Epstein Secrets

and hedge moo based on modal (Mac a taboo wish 'reality check' cap adpustmems made for model NRs greeter then ISM of TBA. San* - Bon nobtooir .1 Deutsche Bank Securities Inc. Page 3/ CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SONY-0116641 CONFIDENTIAL SDNY_GM_00262825 EFTA01457202

aspect that this framework does not control for (which may impact valuation slightly) is differences in the TBA collateral characteristics between Ginnie Mae II and Fannie Mae, such as WAC, WALA and geographic concentration. For example, the model loads FNCL 4.5%s at 4.85 GWAC, and G2SF 4.5%s at 4.96 GWAC.

ote however that hedge adjusted carry for the 62/FN 4.5% short is slightly negative, but is marginally positive for the G2/FN 4.0% short. Page 36 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087417 CONFIDENTIAL SDNY_GM_00233601 EFTA01385949

, and being short is slight positive carry (<1/32 per month) Research Analyst Research Analyst [Figure 6.. Framework for evaluating fair value in Ginnie Mae II/Fannie Mae swaps Cpn FNCL Px OAS OAD Incremental value (discount) of Pay Delay Liquidity Credit Prepayment Total G2/FN Fll G2/FN Act Act- F1/

on modal (Mac a taboo wish 'reality check' cap adpustmems made for model NRs greeter then ISM of TBA. San* - Bon nobtooir .1 Research Analyst Deutsche Bank Securities Inc. Page 3/ CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087418 CONFIDENTIAL SDNY_GM_00233602 EFTA01385950

aspect that this framework does not control for (which may impact valuation slightly) is differences in the TBA collateral characteristics between Ginnie Mae II and Fannie Mae, such as WAC, WALA and geographic concentration. For example, the model loads FNCL 4.5%s at 4.85 GWAC, and G2SF 4.5%s at 4.96 GWAC.