CREDIT RESEARCH

ww.rbccm.com

As at August 31, 2006

Asset-Backed
Pricing Guide
Altaf Nanji, CFA
Corporate Debt Research Analyst
416.842.6462
altaf.nanji@rbccm.com

All values in Canadian dollars except

where indicated.

Priced as of prior trading days market

close, ET (unless otherwise stated). For
Required Disclosures, please see pg. 5.

September 5, 2006

Asset-Backed Pricing Guide

Bullet Notes
Issuer / Ticker

CUSIP

Targeted
Coupon Maturity

Ratings (D/M/S)
(Original)

Price

Yield

Benchmark

MoM
Spread - Aug-06
Change BMK
Curve

Jul-06
Curve

Algonquin Credit Card Trust

ACCT 3.989 15OCT10 CL A
ACCT 4.449 15OCT10 CL B
ACCT 4.799 15OCT10 CL C

015818AA5
015818AB3
015818AC1

3.989
4.449
4.799

15-Oct-10
15-Oct-10
15-Oct-10

AAA / Aaa / AAA 98.64

A / A2 / A
99.26
BBB / Baa2 / BBB 99.68

4.354
4.649
4.884

CAN 4 1SEP10
CAN 4 1SEP10
CAN 4 1SEP10

(0.5)
(0.5)
(0.5)

36
66
89

36
65
89

36
66
89

Broadway Credit Card Trust

BCCT 3.848 17MAR09 NC
BCCT 4.804 17MAR14 NC

11144QAA4 3.848
11144QAD8 4.804

17-Mar-09
17-Mar-14

AAA / Aaa / AAA / Aaa / -

98.86
101.78

4.329
4.522

CAN 4.25 1SEP08

CAN 5 1JUN14

(1.9)
(1.0)

34
45

35
46

37
47

Cards Trust
CARD 4.379 15OCT09
CARD 3.869 15OCT10

14161GAA8 4.379
14161GAV2 3.869

15-Oct-09
15-Oct-10

AAA / Aaa / AAA / Aaa / -

100.22
98.27

4.301
4.334

CAN 4.25 1SEP09

CAN 4 1SEP10

(1.5)
(0.5)

31
34

31
34

33
34

Canada Mortgage Accetptance Corporation

CMAC 4.309 15AUG08 NC
135148BD5

4.309

15-Aug-08

AAA / Aaa / -

99.89

4.369

CAN 4.25 1SEP08

(1.9)

38

38

40

Canadian Credit Card Trust

CCCT 4.806 24JAN08 NC
CCCT 4.143 26APR10 NC
CCCT 4.513 24APR12 NC

135933AC3
135933AE9
135933AH2

4.806
4.143
4.513

24-Jan-08
26-Apr-10
24-Apr-12

AAA / - / AAA
AAA / - / AAA
AAA / - / AAA

100.62
99.44
100.42

4.332
4.311
4.427

CAN 2.75 1DEC07

CAN 4.25 1SEP09
CAN 6 1JUN11

(2.9)
(3.3)
(4.5)

26
32
42

28
32
40

31
35
45

CHIP Four / Five Partnership

CHIT 5.611 15NOV07 C+11

169615AC5

5.611

15-Nov-07

AAA / - / -

101.46

4.332

CAN 2.75 1DEC07

1.7

26

25

24

Canadian Capital Auto Receivables Asset Trust

CRAT 3.478 17NOV06 NC
135453AH1 3.478
CRAT 3.78 17NOV07
135453AJ7 3.780
CRAT 3.203 17JUN07 NC
135453AL2 3.203
CRAT 3.383 17JUN08 NC
135453AM0 3.383
CRAT 4.277 17JAN08 NC
135450AB0 4.277
CRAT 4.393 17JAN09 NC
135450AC8 4.393
CRAT 4.863 17JAN09 06-B
135450AD6 4.863

17-Nov-06
17-Nov-07
17-Jun-07
17-Jun-08
17-Jan-08
17-Jan-09
17-Jan-09

AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / A / A2 / -

99.82
99.29
99.13
98.34
99.82
100.03
101.07

4.318
4.392
4.355
4.361
4.412
4.379
4.379

CAN 3.25 1DEC06

CAN 2.75 1DEC07
CAN 3 1JUN07
CAN 6 1JUN08
CAN 2.75 1DEC07
CAN 4.25 1SEP08
CAN 4.25 1SEP08

(0.8)
1.3
(0.9)
(2.2)
1.0
(3.5)
(1.4)

15
32
24
36
34
39
39

15
31
24
36
36
40
40

16
30
25
38
35
43
41

Canada Mortgage Accetptance Corporation

CMAC 4.309 15AUG08 NC
135148BD5

4.309

15-Aug-08

AAA / Aaa / -

99.89

4.369

CAN 4.25 1SEP08

(1.9)

