9-10-13 what if webcast

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LiveWebcasthostedby:

JeffreyGundlach

ChiefExecutiveOfficer

September10,2013

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Performance

DoubleLineTotalReturnBondFund QuarterEndingJune30,2013

QuarterEnd

June30,2013

2Q

2013

1YearAnnualized

3YearAnnualized

SinceInceptionAnnualized

(4610to63013)

Ishare 1.74% 1.59% 8.71% 10.69%

AsofJune30,2013 IShare NShare

GrossSEC30DayYield 4.18% 3.92%

Nshare 1.76% 1.65% 8.43% 10.41%

BarclaysU.S.

AggregateIndex 1.55%

2.32% 3.51% 4.53%

NetSEC30DayYield 4.18% 3.92%

AsofJune30,2013 IShare NShareBarclaysU.S.

AggregateIndex

1YrStdDeviation 1.97% 2.03% 2.74%

. .

Performancedata

quoted

represents

past

performance;

past

performance

does

not

guarantee

future

results.

The

investment

return

and

principal

valueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthantheoriginalcost.Current

performanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothemostrecentmonthendmaybe

obtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.

BarclaysUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.Theindexcoversthe USinvestmentgradefixedrate

bond market with index com onents for overnment and cor orate securities mort a e assthrou h securities and assetbacked securities. These ma or sectors

2

aresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.Itisnotpossibletoinvestinanindex.

PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.

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PerformanceDoubleLineCoreFixedIncomeFund QuarterEndingJune30,2013

QuarterEnd

June30,2013

2Q

20131Year

Annualized

3YearAnnualized

SinceInceptionAnnualized

(6110to63013)

Ishare 2.35% 1.87% 7.64% 8.10%

Nshare 2.42% 1.52% 7.37% 7.83%

AsofJune30,2013 IShare NShareBarclaysU.S.

AggregateIndex

1YrStdDeviation 3.84% 3.79% 3.19%

GrossExpenseRatio 0.51% 0.76%

. .

AggregateIndex2.32% 0.69% 3.51% 3.93%

As

of

June

30,

2013 I

Share N

Share

GrossSEC30DayYield 3.65% 3.39%

NetSEC30DayYield 3.65% 3.39%

Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults. Theinvestmentreturnandprincipalvalueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthantheoriginalcost.Current

performanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothemostrecentmonthendmaybe

obtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.

BarclaysUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.Theindexcoversthe USinvestmentgradefixedrate

3

on mar e ,w n excomponen s orgovernmen an corpora esecur es,mor gagepass roug secur es,an asse ac e secur es. esema orsec ors

aresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.Itisnotpossibletoinvestinanindex.

PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.

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Announcements

We castNews

BrendtStallings&HusamNazer September17,2013

Gotowww.doublelinefund.com,HomepageunderEventstoregister

1:15pmPDT/4:15pmEDT

,RiverNorth/DoubleLine StrategicIncomeFundReOpening

Gotowww.rivernorthfunds.com,HomepageunderEventstoregister

1:15pm

PDT/4:15

pm

EDT

PhilBarach September24,2013LowDurationFund

Gotowww.doublelinefund.com,HomepageunderEventstoregister

1:15pm

PDT 4:15

pm

EDT

ToReceivePresentationSlides:

You can email

fundinfo@doubleline.comReferencestoothermutualfundsarenotasolicitationorrecommendationtobuyorsell.

RiverNorth /DoubleLine StrategicIncomeFundisnotdistributedbyQuasarDistribution,LLC.4

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LiveWebcasthostedby:

JeffreyGundlach

ChiefExecutiveOfficer

September10,2013

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TABI

BloodlessVerdict

of

the

Market

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BofA/MerrillFixedIncomeIndexReturns

Grey=Year2012

Blue=YearToDate2013

16.76%

15.44%

13.63%

HighYield(JOAO)

Convertibles(VOSO)

9.13%

.

9.52%

18.30%InternationalEmerging(IGOV)

0.85%

4.05%

3.28%InternationalDeveloped(NOGO)

orpora e

3.72%

3.03%

2.19%

.

Government(G0A0)

Mortgages(MOAO)

DataSource:

BofA/Merrill

Lynch

Indices

through

year

end

December

31,

2012

and

September

9,

2013

for

the

respective

years

indicated.

PleaseseetheAppendixforindexdefinitions.Aninvestmentcannotbemadedirectlyinanindex.

