ABS Pricing Guide - August 2006

8/13/2019 ABS Pricing Guide - August 2006

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CREDIT RESEARCHww.rbccm.com

As at August 31, 2006

Alt af Nanj i, CFA

Corporate Debt Research Analyst

416.842.6462

[email protected]

All values in Canadian dollars exceptwhere indicated.

Priced as of prior tr ading days marketclose, ET (unless otherwise stated). ForRequired Disclosures, please see pg. 5.

Asset-Backed

Pricing Guide


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September 5, 2006 Asset-Backed Pricing Guide

Global Credit Research, Canada 1

Bullet Notes

Source: RBC Capital Markets

Targeted Ratings (D/M/S) MoM Spread - Aug-06 J ul -06

Issuer / Ticker CUSIP Coupon Maturity (Original) Price Yield Benchmark Change BMK Curve Curve

Alg onqui n Cred it Card Tru st

ACCT 3.989 15OCT10 CL A 015818AA5 3.989 15-Oct-10 AAA / Aaa / AAA 98.64 4.354 CAN 4 1SEP10 (0.5) 36 36 36

ACCT 4.449 15OCT10 CL B 015818AB3 4.449 15-Oct-10 A / A2 / A 99.26 4.649 CAN 4 1SEP10 (0.5) 66 65 66

ACCT 4.799 15OCT10 CL C 015818AC1 4.799 15-Oct-10 BBB / Baa2 / BBB 99.68 4.884 CAN 4 1SEP10 (0.5) 89 89 89

Broadway Credit Card Trust

BCCT 3.848 17MAR09 NC 11144QAA4 3.848 17-Mar-09 AAA / Aaa / - 98.86 4.329 CAN 4.25 1SEP08 (1.9) 34 35 37

BCCT 4.804 17MAR14 NC 11144QAD8 4.804 17-Mar-14 AAA / Aaa / - 101.78 4.522 CAN 5 1JUN14 (1.0) 45 46 47

Cards Trust

CARD 4.379 15OCT09 14161GAA8 4.379 15-Oct-09 AAA / Aaa / - 100.22 4.301 CAN 4.25 1SEP09 (1.5) 31 31 33

CARD 3.869 15OCT10 14161GAV2 3.869 15-Oct-10 AAA / Aaa / - 98.27 4.334 CAN 4 1SEP10 (0.5) 34 34 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 135933AC3 4.806 24-Jan-08 AAA / - / AAA 100.62 4.332 CAN 2.75 1DEC07 (2.9) 26 28 31

CCCT 4.143 26APR10 NC 135933AE9 4.143 26-Apr-10 AAA / - / AAA 99.44 4.311 CAN 4.25 1SEP09 (3.3) 32 32 35CCCT 4.513 24APR12 NC 135933AH2 4.513 24-Apr-12 AAA / - / AAA 100.42 4.427 CAN 6 1JUN11 (4.5) 42 40 45

CHIP Four / Five Partners hip

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 17-Nov-06 AAA / Aaa / - 99.82 4.318 CAN 3.25 1DEC06 (0.8) 15 15 16

CRAT 3.78 17NOV07 135453AJ7 3.780 17-Nov-07 AAA / Aaa / - 99.29 4.392 CAN 2.75 1DEC07 1.3 32 31 30

CRAT 3.203 17JUN07 NC 135453AL2 3.203 17-Jun-07 AAA / Aaa / - 99.13 4.355 CAN 3 1JUN07 (0.9) 24 24 25

CRAT 3.383 17JUN08 NC 135453AM0 3.383 17-Jun-08 AAA / Aaa / - 98.34 4.361 CAN 6 1JUN08 (2.2) 36 36 38

CRAT 4.277 17JAN08 NC 135450AB0 4.277 17-Jan-08 AAA / Aaa / - 99.82 4.412 CAN 2.75 1DEC07 1.0 34 36 35

CRAT 4.393 17JAN09 NC 135450AC8 4.393 17-Jan-09 AAA / Aaa / - 100.03 4.379 CAN 4.25 1SEP08 (3.5) 39 40 43

CRAT 4.863 17JAN09 06-B 135450AD6 4.863 17-Jan-09 A / A2 / - 101.07 4.379 CAN 4.25 1SEP08 (1.4) 39 40 41


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 15-Dec-06 AAA / Aaa / - 100.20 4.348 CAN 3.25 1DEC06 0.7 18 18 18

