Structured Securities Collateralized Mortgage Obligations CMOs and Other Asset Backed Securities ABSs BDUG October 16,

1. Structured SecuritiesCollateralized Mortgage Obligations (CMOs)and OtherAsset Backed Securities (ABSs)BDUGOctober 16, 2006Bill Hodash I�m going to start this presentation by giving you the current picture of the CMO/ABS product including statistics, problems and things we�ve done to address the problems, but the real focus of this presentation is on our potential plans for 2006. There are six actions and we will discuss each in detail. Ok let�s start with the current picture.I�m going to start this presentation by giving you the current picture of the CMO/ABS product including statistics, problems and things we�ve done to address the problems, but the real focus of this presentation is on our potential plans for 2006. There are six actions and we will discuss each in detail. Ok let�s start with the current picture.

2. CMOs and other asset backed securities pay principal and interest on various days throughout the month with most paying on the 25th - approximately 80,000. The vast majority pay principal as a pass-through with the remainder paid as a call. Most pay on the 25 of the month - approximately 60,000Most pay on the 25 of the month - approximately 60,000

3. As you can see, the amount payable on the 25 has increased significantly over the past few years. From an average of just under $10 billion in 2000 to $61.7 billion this past October 25 �.. 517% increase.As you can see, the amount payable on the 25 has increased significantly over the past few years. From an average of just under $10 billion in 2000 to $61.7 billion this past October 25 �.. 517% increase.

4. At the same time, the number of items paying on the 25 has also increased significantly. From an average of just over 30,000 in 2002 to over 63,000 this past October 25. �.. 110% increaseAt the same time, the number of items paying on the 25 has also increased significantly. From an average of just over 30,000 in 2002 to over 63,000 this past October 25. �.. 110% increase

5. Late receipt of rate information P/D -1 Late receipt of rate information by 3:00 on P/DSignificant allocation after payable day Post payable adjustments There are three main problems associated with this product Late receipt of rate info (2,500 rates on 10/25) Significant allocation after payable date (usually around $1 billion) Post payable adjustments Let me demonstrate how far reaching this problem is. Take the 4,457 rate adjustments x 4 participants per adjustment x a conservative 10 customers per participant and you have 178,280 beneficial owner adjustments There are three main problems associated with this product Late receipt of rate info (2,500 rates on 10/25) Significant allocation after payable date (usually around $1 billion) Post payable adjustments Let me demonstrate how far reaching this problem is. Take the 4,457 rate adjustments x 4 participants per adjustment x a conservative 10 customers per participant and you have 178,280 beneficial owner adjustments

7. Standardized file layout Increased Automation (91% of rates are received via the new �BMA� file) Monthly report cards on top eight agents Monthly conference calls with top eight agents 91% of rates are now received in an automated fashion along with 87% of the redemption information. What�s on the Report card: Call Notification � late and no notification along with amended call information Rates � late rates and amended rates Payments � Late payments 91% of rates are now received in an automated fashion along with 87% of the redemption information. What�s on the Report card: Call Notification � late and no notification along with amended call information Rates � late rates and amended rates Payments � Late payments

8. Root cause analysis by DTC and agents Cross functional team meets monthly to discuss needed improvements and ways to implement best practices As aboveAs above

9. Share the monthly agent report cards with participants and others Implement a financial disincentive for failure to comply with established standards for timeliness and accuracy Revise the business practice of adjusting customers� accounts more than one month after payable date Obviously we still have a long way to go. This is the meat of the presentation. Following are six actions we have identified Please question, comment or make suggestions on each one as we go through them. NOTE: Denise on OAObviously we still have a long way to go. This is the meat of the presentation. Following are six actions we have identified Please question, comment or make suggestions on each one as we go through them. NOTE: Denise on OA

10. Continue to create awareness around this very problematic product � updated White Paper Suggest moving the payment date on future CMOs/ABS forward two business days yet keeping the same accrual period. This should allow servicers/agents to establish accurate and timely rates If anyone wants a copy of the 2003 White PaperIf anyone wants a copy of the 2003 White Paper

11. Establish a working group to map out a strategy that includes clearly defined accountability and time parameters

12. DTC partnered with the BMA and the ASF The first meeting of the industry working group was held on June 8 Attendance in person was mandatory � no phone-ins 35 in attendance from all over the US

13. Citigroup Deutsche Bank JP Morgan Chase The Bank Of New York US Bank Wells Fargo La Salle National Bank

14. Discussed problems outlined in the White Paper Discussed possible Action Steps Proposed three immediate action steps

15. The establishment of a working group by DTC to perform diagnostic work and produce data and detailed structure diagrams on various deal types, asset classes, and specific deal features that affect payment processing accuracy and timeliness. The group will need to document the current practices, data elements, and timeframes for all the known (or most prevalent) structures of each security type. This project will allow for the group to address various structural issues that contribute to the accuracy/timeliness problem and thus explore methods in remedying those problems.

16. The establishment of a working group to define the data, file format, and communication protocol standards for the information that flows between primary servicers and paying agents, to be defined by specific product types. The ensuing product may be able to bring standardization in the information/funds transfer from the primary servicers to the paying agent, thus increasing efficiency.

17. An investigation conducted by DTC to examine the nature of post-payable adjustments. Part of the issue will be to tackle how much of the accuracy problem can be solved by potentially modifying post payable date adjustment procedures by setting a time limit for adjustments. DTC will further categorize the adjustments it previously analyzed in its white paper by principal, interest and principal and interest adjustments and report back to the Task Force. There was discussion in the meeting of the effects of setting such a limit, especially with regard to principal adjustments.

18. Next meeting of the larger working group is scheduled for early November

19. Customer Metrics

20. Customer Metrics - - Summary

21. Customer Metrics - - Quality

22. Customer Metrics - - Quality

23. Customer Metrics - - Quality

24. Customer Metrics - - Quality

25. Customer Metrics - - Quality

26. Customer Metrics - - Quality

27. Customer Metrics - - Quality

28. Customer Metrics - - Customer Service

29. Customer Metrics - - Customer Service

30. Customer Metrics - - Customer Service

31. Customer Metrics - - Customer Service

32. Customer Metrics - - Customer Service

33. Customer Metrics - - Sense of Urgency

34. Note: 01/06 - 03/06 levels corrected to include all redemption notice types. Customer Metrics - - Sense of Urgency

35. Customer Metrics - - Sense of Urgency

36. Customer Metrics - - Sense of Urgency

37. Customer Metrics - - Sense of Urgency

38. Customer Metrics Questions???