May 2008

Neil Barve
Aaron Bryson

CMBS Derivative Workshop

PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES AFTER SLIDE 42

Blame it on CMBX
‹ Unprecedented CMBS cash market spread volatility
‹ Coincides with growing popularity of CMBX contracts
(bp)
120
Pre CMBX Post CMBX
100
80
60
40
20
0
(20)
(40)
(60)
(80)
Sep-02

Sep-03

Sep-04

Sep-06

Sep-07
Mar-02

Mar-03

Mar-04

Mar-05

Mar-06

Mar-07

Mar-08
Sep-05
Sep-99

Sep-00
Mar-00

Mar-01

Sep-01

CMBS IG Index, Monthly Spread Chg

________________
Source: Lehman Brothers.
Agenda

‹ CMBX
– CMBX basics
– How not to think about CMBX
– Spread duration
– Approach to fair value
– Trade recommendations
‹ Index swaps
CMBX Basics
What Is CMBX?

‹ A basket of credit default swaps on CMBS

‹ 25 equally weighted CDS from 25 different transactions
– AAA SD, AJ, AA, A,BBB, BBB-, BB
‹ New OTR contract every six months
– CMBX.5 starts trading on May 22
‹ Key benefits
– Liquidity
– Transparency
– Documents and trade settlement
Basic Mechanics of a CMBX Trade
‹ Equal weighted basket of single name CDS

Prior to a Credit Event or Maturity, BoP Makes Regular Payments to the SoP
Fixed Payment
(Fixed Rate on Notional Balance)
BoP SoP

Following a Credit Event

Fixed Payment

BoP SoP
Floating Payment
(Writedown / interest shortfall)

________________
Source: Lehman Brothers.
Basic Mechanics of a CMBX Trade

‹ Trades on spread basis

– Fixed coupon struck at contract inception
• Example, BBB-.1 = 134bp
– If market spread > fixed coupon, then BoP must make upfront payment to SoP
– If market spread < fixed coupon, then SoP must make upfront payment to BoP

‹ What is the upfront?

– NPV of the difference between the fixed coupon leg and the floating leg
– Upfront = PV01 X ( market spread – fixed coupon)
• PV01 determined by Markit partners

________________
Source: Lehman Brothers.
Treatment of Principal Writedown
‹ Unlike corporate CDS, pay-as-you-go structure
‹ Example: BBB-.1
‹ Credit Event: one reference obligation suffers a 50% writedown
‹ Fixed Payment = 134bp (Fixed Rate) x Act/360 (day count convention) x $100mn (not. bal. of trade)
‹ Floating Payment = 4% (weight of ref. obl.) x 50% (% writedown to ref. obl.) x $100mn (not. bal.
of trade)
Fixed Payment (≈$112k)

BoP SoP
Floating Payment ($2mn)

‹ After Principal Writedown, assuming no other credit events

‹ Fixed Payment = 134bp (Fixed Rate) x Act/360 (day count convention) x $98mn (not. bal. of trade)

Fixed Payment (≈$109k)

BoP SoP

________________
Source: Lehman Brothers.
Calculating the Floating Payment
Due to Interest Shortfall
‹ Fixed cap methodology
‹ In event of shortfall, floating payment by SoP is capped at the fixed rate of the CMBX index
‹ BBB-.1 coupon = 134bp/yr or 11.2 bp/month
‹ Assume 3 of the 25 reference obligations are suffering interest shortfall > than the fixed rate of
the index
Reference Obligation Weight x Fixed Rate x % of Fixed Rate = Floating Payment
1 4% 11.2bp 100% 0.45bp
2 4% 11.2bp 100% 0.45bp
3 4% 11.2bp 100% 0.45bp
4–25 88% 11.2bp 0% 0.00bp
Total 1.34bp

Fixed Payment
11.2bp/month
BoP SoP
Floating Payment
1.34bp/month
________________
Source: Lehman Brothers.
CMBX – Cash Relationship

‹ Basis
– Tends to be leading indicator of large spread moves
– CMBX moves in “higher beta” fashion versus cash
– Also reflects liquidity / funding differences

AAA Sr. CMBX-Cash Basis BBB CMBX-Cash Basis

20 360 600 2400
0 300 400 2000
(20) 240 200 1600
(40) 180 0 1200
(60) 120 (200) 800
(80) 60 (400) 400
(100) 0 (600) 0
Aug-06