CRFT 4.645 15FEB08 NC 13652RAC8 4.645 15-Feb-08 AAA / Aaa / - 100.31 4.422 CAN 2.75 1DEC07 0.9 35 38 37

Canadian Tire Receivables Trust

CTRT 4.82 20DEC07 NC 136919AN7 4.820 20-Dec-07 AAA / - / AAA 100.60 4.332 CAN 2.75 1DEC07 0.3 26 27 26

CTRT 5.88 20DEC07 SUB 136919AP2 5.880 20-Dec-07 A / - / A 101.66 4.528 CAN 4.5 1SEP07 (1.8) 42 46 48

Consumers' Waterheater Operating Trust (The)

CWT 4.7 28JAN08 NC 21072PAA1 4.700 28-Jan-08 AAA / - / AAA 100.47 4.342 CAN 2.75 1DEC07 (6.9) 27 29 36

CWT 5.245 28JAN10 NC 21072PAB9 5.245 28-Jan-10 AAA / - / AAA 102.78 4.351 CAN 4.25 1SEP09 0.3 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 4.441 17-Mar-11 AAA / Aaa / - 100.27 4.374 CAN 4 1SEP10 (0.3) 38 37 37


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Bullet Notes (continued)


Targeted Ratings (D/M/S) MoM Spread - Aug-06 J ul -06

Issuer / Ticker CUSIP Coupon Maturity (Original) Price Yield Benchmark Change BMK Curve Curve

Golden Credit Card Trust

GCC 4.159 15OCT08 NC 380881AS1 4.159 15-Oct-08 AAA/Aaa/AAA 99.76 4.279 CAN 4.25 1SEP08 (4.2) 29 29 33

GCC 5.069 15OCT08 SUB 380881AT9 5.069 15-Oct-08 BBB(H) / - / BBB 100.95 4.589 CAN 4.25 1SEP08 (1.2) 60 60 61

GCC 6.19 15JUL09 NC 380881AF9 6.190 15-Jul-09 AAA/Aaa/AAA 105.05 4.290 CAN 5.5 1JUN09 0.0 31 31 31GCC 7.35 15JUL09 SUB 380881AM4 7.350 15-Jul-09 BBB(H) / - / BBB 107.05 4.680 CAN 5.5 1JUN09 0.1 70 70 69

GCC 4.047 15JUN10 NC 380881AU6 4.047 15-Jun-10 AAA / Aaa / - 99.06 4.319 CAN 5.5 1JUN10 (1.9) 33 33 35

GCC 4.567 15JUN10 SUB 380881AV4 4.567 15-Jun-10 BBB(H) / Baa1 / - 99.21 4.797 CAN 5.5 1JUN10 (0.9) 81 81 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 37638QAA2 4.444 20-Nov-08 AAA / - / AAA 100.25 4.319 CAN 4.25 1SEP08 (1.3) 33 33 35

