From: Jeffrey Epstein <joevacation©gmail.cont>

From: Jeffrey Epstein <joevacation©gmail.cont> To: "Barrett, Paul S" Subject: Re: Fwd: Follow-Up: RMBS positions [I] Date: Mon, 17 Feb 2014 19:19:37 +0000 Inline-Images: ATT00001.gif;ATT00003.gif; ATT00002.gif thanks On Mon, Feb 17, 2014 at 7:51 PM, Barrett, Paul S wrote: My trader will review. Call you tomorrow. Paul Barrett I Managing Director I Global Investment Opportunities Group I J.P. Morgan Securities LLC J.P. Mo an Private Bank I 320 Park Avenue. 14th Floor, New York, NY 10022IT: (212) 622-2770IF: (M) 310-0108 I I J.P. Morgan Chase Bank N.A - -Original Message--- From: Jeffrey Epstein [email protected]] Sent: Monday, February 17, 201409:43 AM Eastern Standard Time To: Barrett, Paul S Subject: Fwd: Follow-Up: RMBS positions (I] View - -- Forwarded mos t - From: Tula Smith Date: Monday, February 17, 2014 Subject: Follow-Up: RMBS positions [I] To: 1`111 . Cc: Paul Morris S. Vahe Stcpanian 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 B1. The concern was that the B3 subordinate to your own B1 tranche had stopped paying, and your payments on the B1 were affected/reduced (Monthly principal payments on the B1 tranche dropped B5% month-over-month. You collected 55,880.98 in interest, $407.99 in principal for Jan). You can see the trader's comments directly below — the view being that the pipeline of underlying loans should recover from temporary gaps in payments. Our DB RMBS traders noted that the underlying collateral of your positions is relatively dean, seasoned (2003-05) and should recoup somewhat from current levels. That said, most of the tranches you own will be subject to some degree of losses. On your GS, for example, our traders note that there's 5% of credit enhancements on your 81s and -9%ot delinquency on the underlying pool. I'm not certain on your impetus for buying these over the spring (please post us if there's color we should know on your original investment thesis). We don't believe you need to sell into this, but we wanted you to have the update on the levels and affected payments. Market Value as of 2/14($M)• CUSIP Description Bloomberg Market Context, DB Trading Desk" 1.02 126690951 Countrywide Home Loans Ser 03-1(81) Low 80s Low 70s CCC; Seasoned Fixed 2.8 378961AV8 Global MTG Secuntization Ltd (B2) High 90s Low 80s Caa3/B-; Seasoned Fixed (deal is 2005, but collat is 2003-2004) 1.05 45254NNC7 impac CMS TR 2005-2 (1M2) High 60s Low 60S Ca/CC; Mixed 0.72 939336520 Washington Mut Mtg Secs Corp (C82) High 90s Low 70s Ci; Super-seasoned fixed, taking losses, low loan count (44) 1.1 36242137X5 GS MTG Sea Corp (B1) Low 80s Low 130s Seasoned Fixed 6.69 Source: Pershine.l.LC• and Bloombere as of 2/14/14: DB Non-Aeencv RMBS Trading as of 2/13/14" From: Brian Clark Sent: 02/1212014 03:41 PM CST To: Tazia Smith Subject: GSR 2005-5F B1 [I] EFTA01177640 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 prinicipaVinterest, 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 Vice President I Non-Agency RMBS Trading Deutsche Bank Securities Inc. Fa aFx P nave mom ihp1m (c, derApiner tqpi,91n/Wmerkal• OP rrenFroneconInt0(145. rvnr Tazia Smith tweak. I Kr , Clem Pertnens • US COWS< ha Bi'm So:fr./WS Inc Deulf.Ctie MSC< & Main Manzaomort 345 Park Aronue. Zen Floor assitn,iuPerflon 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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