7

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BofA/MerrillFixedIncomeIndexReturns

19.70%

rey=

ear

Blue=YearToDate2013

0.96%

7.88%

14.36%BBRatedHighYieldCredit(JOA1)

2.90%

11.98%

15.03%

BRatedHighYield(JOA2)

4.08%

4.05%

9.82%ARatedCredit(COA3)

5.61%3.97%AAARatedCredit(COA1)

InvestmentGrade=IndicesratedAAAtoBBB (shownabove)areconsideredtobeinvestmentgrade. AbondisconsideredinvestmentgradeifitscreditratingisBBB or

higherbyStandard&PoorsorBaa3byMoodys.Thehighertherating,themorelikelythebondistopaybackatpar/$100cents onthedollar.AAAisconsideredthehighest

qua yan e owes egreeo r s . eyarecons ere o es a ean epen a e.

BelowInvestmentGrade=Alsoknownasjunkbond(shownabove)isasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenas

havinghigherdefaultriskorotheradversecreditevents,buttypicallypayhigheryieldsthanbetterqualitybondsinorder to makethemattractive.Theyarelesslikelytopay

backatpar/$100centsonthedollar.

Source:BofA/Merrill

Lynch

Indices as

of

December

31,

2012

and

September

9,

2013

and

for

their

respective

years

indicated.

PleaseseeappendixforIndexdefinitions

Aninvestmentcannotbemadedirectlyinanindex. 8

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TheEndofQE?

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HistoricalBondMarketSellOffsJune14,1961 throughJuly31,2013

10

Source:http://libertystreeteconomics.newyorkfed.org/2013/08/therecentbondmarketselloffinhistoricalperspective.html

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Source:

http://libertystreeteconomics.newyorkfed.org/2013/08/the

recent

bond

market

selloff

in

historical

perspective.html

11

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12

Source:http://libertystreeteconomics.newyorkfed.org/2013/08/therecentbondmarketselloffinhistoricalperspective.html

Premia Part=premium.Thesumoverandabovearegularpriceasanincentive.

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Current30YearCumulativeTotalReturnPeaktoTroughAsMeasuredbytheBofA MerrillLynchCurrent30YearUSTreasury

0%

5%

k(%)

10%

eRe

turnFrom

Pe

15%

Cumulati

10/15/93

4/20/9507/25/12 9/5/13

Source:Bloomberg,BankofAmericaMerrillLynchCurrent30YUSTreasuryIndex(GA30).Youcannotinvestdirectlyinanindex.

DaysFromPeak

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PotentialEffectsofFedFundPolicy(SanFranciscoFed)

14

Source:SanFranciscoFederalReserve,FRBSFEconomicLetter,August12,2013HowStimulatoryAreLargeScaleAssetPurchases?

GrossDomesticProduct (GDP)=Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sborders in aspecifictimeperiod,thoughGDPisusuallycalculatedonanannual

basis.Itincludesallofprivateandpublicconsumption,governmentoutlays,investmentsandexportslessimportsthatoccur withinadefinedterritory.

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PotentialEffectsofQuantitativeEasingPolicy

(SanFranciscoFed)

15

Source:SanFranciscoFederalReserve,FRBSFEconomicLetter,August12,2013HowStimulatoryAreLargeScaleAssetPurchases?

GrossDomesticProduct (GDP)=Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sborders in aspecifictimeperiod,thoughGDPisusuallycalculatedonanannual


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Quantitative Easing(QE)&theStockMarketMarch18,2009throughSeptember9,2013

16

Source:DoubleLine

QE=QuantitativeEasingprograms.OperationTwist=ThenamegiventoaFederalReservemonetarypolicyoperationthatinvolvesthepurchaseandsaleofbonds."OperationTwist"describesa

monetaryprocesswheretheFedbuysandsellsshorttermandlongtermbondsdependingontheirobjective.

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Quantitative Easing(QE)&theBondMarketMarch18,2009throughSeptember9,2013

17

Source:DoubleLine

QE=QuantitativeEasingprograms.OperationTwist=ThenamegiventoaFederalReservemonetarypolicyoperationthatinvolvesthepurchaseandsaleofbonds."OperationTwist"describesa

monetaryprocess

where

the

Fed

buys

and

sells

short

term

and

long

term

bonds

depending

on

their

objective.

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Stock&BondCorrelationsDecember 31,1941 throughAugust 30,2013

Source:Bianco Research

Stocksrepresented

by

the

SPX

=Standard

&

Poors

500

Index

is

acapitalization

weighted

index

of

500

stocks.

The

index

is

designed

to

measure

performance

of

the

broad

domestic

economy.