GLAC 5.034 20NOV08 NC 37638QAB0 5.034 20-Nov-08 A / - / A 101.08 4.509 CAN 4.25 1SEP08 (1.2) 52 52 54

GLAC 4.274 20NOV09 NC 37638QAC8 4.274 20-Nov-09 AAA / - / AAA 99.80 4.341 CAN 4.25 1SEP09 (0.2) 35 35 35

GLAC 4.674 20NOV09 SUB 37638QAD6 4.674 20-Nov-09 A / - / A 100.39 4.541 CAN 4.25 1SEP09 (0.2) 55 55 55

GLAC 4.187 19NOV10 NC 37638QAE4 4.187 19-Nov-10 AAA / - / AAA 99.32 4.364 CAN 4 1SEP10 (0.2) 37 37 37

Gloucester Credit Card Trust

GLCT 5.59 15JUN07 NC 37970BAH6 5.590 15-Jun-07 AAA/Aaa/AAA 100.92 4.355 CAN 3 1JUN07 (0.9) 24 24 25

GLCT 4.716 15MAY08 NC 37970BAK9 4.716 15-May-08 AAA/Aaa/AAA 100.68 4.291 CAN 6 1JUN08 (6.7) 29 28 35

GLCT 6.761 15MAY08 SUB 37970BAL7 6.761 15-May-08 BBB / - / BBB 103.38 4.651 CAN 6 1JUN08 0.3 65 64 64

GLCT 4.274 15OCT08 NC 37970BAM5 4.274 15-Oct-08 AAA/Aaa/AAA 99.93 4.309 CAN 4.25 1SEP08 (4.2) 32 32 36

GLCT 6.035 15OCT08 SUB 37970BAN3 6.035 15-Oct-08 BBB / - / BBB 102.85 4.594 CAN 4.25 1SEP08 (1.0) 61 61 62

GLCT 4.004 15NOV08 NC 37970BAR4 4.004 15-Nov-08 AAA/Aaa/AAA 99.37 4.309 CAN 4.25 1SEP08 (1.4) 32 32 34

GLCT 4.374 15NOV08 SUB 37970BAS2 4.374 15-Nov-08 BBB / - / BBB 99.49 4.619 CAN 4.25 1SEP08 (1.4) 63 63 65

GLCT 6.486 15MAY14 SUB 37970BAQ6 6.486 15-May-14 BBB / - / BBB 108.24 5.172 CAN 5 1JUN14 (0.8) 110 110 111

GLCT 4.445 15MAR11 NC 37970BAT0 4.445 15-Mar-11 AAA/Aaa/AAA 100.37 4.354 CAN 4 1SEP10 (0.3) 36 35 35

GLCT 5.376 15MAY14 NC 37970BAP8 5.376 15-May-14 AAA/Aaa/AAA 105.42 4.532 CAN 5 1JUN14 (0.8) 46 46 47

GLCT 4.994 15MAR11 NC 37970BAU7 4.994 15-Mar-11 BBB / - / BBB 100.36 4.904 CAN 4 1SEP10 0.7 91 90 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 65409PAL8 3.173 23-Feb-07 AAA / - / AAA 99.44 4.368 CAN 3.25 1DEC06 4.1 20 22 18

NIFT 4.225 23FEB07 65409PAT1 4.225 23-Feb-07 AAA / Aaa / - 99.91 4.388 CAN 3.25 1DEC06 4.1 22 24 20

NIFT 3.248 17MAR07 65409PAQ7 4.173 24-Feb-07 AAA / - / AAA 99.45 4.315 CAN 3 1JUN07 (5.8) 20 18 24

NIFT 4.28 23FEB08 65409PAU8 4.280 23-Feb-08 AAA / Aaa / - 99.81 4.412 CAN 2.75 1DEC07 0.8 34 37 37

NIFT 3.542 17MAR08 65409PAR5 3.542 17-Mar-08 AAA / - / AAA 98.71 4.422 CAN 2.75 1DEC07 0.4 35 39 39

NIFT 4.37 23FEB09 65409PAV6 4.370 23-Feb-09 AAA / Aaa / - 100.07 4.339 CAN 4.25 1SEP08 (1.7) 35 36 37

NIFT 4.801 23AUG09 SUB 65409PAW4 4.801 23-Aug-09 A(L) / A3 / - 100.14 4.750 CAN 5.5 1JUN09 0.4 77 76 76

SCORE Trust

SCOR 5.035 15NOV06 NC 80917XAC5 5.035 15-Nov-06 AAA / Aaa / - 100.10 4.348 CAN 3.25 1DEC06 (2.9) 18 18 21

SCOR 4.949 20FEB14 NC 80917XAE1 4.949 20-Feb-14 AAA / Aaa / - 102.42 4.562 CAN 5 1JUN14 (1.1) 49 50 51

Xceed Mortgage Trust

XMT 4.452 17APR08 NC 98400BAA3 5.035 15-Nov-06 AAA / - / AAA 99.97 4.472 CAN 2.75 1DEC07 0.3 40 45 45

XMT 4.584 17APR09 NC 98400BAB1 4.949 20-Feb-14 AAA / - / AAA 100.38 4.429 CAN 4.25 1SEP08 (1.9) 44 45 47

York Receivables Trust

YRT 4.272 21JUL08 987046AG4 4.272 21-Jul-08 AAA/Aaa/AAA 99.96 4.291 CAN 6 1JUN08 (0.2) 29 30 30

YRT 4.852 21JUL08 SUB 987046AH2 4.852 21-Jul-08 A(H) / A1 / - 100.42 4.611 CAN 6 1JUN08 1.9 61 62 60

YRT 5.452 21JUL08 BBB 987046AJ8 5.452 21-Jul-08 BBB / Baa2 / - 101.47 4.621 CAN 6 1JUN08 1.9 62 63 61


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CMBS


Targeted Ratings (D/M/S) MoM Sp read - A ug -06 J ul -06

Issuer / Bloomberg Ticker CUSIP Coupon Maturity (Original) Price Yield Benchmark Change BMK Curve Curve WAL WALD

Column Canada

CCIC 2003-WEM A1 199650AW2 4.045 15-Oct-08 AAA/Aaa/AAA 99.33 4.554 CAN 3 06/07 0.6 44 43 43 1.1 17-Oct-07

