Subject:

Commercial loans and marking-to-market.

From:

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

To:
Date:

Thursday, November 8, 2007 3:32 PM

______________________________________________
From:
Sent:
To:

Hong, Victor, RBSGC

Thursday, November 08, 2007 3:29 PM
Jin, Bruce, RBSGC; Gaskell, Ian, RBSGC

Subject:

Commercial loans and marking-to-market.

+6MM and -6MM?

The fixed-rate loans should be marked higher by at least $15MM and the floating-rate loans marked
lower
by an unrelated, to-be-validated amount. However, this near-exact coincidence is troubling from the
standpoint of daily marking-to-market and therefore accurate market-risk reporting.
<<ESEC2_RISK_103107.xls>>
Victor Hong, Risk Management

Thank you.

RBS Greenwich Capital

203-618-2753

______________________________________________
From:
Sent:
To:

McCormack, Christopher, RBSGC

Thursday, November 08, 2007 3:16 PM
Jin, Bruce, RBSGC; Lin, Ming, RBSGC; Hong, Victor, RBSGC; Gallagher, William, RBSGC; Berkman, Gary, RBSGC

Cc:
Gershon, Perry, RBSGC; SCHULTE, Michael, RBSGC; Kepner, John, RBSGC; Finerman, Mark, RBSGC; Jaeger, Todd, RBSGC; Wilson,
Jeffrey, RBSGC
Subject:

Mark Adjustments for

We have gone through the portfolio of Floating Rate Loans and B-notes as well as Fixed Rate B-notes
have come up with New Marks. We have marked some floaters up, some down and done the same for
the Fixed Rate B-notes - The net is that we are going to write down appx $6mm net in Floating Rate
Loans and B-notes and write up appx $6mm in the Fixed Rate Note account. This spreadsheet is not
done (in terms of comments, etc).
We plan on taking the P&L Write Ups and Write Downs tonight and cleaning up the spreadsheet for
tomorrows meetings.
<<Sub Debt Summary 11-2-07 (2) v2.xls>>
thanks

Attachments

ESEC2_RISK_103107.xls (38.50KB)
Sub Debt Summary 11-2-07 (2) v2.xls (1.04MB)