EFTA01177638.pdf

From: "Barren. Paul S" To: —Jeffrey Epstein'" <[email protected]> Subject: RE: Fwd: Follow-Up: RMBS positions [I] Date: Mon, 17 Feb 2014 18:51:14+0000 Inline-Images: ATT00001.gif; ATT00002.gif; ATT00003.gif My trader will review. Call you tomorrow. Paul Barrett I Managing Director I Global Investment e Bank I 320 Park Avenue, 14th Floor, New York, NY 10022I J.P. Morgan Chase Bank N.A ----Original Message-- From: Jeffrey Epstein ussevacatiotagmaaggn] Sent: Monday, February 17, 2014 09:43 AM Eastern Standard Time To: Barrett, Paul S Subject: Fwd: Follow-Up: RMBS positions [I] View ------ Forwarded messa e From: Tails Smit Date: Monday, February , SuWect: Follow-U.: RMBS . .sitions I To Cc Classification: For internal use only Jeffrey • Per your request, posting you today on your non-agency RMBS positions. We are including indicative levels/context from the DB traders (compared to Bloomberg's levels, which is where the positions mark from pure data feeds, vs. real bids). Harry and I talked about the drop in payment on your GS 81. The concern was that the B3 subordinate to your own B1 tranche had stopped paying, and your payments on the 01were affected/reduced (Monthly principal payments on the Si tranche dropped 85% month-over-month. You collected $5,880.98 in interest, 5407.99 in principal for Jan). You can see the trader's comments directly below •• the view being that the pipeline of underlying loans should recover from temporary gaps in payments. Our DB RMBS traders noted that the underlying collateral of your positions is relatively clean, seasoned (2003-05) and should recoup somewhat from current levels. That said, most of the tranches you own will be subject to some degree of losses. On your GS, for example, our traders note that there's 5% of credit enhancements on your 81s and "9% of delinquency on the underlying pool. I'm not certain on your impetus for buying these over the spring (please post us if there's color we should know on your original investment thesis). We don't believe you need to sell into this, but we wanted you to have the update on the levels and affected payments. Market Context, Market Value as DB Trading of 2/14 5M • CUSIP Description Bloomberg Desk" 1.02 1266901'51 Countrywide Home Loans Ser 03-1(B1) LOW 80s Low 70s CCC; Seasoned Fixed 2.8 378961468 Global MFG Securitization Ltd (82) High 90s Low 80s Caa3/8-; Seasoned Fixed (deal Is 2005, but collet is 2003-2C04) 1.05 45254NNC7 Impac CMS TR 2005-2 (1M2) High 60s Low 60s Ca/CC; Mixed 0.72 939336520 Washington Mut Mtg Sea Corp (C82) High 905 Low 705 D; Super-seasoned fixed, taking losses, low loan count (44) 1.1 36242D?XS GS MTG Secs Corp (81) Low 80s Low 805 Seasoned Fixed 6.69 Source: Pershing, U.C• and Bloomberg as of 2/14/14; DB Non•Agency RMBS Trading as of 2/13/14" From: Brian Clark Sent: 02/12/2014 03:41 PM CST To: Tazia Smith Subject: GSR 2005-SF BI [I] I took a deeper dive into this. And it looks like all hope is not lost It may enter a period of little or no prinlcipal/Interest, but keep holding it. The model I'm looking at forecasts payments to resume in the future. It's quite a thick tranche vs the size of the serious delinquency pipeline, and could be worth quite a EFTA01177638 bit still. Looking solely at the Bloomberg historical cashflow tables can sometimes be misleading. Call me if you'd like to discuss. Thanks, Brian Clark Vice President I Non-Agency RMBS Trading De s Inc. Ph Fa MONO =TS TO Mt 60( dscoaner, WiLlyglobaina(els clO combove.Y.colooli2045Ell Tada Smith Proctor I Noy CNN PAWNS • US DoUlstho Bork Sooselos Inc Doulscho Asset A weal Ranagornont 345 Pork Manus. 25th Floor Possi•n,itr Peel4rmt This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. 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