CCIC 2003-WEM A2 199650AX0 4.588 15-Oct-08 AAA/Aaa/AAA 99.95 4.567 CAN 4 1/4 08 (2.4) 58 59 61 2.1 9-Oct-08CCIC 2003-WEM B 199650AY8 4.786 15-Oct-08 AA(H)/Aa1/AA+ 99.89 4.797 CAN 4 1/4 08 (2.4) 81 82 84 2.1 9-Oct-08

CCIC 2003-WEM C 199650AZ5 4.836 15-Oct-08 AA/Aa2/AA 99.77 4.907 CAN 4 1/4 08 (2.4) 92 93 95 2.1 9-Oct-08

CCIC 2003-WEM D 199650BA9 4.836 15-Oct-08 AA(L)/Aa3/AA- 100.24 4.667 CAN 4 1/4 08 (2.4) 68 69 71 2.1 9-Oct-08

CCIC 2003-WEM E 199650BB7 5.034 15-Oct-08 A(H)/A1/A+ 99.92 5.027 CAN 4 1/4 08 (2.4) 104 105 107 2.1 9-Oct-08

CCIC 2002-CCL1 A-1 199650AH5 5.147 12-Jul-11 AAA / - / AAA 100.67 4.637 CAN 4 1/2 07 (3.5) 53 58 62 1.6 29-Mar-08

CCIC 2002-CCL1 A-2 199650AJ1 5.943 12-Feb-12 AAA / - / AAA 106.14 4.612 CAN 6 06/11 0.1 60.5 61 61 5.2 31-Oct-11

Mansfield Trust

MANS 2001-1 A1 564440AA3 5.952 15-May-07 AAA/Aaa/AAA 100.35 4.611 CAN 3 06/07 2.1 44 40 38 0.4 31-Jan-07

MANS 2001-1 A2 564440AB1 6.571 15-May-10 AAA/Aaa/AAA 104.98 4.429 CAN 4 1/4 09 (0.3) 44 46 47 2.6 18-Mar-09

Merrill Lynch Financial Assets

MLML 2000-CAN4 A1 59020LBF1 6.540 15-May-10 AAA/Aaa/AAA 103.92 4.617 CAN 4 1/2 07 (4.3) 51 48 52 2.3 6-Dec-08

MLML 2000-CAN4 A2 59020LBG9 6.750 15-Sep-10 AAA/Aaa/AAA 107.78 4.539 CAN 5 1/2 10 0.0 55 56 56 3.9 24-Jul-10

MLFA 2001-CAN5 A1 59022BAA3 6.320 15-Sep-10 AAA / Aaa / - 103.15 4.509 CAN 6 06/08 (0.5) 51 51 51 1.9 8-Aug-08

MLFA 2001-CAN5 A2 59022BAB1 6.790 15-Apr-11 AAA / Aaa / - 108.62 4.597 CAN 6 06/11 (1.1) 59 61 62 4.4 19-Jan-11

MLFA 2002-CAN7 A1 59022BBB0 5.530 12-Jun-11 AAA / - / AAA 101.18 4.627 CAN 4 1/2 07 (3.5) 52 56 60 1.5 7-Mar-08

MLFA 2002-CAN7 A2 59022BBC8 6.140 12-May-12 AAA / - / AAA 107.48 4.595 CAN 5 1/4 12 (0.1) 57 59 59 5.5 13-Feb-12

MLFA 2002-CAN8 A1 59022BBU8 4.830 12-Feb-11 AAA / Aaa / - 100.22 4.572 CAN 4 1/2 07 (1.9) 46.5 47 49 1.3 11-Dec-07MLFA 2002-CAN8 A2 59022BBV6 5.740 12-Nov-12 AAA / Aaa / - 105.71 4.64 CAN 5 1/4 12 0.3 61.5 62 62 5.9 16-Jul-12

MLFA 2003-CA10 A1 59022BDF9 4.501 12-May-12 AAA / Aaa / - 100.05 4.479 CAN 4 1/4 09 0.3 49 50 50 3.3 10-Dec-09

MLFA 2003-CA10 A2 59022BDG7 5.245 12-Jun-13 AAA / Aaa / - 103.27 4.674 CAN 5 1/4 13 0.3 62.5 64 64 6.5 12-Feb-13

MLFA 2003-CA11 A 59022BDZ5 4.471 12-Nov-08 AAA / Aaa / - 99.72 4.602 CAN 4 1/2 07 (1.6) 49.5 48 50 1.8 7-Jun-08