Bondsrepresentedbythe10yrUSTreasurybond.

Youcannotdirectlyinvestinanindex. 18

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Stock&BondCorrelationsJune30,1994 throughAugust 29,2013

19

Source:Bianco Research

StocksrepresentedbytheSPX=Standard&Poors500Indexisacapitalizationweightedindexof500stocks.Theindexisdesignedtomeasureperformanceofthebroaddomesticeconomy.

Bondsrepresented

by

the

10

year

US

Treasury

Bond.

Youcannotdirectlyinvestinanindex.

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PerformanceSinceInceptionQE2October4,2011throughSeptember10,2013

Source:BloombergFinancialServices

CRY=TR/JCRBCommoditiesExcessReturnIndexisanarithmeticaverageofcommodityfuturesprocesswithmonthlyrebalancing.

SPX=Standard

&

Poors

500

Index

is

acapitalization

weighted

index

of

500

stocks.

The

index

is

designed

to

measure

performance of

the

broad

domestic

economy.

TLT=iShares Barclays20+YearTreasuryBondFundinanexchangetradedfundincorporatedintheUSA.


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EmergingMarketsBondFundSharesOutstandingRise

andFallWithQEInfinityHopesSeptember

10,

2008

through

September

10,

2013

Source:Bloomberg

EMBSO=iShares JPMorganUSDEmergingMarketsBondFundSharesOutstandingIndexrepresentsthecurrentindexsharesoutstanding.Theindexis USdollardenominated.

Youcannotinvestdirectlyinanindex.22

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AsiaForeignExchangeChartDecember31,2012throughSeptember10,2013

23

Source:BloombergFinancialServices,DoubleLineCapitalLP

INRUSD=INR=IndianRupee.USD=USDollar.ThisistheIndianRupeeconvertedintoUSDollars.

THBUSD=ThaiBahtcurrencyinUSdollars.PHPUSD=PhilippinePesoinUSdollars.MYRUSD=MalaysianRinggitinUSdollars.SGDUSD=SingaporedollarinUSdollars.

Aninvestmentcannotbemadedirectlyinanindex.

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FedTaperingEffectingForeignExchangeMarketsJanuary 1,2007throughJune30,2013

TRY=TurkishLiraspotprice.CZK=Chech Korunaspotprice.IDR=IndonesianRupiahspotprice.MYR=MalaysianRinggitspotprice.ZAR=SouthAfricanRandspotprice. CLP=ChileanPesospotprice.

PLN=PolishZlotyspotprice.HUF=HungarianForintspotprice.INR IndianRupeespotprice.THB=ThaiBahtspotprice.MXN =MexicanPesospotprice.KRW=SouthKoreanWonspotprice.PHP=

PhilippinePesospotprice.CNY=ChineseRenminbi spotprice.BRL=BrazilianRealspotprice.

FX=Foreign

Exchange

ST=Shortterm.EM=EmergingMarkets.IMF=InternationalMonetaryFund.FCL=FInancials


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S&P500vs.EmergingMarketsEquitiesSeptember10,2012throughSeptember10,2013

25


SPX=Standard

&

Poors

500

Index

is

acapitalization

weighted

index

of

500

stocks.

The

index

is

designed

to

measure

performance of

the

broad

domestic

economy

.MXEFIndex=TheMSCIEmergingMarketsIndexisafreefloatweightedequityindex.


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ShanghaiComposite

PerformanceRelativetoEmergingMarketEquities

Inference:ChinalessdependentthanBroadEmergingMarketsonGlobalLiquidity

26

Source:BloombergFinancialServices,DoubleLineCapitalLP,September10,2012throughSeptember10,2013

TheShanghaiStockExchangeComposite(SHCOMP)isacapitalizationweightedindextrackingdailypriceperformanceofallAand BshareslistedontheShanghaiStockExchange.This

indexwas

developed

December

19,

1990

with

abase

value

of

100.

MXEFIndex=TheMSCIEmergingMarketsIndexisafreefloatweightedequityindex.


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ShanghaiIndexDecember31,2009throughSeptember10,2013


SHCOMP=The

Shanghai

Stock

Exchange

Composite

is

acapitalization

weighted

index

tracking

daily

price

performance

of

all

A

and

B

shares

listed

on

the

Shanghai

Stock

Exchange.

This

indexwasdevelopedDecember19,1990withabasevalueof100.

