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Bear Stearns Asset Management Collateral Manager Presentation

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Bear Stearns Asset Management Collateral Manager Presentation on ~ .. ' ~ &. e:.. >-3 (ti ig ~ ~ ~ 0.- ~ ~ ~ - IJ:j ~ n o o o o o 0\ -.l >-' on ~ ~ &. e:.. >-3 (ti ig ~ ~ ~ Introduction 0.- ~ • Bear Stearns Asset Management Inc. ("BSAM") is a corporation formed under the laws of the State of New York, and is focused on lugh value added investment solutions that span traditional and alternative assets for ~ iIlstitutional and high net worth investors. BSAM is committed to providing clients with world-class ~ investment management and thorough communication of both risKs and returns. • BSAM manages the Bear Stearns High Grade Structured Credit Strategies Fund ("BSHG"), a hedge fund incorporated on September 8, 2003, as a Cayman Islands exempted company. The Ftmd seeks to generate total annual returns through "cash and carry" transactions and capital markets arbitrage. The Furid generally invests in hi~h quality floating rate structured finance securities. lypically, 90% of the Fund's gross assets are invested in A.AA or AA structured finance assets. In order to mitiO"ate mark-to-market and credit risk, the Fund tactically buys credit insurance, generally through credit default swaps ("CDS"), on corporate indices and/or individual names. Interest rate auration is targeted to be zero, with net leverage of approximately lOx. • The Senior Portfolio Management Team has over 93 years of combined experience in international fixed income markets and structured finance. • The entire Collateral Surveillance and Portfolio Management Team consists of 33 members with an average of over 10 years of experience each. • BSHG cmrently manages over 30 billion in structured credit assets, across the following sectors: RMBS, Cf'vlBS, and Home Equity ABS COOs, CDO"2s, CLOs, and High Yield CBOs Investment Grade COOs and Synthetic COOs • As experienced participants in the structured finance market, the portfolio management team has the knowledge, experience and resources to identify attractive assets and monitor the credit risk inherent in these assets. oj. The informatil)n on this p~tt~ has bt."l'n pro\.°ided t»' gt'~r Steoln\S A$set MOinagell\e'llt b,l." - 2- BEAR STEARNS IJ:j ~ n o o o o o 0\ -.l N Q ~ ~ &. e:.. >-3 (ti ig ~ ~ ~ Organizational Structure 0.- ~ ~ ~ • Th.;: ini'ormJti..)n I,m thi:; pal~r.' has l>l"t'l\ pro"'ided t'I). BeM Steolms Asset Uooln:'lgenllmt 1n'-' BEAR - 3- STB\RNS IJ:j ~ n o o o o o 0\ -.l w on ~ ~ &. e:.. >-3 (ti ~g ~ ~ ~ Portfolio Management Team 0.