38

38

40

Canadian Revolving Auto Floorplan Trust

CRFT 5.188 15DEC06 NC
13652RAA2 5.188
CRFT 4.645 15FEB08 NC
13652RAC8 4.645

15-Dec-06
15-Feb-08

AAA / Aaa / AAA / Aaa / -

100.20
100.31

4.348
4.422

CAN 3.25 1DEC06

CAN 2.75 1DEC07

0.7
0.9

18
35

18
38

18
37

Canadian Tire Receivables Trust

CTRT 4.82 20DEC07 NC
136919AN7
CTRT 5.88 20DEC07 SUB
136919AP2

4.820
5.880

20-Dec-07
20-Dec-07

AAA / - / AAA
A/-/A

100.60
101.66

4.332
4.528

CAN 2.75 1DEC07

CAN 4.5 1SEP07

0.3
(1.8)

26
42

27
46

26
48

Consumers' Waterheater Operating Trust (The)

CWT 4.7 28JAN08 NC
21072PAA1 4.700
CWT 5.245 28JAN10 NC
21072PAB9 5.245

28-Jan-08
28-Jan-10

AAA / - / AAA
AAA / - / AAA

100.47
102.78

4.342
4.351

CAN 2.75 1DEC07

CAN 4.25 1SEP09

(6.9)
0.3

27
36

29
36

36
36

DPL Trust
DPLT 5.215 25JUL07 NC

23330BAC2 5.215

25-Jul-07

AAA / Aaa / -

100.75

4.335

CAN 3 1JUN07

(2.5)

22

22

25

Eagle Credit Card Trust

EGLT 4.441 17MAR11 NC

269487AA2

17-Mar-11

AAA / Aaa / -

100.27

4.374

CAN 4 1SEP10

(0.3)

38

37

37

4.441

Source: RBC Capital Markets

Global Credit Research, Canada 1

September 5, 2006

Asset-Backed Pricing Guide

Bullet Notes (continued)

Issuer / Ticker

CUSIP

Targeted
Coupon Maturity

Ratings (D/M/S)
(Original)

Price

Yield

Benchmark

MoM
Spread - Aug-06
Change BMK
Curve

Jul-06
Curve

Golden Credit Card Trust

GCC 4.159 15OCT08 NC
GCC 5.069 15OCT08 SUB
GCC 6.19 15JUL09 NC
GCC 7.35 15JUL09 SUB
GCC 4.047 15JUN10 NC
GCC 4.567 15JUN10 SUB

380881AS1
380881AT9
380881AF9
380881AM4
380881AU6
380881AV4

4.159
5.069
6.190
7.350
4.047
4.567

15-Oct-08
15-Oct-08
15-Jul-09
15-Jul-09
15-Jun-10
15-Jun-10

AAA/Aaa/AAA
BBB(H) / - / BBB
AAA/Aaa/AAA
BBB(H) / - / BBB
AAA / Aaa / BBB(H) / Baa1 / -

99.76
100.95
105.05
107.05
99.06
99.21

4.279
4.589
4.290
4.680
4.319
4.797

CAN 4.25 1SEP08

CAN 4.25 1SEP08
CAN 5.5 1JUN09
CAN 5.5 1JUN09
CAN 5.5 1JUN10
CAN 5.5 1JUN10

(4.2)
(1.2)
0.0
0.1
(1.9)
(0.9)

29
60
31
70
33
81

29
60
31
70
33
81

33
61
31
69
35
82

Genesis Trust
GENS 4.002 15MAR10 NC

37184WAL3 4.002

15-Mar-10

AAA / Aaa / -

99.02

4.306

CAN 4.25 1SEP09

(1.0)

32

32

33

Glacier Credit Card Trust

GLAC 4.444 20NOV08 NC
GLAC 5.034 20NOV08 NC
GLAC 4.274 20NOV09 NC
GLAC 4.674 20NOV09 SUB
GLAC 4.187 19NOV10 NC

37638QAA2
37638QAB0
37638QAC8
37638QAD6
37638QAE4

4.444
5.034
4.274
4.674
4.187

20-Nov-08
20-Nov-08
20-Nov-09
20-Nov-09
19-Nov-10

AAA / - / AAA
A/-/A
AAA / - / AAA
A/-/A
AAA / - / AAA

100.25
101.08
99.80
100.39
99.32

4.319
4.509
4.341
4.541
4.364

CAN 4.25 1SEP08

CAN 4.25 1SEP08
CAN 4.25 1SEP09
CAN 4.25 1SEP09
CAN 4 1SEP10

(1.3)
(1.2)
(0.2)
(0.2)
(0.2)