Aninvestmentcannotbemadedirectlyinanindex.27

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MarketVectorsRussiaETF

PerformanceRelativetoiShares MSCIEmergingMarketsETF

Inference:RussialessdependentthanBroadEMonQELiquidity

28

Source:BloombergFinancialServices,DoubleLineCapitalLP,September10,2012throughSeptember10,2013

RSX=MarketVectorsRussiaETFisanexchangetradedfundincorporatedintheUSA.TheFundseeksinvestmentresultsthatcorrespondtothepriceandyieldoftheMarketVectors

RussiaTotalReturnIndex,whichtrackspubliclytradedcompaniesthataredomiciledinRussia.

EEM=iShares MSCI

Emerging

Markets

ETF

is

an

exchange

traded

fund

incorporated

in

the

USA.

The

ETF

seeks

results

that

correspond

generally

to

the

price

and

yield

performance

of

the

MSCITotalReturnEmergingMarketsIndex.


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EmergingMarketsRelativetoDevelopedWorldLastFiveYears(123107to9913)

29

Source:Bloomberg

MXEFIndex=TheMSCIEMEmergingMarketsIndexisafreefloatweightedequityindex.

MXWOIndex=TheMSCIWorldIndexisafreefloatweightedequityindex.Itwasdevelopedwithabasevalueof100asofDecember31,1969.Itincludesdevelopedworldmarketsanddoesnotincludeemergingmarkets.Youcannotinvestdirectlyinanindex.

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EmergingMarketsRelativetoDevelopedWorldLastTenYears(91003to91013)

30

Source:Bloomberg

MXEFIndex=TheMSCIEmergingMarketsIndexisafreefloatweightedequityindex.

MXWOIndex=TheMSCIWorldIndexisafreefloatweightedequityindex.Itwasdevelopedwithabasevalueof100asofDecember31,1969.Itincludesdevelopedworldmarketsanddoesnotincludeemergingmarkets.Youcannotinvestdirectlyinanindex.

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CRBCommodityIndexYearEnd2007throughSeptember9,2013


Note:The

TR/J

CRB

Commodity

Excess

Return

Index

is

an

arithmetic

average

of

commodity

futures

prices

with

monthly

rebalancing.

Aninvestmentcannotbemadedirectlyinanindex. 31

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NegativeCorrelation:NewHomeSalesAveragePrice

vs.PriceofGoldBullion

$1,800

$2,000$350,000AverageSalesPriceforNewHousesSold GoldPriceperTroyOunce

July1,

2005

through

July

31,

2013

$1,400

$1,600

$310,000

$330,000

Ounce

ew

Hous

es

$1,000

$1,200

$290,000

dPriceperTroy

SalesPricefor

$400

$600

$250,000

,Gol

Average

$200$230,000

July

05

mber05

arch

06

July

06

mber06

arch

07

July

07

mber07

arch

08

July

08

mber08

arch

09

July

09

mber09

arch

10

July

10

mber10

arch

11

July

11

mber11

arch

12

July

12

mber12

arch

13

July

13

Nov

Nov

Nov

Nov

Nov

Nov

Nov

Nov

Source:

DoubleLine

Capital,

St.

Louis

Federal

Reserve,

U.S.

Commerce

DepartmentCorrelation=Statistics:Thesimultaneouschangeinvalueoftwonumericallyvaluedrandomvariables:

32

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GoldSpotPricesinUSDollarandIndianRupeeDecember31,1999throughAugust30,2013

33

Source:Bloomberg

GC1Comdty =

Gold

options.

COMEX

division

gold

futures

and

options

provide

an

important

alternative

to

traditional

means

of

investing

in gold

such

as

bullion,

coins,

and

mining

stocks.

The

Indian

Rupee(INR)istheofficialcurrencyofIndia.

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GoldSpotPriceReturnsinUSDollarsandIndianRupeeDecember31,2010throughSeptember10,2013

34

Source:Bloomberg

GC1Comdty =

Gold

options.

COMEX

division

gold

futures

and

options

provide

an

important

alternative

to

traditional

means

of

investing

in gold

such

as

bullion,

coins,

and

mining

stocks.

The

Indian

Rupee(INR)istheofficialcurrencyofIndia.

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CrudeOilinIndiaRupeeJune30,1988throughSeptember3,2013

35

Source:Bloomberg

CO1=NCDEXCastorSeedoilgenericfuturescontractpricedinIndianRupee.TheIndianRupee(INR)istheofficialcurrencyofIndia.

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StillaConsumerBasedEconomy

37

AsofSeptember30,2011..