MLFA 2003-CAN9 A 59022BCN3 4.730 12-May-08 AAA / - / AAA 100.08 4.582 CAN 4 1/2 07 (1.4) 47.5 47 48 1.2 8-Nov-07

MLFA 2004-CA12 A1 59022BEM3 4.743 12-Sep-13 AAA / - / AAA 100.80 4.459 CAN 4 1/4 09 0.2 47 48 48 3.2 3-Nov-09

MLFA 2004-CA12 A2 59022BEN1 5.441 12-Mar-14 AAA / - / AAA 104.78 4.684 CAN 5 1/4 13 0.6 63.5 63 63 7.3 5-Dec-13

MLFA 2004-CA14 A1 59022BFF7 4.596 12-May-14 AAA / - / AAA 100.35 4.469 CAN 4 1/4 09 0.2 48 49 49 3.2 23-Oct-09

MLFA 2004-CA14 A2 59022BFG5 5.278 12-Oct-14 AAA / - / AAA 103.96 4.702 CAN 5 06/14 4.4 63 64 59 8.0 10-Aug-14

MLFA 2005-CA15 A1 59022BGA7 4.169 12-Mar-14 AAA / Aaa / - 98.86 4.509 CAN 4 1/4 09 1.4 52 53 51 3.8 7-Jun-10

MLFA 2005-CA15 A2 59022BGB5 4.823 12-Feb-15 AAA / Aaa / - 100.88 4.717 CAN 5 06/14 0.7 64.5 65 64 8.1 11-Oct-14

MLFA 2005-CA16 A1 59022BGV1 4.071 12-Apr-15 AAA / Aaa / - 98.06 4.517 CAN 6 06/11 (0.1) 51 51 51 5.1 16-Oct-11

MLFA 2005-CA16 A2 59022BGW9 4.475 12-Jul-15 AAA / Aaa / - 98.50 4.711 CAN 4 1/2 15 3.2 63 64 60 8.8 6-Jun-15

MLFA 2005-CA17 A1 59022BHP3 4.380 12-Aug-15 - / Aaa / AAA 99.21 4.562 CAN 6 06/11 (0.2) 56 55 56 5.4 30-Jan-12

MLFA 2005-CA17 A2 59022BHQ1 4.621 12-Nov-15 - / Aaa / AAA 99.43 4.726 CAN 4 1/2 15 2.3 64.5 64 62 9.0 8-Sep-15

MLFA 2006-CA18 A1 59022BJF3 4.408 12-Nov-10 AAA / Aaa / - 99.87 4.447 CAN 4 1/4 08 0.2 46 49 49 2.3 6-Dec-08

MLFA 2006-CA18 A2 59022BJG1 4.678 12-Aug-15 AAA / Aaa / - 100.83 4.52 CAN 3 3/4 11 0.6 51 51 50 5.5 14-Mar-12

MLFA 2006-CA18 A3 59022BJH9 4.826 12-Feb-16 AAA / Aaa / - 100.69 4.761 CAN 4 1/2 15 (0.6) 68 67 68 9.3 28-Nov-15

N-45

FCIC 2003-3 A1 62911NCK1 4.463 15-Jan-08 AAA/Aaa/AAA 99.88 4.46 CAN 2 3/4 07 0.6 39.12 36 35 1.3 7-Dec-07

FCIC 2003-1 A1 62911NBU0 3.830 15-May-08 AAA / Aaa / - 99.21 4.577 CAN 4 1/2 07 0.9 47 43 42 0.9 5-Aug-07

FCIC 2000-2 A 62911NAU1 6.493 15-Dec-09 AAA / Aaa / - 104.19 4.557 CAN 4 1/4 08 0.4 57 60 59 2.4 19-Jan-09

FCIC 2000-1 A1 62911NAN7 6.684 15-Jul-10 AAA / Aaa / - 103.84 4.629 CAN 6 06/08 2.0 63.03 65 63 2.1 28-Sep-08

FCIC 2000-1 A2 62911NAP2 6.868 15-Jul-10 AAA / Aaa / - 106.79 4.909 CAN 5 1/2 10 (0.1) 92 93 93 3.9 9-Jul-10

FCIC 2002-1 A2 62911NBL0 5.972 15-Aug-11 AAA / Aaa / - 104.02 4.508 CAN 5 1/2 09 1.5 53 53 51 3.1 9-Oct-09

FCIC 2001-1 A 62911NBC0 6.349 15-Jan-12 AAA / Aaa / - 104.29 4.437 CAN 4 1/4 08 0.3 45 47 47 2.5 24-Feb-09