33
52
35
55
37

33
52
35
55
37

35
54
35
55
37

Gloucester Credit Card Trust

GLCT 5.59 15JUN07 NC
GLCT 4.716 15MAY08 NC
GLCT 6.761 15MAY08 SUB
GLCT 4.274 15OCT08 NC
GLCT 6.035 15OCT08 SUB
GLCT 4.004 15NOV08 NC
GLCT 4.374 15NOV08 SUB
GLCT 6.486 15MAY14 SUB
GLCT 4.445 15MAR11 NC
GLCT 5.376 15MAY14 NC
GLCT 4.994 15MAR11 NC

37970BAH6
37970BAK9
37970BAL7
37970BAM5
37970BAN3
37970BAR4
37970BAS2
37970BAQ6
37970BAT0
37970BAP8
37970BAU7

5.590
4.716
6.761
4.274
6.035
4.004
4.374
6.486
4.445
5.376
4.994

15-Jun-07
15-May-08
15-May-08
15-Oct-08
15-Oct-08
15-Nov-08
15-Nov-08
15-May-14
15-Mar-11
15-May-14
15-Mar-11

AAA/Aaa/AAA
AAA/Aaa/AAA
BBB / - / BBB
AAA/Aaa/AAA
BBB / - / BBB
AAA/Aaa/AAA
BBB / - / BBB
BBB / - / BBB
AAA/Aaa/AAA
AAA/Aaa/AAA
BBB / - / BBB

100.92
100.68
103.38
99.93
102.85
99.37
99.49
108.24
100.37
105.42
100.36

4.355
4.291
4.651
4.309
4.594
4.309
4.619
5.172
4.354
4.532
4.904

CAN 3 1JUN07
CAN 6 1JUN08
CAN 6 1JUN08
CAN 4.25 1SEP08
CAN 4.25 1SEP08
CAN 4.25 1SEP08
CAN 4.25 1SEP08
CAN 5 1JUN14
CAN 4 1SEP10
CAN 5 1JUN14
CAN 4 1SEP10

(0.9)
(6.7)
0.3
(4.2)
(1.0)
(1.4)
(1.4)
(0.8)
(0.3)
(0.8)
0.7

24
29
65
32
61
32
63
110
36
46
91

24
28
64
32
61
32
63
110
35
46
90

25
35
64
36
62
34
65
111
35
47
89

Hollis Receivables Trust

HOLL 6.77 22FEB10 NC

435623AW3 6.770

22-Feb-10

AAA / Aaa / -

107.78

4.322

CAN 4.25 1SEP09

0.7

33

33

33

Master Credit Card Trust

MCCT 6.06 21JUN07

575927AD0

6.060

21-Jun-07

AAA/Aaa/AAA

101.31

4.335

CAN 3 1JUN07

0.2

22

22

22

NIF-T
NIFT 3.173 23FEB07
NIFT 4.225 23FEB07
NIFT 3.248 17MAR07
NIFT 4.28 23FEB08
NIFT 3.542 17MAR08
NIFT 4.37 23FEB09
NIFT 4.801 23AUG09 SUB

65409PAL8
65409PAT1
65409PAQ7
65409PAU8
65409PAR5
65409PAV6
65409PAW4

3.173
4.225
4.173
4.280
3.542
4.370
4.801

23-Feb-07
23-Feb-07
24-Feb-07
23-Feb-08
17-Mar-08
23-Feb-09
23-Aug-09

AAA / - / AAA
AAA / Aaa / AAA / - / AAA
AAA / Aaa / AAA / - / AAA
AAA / Aaa / A(L) / A3 / -

99.44
99.91
99.45
99.81
98.71
100.07
100.14

4.368
4.388
4.315
4.412
4.422
4.339
4.750

CAN 3.25 1DEC06

CAN 3.25 1DEC06
CAN 3 1JUN07
CAN 2.75 1DEC07
CAN 2.75 1DEC07
CAN 4.25 1SEP08
CAN 5.5 1JUN09

4.1
4.1
(5.8)
0.8
0.4
(1.7)
0.4

20
22
20
34
35
35
77

22
24
18
37
39
36
76

18
20
24
37
39
37
76

SCORE Trust
SCOR 5.035 15NOV06 NC
SCOR 4.949 20FEB14 NC

80917XAC5 5.035
80917XAE1 4.949

15-Nov-06
20-Feb-14

AAA / Aaa / AAA / Aaa / -

100.10
102.42

4.348
4.562

CAN 3.25 1DEC06

CAN 5 1JUN14

(2.9)
(1.1)

18
49

18
50

21
51

Xceed Mortgage Trust

XMT 4.452 17APR08 NC
XMT 4.584 17APR09 NC

98400BAA3
98400BAB1

5.035
4.949

15-Nov-06
20-Feb-14

AAA / - / AAA
AAA / - / AAA

99.97
100.38

4.472
4.429

CAN 2.75 1DEC07

CAN 4.25 1SEP08

0.3
(1.9)