PCEPersonalConsumptionExpenditures=measurespricechangesinconsumergoodsandservices.Personalconsumptionexpenditures consistoftheactualandimputedexpendituresof

households;themeasureincludesdatapertainingtodurables,nondurablesandservices.Itisessentiallyameasureofgoodsandservicestargetedtowardindividualsandconsumedbyindividuals.

GrossDomestic

Product

(GDP)

=The

monetary

value

of

all

the

finished

goods

and

services

produced

within

acountry's

borders

in

aspecific

time

period,

though

GDP

is

usually

calculated

on

an

annualbasis.Itincludesallofprivateandpublicconsumption,governmentoutlays,investmentsandexportslessimportsthatoccurwithinadefinedterritory.

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FederalSpendingProjectionthrough2050

38

Source:TheHeritageFoundation;CongressionalBudgetOffice.2010 December31,2012Actual.2013 2050Projections.

GrossDomesticProduct (GDP)=Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sborders in aspecifictimeperiod,thoughGDPisusuallycalculatedonanannualbasis.Itincludesallofprivateandpublicconsumption,governmentoutlays,investmentsandexportslessimportsthatoccurwithinadefinedterritory.

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SocialSecuritySurplus/Deficit

39

Source:TheHeritageFoundation;CongressionalBudgetOffice.1987 December31,2012Actual.2013 2035Projections

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EntitlementSpendingProjectionthrough2050

40

Source:TheHeritageFoundation;CongressionalBudgetOffice.2010Actual.2020 2050Projections.

GrossDomestic

Product

(GDP)

=The

monetary

value

of

all

the

finished

goods

and

services

produced

within

acountry's

borders

in

aspecific

time

period,

though

GDP

is

usually

calculated

on

an


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Entitlementvs.DiscretionarySpending

41

Source:TheHeritageFoundation;CongressionalBudgetOfficeasofDecember31,2012.

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AmountofTaxIncreaseRequiredtoBalanceBudget

42

Source:TheHeritageFoundation;CongressionalBudgetOffice.1975 December31,2012Actual.2013 2035Projections

GrossDomestic

Product

(GDP)

=The

monetary

value

of

all

the

finished

goods

and

services

produced

within

acountry's

borders

in

aspecific

time

period,

though

GDP

is

usually

calculated

on

an


A f T I R i d B l B d

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AmountofTaxIncreaseRequiredtoBalanceBudget

43

Source:TheHeritageFoundation;CongressionalBudgetOffice.2008Actual.2050 2082Projections.

Taxbracketsserveascutoffpointsforgivenincometaxrates.Categoriesarebasedonindividualfilings.Lowesttaxbracket=$0 $8,375.Highestbracket=$373,650andup.MiddleBracket=

$8,375up

to

$373,650.

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TaxingtheWealthyisNotEnough

44

Source:TheHeritageFoundation;CongressionalBudgetOfficeasof12/31/12.2035 2050Projections.

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HeadFakeorRealExpansion?

45

Source:Bloomberg

EuroareaincludestheEUcountries:Austria,Belgium,Bulgaria,Croatia,Cypress,CzechRepublic,Denmark,Estonia,Finland, France,Germany,Greece,Hungary,Ireland,Italy,Latvia,Lithuania,

Luxembourg,Malia,Netherlands,Poland,Portugal,Romania,Slovakia,Slovenia,Spain,SwedenandtheUnitedKingdom.

Purchasing

ManagersIndex

(PMI)

=An

indicator

of

the

economic

health

of

the

manufacturing

sector.

The

PMI

index

is

based

on

five

major

indicators:

new

orders,

inventory

levels,

production,

supplierdeliveriesandtheemployment environment.

GDP Percentage Change Since PreCrisis Peak

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GDPPercentageChangeSincePre CrisisPeak

(20072008)

46

Source:TheEconomist;Eurostat

Euroareaincludes:AllotherEUcountriesnotalreadyrepresentedinthechart.Includes:Austria,Bulgaria,Croatia,CzechRepublic,Denmark,Estonia,Hungary,Latvia,Lithuania,Luxembourg,Malia,

Poland,Romania,Slovakia,SwedenandtheUnitedKingdom.

GrossDomestic

Product

(GDP)

=The

monetary

value

of

all

the

finished

goods

and

services

produced

within

acountry's

borders in a

specific

time

period,

though

GDP

is

usually

calculated

on

an

annual


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SpanishHousingMarket

47

S i h D li i

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SpanishDelinquencies

Therealestatecrashhaspromptedbankstorefinanceorrestructure

208billioneuros ($275billionUSdollars)ofloans.Badloansasa

proportionof

total

loans

reached

arecord

11.6%

in

June.

