Sample RMBS Analysis September 2013

Ricardo Diaz – Head of Fixed Income Pete Vaky rdiaz@figpartners.com pvaky@figpartners.com Brian Zwerner Sean McGlynn bzwerner@figpartners.com smcglynn@figpartners.com Tim Horton Chris Wood thorton@figpartners.com cwood@figpartners.com Megan Levine Amanda Havriluk mlevine@figpartners.com ahavriluk@figpartners.com (404) 601 7248

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Methodology for RMBS Analysis

FIG Partners, LLC utilizes an in-depth analysis to produce cash flows for each RBS security that is evaluated. A review is completed of the collateral and historical performance on each security. The results are then compared to norms established for each product type and vintage and adjustments are made as necessary. A prepayment rate (CPR), default rate (CDR) and severity rate is calculated for each bond as detailed below:

The prepayment rate (CPR) is determined by looking at certain collateral characteristics (i.e., conforming loans, current mortgage rates and interest rates on underlying loans) and examining the historical prepayment levels.

The default rate (CDR) is set by using a roll rate process which incorporates an expectation for each performance bucket (Current, 30 day, 60 day, 90+ day, bankrupt, foreclosure, REO) to predict the probability of an ultimate default on that bucket. The roll rate is evaluating using the historical performance of a range of loan attributes which included CLTV, FICO, Loan Type, Vintage, and Geographic Concentrations.

The Loss Severity is determined by evaluating the pool characteristics and actual loss severities across the collateral over varying historical periods.

For all securities, we then utilize a vector approach that accounts for our expectation that the U.S. housing market will begin to normalize and eventually recover somewhat starting in approximately two-years. This approach is reflected in an increase in voluntary prepayment speeds, coupled with a moderation in loss rates and severities.

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Methodology for RMBS Analysis

Once cash flows are created using the pricing parameters for each security, a Market Yield level is then calculated for each bond as defined below.

Market Yield: the yield for a security corresponding to the price expected in the current market environment. This is calculated by identifying similar securities based on a number of attributes from a database of securities offerings and trading levels maintained by FIG Partners.

Each security is then priced in a cash flow model to determine the Market Price. We then evaluate to determine if there is an expected principal writedown. For these securities, we then calculate the Other Than Temporary Impairment (OTTI) if any through a discounted cash flow model.

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Projected Cash Flows, FMV and OTTI – ARMT 2005-12 3A1

The bond was priced with the following parameters:

CPR: 8% for 2 years, then 10% thereafter CDR: 10% for 2 years, then 7.5% thereafter Severity: 55% for 2 years, then 50% thereafter

The bond is expected to take a writedown under our base case scenario. The discounted cash flow price is above the book price, thus no additional OTTI is appropriate.

Date Balance Int Pymt Prin Pymt Loss1/3/2013 5,447,739 - - -

8/25/2013 4,693,395 94,831 550,178 204,166 8/25/2014 3,741,127 112,538 696,395 255,873 8/25/2015 2,983,224 91,442 595,258 162,645 8/25/2016 2,372,898 78,491 498,572 111,755 8/25/2017 1,880,571 70,820 402,344 89,983 8/25/2018 1,483,911 62,959 324,261 72,399 8/25/2019 1,164,085 53,793 261,644 58,183 8/25/2020 906,265 44,488 211,146 46,674 8/25/2021 698,808 36,133 170,105 37,351 8/25/2022 532,289 28,734 136,716 29,804 8/25/2023 399,144 22,464 109,448 23,697 8/25/2024 293,161 17,028 87,221 18,762 8/25/2025 209,333 12,410 69,053 14,776 8/25/2026 143,734 8,765 54,037 11,561 8/25/2027 93,143 5,820 41,616 8,975 8/25/2028 55,620 3,578 30,623 6,900 8/25/2029 28,895 2,002 21,485 5,239 8/25/2030 10,678 920 14,299 3,918 8/25/2031 - 222 8,154 2,524

SUM 747,440 4,282,554 1,165,184

CUSIP Curr Par Value Book Value2254W0MH5 5,447,739 4,238,341

Book Price Book Yld DCF Price77.80 3.85% 78.62

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Disclaimer

Confidentiality Agreement / Legal Disclaimer

This presentation (the “Presentation”) is being furnished on a confidential basis to a limited number of sophisticated investors on a “one-on-one” basis for informational and discussion purposes only and does not constitute an offer to sell or a solicitation of an offer to purchase any security. The information set forth herein does not purport to be complete and is subject to change.

The information contained herein does not purport to contain all of the information that may be required to evaluate any securities or other opportunities and any recipient hereof is encouraged and should conduct its own independent analysis of the data referred to herein. FIG Partners, LLC (“FIG”) and its affiliates disclaim any and all liability as to the information set forth herein or omissions here from, including, without limitation any express or implied representation or warranty with respect to such information.

Certain information contained herein (including targets, forward-looking statements, economic and market information) has been obtained from published sources and/or prepared by third parties and in certain cases has not been updated through the date hereof. While such sources are believed to be reliable, none of FIG or any of their respective affiliates or employees assume any responsibility for the accuracy or completeness of such information.

Each party should seek advice based on its particular circumstances from an independent tax advisor. The use of this Presentation in certain jurisdictions may be restricted by law. The products mentioned in this document may not be eligible for sale in some states or countries, nor suitable for all types of investors; their value and the income they produce may fluctuate and/or be adversely affected by exchange rates, interest rates, or other factors. All parties should inform themselves as to the legal requirements and tax consequences of an investment in the products mentioned herein within the countries of their citizenship, residence, domicile and place of business.

No part of this document may be reproduced in any manner without the written permission of FIG. Information in this document has been obtained from various sources; we do not represent that this information is accurate or complete and it should not be relied upon as such. Opinions expressed herein are subject to change without notice.

Certain information contained in this report constitutes “forward-looking statements,” which can be identified by the use of forward-looking terminology such as “may,” “will,” “seek,” “should,” “expect,” “anticipate,” “project,” “estimate,” “intend,” “continue” or “believe” or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties, actual events or results or the actual performance may differ materially from those reflected or contemplated in such forward-looking statements.

To ensure compliance with Internal Revenue Service Circular 230, you are hereby notified that any discussion of tax matters set forth herein was not intended or written to be used, and cannot be used by any party, for the purposes of avoiding penalties that may be imposed.

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For More Information – Contact FIG Partners

1175 Peachtree Street 350 S. Figueroa Street 100 Colony Square, Suite 2250 Suite 550 Atlanta, GA 30361 Los Angeles, CA 90071 (404) 601-7200 866-FIG-BNKS