- ~ ~ ~ .. The inrormatilm on thi::. pal\l~ hasl:II:'t"n ~)[o\o·ided J:.y Bf'~rSletlms ,1,sset /l.!olnagemE'Ht )n\." BEAR - 4- SfEAANS IJ:j ~ n o o o o o 0\ -.l +- on ~ ~ &. e:.. >-3 (ti ig ~ .g (j) ~ Summary of Hedge Fund Returns 0.- ~ • Monthly Net Returns for Bear Steams High Grade Structured Credit Strategies Fund as of 11/30/06 ~ HFR1Fl: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec HGSCS 1 Month !.ibnr ~ Arbitrage Index 2003 - ---- - - - - 1.60 1.62 1.47 4.76 0.28 2.71 2004 1.78 1.68 1.64 1.S3 1.63 1.46 0.91 1.23 0.77 1.S() 0.83 0.73 16.88 1.44 5.99 2005 1:17 1.45 0.73 n.6S 0.36 0.85 0.75 0.50 0.42 1.19 0.31 0.70 9.46 3.31 5.60 2006 1l.89 0.71 0.48 0.62 0.74 1l.41 1l.86 1l.69 Lll2 1.18 1.38 NA 9.34 4.60 6.68 - - -- -- Statistics HGSCS 1 Month tibor HFRI F1: Arbitrage Index C\lJnulative Since Inception (0/0) 46.53 9.93 22.64 Annuali7.ed Since Inception (%) 12.82' 3.0:3 6.66 AI'eras., Monthly R~tum ('Yo) 1.01 0.25 0.54 Standard Deviation 1.52 0.45 0.96 I Positive Months 38 38 36 N"gative Months 0 0 2 '};; Positive Months IOO.OO 100.00 94.74 ! Sharpe Ratio 6.18 3.88 - I • Th~ inforlllilli,m ~\n thi::. pag~ h~s b~1\ provided ~y Be:"l" Sle.lnU Asset fI.·t.).n~g1."lU~nt h,,: BEAR - 5 - STEt\RNS IJ:j ~ n o o o o o 0\ -.l Vl on ~ ~ g. e:.. >-3 (ti ig ~ ~ ~ Summary of Hedge Fund Portfolio 0.- ~ • Portfolio Characteristics (°lc, of par) as of 11/30/06 ~ cJCl Rating HGSCS § AAA 75 AA 12 A 6 Below A 7 _._- Collateral Type HGSCS ABS COOs ·69.0 Bank L.oano 10.7 CMBS 3.0 Sub!'rim<' RMBS 6.3 TntPS 2.5 High Yield eHOs 0.6 PrinleRMBS 7.7 Synthetic Investment Grade mos 5.2 ABSCDS (20.6) Fixed Rate RMBS 0.1 Cap Floa t~rs 5.0 IvIT A/COl'[ A R/VIS 3.1 ·Equity & Combo Notf.'S 7.2 ··rh~ inrormJIi~m .)n thb palt~ ha:. bt:'l'1l pro ...·idoi;'d by P,·eal' Sleilms Asset M,lrl3geme1\t In ..' BEAR - 6- STEARNS IJ:j ~ n o o o o o 0\ -.l 0\ on ~ ~ aS­ ~ iS- f ~ 0.- Summary of Existing CDOs ~ ~ All transactions are currently in com.pliance with all coverage tests and portfolio concentration cJ2 limits as of December 2006. § ".j;~14~~~~!1~.f~1~t~:,~,~~:jJ1~~iftI~J~;~i;~t;~};,):;I·~~jir~Jij;:,,>;;.:'?::; Klio 1 $ 2,500,000,000 High Gro:Jde ABS COO June-04 Klio II $ 5,000,000,000 High Grade ABS COO October-04 HGSCI $ 1,000,000,000 Mid Grade ABS COO October-04 StoneTower I $ 300,000,000 CLO"2 (BSAM is Sub-advisor) November-04 HGSC II $ 800,000,000 Mid Grade ABS COO March-OS Klio III $ 4,000,000,000 High Grade ABS COO September-OS StoneTower II $ 300,000,000 CLO"2 (BSAM is Sub-advisor) October-OS Buchanan I $ 1,000,000,000 Mezzanine ABS COO November-06 To:Jhoma I $ 1,000,000,000 CDO"2 November-06 Abo:JCU5 HGI $ 900,000,000 CDO"2 Novembel'-06 Tallships I $ 1,500,000,000 Mezzanine ASS COO Dcccmbcr-06 . 