Aug-07
Jun-06

Jun-07

Aug-06

Aug-07
Dec-06

Apr-07

Dec-07

Apr-08
May-06

Jun-06

Jun-07
Mar-06

Oct-06

Oct-07
Feb-07

Feb-08

Dec-06

Apr-07

Dec-07

Apr-08
May-06
Mar-06

Oct-06

Oct-07
Feb-07

Feb-08
AAA Basis (LHS) AAA Cash Spreads BBB Basis (LHS) BBB Cash Spreads
________________
Source: Lehman Brothers.
How Not to Think About CMBX
Misread #1: Simply an Insurance Contract
‹ Just insurance contract, no relation to underlying cash market
– “Super duper AAAs will never take a loss, selling protection is free money”
– “Losses will be back-ended, no one will buy protection”
Super Senior Risk
300

225

150

75

0
Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08

CMBX.AAA.3 CDX IG 9 30-100% GE 1yr CDS

________________
Source: Lehman Brothers.
Misread #2: Ignore Linkages with Other
Credit Markets
‹ Residential mortgages, credit
– Cross sector hedging activity
– “If my Sr. AAAs are at S+400bp, why are yours at S+150bp?”
Super Senior Risk
600

450

300

150

0
Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08

30-yr Jumbo AAA LOAS 30yr Alt A AAA LOAS AAA.CMBX OTR
________________
Source: Lehman Brothers.
CMBX Linkages with Underlying Cash Market

‹ Sell protection on CMBX

– Similar (though not exact) payoff profile as buying underlying 25 cash bonds and
paying on IRS with balance guaranty (to offset interest rate / swap spread exposure and
prepayment risk)
‹ Why not arbitrage?
– Difficulty sourcing cash bonds
– Lack of single name CMBS market
– Treatment of interest short fall

Buy EW portfolio of 25 underlying

Sell protection on CMBX.AAA.4 =
AAA bonds

Pay on IRS with balance guarantee

________________
Source: Lehman Brothers.
Create Synthetic Long Position with CMBX

‹ Example: Use CMBX to create synthetic funded long position

– Sell protection, purchase a LIBOR floater
4/25/08
AJ.4 @ 310 bp
Fixed coupon = 96bp, so BoP makes upfront payment of $14.6 to SoP
Net Cash
Flow to SoP
$14.6 $100
Trade date BoP SoP LIBOR Floater ($85.4)

LIBOR on
$100mn
$0.96 L+96bp
Ongoing date BoP SoP LIBOR Floater on $100mn

________________
Source: Lehman Brothers.
Buy Cash Bond

‹ Example: Buy a cash bond

4/25/08
AJ cash bond, coupon = 5.48% (S+96bp), trading @ 310bp, pay on IRS
10yr swap rate = 4.52%
Pay on IRS w/ balance guaranty,
Net Cash
equal to notional
Flow to SoP
$85.4
Trade date Bond Seller Bond Buyer ($85.4)

5.48%,
Income,
L+96bp
Ongoing date S+96bp
Bond Buyer on $100mn
$100mn Not’l

Receive floating rate Pay fixed rate on

LIBOR on $100mn $100mn
IRS
________________
Source: Lehman Brothers.
Create Synthetic Long Position w/ CMBX

‹ After 8% notional writedown (ie. 2 AJ bonds get take 100% loss)

Unwind $8mn of LIBOR Floater

$8 Net Cash
Flow to SoP
On $8
writedown date BoP SoP $0

96bp LIBOR
on $92mn on $92mn
L+96bp
Ongoing date BoP SoP LIBOR Floater on $92mn

________________
Source: Lehman Brothers.
Buy Cash Bond
‹ Example: Buy a cash bond

4/25/08
AJ cash bond, coupon = 5.48% (S+96bp), trading @ 310bp, pay on IRS
10yr swap rate = 4.52%
Net Cash
Flow to
Bond Buyer
On Principal
Bond Seller $0
writedown date Writedown

5.48%, S + 96bp
Income, L+96bp
Ongoing date Bond Buyer
$92mn Not’l on $92mn
Receive floating
Pay fixed rate,
rate, LIBOR on
4.52% on $92mn
$92mn
IRS
________________
Source: Lehman Brothers. Unwind $8mn of IRS
CMBX Spread Duration
CMBX Spread Duration
‹ Upfront methodology
– Determined by Markit.com
– Similar to that of corporate market
– Market spread is proxy for default risk
• Spread of 100bp implies loss of 100bp/year on reference obligations

