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 Investmen Bank I t e 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 01 were 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 shoul