11/15/2024 | Press release | Distributed by Public on 11/15/2024 15:42
FREE WRITING PROSPECTUS | ||
FILED PURSUANT TO RULE 433 | ||
REGISTRATION FILE NO.: 333-257991-14 | ||
WFCM 2024-5C2
Hedge Ratio Calculations
Tranche | Balance | Dur | WAL | Hedge | Price | |
Name | Ratio | % | ||||
A1 | 3,921,000 | 2.32 | 2.57 | 0.8375 | to 3 year | 100.00 |
A2 | 130,000,000 | 4.09 | 4.75 | 0.9414 | to 5 year | 101.00 |
A3 | 370,082,000 | 4.16 | 4.91 | 0.9764 | to 5 year | 103.00 |
AS | 95,401,000 | 4.17 | 4.97 | 0.9788 | to 5 year | 102.99 |
B | 23,400,000 | 4.15 | 4.97 | 0.9683 | to 5 year | 102.38 |
C | 22,500,000 | 4.13 | 4.97 | 0.9458 | to 5 year | 100.49 |
D | 9,160,000 | 4.27 | 4.97 | 0.8370 | to 5 year | 86.01 |
3 Year Risk | 2.770 |
5 Year Risk | 4.388 |
Disclaimer:
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