As of April 25, 2008

Rating Imp. Price Spreads (bp) Avg Life (yrs) Spread Dur. (yrs)
AAA.4 95.0 103 9.0 7.2
AJ.4 85.4 310 9.2 6.2
AA.4 81.8 448 9.2 5.7
A.4 81.8 651 9.3 5.3
BBB.4 65.1 1,215 9.5 3.6
BBB-.4 51.7 1,652 9.5 2.6

________________
Source: Lehman Brothers.
CMBX Spread Duration
Positively convex relationship
Price vs. Spread
Price ($)
140
120
CMBX.A.4, 4/25/08 close
100
80
60
40

20
0
0 250 500 750 1000 1250 1500 1750 2000
Spread (bp)
________________
Source: Lehman Brothers.
Approach to Valuation
Historical Loss Distribution 1995–1999 Vintages
Asymmetric with positive skew
‹ Dispersion across deals is important
Deal Loss Distribution (1995–1999 Vintages)
Deals 1995–1999 Vintage
24
Average = 2.22%

18
Loss > CMBX.3.BBB- C.S. (26% of all deals)
12
Loss > CMBX.3.BBB C.S. (16% of all deals)
6

0
0.0–0.5%
0.5–1.0%
1.0–1.5%
1.5–2.0%
2.0–2.5%
2.5–3.0%
3.0–3.5%
3.5–4.0%
4.0–4.5%
4.5–5.0%
5.0–5.5%
5.5–6.0%
6.0–6.5%
6.5–7.0%
7.0–7.5%
7.5–8.0%
8.0–8.5%
8.5–9.0%
9.0–9.5%

10.0%
>10%
9.5-
Realized Deal Loss Buckets

________________
Source: Lehman Brothers.
Expected Bond Losses across Capital Structure

2007 Vintage: Bond Loss – One Transaction (Undiversified) for Different

Ratings across Deal Loss Scenarios
Avg. Bond Loss (%)
100%
1995–1999 LB Research
Vintages Base Case
75%
The infamous
1986 vintage
50%

25%

0%
2 3 4 5 6 7 8 9 10 11 12 13 14 15
Average Deal Loss
AJ AA A BBB BBB-
________________
Source: Lehman Brothers.
Expected Bond Losses across Capital Structure

2007 Vintage: Average Bond Loss for Portfolios of Different Ratings

across Average Deal Loss Scenarios
Avg. Bond Loss (%)

100%
1995–1999 LB Research
Vintages Base Case
75%
The infamous
1986 vintage
50%

25%

0%
2 3 4 5 6 7 8 9 10 11 12 13 14 15
Average Deal Loss
AJ AA A BBB BBB-
________________
Source: Lehman Brothers.
What’s Priced into Spreads?
Use CMBX.4, as of April 25, 2008
AJ AA A BBB BBB-
Current Spread (bp) 310 448 651 1215 1652
Implied Price (100-Upfront) 85.4 81.8 81.8 65.1 51.7
Average Credit Support (%) 12.3 10.2 7.8 4.4 3.4
Market Implied Averages(1)
Bond Loss (%) 32 42 53 77 88
Loss Timing (Years) 8.6 7.5 6.2 5.3 4.8
Deal Loss (%) 14.4 11.0 9.5 8.4 8.4
Deal Loss with Risk Premium (%)(2) 16.5 8.9 8.3 7.1 7.6
Average Deal Loss: Historical Context
1995–1999 CMBS Vintage Avg. (%) 2.2
1986 Vintage (Est. Worst Pre-CMBS Cohort) (%)(3) 8.1
________________
Source: Lehman Brothers.
1. Based on our loss dispersion approach.
2. Risk premium set at 200bp for AJ to single-A classes and 400bp for BBB/BBB- classes.
3. “Commercial Mortgage Defaults” 30 Years of History” – by Esaki and Goldman in the Winter 2005 edition of
CMBS World.
Trade Recommendations
Key Considerations When Putting Trades On

‹ Fundamentals – writedowns (loss dispersion)