FCIC 2003-3 A2 62911NCL9 5.300 15-Dec-12 AAA/Aaa/AAA 102.61 4.574 CAN 4 09/10 0.6 58 59 58 4.1 24-Sep-10

FCIC 2003-1 A2 62911NBV8 4.636 15-Mar-13 AAA / Aaa / - 100.19 4.579 CAN 5 1/2 10 0.4 59 59 59 4.1 9-Oct-10

FCIC 2003-2 A1 62911NCD7 4.968 15-Nov-13 AAA / - / AAA 100.92 4.698 CAN 5 1/2 09 3.1 72 72 68 4.0 11-Aug-10

FCIC 2003-2 A2 62911NCE5 5.667 15-Nov-13 AAA / - / AAA 105.66 4.749 CAN 5 1/4 13 0.6 70 70 69 7.2 6-Nov-13


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CMBS (continued); Amortizing Notes


Targeted Ratings (D/M/S) MoM Sp read - A ug -06 J ul -06

Issuer / Bloomberg Ticker CUSIP Coupon Maturity (Original) Price Yield Benchmark Change BMK Curve Curve WAL WALD

REAL-T

REALT 2004-1 A1 75585RAA3 4.445 12-May-13 AAA / - / AAA 99.86 4.489 CAN 4 1/4 09 0.9 50 51 50 3.5 7-Mar-10

REALT 2004-1 A2 75585RAB1 5.077 12-Aug-14 AAA / - / AAA 102.80 4.662 CAN 5 06/14 0.1 59 60 60 7.6 12-Apr-14REALT 2004-1 B 75585RAC9 5.250 12-Sep-14 AA / - / AA 102.93 4.832 CAN 5 06/14 0.5 76 77 76 8.0 25-Aug-14

REALT 2004-1 C 75585RAD7 5.500 12-Oct-14 A / - / A 103.69 4.972 CAN 5 06/14 0.6 90 90 90 8.1 30-Sep-14

REALT 2004-1 D1 75585RAE5 5.974 12-Oct-14 BBB / - / BBB 103.50 5.582 CAN 5 06/14 0.6 151 151 151 8.1 4-Oct-14

REALT 2004-1 E1 75585RAF2 5.974 12-Oct-14 BBB(L) / - / BBB- 100.37 6.072 CAN 5 06/14 0.6 200 200 200 8.1 4-Oct-14

REALT 2005-1 A1 75585RBC8 4.274 12-Dec-14 - / Aaa / AAA 99.20 4.509 CAN 4 1/4 09 1.6 52 53 51 3.9 13-Jul-10

REALT 2005-1 A2 75585RBD6 4.890 12-Mar-15 - / Aaa / AAA 101.10 4.726 CAN 4 1/2 15 (0.1) 64.5 66 66 8.4 1-Feb-15

REALT 2005-1 B 75585RBG9 5.047 12-Apr-15 - / Aa2 / AA 101.70 4.832 CAN 5 06/14 1.2 76 76 75 8.6 1-Apr-15

REALT 2005-1 C 75585RBH7 5.272 12-Apr-15 - / A2 / A 102.04 4.972 CAN 5 06/14 1.2 90 90 89 8.6 5-Apr-15

REALT 2005-1 D1 75585RBJ3 5.518 12-Apr-15 - / Baa2 / BBB 99.83 5.602 CAN 5 06/14 1.2 153 153 152 8.6 5-Apr-15

REALT 2005-1 E1 75585RBK0 5.518 12-Apr-15 - / Baa3 / BBB- 96.56 6.102 CAN 5 06/14 1.2 203 203 202 8.6 5-Apr-15

REALT 2005-2 A1 75585RCJ2 4.342 12-Jun-15 AAA / Aaa / - 99.07 4.557 CAN 6 06/11 0.2 55 55 55 5.3 28-Dec-11

REALT 2005-2 A2 75585RCK9 4.638 12-Oct-15 AAA / Aaa / - 99.37 4.751 CAN 4 1/2 15 1.9 67 67 65 9.0 25-Aug-15

REALT 2005-2 B 75585RCN3 4.738 12-Oct-15 AA / Aa2 / - 99.74 4.801 CAN 4 1/2 15 (0.3) 72 72 72 9.1 4-Oct-15

REALT 2005-2 C 75585RCP8 4.805 12-Oct-15 A / A2 / - 98.94 4.981 CAN 4 1/2 15 (0.3) 90 90 90 9.1 4-Oct-15

REALT 2005-2 D2 75585RCS2 5.094 12-Oct-15 BBB / Baa2 / - 96.75 4.079 CAN 4 1/2 15 0.0 0 151 151 9.1 4-Oct-15

