CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Maiden Lane III Counterparty Brierers
November 5. ZOOS
________________________________________________________________________________ ,. BLACKROCK
SOLUTIONS"
CONFIDENTIAL
FRBNY-TOWNS-Rl-192338
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Societe Generale
_______________________________________________________________________________,. BLACKROL1 portfolio is forecast to experience higher tranche principal losses in all scenarios, and exhibits disproportionally worse performance in extreme stress scenarios The portfolio is heavily overweight sub prime and slightly overweight Alt-A
° SOY, issubprime (compared to 3o\toverall)
o1n is Alt-A, slightly higher than the total portfolio (1n)
° S3Y, of the portfolio is concentrated in the 2005 vintage (vs. 38 is overall)
Only 11% of the portfolio is rated AAA (compared to 36%), and 16% is below Investment Grade (compared to 18% total)
_______________________________________________________________________________,. BLACKROL1;; of totaL counterpartyexposure
$0.6 billion in additional collateral has been requested since 10114
• BlackRod. expects the portfolio to perform slightly wor.;e than ..,alues implied by wllateral requested to date
UBS's portfolio Is projected to perform In line with the overall portfolio in each scenario
The portfolio is heavily overweight prime/agency and AIt-A RMBS, with a concentration in 2005
and 2006 vintages
·307) in each Alt-Aand prime/agency (compared to 17% each for the overall portfolio'] • The portfolio is overweight 2006 (35%
VS.
23% overall) and underweight 2004 (12% VS. 18% overall)
While 45% of the portfolio is rated AM (compared to 36%), 21% is below Investment Grade (compared to 18% total)
• AAA assets are found in the Triaxx COO, whiLe the other COOs in the portfoLio are of significantLy lower quaLity
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
29
CONFIDENTIAL
FRBNY-TOWNS-Rl-192366
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
30
CONFIDENTIAL
FRBNY-TOWNS-Rl-192367
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
31
CONFIDENTIAL
FRBNY-TOWNS-Rl-192368
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Appendices
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
32
CONFIDENTIAL
FRBNY-TOWNS-Rl-192369
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Societe Generale Appendix
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
33
CONFIDENTIAL
FRBNY-TOWNS-Rl-192370
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Societe Generale CSA Overview from Davis Polk
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
34
CONFIDENTIAL
FRBNY-TOWNS-Rl-192371
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Goldman Sachs Appendix
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
35
CONFIDENTIAL
FRBNY-TOWNS-Rl-192372
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Goldman Sachs CSA Overview from Davis Polk
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
36
CONFIDENTIAL
FRBNY-TOWNS-Rl-192373
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Deutsche Bank Appendix
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
37
CONFIDENTIAL
FRBNY-TOWNS-Rl-192374
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Deutsche Bank CSA Overview from Davis Polk
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
38
CONFIDENTIAL
FRBNY-TOWNS-Rl-192375
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Merrill Lynch Appendix
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
39
CONFIDENTIAL
FRBNY-TOWNS-Rl-192376
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Merrill Lynch CSA Overview from Davis Polk
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
40
CONFIDENTIAL
FRBNY-TOWNS-Rl-192377
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Calyon Appendix
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
41
CONFIDENTIAL
FRBNY-TOWNS-Rl-192378
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
Calyon CSA Overview from Davis Polk
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
42
CONFIDENTIAL
FRBNY-TOWNS-Rl-192379
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
UBS Appendix
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
43
CONFIDENTIAL
FRBNY-TOWNS-Rl-192380
CONFIDENTIAL
PRELIMINARY DRAFT - FOR DISCUSSION PURPOSES
UBS CSA Overview from Davis Polk
_______________________________________________________________________________,. BLACKROL1<
SOLUTIONS"
44
CONFIDENTIAL
FRBNY-TOWNS-Rl-192381