EFTA01187256.pdf

From: Tazia Smith c. .> To: jcevacation@gmailcom Cc: a, Paul Monis c Vahe Stcpanian •=a+ - Subject: Follow-Up: RMBS positions (I] Date: Mon, 17 Feb 2014 14:38:17 +0000 Inline-Images: unnamed; unnamed( I); unnamed(2) Classification: For internal use only Jeffrey - Pet your request, posting you today on your non-agency RMBS positions. We are including indicative levels/context from the DB traders (compared to Woomberg'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 83 subordinate to your own FI1 tranche had stopped paying, and your payments on the BL were affected/reduced (Monthly principal payments on the FI1 tranche dropped 85% month-Over-month. You collected 55,880.98 in interest, $407.99 in principal for /aro. 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 (3003-051 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 Ms and -9% of delinquency on the underlying pool. rm 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($1' CUSIP Description Bloomberg Desk" 1.02 12669DYS1 Countrywide Home Loans Ser 03.1(B1) Low 80s LOW 70s CCC; Seasoned Fixed 2.8 378961AV8 Global MTG Securltization Ltd (82) High 90s Low 805 Caa3/B-; Seasoned Fixed (deal is 2005, but collet 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 Sea Corp (C82) High 90s Low 70s D; Super-seasoned fixed, taking losses, low loan count (44) 1.1 36242D7X5 GS MTG Sea Corp (B1) Low 80s Low 80s Seasoned Fixed 6.69 ree: Pershing,L and oom rgas o ; oB Non-Ageacy RMBS Trading as From: Brian Clark Sent: 0242/2014 03:41 PM CST To: Taxi Smith Subject: GSR 2003-3F 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 prinicipalfinterest, 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 Tracing Deutsche Sank Sectribes Inc. Fax (648) 502-4380 Please *COM mean b noonimor labiLbinoirormeto de onfninnocree...-erGICI,W Tazia Smith Drecio, I Key Clem Peter,- US Doutscho Eric Sockraes Inc Doan* Asset a Woaill Managonwil 345 Park Anent'''. 26111 Floor Erma EFTA01187256 Panitrwfu Pe/tit:ow This communication may contain confidential and/or privileged information. If you are not the intended recipient for have received this communication in error) please notify the render 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. EFTA01187257