REALT 2005-2 E2 75585RCT0 5.094 12-Oct-15 BBB(L) / Baa3 / - 93.91 6.031 CAN 4 1/2 15 (0.3) 195 195 195 9.1 4-Oct-15

REALT 2006-1 A1 75585RDQ5 4.707 12-Jul-15 - / Aaa / AAA 100.86 4.517 CAN 6 06/11 (0.3) 51 52 52 5.0 11-Aug-11

REALT 2006-1 A2 75585RDR3 4.872 12-Mar-16 - / Aaa / AAA 101.03 4.761 CAN 4 1/2 15 1.4 68 67 66 9.2 20-Nov-15

REALT 2006-1 B 75585RDU6 4.976 12-Mar-16 - / Aa2 / AA 101.72 4.779 CAN 4 1/2 15 (1.5) 70 68 70 9.5 5-Mar-16REALT 2006-1 C 75585RDV4 5.173 12-Mar-16 - / A2 / A 101.53 5.001 CAN 4 1/2 15 (1.0) 92 91 92 9.5 5-Mar-16

REALT 2006-1 D2 75585RDY8 5.203 12-Apr-16 - / Baa2 / BBB 97.33 5.601 CAN 4 1/2 15 (1.1) 152 150 152 9.5 13-Mar-16

REALT 2006-1 E2 75585RDZ5 5.203 12-Apr-16 - / Baa3 / BBB- 87.91 7.001 CAN 4 1/2 15 (1.1) 292 290 291 9.6 4-Apr-16

Schooner / Solar Trust

STST 2000-1 A1 83415GAA7 6.640 15-Nov-10 AAA / Aaa / - 104.26 4.487 CAN 4 1/4 08 0.2 50 53 53 2.3 13-Dec-08

STST 2000-1 A2 83415GAB5 6.900 15-Nov-10 AAA / Aaa / - 107.95 4.689 CAN 5 1/2 10 0.5 70 70 70 4.2 7-Nov-10

STST 2001-1 A1 83415GAG4 6.150 15-Jun-10 AAA/Aaa/AAA 101.40 4.508 CAN 4 1/2 07 3.5 40.17 38 34 1.1 18-Sep-07

STST 2001-1 A2 83415GAH2 6.700 15-Apr-11 AAA/Aaa/AAA 107.62 4.527 CAN 6 06/11 (1.5) 52 54 56 4.1 24-Sep-10

STST 2002-1 A1 83415GAU3 5.150 12-Dec-11 AAA / Aaa / - 101.59 4.453 CAN 5 1/2 09 1.1 47.5 49 48 2.6 29-Mar-09

STST 2002-1 A2 83415GAV1 5.830 12-Aug-12 AAA / Aaa / - 105.94 4.645 CAN 5 1/4 12 0.2 62 63 63 5.7 30-Apr-12

STST 2003-CC1 A1 83415GBG3 4.650 12-May-12 AAA / Aaa / - 100.25 4.509 CAN 6 06/08 5.3 51 55 50 2.3 24-Dec-08

STST 2003-CC1 A2 83415GBH1 5.330 12-Jan-13 AAA / Aaa / - 103.64 4.66 CAN 5 1/4 12 0.2 63.5 64 63 6.1 8-Oct-12

SCSC 2004-CCF1 A1 80802TAA6 4.580 12-Dec-12 - / Aaa / AAA 100.22 4.483 CAN 5 1/2 09 1.2 50.5 51 50 2.9 6-Jul-09

SCSC 2004-CCF1 A2 80802TAB4 5.340 12-Nov-13 - / Aaa / AAA 103.99 4.679 CAN 5 1/4 13 0.3 63 64 63 6.9 16-Jul-13

SCSC 2004-CF2 A1 80802TAR9 4.639 12-Jan-14 AAA / Aaa / - 100.55 4.509 CAN 5 1/2 10 0.9 52 52 51 4.5 11-Mar-11

SCSC 2004-CF2 A2 80802TAS7 5.100 12-Jul-14 AAA / Aaa / - 102.95 4.657 CAN 5 06/14 0.0 58.5 60 60 7.6 17-Mar-14

SCSC 2005-3 A1 80802TBV9 4.257 12-Oct-14 AAA / Aaa / - 98.87 4.524 CAN 5 1/2 10 1.7 53.5 52 50 5.1 1-Oct-11

