From: Tazia Smith a>

From: Tazia Smith a> To: [email protected] Cc: aul Monis Vahe Stepanian Subject: RMBS... [I] Date: Thu, 13 Feb 2014 17:20:38 +0000 Inline-Images: unnamed; unnamed(1) Classification: For internal use only Jeffrey - Tried you on your cell (I hope Paris is fantastic! we're under mountains of snow here). Wanted to speak on your non-agency RMBS positions. Harry and I talked about the drop in payment on your GS B1. The concern was that the B3 subordinate to your own sub had stopped paying, your own payments on the B1 were affected as well. You can see the traders comments directly below — the view being that the pipeline of underlying loans should recover from temporary gaps in payments. The traders noted that the underlying on 4 of 5 that you own are relatively cleaner, seasoned collateral (2003-05) and should recoup over their life. 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 Bls and -9% of delinquency on the underlying pool. I'm not certain on your impetus for buying these over the spring and wanted to clarify. Don't believe you need to sell into this, but we wanted you to have live levels in case you want to get out. Here's the desk's bids for your positions: Face CUSIP Description Bid 4,500,000 12669DYSI Countrywide Home Loans Ser 03-1(B1) 70.5 8,250,000 378961AV8 Global MTG Securitization Ltd (B2) pass (think this is european collateral, will get your original prospectus and follow up) 10,000,000 45254NNC7 Impac CMB TR 2005-2 (1M2) 60.5 1,290,000 939336520 Washington Mut Mtg Secs Corp (CB2) 70.0 1,500,000 36242D7X5 GS MTG Secs Corp (B1) 80.0 Source: 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 2005-5F B1 [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 prinicipal/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 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 EFTA01177598 Vice President I Non-Agency RMBS Trading Please access the link for disclaimer: http://gIcbalmarkets.db.cominew/contenti3045.html Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue, 26th Floor Ne Tel. Fa Mo Pagirio-i,fr ?gift:rein 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. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01177599