‹ Technical
– Spread betas
– Spread duration
– Liquidity

‹ Hedge ratio calculation

________________
Source: Lehman Brothers.
CMBX Specific Trade Recommendations

‹ CMBX trade recommendations

– Sell protection 2.5 units CMBX.4.AAA, buy protection CMBX.4.AJ
– Sell protection 1 unit CMBX.3.A vs. buy protection 1 unit CMBX.2
– Sell protection 0.6X AJ.2, buy protection 1X A.2, sell protection
0.4X BBB.2
– Buy protection 1X BBB-.1, “fund” by selling protection 0.5X BBB-.4
CMBX Relative Value Snapshot
As of April 25, 2008
AJ AA A BBB BBB-
CMBX.4
Current Spread (bp) 310 448 651 1215 1652
Implied Price (100 Upfront) 85.4 81.8 81.8 65.1 51.7
Market Implied Average
Bond Loss; Loss Timing 32%; 8.6yr 42%; 7.5yr 53%; 6.2yr 77%; 5.3yr 88%; 4.8yr
Avg. Deal Loss 14.4% 11.0% 9.5% 8.4% 8.4%
Base Case Average (Deal Loss = 4.25%)
Bond Loss; Loss Timing 1%; 8.7yr 4%; 8yr 10%; 7yr 32%; 6.8yr 47%; 6.8yr
Fair Spread over Dupers (bp) 10 39 94 312 493
Mkt. Implied / Base Case Deal Loss 3.4X 2.6X 2.2X 2X 2X
2X Base Case Average (Deal Loss = 8.5%)
Bond Loss; Loss Timing 8%; 8.7yr 23%; 7.6yr 43%; 6.3yr 78%; 5.3yr 88%; 4.8yr
Fair Spread over Dupers (bp) 73 222 494 1238 1687

CMBX.3
Current Spread (bp) 311 444 574 1130 1632
Implied Price (100 Upfront) 89.3 74 69.7 55 46.2
Market Implied Average
Bond Loss; Loss Timing 30%; 7.9yr 37%; 6.8yr 44%; 6yr 70%; 5.4yr 84%; 4.8yr
Avg. Deal Loss 13.5% 9.8% 8.0% 6.9% 7.1%
Base Case Average (Deal Loss = 3.75%)
Bond Loss; Loss Timing 1%; 8yr 4%; 7.4yr 9%; 6.6yr 31%; 6.5yr 48%; 6.5yr
Fair Spread over Dupers (bp) 8 37 95 350 570
Mkt. Implied / Base Case Deal Loss 3.6X 2.6X 2.1X 1.8X 1.9X
2X Base Case Average (Deal Loss = 7.5%)
Bond Loss; Loss Timing 7%; 7.9yr 20%; 6.9yr 39%; 6yr 76%; 5.2yr 87%; 4.6yr
Fair Spread over Dupers (bp) 64 220 490 1311 1804
________________
Source: Lehman Brothers.
CMBX Relative Value Snapshot
As of April 25, 2008
AJ AA A BBB BBB-
CMBX.2
Current Spread (bp) 248 330 447 746 1053
Implied Price (100 Upfront) 91 80.3 74.7 62.7 52.5
Market Implied Average
Bond Loss; Loss Timing 24%; 8yr 28%; 7.2yr 34%; 6yr 52%; 5.8yr 65%; 5.6yr
Avg. Deal Loss 12.6% 9.3% 7.6% 5.9% 5.8%
Base Case Average (Deal Loss = 3.5%)
Bond Loss; Loss Timing 1%; 8.1yr 2%; 7.5yr 6%; 6.7yr 23%; 6.5yr 37%; 6.5yr
Fair Spread over Dupers (bp) 5 24 68 270 450
Mkt. Implied / Base Case Deal Loss 3.6X 2.7X 2.2X 1.7X 1.6X
2X Base Case Average (Deal Loss = 7.0%)
Bond Loss; Loss Timing 5%; 8.1yr 15%; 7.2yr 29%; 6.1yr 63%; 5.4yr 77%; 5.1yr
Fair Spread over Dupers (bp) 51 164 369 1027 1449