SCSC 2005-3 A2 80802TBW7 4.719 12-Apr-15 AAA / Aaa / - 100.36 4.692 CAN 5 06/14 0.9 62 62 61 8.4 18-Jan-15SCSC 2006-5 A1 80802TET1 4.556 12-Nov-15 AAA / Aaa / - 100.07 4.557 CAN 6 06/11 0.8 55 54 53 6.0 10-Aug-12

SCSC 2006-5 A2 80802TEU8 4.710 12-Feb-16 AAA / Aaa / - 100.27 4.701 CAN 4 1/2 15 (0.8) 62 61 62 9.3 23-Dec-15

Windsor Trust

WDST 3.938 15NOV07 AMORT 97349QAB4 3.938 15-Nov-07 AAA / Aaa / - 99.27 4.61 CAN 5 3/4 06 2.0 31 30 28 0.5 1-Mar-07

WDST 4.094 15JUN08 AMORT 97349QAD0 4.094 15-Jun-08 AAA / Aaa / - 99.70 4.514 CAN 3 06/07 (2.0) 44.27 38 40 0.8 4-Jun-07


CMAC 4.21 15FEB09 C04-A 135148AA2 4.210 15-Feb-09 AAA / Aaa / - 99.55 4.668 CAN 3 1/4 06 7.2 51 52 45 0.7 20-May-07

CMAC 4.5 15MAR09 C04-B 135148AC8 4.500 15-Mar-09 AA / Aa2 / - 99.63 4.637 CAN 4 1/4 08 (5.8) 65 67 73 2.2 11-Nov-08

CMAC 4.5 15APR09 C04-C 135148AD6 4.500 15-Apr-09 A / A2 / - 99.14 4.858 CAN 5 1/2 09 (6.0) 88 90 96 2.3 1-Jan-09

CMAC 4.5 15APR09 C04-D 135148AE4 4.500 15-Apr-09 BBB / Baa2 / - 97.36 5.627 CAN 4 1/4 08 (4.6) 164 166 171 2.5 24-Feb-09

CMAC 3.6 15OCT09 C2-A 135148AK0 3.600 15-Oct-09 AAA / Aaa / - 98.74 4.587 CAN 4 1/2 07 (7.9) 48 48 56 1.2 26-Nov-07

CMAC 4.05 15NOV09 C2-B 135148AM6 4.050 15-Nov-09 AA / Aa2 / - 98.16 4.689 CAN 4 1/4 09 (0.1) 70 71 71 3.1 17-Sep-09

CMAC 4.05 15NOV09 C2-C 135148AN4 4.050 15-Nov-09 A / A2 / - 97.41 4.939 CAN 4 1/4 09 (4.8) 95 96 101 3.1 16-Oct-09

CMAC 4.05 15NOV09 C2-D 135148AP9 4.050 15-Nov-09 BBB / Baa2 / - 95.26 5.689 CAN 4 1/4 09 0.3 170 171 171 3.2 7-Nov-09

CMAC 3.798 15JUN10 C3-A 135148AT1 3.798 15-Jun-10 AAA / Aaa / - 98.45 4.549 CAN 6 06/08 (2.3) 55 57 60 2.1 9-Oct-08

CMAC 4.227 15JUN10 C3-B 135148AW4 4.227 15-Jun-10 AA / Aa2 / - 98.41 4.689 CAN 5 1/2 10 (5.4) 70 71 76 3.7 23-May-10

CMAC 4.568 15JUN10 C3-C 135148AX2 4.568 15-Jun-10 A / A2 / - 98.72 4.939 CAN 5 1/2 10 (10.2) 95 96 106 3.8 10-Jun-10CMAC 4.760 15JUL10 C3-D 135148AY0 4.760 15-Jul-10 BBB / Baa2 / - 96.88 5.689 CAN 5 1/2 10 (5.2) 170 171 176 3.8 10-Jun-10


6/6

RBC Capital MarketsGlobal Credit Research Team

Toronto Altaf Nanji, CFA (416) 842-6462 [email protected] Hildebrand, CFA (416) 842-6460 [email protected] Komjathy, CFA (416) 842-6466 [email protected]

London Georg Grodzki +44 20 7653 4101 [email protected] Hehir +44 20 7653 4175 [email protected] MacAlister +44 20 7653 4087 [email protected]

Minneapolis/ Vincent Boberski, CFA (312) 559-1654 [email protected] Dan Zaldivar, CFA (312) 559-1676 [email protected]

Addi tional Disc losures

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

warranty, express or implied, is made by Royal Bank of Canada, RBC CM, its affiliates or any other person as to its accuracy, completeness or correctness. RBC

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Documents

ABS Pricing Guide - August 2006