Epstein Secrets

nd trading and is not a research report. Other key risks to consider are outlined below: All investments are subject to possible loss of principal Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage-backed securities has experienced periods of ill

quencies 60+ Delinquency Coverage UNDERLYING COLLATERAL DESCRIPTION Prepay Rate 45254NNC7 Default Rate 10,000,000 Default Severity 1.566.775 Delinq Rate Alt-A Men Floater (1ML 73.5bps) Delinq Advance (% of P8I) CC/Cat- Call 0.928% 7 1 1 Jul13 to Nov28 23 20% 6.01% ' 3 2? Price @ 69-00 Yie

port. Other key risks to consider are outlined below: All investments are subject to possible loss of principal 7 EFTA_R1_01725357 EFTA02562936 Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage-backed securities has experienced periods of ill

al Face: 2 EFTA_R1_01725352 EFTA02562931 10,000,000 Default Severity 65 ramp 12 60 55 ramp 12 60 55 55 ramp 24 50 Current Face: 1,665,558 Delinq Rate 16 Percent 16 Percent 16 Percent Bond Type: Alt-A Floater Men (1.ML + 43bps) Delinq Advance (% of P&I) 75 80 80 Ratings (S&P/Moodys/Fitch):

nd trading and is not a research report. Other key risks to consider are outlined below: All investments are subject to possible loss of principal Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage-backed securities has experienced periods of ill

1.5 CDR Original Face: 4,314,300 Default Severity 40 ramp 36 35 35 ramp 36 30 30 Current Face: 2 EFTA_R1_01730426 EFTA02565757 2,002,760 Delinq Rate 7.5 Percent 7.5 Percent 7.5 Percent Bond Type: Prime Fix 5.25% Men Delinq Advance (% of P&I) 100 100 100 Ratings (S&P/Moodys/Fitch): CCC/-

nd trading and is not a research report. Other key risks to consider are outlined below: All investments are subject to possible loss of principal Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage-backed securities has experienced periods of ill

iginal Face: 5,700,000 Default Severity 45 ramp 36 40 2 EFTA_R1_01730838 EFTA02565932 40 ramp 24 35 35 ramp 18 30 Current Face: 1,060,043 Delinq Rate 12 Percent 12 Percent 12 Percent Bond Type: Prime Sub Floaters (1ML +145.5 bps) Delinq Advance (% of P&I) 100 100 100 Ratings (S&P/Moodys/F

port. Other key risks to consider are outlined below: All investments are subject to possible loss of principal 7 EFTA_R1_01731683 EFTA02566472 Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage-backed securities has experienced periods of ill

ginal Face: 12,976,407 Default Severity 45 ramp 36 40 40 ramp 24 35 2 EFTA_R1_01731678 EFTA02566467 40 ramp 18 35 Current Face: 6,718,757 Delinq Rate 13 Percent 13 Percent 13 Percent Bond Type: Alt-A Hybrid Sub Delinq Advance (% of P&I) 85 95 100 Ratings (S&P/Moodys/Fitch): CCC/-/- Call

nd trading and is not a research report. Other key risks to consider are outlined below: All investments are subject to possible loss of principal Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage-backed securities has experienced periods of ill

2 2 CDR Original Face: 5,982,000 Default Severity 50 50 ramp 12 45 45 ramp 12 40 Current Face: 4,551,230 2 EFTA_R1_01343585 EFTA02357574 Delinq Rate 9 Percent 9 Percent 9 Percent Bond Type: Prime Fixed 30yr Snr. Sub Delinq Advance (% of P&I) 100 100 100 Ratings (S&P/Moodys/Fitch): -/Ca/