CMBX.1
Current Spread (bp) 145 227 277 440 548
Implied Price (100 Upfront) 96.2 87.7 85.5 78.8 75.7
Market Implied Average
Bond Loss; Loss Timing 13%; 7.3yr 18%; 6.8yr 21%; 5.9yr 33%; 5.7yr 42%; 5.8yr
Avg. Deal Loss 10.3% 8.1% 6.2% 4.5% 4.1%
Base Case Average (Deal Loss = 2.75%)
Bond Loss; Loss Timing 0%; 6.8yr 1%; 6.7yr 3%; 6.5yr 13%; 6.2yr 22%; 6.3yr
Fair Spread over Dupers (bp) 2 10 36 153 253
Mkt. Implied / Base Case Deal Loss 3.7X 3X 2.3X 1.6X 1.5X
2X Base Case Average (Deal Loss = 5.5%)
Bond Loss; Loss Timing 2%; 7.4yr 8%; 6.9yr 16%; 5.9yr 45%; 5.5yr 61%; 5.3yr
Fair Spread over Dupers (bp) 26 88 209 670 958
________________
Source: Lehman Brothers.
CMBX Trade Example

‹ Buy protection BBB-.1, “fund” by selling protection ½ notional BBB-.4

– Entered on April 17, 2008
Spread
Up Spread Chg
Implied Prices
Class Not’l Spread CPN Front Dur. Beta (bp)
BBB-.1 1000 577 134 25.9 4.9 75
BBB-.4 (500) 1776 500 51.6 2.4 0.8
60
Wgtd Avg +311 +116 (0.1)
45
30
15
0
Jan-08 Feb-08 Mar-08 Apr-08

Difference (BBB-.1-BBB-.4)
BBB-1.
BBB-.4

________________
Source: Lehman Brothers.
Index Swaps
Index Swap Basics

‹ Focus on duration-neutral swaps

– Cash flows immune to movements in interest rates
– AAA 8.5+ year index, AAA Super Duper 8.5+ year index
Monthly Cash flow Exchange in a Duration-Neutral Swap
CMBS XS Ret. over swaps for the month

Payer Receiver
S(1)/12

Or in Other Words
(CMBS spd tightening(1) index dur) + beg. spd/12

Payer Receiver
S(1)/12
________________
Source: Lehman Brothers.
1. Historically, the spread “S” has been negative in most trades.
Index Swap Basics
‹ Pay or receive duration/neutral or total returns on an underlying CMBS index
– AAA 8.5+yr, AAA SD 8.5+ yr index
‹ Funding (or financing) spread
– Determines what the payer receives in exchange for paying index returns
• Negative funding spread – in favor of payer
• Positive funding spread – in favor of receiver

Index Swap Financing Levels Index Swap Financing Levels

(bp) (bp)
1,000 60
800 > 0 Favors REC on index > 0 Favors REC on index
40
600
400 20
200 0
0
(200) (20)
(400) < 0 Favors PAY on index < 0 Favors PAY on index
(40)
(600)
(800) (60)
Oct-05 Mar-06 Jul-06 Dec-06 May-07 Oct-07 Mar-08 Oct-05 Feb-06 Jun-06 Sep-06 Jan-07 May-07 Sep-07 Jan-08

AAA 8.5+ Fin Level Adj for Sprd Chg Sprd Pickup over Cash Bond, AAA 8.5+
AAA SD 8.5+ Fin Level Adj for Sprd Chg Sprd Pickup over Cash Bond, AAA SD 8.5+
________________
Source: Lehman Brothers.
Index Swap Basics
‹ Breakeven spread widening
– How much spread widening can you withstand before losing money
on the trade?
**All markets are assuming Duration Neutral (D/N) and Yesterday's Fix (Y/F)**

Avg 6m 1yr Mid-Mkt 6m | Yest Yest | 1 Year Spread

C/E Index Pay/Rec Pay/Rec Breakeven | Spread Mdur | Min Max Avg
25.3% AAA -450/-150 --/-- -9.5 | 208.2 4.84 | 22.6 388.6 112.1
25.0% ERISA -450/-150 --/-- -8.6 | 216.2 4.90 | 23.5 399.3 115.8
29.8% SD 8.5 -400/-100 --/-- -5.9 | 168.2 6.95 | --- --- ---
25.7% AAA8.5 -500/-200 --/-- -8.9 | 227.9 6.88 | 27.9 420.1 122.1
23.7% IG 8.5 --/-- --/-- -- | 315.2 6.78 | 36.9 514.3 162.9
4.4% BBB8.5 **Call Desk** -- |1465.7 5.46 |135.5 1856.9 660.5

