. See Slide 3 for details of the formula.

4.  R&R Consulting 2010 3. Is Allocation (B)? (Calculation Tab) This calculation is a conditional expression that compares another calculation (Trigger Event) to a number. The result of this calculation is a Boolean 0 or 1. Slide 4 to know more about Trigger Event.

5.  R&R Consulting 2010 4. Trigger Event (Calculation Tab) This calculation is another conditional expression. It compares a calculation (60+ balance / Pool Balance…) to a number (0 in this case). It is easy to set up an Escalator Trigger in WFE. See slide 5 to know more about Trigger Event.

6.  R&R Consulting 2010 5. 60+ balance / Pool Balance - 32% of CSEP (Calculation Tab) A simple difference linking two complex calculations: 60+ days’ delinquent accounts as a percentage of the current pool balance and a run-rate target enhancement percentage. Every object in WFE (parameter, calculation, variable or structure) can be dragged and dropped into the waterfall. Every object can be evaluated, tested and debugged separately, ensuring the validity of cash flow results.

7.  R&R Consulting 2010 6. Allocation A (Structure Tab) Under “A Allocation,” the amount sequentially allocated to the tranches is Total Principal Due from the Asset model. Principal is allocated sequentially. You can add a tranche very easily by using the “Add Tranche” feature in the Tools menu.

8.  R&R Consulting 2010 7. Allocation B (Structure Tab) Under “B Allocation,” Class A is entitled to receive the “Class A Principal Distribution Amount.” See slide 8 for details about this calculation.

9.  R&R Consulting 2010 8. Class A Principal Distribution Amount (Calculation Tab) The result of this calculation is the minimum between Total Principal Due and the sub- calculation “Balance(A) – min.” Node labels are defined by the user and have no restrictions. The template tool makes it possible to copy a calculation into each tranche to which it applies.

10.  R&R Consulting 2010 9. Distribution (Structure Tab) The cash distributed here is “Total Amount,” defined in the Sequencer as “AF with SWAP and YMA.” (cf. slide 2) The servicer and tranches are paid sequentially This variable will capture the remaining cash The “Add Servicer” tool makes it easy to refine the analysis of the fee structure at the top of the waterfall.

11.  R&R Consulting 2010 10. LIBOR Rates (Variables Tab) You can define a vector of values for a variable. The vector will be loaded as a CSV file. Here a LIBOR path is defined for a floating rate calculation. Each value is manually changeable.

12.  R&R Consulting 2010 11. Run the Deal (Run Tab) The value of the variable Precision (Nb. of digits after decimal) is set in Parameters. Cash flow vector can be selected for export in a CSV file.

13.  R&R Consulting 2010 12. Debug the Deal (Run Tab) From the Run menu, you can run and display the details of each calculation, structure or sequencer.

14.  R&R Consulting 2010 Questions and Comments about the Waterfall Editor? Please feel free to contact David or Max at: By phone: +1-212-867-5693 Or by email: support@creditspectrum.com