40
44

45
45

45
47

York Receivables Trust

YRT 4.272 21JUL08
YRT 4.852 21JUL08 SUB
YRT 5.452 21JUL08 BBB

987046AG4
987046AH2
987046AJ8

4.272
4.852
5.452

21-Jul-08
21-Jul-08
21-Jul-08

AAA/Aaa/AAA
A(H) / A1 / BBB / Baa2 / -

99.96
100.42
101.47

4.291
4.611
4.621

CAN 6 1JUN08
CAN 6 1JUN08
CAN 6 1JUN08

(0.2)
1.9
1.9

29
61
62

30
62
63

30
60
61

Source: RBC Capital Markets

Global Credit Research, Canada 2

September 5, 2006

Asset-Backed Pricing Guide

CMBS
Issuer / Bloomberg Ticker

CUSIP

Coupon

Targeted
Maturity

Ratings (D/M/S)
(Original)

Price

Yield

Benchmark

MoM
Spread - Aug-06
Change BMK
Curve

Jul-06
Curve

WAL

WALD

Column Canada
CCIC 2003-WEM A1
CCIC 2003-WEM A2
CCIC 2003-WEM B
CCIC 2003-WEM C
CCIC 2003-WEM D
CCIC 2003-WEM E
CCIC 2002-CCL1 A-1
CCIC 2002-CCL1 A-2

199650AW2
199650AX0
199650AY8
199650AZ5
199650BA9
199650BB7
199650AH5
199650AJ1

4.045
4.588
4.786
4.836
4.836
5.034
5.147
5.943

15-Oct-08
15-Oct-08
15-Oct-08
15-Oct-08
15-Oct-08
15-Oct-08
12-Jul-11
12-Feb-12

AAA/Aaa/AAA
AAA/Aaa/AAA
AA(H)/Aa1/AA+
AA/Aa2/AA
AA(L)/Aa3/AAA(H)/A1/A+
AAA / - / AAA
AAA / - / AAA

99.33
99.95
99.89
99.77
100.24
99.92
100.67
106.14

4.554
4.567
4.797
4.907
4.667
5.027
4.637
4.612

CAN 3 06/07
CAN 4 1/4 08
CAN 4 1/4 08
CAN 4 1/4 08
CAN 4 1/4 08
CAN 4 1/4 08
CAN 4 1/2 07
CAN 6 06/11

0.6
(2.4)
(2.4)
(2.4)
(2.4)
(2.4)
(3.5)
0.1

44
58
81
92
68
104
53
60.5

43
59
82
93
69
105
58
61

43
61
84
95
71
107
62
61

1.1
2.1
2.1
2.1
2.1
2.1
1.6
5.2

17-Oct-07
9-Oct-08
9-Oct-08
9-Oct-08
9-Oct-08
9-Oct-08
29-Mar-08
31-Oct-11

Mansfield Trust
MANS 2001-1 A1
MANS 2001-1 A2

564440AA3
564440AB1

5.952
6.571

15-May-07
15-May-10

AAA/Aaa/AAA
AAA/Aaa/AAA

100.35
104.98

4.611
4.429

CAN 3 06/07
CAN 4 1/4 09

2.1
(0.3)

44
44

40
46

38
47

0.4
2.6

31-Jan-07
18-Mar-09

Merrill Lynch Financial Assets

MLML 2000-CAN4 A1
MLML 2000-CAN4 A2
MLFA 2001-CAN5 A1
MLFA 2001-CAN5 A2
MLFA 2002-CAN7 A1
MLFA 2002-CAN7 A2
MLFA 2002-CAN8 A1
MLFA 2002-CAN8 A2
MLFA 2003-CA10 A1
MLFA 2003-CA10 A2
MLFA 2003-CA11 A
MLFA 2003-CAN9 A
MLFA 2004-CA12 A1
MLFA 2004-CA12 A2
MLFA 2004-CA14 A1
MLFA 2004-CA14 A2
MLFA 2005-CA15 A1
MLFA 2005-CA15 A2
MLFA 2005-CA16 A1
MLFA 2005-CA16 A2
MLFA 2005-CA17 A1
MLFA 2005-CA17 A2
MLFA 2006-CA18 A1
MLFA 2006-CA18 A2
MLFA 2006-CA18 A3

59020LBF1
59020LBG9
59022BAA3
59022BAB1
59022BBB0
59022BBC8
59022BBU8
59022BBV6
59022BDF9
59022BDG7
59022BDZ5
59022BCN3
59022BEM3
59022BEN1
59022BFF7
59022BFG5
59022BGA7
59022BGB5
59022BGV1
59022BGW9
59022BHP3
59022BHQ1
59022BJF3
59022BJG1
59022BJH9

6.540
6.750
6.320
6.790
5.530
6.140
4.830
5.740
4.501
5.245
4.471
4.730
4.743
5.441
4.596
5.278
4.169
4.823
4.071
4.475
4.380
4.621
4.408
4.678
4.826