________________
Source: Lehman Brothers.
Index Swap Basics

‹ As of March 28, 2008

‹ Prior day close of index = 264bp
‹ Mid mkt funding spread = 100bp
‹ ? Mid-Mkt 6m breakeven spread change for receiver of D/N AAA 8.5+ year
index swap
– 6 mo carry on index = 264/2 = 132bp + Funding spread carry = 100/2 = 50bp
– Total Carry = 132+50bp = 182bp
– 182bp / 6.9yr spread duration = 26 bp (ie. 26bp of spread widening)

________________
Source: Lehman Brothers.
Index Swap Basics
‹ What is mid-mkt 6m breakeven spread as of Friday, 4/25/08?
‹ Prior day close of index = 228 bp
‹ Mid mkt funding spread = -350 bp

________________
Source: Lehman Brothers
Fastest Growing CMBS Derivative Market
Index swaps
‹ AAA 8.5+ year index most actively traded
– AAA SD 8.5+ year index (senior 30% credit support AAAs only) launched in
January 2008
Index Swap Volume
Notional (mn)
225,000
180,000
135,000

90,000
45,000
0
FY 2006 FY 2007 FY 2008* (YTD 4/23/08
Data Annualized)
________________ AAA 8.5+ ERISA Eligible SD8.5+ Other
Source: Lehman Brothers
Fastest Growing CMBS Derivative Market
Index swaps
‹ Hedge fund / prop desk trading on the rise, bank trading on the decline

Index Swap Volume

Notional (mn)
225,000
180,000
135,000

90,000
45,000
0
FY 2006 FY 2007 FY 2008* (YTD 4/23/08
Data Annualized)
________________ Bank Hedge Fund Ins Co Money Mgr
Source: Lehman Brothers
What Drives the Funding Spread?

‹ Pipeline hedging activity

– Conduit originators typically PAY on the index to hedge new loans
‹ Market sentiment
– Mid-March nobody wanted to REC on the index

Fixed Rate Supply Market Sentiment

(bp)
25,000 400 500 1500
> 0 Favors REC on index
20,000 300 400 1000

15,000 200 300 500

10,000 100 200 0

5,000 0 100 (500)

< 0 Favors PAY on index
0 (100) 0 (1000)
Jul-06

Jul-07
Jan-06

Apr-06

Jan-07

Apr-07

Jan-08

Apr-08
Oct-05

Oct-06

Oct-07

Dec-07 Jan-08 Feb-08 Mar-08

6 mo avg Financing Spread (rhs) AAA 8.5+ Year Index Spreads Financing Levels (rhs0
________________
Source: Lehman Brothers
Summary
‹ CMBX Updates
– Relative value, trade updates, credit performance published regularly
– Spreads, prices on LehmanLive (keyword: TSP)
– Get on our distribution list
‹ Index Swaps
– Periodically highlight dislocations (3/28/08)
– Index spreads, funding levels on LehmanLive (keyword: TSP)
Analyst Certification and Important Disclosures
Explanation of the Lehman Brothers Mortgage Model
The Lehman Brothers Mortgage Valuation Model allows investors to analyze mortgage-backed (MBS), asset-backed (ABS) and commercial mortgage-backed securities (CMBS). The model collects pertinent and
material information needed to evaluate and calculate the risk measures of the security. The model provides option-adjusted spreads and durations along with other risk measures using Lehman Brothers'
Prepayment, Default, and Term Structure Models.
Analyst Certification.
The views expressed in this report accurately reflect the personal views of Neil Barve and Aaron Bryson, the primary analysts responsible for this report, about the subject securities or issuers referred to herein, and
no part of such analyst’s compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed herein.
Important Disclosures.
Lehman Brothers, Inc., and / or an affiliate thereof (the “firm”) regularly trades, generally deals as principal and generally provides liquidity (as market maker or otherwise) in the fixed income securities that are the
subject of this research report (and related derivatives thereof). The firm’s trading desks may have either a long and / or short position in such securities and / or derivative instruments, which may pose a potential
conflict with the interests of investing customers. Where permitted and subject to appropriate information barrier restrictions, the firm’s fixed income research analysts regularly interact with its trading desk
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the overall performance of the firm (including the profitability of the investment banking department), the profitability and revenues of the Fixed Income Division and the outstanding principal amount and trading
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and do not represent current market levels, prices or spreads, some or all of which may have changed since the publication of this document.
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