Subject:

Mock securitization of fixed-rate CMBS collateral: ESEC2_RISK_103107.xls

From:

Hong, Victor, RBSGC (Victor.Hong@rbsgc.com)

To:
Date:

Tuesday, November 6, 2007 9:53 PM

______________________________________________
From:
Sent:

Hong, Victor, RBSGC

Tuesday, November 06, 2007 9:48 PM

To:

Mathis, Carol, RBSGC

Cc:

Jin, Bruce, RBSGC; Gaskell, Ian, RBSGC; Rieder, Lauren, RBSGC

Subject:

Mock securitization of fixed-rate CMBS collateral: ESEC2_RISK_103107.xls

The CMBS traders ran a mock-securitization analysis, to measure the fair value of their loans in a
standard exit. Typically, a CMBS originator can expect to make a 1% profit margin when executing a
CMBS deal, perhaps even less in the current environment. (Chris McCormack, Perry Gershon, and Mark
Finerman had confirmed so, in early October.) This analysis shows that the traders have been
undervaluing their loans, by roughly 10% in this case. Would you have time to speak Wednesday,
regarding the implications for proper financial and risk reporting? I will grab a slot in your calendar.
Thank you.
Victor Hong, Risk Management
RBS Greenwich Capital
203-618-2753

______________________________________________
From:
Sent:
To:

McCormack, Christopher, RBSGC

Friday, November 02, 2007 12:09 PM
Hong, Victor, RBSGC; Lin, Ming, RBSGC; Jin, Bruce, RBSGC

Cc:
Gershon, Perry, RBSGC; Wilson, Jeffrey, RBSGC; Lau, Chris, RBSGC; Jaeger, Todd, RBSGC; Malgichev, Andrey, RBSGC; Kepner, John,
RBSGC
Subject:

Mock securitization: ESEC2_RISK_103107.xls

<<ESEC2_RISK_103107.xls>>

Here is ESEC as of 10/31 - the number looks large due to the fact that we were very conservative
in writing down the GG11 Kickouts by $11.63mm (or 16.5% on $70.5mm) and the rest is due to
the hedges and real P&L.
thanks

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Attachments

ESEC2_RISK_103107.xls (38.50KB)