15-May-10
15-Sep-10
15-Sep-10
15-Apr-11
12-Jun-11
12-May-12
12-Feb-11
12-Nov-12
12-May-12
12-Jun-13
12-Nov-08
12-May-08
12-Sep-13
12-Mar-14
12-May-14
12-Oct-14
12-Mar-14
12-Feb-15
12-Apr-15
12-Jul-15
12-Aug-15
12-Nov-15
12-Nov-10
12-Aug-15
12-Feb-16

AAA/Aaa/AAA
AAA/Aaa/AAA
AAA / Aaa / AAA / Aaa / AAA / - / AAA
AAA / - / AAA
AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / - / AAA
AAA / - / AAA
AAA / - / AAA
AAA / - / AAA
AAA / - / AAA
AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / - / Aaa / AAA
- / Aaa / AAA
AAA / Aaa / AAA / Aaa / AAA / Aaa / -

103.92
107.78
103.15
108.62
101.18
107.48
100.22
105.71
100.05
103.27
99.72
100.08
100.80
104.78
100.35
103.96
98.86
100.88
98.06
98.50
99.21
99.43
99.87
100.83
100.69

4.617
4.539
4.509
4.597
4.627
4.595
4.572
4.64
4.479
4.674
4.602
4.582
4.459
4.684
4.469
4.702
4.509
4.717
4.517
4.711
4.562
4.726
4.447
4.52
4.761

CAN 4 1/2 07
CAN 5 1/2 10
CAN 6 06/08
CAN 6 06/11
CAN 4 1/2 07
CAN 5 1/4 12
CAN 4 1/2 07
CAN 5 1/4 12
CAN 4 1/4 09
CAN 5 1/4 13
CAN 4 1/2 07
CAN 4 1/2 07
CAN 4 1/4 09
CAN 5 1/4 13
CAN 4 1/4 09
CAN 5 06/14
CAN 4 1/4 09
CAN 5 06/14
CAN 6 06/11
CAN 4 1/2 15
CAN 6 06/11
CAN 4 1/2 15
CAN 4 1/4 08
CAN 3 3/4 11
CAN 4 1/2 15

(4.3)
0.0
(0.5)
(1.1)
(3.5)
(0.1)
(1.9)
0.3
0.3
0.3
(1.6)
(1.4)
0.2
0.6
0.2
4.4
1.4
0.7
(0.1)
3.2
(0.2)
2.3
0.2
0.6
(0.6)

51
55
51
59
52
57
46.5
61.5
49
62.5
49.5
47.5
47
63.5
48
63
52
64.5
51
63
56
64.5
46
51
68

48
56
51
61
56
59
47
62
50
64
48
47
48
63
49
64
53
65
51
64
55
64
49
51
67

52
56
51
62
60
59
49
62
50
64
50
48
48
63
49
59
51
64
51
60
56
62
49
50
68

2.3
3.9
1.9
4.4
1.5
5.5
1.3
5.9
3.3
6.5
1.8
1.2
3.2
7.3
3.2
8.0
3.8
8.1
5.1
8.8
5.4
9.0
2.3
5.5
9.3

6-Dec-08
24-Jul-10
8-Aug-08
19-Jan-11
7-Mar-08
13-Feb-12
11-Dec-07
16-Jul-12
10-Dec-09
12-Feb-13
7-Jun-08
8-Nov-07
3-Nov-09
5-Dec-13
23-Oct-09
10-Aug-14
7-Jun-10
11-Oct-14
16-Oct-11
6-Jun-15
30-Jan-12
8-Sep-15
6-Dec-08
14-Mar-12
28-Nov-15

N-45
FCIC 2003-3 A1
FCIC 2003-1 A1
FCIC 2000-2 A
FCIC 2000-1 A1
FCIC 2000-1 A2
FCIC 2002-1 A2
FCIC 2001-1 A
FCIC 2003-3 A2
FCIC 2003-1 A2
FCIC 2003-2 A1
FCIC 2003-2 A2

62911NCK1
62911NBU0
62911NAU1
62911NAN7
62911NAP2
62911NBL0
62911NBC0
62911NCL9
62911NBV8
62911NCD7
62911NCE5

4.463
3.830
6.493
6.684
6.868
5.972
6.349
5.300
4.636
4.968
5.667

15-Jan-08
15-May-08
15-Dec-09
15-Jul-10
15-Jul-10
15-Aug-11
15-Jan-12
15-Dec-12
15-Mar-13
15-Nov-13
15-Nov-13

AAA/Aaa/AAA
AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA/Aaa/AAA
AAA / Aaa / AAA / - / AAA
AAA / - / AAA

