Page 243 - 信用衍生性金融商品

表 6-12 Tigris 交易發行之證券

金額 規模 比例 信用 支撐
證券系列 信用 評等
（ 百萬 美元） （ % ） （ % ）
50.1 28.7 AAA 259.0 A-1A
50.1 20.7 AAA 187.0 A-1B
44.0 5.0 AAA 45.0 A-2
33.0 10.9 AA 98.0 B
27.0 6.0 A 54.0 C
17.0 9.9 BBB 89.0 D
- 17.9 NR 161.0 PS
- 1.0 AAA 9.0 S
902
合 計

表 6-13 Tigris 交易彙總

Transaction Summary
2
Transaction Type: Static Cash Flow CDO
Assets: Structured Finance CD
Closing Date: March 15, 2007 Os Backed by Subprime RMBS
Maturity Date: July 23, 2052
Ramp-Up Period: N.A.
First Payment Date: July 23, 2007
End of Reinvestment Period: N.A.
End of Noncall Period: July 23, 2010
Interest Payments: Class A-1A/B: Monthly;
Target Par Amount: $893,000,000
Actual Weighted Average Rating Factor: 7.38
Actual Weighted Average Coupon: 5.74% Classes S, A-2, B, C, and D: Quarterly.
Actual Weighted Average Spread: 1.74%
Actual Weighted Average Life: 5.32 years

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