From: Tazia Smith a>
To: jeevacation@gmail.com
Cc: aul Monis Vahe Stepanian
Subject: RMBS... [I]
Date: Thu, 13 Feb 2014 17:20:38 +0000
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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.
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