99.88
99.21
104.19
103.84
106.79
104.02
104.29
102.61
100.19
100.92
105.66

4.46
4.577
4.557
4.629
4.909
4.508
4.437
4.574
4.579
4.698
4.749

CAN 2 3/4 07
CAN 4 1/2 07
CAN 4 1/4 08
CAN 6 06/08
CAN 5 1/2 10
CAN 5 1/2 09
CAN 4 1/4 08
CAN 4 09/10
CAN 5 1/2 10
CAN 5 1/2 09
CAN 5 1/4 13

0.6
0.9
0.4
2.0
(0.1)
1.5
0.3
0.6
0.4
3.1
0.6

39.12
47
57
63.03
92
53
45
58
59
72
70

36
43
60
65
93
53
47
59
59
72
70

35
42
59
63
93
51
47
58
59
68
69

1.3
0.9
2.4
2.1
3.9
3.1
2.5
4.1
4.1
4.0
7.2

7-Dec-07
5-Aug-07
19-Jan-09
28-Sep-08
9-Jul-10
9-Oct-09
24-Feb-09
24-Sep-10
9-Oct-10
11-Aug-10
6-Nov-13

Source: RBC Capital Markets

Global Credit Research, Canada 3

September 5, 2006

Asset-Backed Pricing Guide

CMBS (continued); Amortizing Notes

Issuer / Bloomberg Ticker

CUSIP

Coupon

Targeted
Maturity

Ratings (D/M/S)
(Original)

Price

Yield

Benchmark

MoM
Spread - Aug-06
Change BMK
Curve

Jul-06
Curve

WAL

WALD

REAL-T
REALT 2004-1 A1
REALT 2004-1 A2
REALT 2004-1 B
REALT 2004-1 C
REALT 2004-1 D1
REALT 2004-1 E1
REALT 2005-1 A1
REALT 2005-1 A2
REALT 2005-1 B
REALT 2005-1 C
REALT 2005-1 D1
REALT 2005-1 E1
REALT 2005-2 A1
REALT 2005-2 A2
REALT 2005-2 B
REALT 2005-2 C
REALT 2005-2 D2
REALT 2005-2 E2
REALT 2006-1 A1
REALT 2006-1 A2
REALT 2006-1 B
REALT 2006-1 C
REALT 2006-1 D2
REALT 2006-1 E2

75585RAA3
75585RAB1
75585RAC9
75585RAD7
75585RAE5
75585RAF2
75585RBC8
75585RBD6
75585RBG9
75585RBH7
75585RBJ3
75585RBK0
75585RCJ2
75585RCK9
75585RCN3
75585RCP8
75585RCS2
75585RCT0
75585RDQ5
75585RDR3
75585RDU6
75585RDV4
75585RDY8
75585RDZ5

4.445
5.077
5.250
5.500
5.974
5.974
4.274
4.890
5.047
5.272
5.518
5.518
4.342
4.638
4.738
4.805
5.094
5.094
4.707
4.872
4.976
5.173
5.203
5.203

12-May-13
12-Aug-14
12-Sep-14
12-Oct-14
12-Oct-14
12-Oct-14
12-Dec-14
12-Mar-15
12-Apr-15
12-Apr-15
12-Apr-15
12-Apr-15
12-Jun-15
12-Oct-15
12-Oct-15
12-Oct-15
12-Oct-15
12-Oct-15
12-Jul-15
12-Mar-16
12-Mar-16
12-Mar-16
12-Apr-16
12-Apr-16

AAA / - / AAA
AAA / - / AAA
AA / - / AA
A/-/A
BBB / - / BBB
BBB(L) / - / BBB- / Aaa / AAA
- / Aaa / AAA
- / Aa2 / AA
- / A2 / A
- / Baa2 / BBB
- / Baa3 / BBBAAA / Aaa / AAA / Aaa / AA / Aa2 / A / A2 / BBB / Baa2 / BBB(L) / Baa3 / - / Aaa / AAA
- / Aaa / AAA
- / Aa2 / AA
- / A2 / A
- / Baa2 / BBB
- / Baa3 / BBB-

99.86
102.80
102.93
103.69
103.50
100.37
99.20
101.10
101.70
102.04
99.83
96.56
99.07
99.37
99.74
98.94
96.75
93.91
100.86
101.03
101.72
101.53
97.33
87.91

4.489
4.662
4.832
4.972
5.582
6.072
4.509
4.726
4.832
4.972
5.602
6.102
4.557
4.751
4.801
4.981
4.079
6.031
4.517
4.761
4.779
5.001
5.601
7.001

CAN 4 1/4 09
CAN 5 06/14
CAN 5 06/14
CAN 5 06/14
CAN 5 06/14
CAN 5 06/14
CAN 4 1/4 09
CAN 4 1/2 15
CAN 5 06/14
CAN 5 06/14
CAN 5 06/14
CAN 5 06/14
CAN 6 06/11
CAN 4 1/2 15
CAN 4 1/2 15
CAN 4 1/2 15
CAN 4 1/2 15
CAN 4 1/2 15
CAN 6 06/11
CAN 4 1/2 15
CAN 4 1/2 15
CAN 4 1/2 15
CAN 4 1/2 15
CAN 4 1/2 15

