Credit Tranche Impact Pricer

Tranche Convention: 0-3 ; 3-6 ; 6-9 ; 9-12 ; 12-22 ; 22-100 0-3 ; 3-7 ; 7-15 ; 15-100 0-15 ; 15-25 ; 25-35 ; 35-100 0-10 ; 10-15 ; 15-25 ; 25-35 ; 35-100 0-3 ; 3-6 ; 6-9 ; 9-12 ; 12-22 ; 22-100 0-5 ; 5-8 ; 8-12 ; 12-15 ; 15-100 Number of Portfolio Assets: Portfolio Notional (USD): Recovery Rate (%): Number of Defaults: Update Chart

Tranche	Attachment After Event (%)	Detachment After Event (%)