Potential Opportunity for MBS/ABS

Substantial size of the MBS/ABS markets creates pockets of inefficiencies, leading to underpriced and overlooked bonds

Non-Agency RMBS market estimated by Deer Park to be approximately $847 billion

Non-Agency CMBS approximately $529 billion

US ABS approximately $1.3 trillion

European securitization market approximately $1.6 trillion*

Due to complex security structures and market dynamics, fundamental differences of opinion of the value of a security results in on-going inefficiencies and opportunities

High infrastructure costs and the difficulty in acquiring expertise creates barriers to entry and limited competition that enhances the opportunity set

*Source: SIFMA Structured Finance Statistics, 12/31/2016



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