0.9
0.1
0.5
0.6
0.6
0.6
1.6
(0.1)
1.2
1.2
1.2
1.2
0.2
1.9
(0.3)
(0.3)
0.0
(0.3)
(0.3)
1.4
(1.5)
(1.0)
(1.1)
(1.1)

50
59
76
90
151
200
52
64.5
76
90
153
203
55
67
72
90
0
195
51
68
70
92
152
292

51
60
77
90
151
200
53
66
76
90
153
203
55
67
72
90
151
195
52
67
68
91
150
290

50
60
76
90
151
200
51
66
75
89
152
202
55
65
72
90
151
195
52
66
70
92
152
291

3.5
7.6
8.0
8.1
8.1
8.1
3.9
8.4
8.6
8.6
8.6
8.6
5.3
9.0
9.1
9.1
9.1
9.1
5.0
9.2
9.5
9.5
9.5
9.6

7-Mar-10
12-Apr-14
25-Aug-14
30-Sep-14
4-Oct-14
4-Oct-14
13-Jul-10
1-Feb-15
1-Apr-15
5-Apr-15
5-Apr-15
5-Apr-15
28-Dec-11
25-Aug-15
4-Oct-15
4-Oct-15
4-Oct-15
4-Oct-15
11-Aug-11
20-Nov-15
5-Mar-16
5-Mar-16
13-Mar-16
4-Apr-16

Schooner / Solar Trust

STST 2000-1 A1
STST 2000-1 A2
STST 2001-1 A1
STST 2001-1 A2
STST 2002-1 A1
STST 2002-1 A2
STST 2003-CC1 A1
STST 2003-CC1 A2
SCSC 2004-CCF1 A1
SCSC 2004-CCF1 A2
SCSC 2004-CF2 A1
SCSC 2004-CF2 A2
SCSC 2005-3 A1
SCSC 2005-3 A2
SCSC 2006-5 A1
SCSC 2006-5 A2

83415GAA7
83415GAB5
83415GAG4
83415GAH2
83415GAU3
83415GAV1
83415GBG3
83415GBH1
80802TAA6
80802TAB4
80802TAR9
80802TAS7
80802TBV9
80802TBW7
80802TET1
80802TEU8

6.640
6.900
6.150
6.700
5.150
5.830
4.650
5.330
4.580
5.340
4.639
5.100
4.257
4.719
4.556
4.710

15-Nov-10
15-Nov-10
15-Jun-10
15-Apr-11
12-Dec-11
12-Aug-12
12-May-12
12-Jan-13
12-Dec-12
12-Nov-13
12-Jan-14
12-Jul-14
12-Oct-14
12-Apr-15
12-Nov-15
12-Feb-16

AAA / Aaa / AAA / Aaa / AAA/Aaa/AAA

AAA/Aaa/AAA
AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / - / Aaa / AAA
- / Aaa / AAA
AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / AAA / Aaa / -

104.26
107.95
101.40
107.62
101.59
105.94
100.25
103.64
100.22
103.99
100.55
102.95
98.87
100.36
100.07
100.27

4.487
4.689
4.508
4.527
4.453
4.645
4.509
4.66
4.483
4.679
4.509
4.657
4.524
4.692
4.557
4.701

CAN 4 1/4 08
CAN 5 1/2 10
CAN 4 1/2 07
CAN 6 06/11
CAN 5 1/2 09
CAN 5 1/4 12
CAN 6 06/08
CAN 5 1/4 12
CAN 5 1/2 09
CAN 5 1/4 13
CAN 5 1/2 10
CAN 5 06/14
CAN 5 1/2 10
CAN 5 06/14
CAN 6 06/11
CAN 4 1/2 15

0.2
0.5
3.5
(1.5)
1.1
0.2
5.3
0.2
1.2
0.3
0.9
0.0
1.7
0.9
0.8
(0.8)

50
70
40.17
52
47.5
62
51
63.5
50.5
63
52
58.5
53.5
62
55
62

53
70
38
54
49
63
55
64
51
64
52
60
52
62
54
61

53
70
34
56
48
63
50
63
50
63
51
60
50
61
53
62

2.3
4.2
1.1
4.1
2.6
5.7
2.3
6.1
2.9
6.9
4.5
7.6
5.1
8.4
6.0
9.3

13-Dec-08
7-Nov-10
18-Sep-07
24-Sep-10
29-Mar-09
30-Apr-12
24-Dec-08
8-Oct-12
6-Jul-09
16-Jul-13
11-Mar-11
17-Mar-14
1-Oct-11
18-Jan-15
10-Aug-12
23-Dec-15