Bank

of

Spain

datashow.LendingbySpanishbankstononfinancialcorporationsfell

1.3%inJulyfromJuneandhasdeclinedalmost10%thisyear,

48

. .

monthlycontractionsinPortugalandGreece.

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GermanSubsidization

Greecehas

received

two

bailout

packages

totaling

about

240

billion

euros ($318

billionUSdollars).Thecountrystotalannualeconomicoutputis186.2billion

euros ($247billionUSdollars).About22billioneuros ($29.17billionUSdollars)

49

o erescue un sares o epa ,w oneuros . on

dollars)dueinOctober.Athirdpackageislikelytobesmaller.TheIMFhas

calculatedafinancinggapof10.9billioneuros ($14.45billionUSdollars)tocover

theperiod

through

2015.

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TABIVHousingandMBSMarketTrends

30 Year U S Mortgage Rates

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30YearU.S.MortgageRatesDecember31,2007throughSeptember9,2013

Source:BloombergFinancialServices,Bankrate.com

ILM3NAVG=TheOvernightNationalAverageoftheU.S.30yearTreasuryinterestrate.Theyhelpconsumersseethemovementof ratesdaytoday.Subjecttoonedaylag. 51

51

Mortgage Refinancing Index

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MortgageRefinancingIndexSeptember5,2003throughAugust30,2013

Source:BloombergFinancialServices

MortgageRefinancingIndexasmeasuredbythe MortgageBankersAssociation.Reflectsthenumberofapplicationsforrefinance.Notallapplicationsareaccepted.

Aninvestment

cannot

be

made

directly

in

an

index.

52

Home Price Index Levels and YearOverYear Change

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HomePriceIndexLevelsandYear Over YearChangeJanuary1,2000andJanuary1,2001throughMarch31,2013

Source:BloombergFinancialServices,CaseShiller

53

ase er ome r ce n ex scompr se o pr cec angesw n e o ow ngsu se o me ropo anmar e s: y n ex os on, cago, enver, as egas, os nge es, am , ew

York,SanDiego,SanFranciscoandWashingtonDC.Inadditiontothe10CityIndexitincludes:Atlanta,Charlotte,Cleveland,Dallas,Detroit,Minneapolis,Phoenix,Portland,Seattle,andTampa.

CoreLogicNationalHousingPriceIndex(HPI)=CoreLogicisaleadingproviderofinformationandanalytics.Thisindexcovers 6,208zipcodes,572statisticalareasand1,027countieslocatedinall50

statesandDistrictofColumbia.Itisanationalaverage.


53

ABXAAA071Index

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January1,2010throughSeptember10,2013


TheABX071AAAIndexisabasketofhomeequity.Constitutedfromreferenceobligationsissuedby20issuersofresidentialmortgagebackedsecurities.

Aninvestment

cannot

be

made

directly

in

an

index.

54

NonAgency RMBS 60++ Delinquency Rate

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Non AgencyRMBS60++DelinquencyRateJanuary31,2005throughJuly31,2013

50%

60%

Prime

AltA

36.1%

40%

inquenc

ies

ghJuly2013 Subprime

21.1%

20%

30%

0+

+SeriousDel

ua

ry2005thro

9.9%

10%

6Jan

0%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60 or90dayslateinmortgagepayments,oralreadyinforeclosureorREOstatus.PrimedefinedasFICO>725andLTV725andLTV>=75

SubprimedefinedasFICO

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Non AgencyRMBSConditionalDefaultRateJanuary31,2005throughJuly31,2013

16%

18%

Prime

AltA

10%

12%

14%

ghJuly

2013

6.4%

7.0%

6%

8%CDR

uary2005thro

3.4%2%

4%Ja

0%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60 or90dayslateinmortgagepayments,oralreadyinforeclosureorREOstatus.PrimedefinedasFICO>725andLTV725andLTV>=75

SubprimedefinedasFICO

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January31,2005throughJuly31,2013

71.9%80%

90%

Prime

AltA

60%

70%

uly2013

Subprime

42.6%

.

30%

40%

50%

LossSeverity

2005through

10%

20%Januar

0%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60 or90dayslateinmortgagepayments,oralreadyinforeclosureorREOstatus.

PrimedefinedasFICO>725andLTV725andLTV>=75

Subprimedefined

as

FICO

725andLTV725andLTV>=75

Subprimedefined

as

FICO

9-10-13 what if webcast

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