'fataL ···::{;*~;~t~~~!VOr~Rofobq···. ';", .. Tho;: infoTmoti~)n ".n tnhl P~L~"" has b'~l'll pro .... h,it>(1 ~)' Be:'ll" SteJn\s Asset M.:anagl'me"t In,;' - 7- BEAR STEARNS IJ:j ~ n o o o o o 0\ -.l -.l on ~ ~ g. e:.. >-3 (ti g~ ~ ~ ~ 0.- Summary of Existing CDOs - Klio I ~ ~ • Issued in June of 2004 cJCl § • Collateral includes 73% RMBS & ABS, and 27% CDOs • Deal size of $2.5 Billion • W ARF of 23 vs. 40 Test -0 Passing all OC and IC Tests as of 12/31/06 • Class Bs placed on Watch Positive by S&P on December 22,2006 Moodys Ratings S&P Ratings ~ro1ia ,j""i:t' '~~t'I' '~lhbiliit~'1<.t,;~:~p.~rc«!;nil:).~i:;Cumuiatt~i \. "",Y?ii, ,g"JI~ ", ,m,.,"oi.!, •• n' ,.,~,.,;l"." ,", ,.,,/tlffi!" a&~:,r!g" J.[~~oil!it.~:rmr,;';ri~ P~rcE!nt'i~~~;SCli~~rative 1;::~ Aaa 958,158,656.50 39.83 39.83 AA.A 1,187,008,188.77 49.34 49.34 Aal 201,356,263.25 8.37 48.20 AA+ 251,379,151.03 10.45 59.79 Aa2 723,787,038.24 30.09 78.29 AA 594,617,606.51 24.72 84.51 Aa3 153,363,892.41 6.38 84.66 AA- 105,765,637.22 4.40 88.91 A1 40,320,361.55 1.58 86.34 A+ 58,926,399.54 2.45 91.36 A2 191,3D3,744.52 7.95 94.29 A 153,176,251.02 6.37 97.73 A3 29,551,DOO.00 1.23 95.52 A- 14,140,000.00 0.59 98.31 Baal 0.00 0.00 95.52 BBB+ 0.00 0.00 98.31 Saa2 0.00 0.00 95.52 BBS 0.00 0.00 98.31 Baa3 0.00 0.00 95.52 66S- 0.00 0.00 98.31 NR!WR 107,748,762.48 4.48 100.00 NR/WR 40,586,484.87 1.69 100.00 • The informJthm l.'ltl th;:j. pagt!' h:'ls bt"en provided 1'0), r.r.~r Sleolms ,l,:;set M.:m~geml"nt In.. - BEAR - 8- STEARNS IJ:j ~ n o o o o o 0\ -.l 00 on ~ ~ &. e:.. >-3 (ti ig ~ ~ ~ 0.- Summary of Existing CDOs - Klio II ~ ~ • Issued in October of 2004 ~ • Collateral includes 74% RMBS & ABS, and 26% CDOs • Deal size of $5.0 Billion • WARP of 22 vs. 40 Test • Passing all. OC and IC Tests as of 12/31/06 • Class Bs and Cs placed on Watch Positive by S&P on December 22,2006 Aaa 1.827,550,004.84 35.57 36.57 AAA 2,344,719,095.03 46.92 46.92 Aa1 871,968,967.73 17.45 54.02 AA+ 842,047,616.90 16.85 63.76 Aa2 1,168,184,684.45 23.37 77.39 AA 1,071,541,448.48 21.44 85.21 Aa3 394,263,576.81 7.89 85.28 AA· 253,787,213.37 5.08 90.28 Al 176,058,602.87 3.52 88.80 A+ 195,834,865.78 3.94 94.22 A2 275,785,851.86 5.s2 94.32 A 242,166,073.21 4.85 99.07 A3 31,330,644.70 0.53 94.95 A· 21,348,000.00 0.43 99.49 Baal 12,500,000.00 0.25 95.20 BBB+ 0.00 0.00 99.49 6aa2 0.00 0.00 95.20 6B6 0.00 0.00 99.49 Baa3 0.00 0.00 95.20 BBB· 0.00 0.00 99.49 NR!WR 240,055,284.72 4.80 100.00 NR!WR 25,263,305.20 0.51 100.00 • The inform.ltj\',n (,n thi:; p"gl." h~s Uet'll pro\rided by Re:w SteilMlS i'.sset I\t,lnasem.e1\t 1n.: BEAR ·9· STEARNS IJ:j ~ n o o o o o 0\ -.l '-0 on ~ ~ &.
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