Windsor Trust
WDST 3.938 15NOV07 AMORT
WDST 4.094 15JUN08 AMORT

97349QAB4
97349QAD0

3.938
4.094

15-Nov-07
15-Jun-08

AAA / Aaa / AAA / Aaa / -

99.27
99.70

4.61
4.514

CAN 5 3/4 06
CAN 3 06/07

2.0
(2.0)

31
44.27

30
38

28
40

0.5
0.8

1-Mar-07
4-Jun-07

Canada Mortgage Accetptance Corporation

CMAC 4.21 15FEB09 C04-A
135148AA2
CMAC 4.5 15MAR09 C04-B
135148AC8
CMAC 4.5 15APR09 C04-C
135148AD6
CMAC 4.5 15APR09 C04-D
135148AE4
CMAC 3.6 15OCT09 C2-A
135148AK0
CMAC 4.05 15NOV09 C2-B
135148AM6
CMAC 4.05 15NOV09 C2-C
135148AN4
CMAC 4.05 15NOV09 C2-D
135148AP9
135148AT1
CMAC 3.798 15JUN10 C3-A
CMAC 4.227 15JUN10 C3-B
135148AW4
CMAC 4.568 15JUN10 C3-C
135148AX2
CMAC 4.760 15JUL10 C3-D
135148AY0

4.210
4.500
4.500
4.500
3.600
4.050
4.050
4.050
3.798
4.227
4.568
4.760

15-Feb-09
15-Mar-09
15-Apr-09
15-Apr-09
15-Oct-09
15-Nov-09
15-Nov-09
15-Nov-09
15-Jun-10
15-Jun-10
15-Jun-10
15-Jul-10

AAA / Aaa / AA / Aa2 / A / A2 / BBB / Baa2 / AAA / Aaa / AA / Aa2 / A / A2 / BBB / Baa2 / AAA / Aaa / AA / Aa2 / A / A2 / BBB / Baa2 / -

99.55
99.63
99.14
97.36
98.74
98.16
97.41
95.26
98.45
98.41
98.72
96.88

4.668
4.637
4.858
5.627
4.587
4.689
4.939
5.689
4.549
4.689
4.939
5.689

CAN 3 1/4 06
CAN 4 1/4 08
CAN 5 1/2 09
CAN 4 1/4 08
CAN 4 1/2 07
CAN 4 1/4 09
CAN 4 1/4 09
CAN 4 1/4 09
CAN 6 06/08
CAN 5 1/2 10
CAN 5 1/2 10
CAN 5 1/2 10

7.2
(5.8)
(6.0)
(4.6)
(7.9)
(0.1)
(4.8)
0.3
(2.3)
(5.4)
(10.2)
(5.2)

51
65
88
164
48
70
95
170
55
70
95
170

52
67
90
166
48
71
96
171
57
71
96
171

45
73
96
171
56
71
101
171
60
76
106
176

0.7
2.2
2.3
2.5
1.2
3.1
3.1
3.2
2.1
3.7
3.8
3.8

20-May-07
11-Nov-08
1-Jan-09
24-Feb-09
26-Nov-07
17-Sep-09
16-Oct-09
7-Nov-09
9-Oct-08
23-May-10
10-Jun-10
10-Jun-10

Source: RBC Capital Markets

Global Credit Research, Canada 4

RBC Capital Markets

Global Credit Research Team
Toronto

Altaf Nanji, CFA

Richard Hildebrand, CFA
Barbara Komjathy, CFA

(416) 842-6462
(416) 842-6460
(416) 842-6466

altaf.nanji@rrbccm.com
richard.hildebrand@rbccm.com
barbara.komjathy@rbccm.com

London

Georg Grodzki
Miriam Hehir
Angus MacAlister

+44 20 7653 4101

+44 20 7653 4175
+44 20 7653 4087

georg.grodzki@rbccm.com
miriam.hehir@rbccm.com
angus.macalister@rbccm.com

Minneapolis/
Chicago

Vincent Boberski, CFA

Dan Zaldivar, CFA

(312) 559-1654
(312) 559-1676

vincent.boberski@rbcdain.com
dan.zaldivar@rbcdain.com

Additional Disclosures
The information contained in this report has been compiled by RBC Capital Markets (RBC CM) from sources believed to be reliable, but no representation or
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Capital Markets is a business name used by subsidiaries of the Royal Bank of Canada including RBC Dominion Securities Inc., RBC Capital Markets Corporation,
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Copyright RBC Capital Markets Corporation 2006 - Member SIPC

Copyright RBC Dominion Securities Inc. 2006 - Member CIPF
Copyright Royal Bank of Canada Europe Limited 2006
Copyright Royal Bank of Canada 2006
All rights reserved.