<table><tr><th>From:</th><th>Barrett, Paul S &lt;</th></tr><tr><td>Sent:</td><td>Friday, May 10, 2013 8:05 PM</td></tr><tr><td>To:</td><td>Epstein, Jeffrey (jeevacation@qmail.com)</td></tr><tr><td>Cc:</td><td>Barrett Pod yield/7.23dum)</td></tr><tr><td>Subject:</td><td>NEW PRIME HY RMBS - 51.5mm of GSR 05-5F B1 @ 97-16 (6.132%</td></tr></table>

Jeffrey

We should buy these for Haze Trust. Spend around $1.2MM, We have over $3MM in cash.

## `•" ALL OFFERS ARE SUBJECT

US Onshore Clients — Blue Sky (U.S. State Securities Law): Please confirm Blue Sky eligibility before soliciting to a US Onshore client by entering the CUSIP into the web tool located at: http://pscppvl.amer.jpmchase.net:8080/BlueSkyPage.html and review to see if your client's state of residence is listed. If USD-denominated, you receive 'NO then SECURITY please contact FOUND', your 'NO SM STATES or local FOUND' compliance or the officer security and DOES provide NOT the HAVE requested A CUSIP security or is not and client information. Please note that a suitability review and other pre-trade procedures must still be followed. THE BOND:

The GSR 05.5E B1 is a seasoned Prime Fix 5.76% subordinate bond backed by 105 months seasoned 30yr Fix mortgages. The bond has 4.81% credit enhancement vs. 9.99% 60+ delinquencies, for a 0.48x coverage ratio. The bond has a fairly stable yield profile ranging from 6.11% in our stress case to 6.15% in our recovery case. This is attributable to both the quality of the underlying loans and the relatively thicker CE/60+ ratio. Additionally, we do not see this bond taking any writedowns in all scenarios.

## THE COLLATERAL:

The bond is backed by 836-Prime 30yr Fix Rate mortgages that are 104-months seasoned and have a 64% updated LTV. The average balance of the loans is $369k . This coupled with the low updated LTVs and a recovering housing market should keep future severities low on this pool. Further, the 3-month and 6-month average severity have been light at approx 32% and 35%, respectively. We are using 40% Severity ramping down to 35% over 4 years in our base case. Additionally, 84% of homeowners are 24-months perfect payers.

## THE STORY:

For investors looking to gain exposure to US housing recovery backed by cleaner and more seasoned Prime collateral, this bond provides a healthy yield pickup that is less levered to other

Please call the desk with all bids/inquiries related to this bond. X32124

## HIGHLIGHTS

- HPI Updated LTV = 64%

- 84% 24-month perfect payers

## HIGHLIGHTS (cont.)

- 726 FICO score

- 105 months seasoned

$368k average balance

**Source: Bloomberg

GSR 2005-SF B1 Offered @ 97-16

BOND DESCRIPTION

<table><tr><th>Prepay Rate</th></tr><tr><td>17 CPR</td></tr><tr><td>22 CPR</td></tr><tr><td>25 CPR</td></tr><tr><td>Cusip: </td></tr><tr><td>36242D7X5 </td></tr><tr><td>Default Rate</td></tr><tr><td>3 ramp 60 1 CDR</td></tr><tr><td>2.5 ramp 30 2 CDR</td></tr><tr><td>2.5 ramp 30 2 ramp 12 1.5 CDR</td></tr><tr><td>Original Face:</td></tr><tr><td>1,500,000 </td></tr><tr><td>Default Severity</td></tr><tr><td>45 ramp 24 35</td></tr><tr><td>40 ramp 48 30</td></tr><tr><td>35 ramp 12 30</td></tr><tr><td>Current Face:</td></tr><tr><td>1,245,235 </td></tr></table>

## HIGHLIGHTS (cont.)

Delinq Rate

10 Percent

9.5 Percent

9.5 Percent

Bond Type:
Prime Fix 5.76% Sub

Delinq Advance (% of P&I)

95

100

100

Ratings (S&P/Moodys/Fitch):
B+/NR/-

Current Coupon:
5.759%

Yield @ Base Case
6.132%

Price @ 97-16

Stress Case

Base Case

Recovery Case

WAL @ Base Case
10.34

Yield

6.113

6.132

## HIGHLIGHTS (cont.)

6.157

Principal Window @ Base Case

Jun13 to May35

Spread over Tsy

392

412

436

Writedown %

0.00%

Duration

7.82

7.23

6.59

Current Credit Enhancement:

4.81%

WAL

11.71

10.34

9.05

60+ Delinquencies

9.99

Principal Window

Jun13 to May35

Jun13 to May35

Jun13 to May35

60+ Delinquency Coverage

4

## HIGHLIGHTS (cont.)

0.48x

Principal Writedown

0.00%

0.00%

0.00%

Total Collat Loss

0.94%

0.91%

0.75%

UNDERLYING COLLATERAL DESCRIPTION

Total Liquidation

7.95%

7.73%

6.10%

Average Loan Balance ($,000s)

368

Loan Count

818

HISTORICAL PERFORMANCE

Mortgage Type
Prime 30yr Fix

## HIGHLIGHTS (cont.)

<table><tr><th>1 MOS</th></tr><tr><td>3 MOS</td></tr><tr><td>6 MOS</td></tr><tr><td>Wtd Avg Mortgage Coupon</td></tr><tr><td>5.813%</td></tr><tr><td>CPR</td></tr><tr><td>24.51</td></tr><tr><td>22.35</td></tr><tr><td>23.44</td></tr><tr><td>Wtd Avg FICO Score</td></tr><tr><td>726</td></tr><tr><td>CDR</td></tr><tr><td>0.00</td></tr><tr><td>1.08</td></tr><tr><td>1.66</td></tr><tr><td>Wtd Avg Orig Loan-to-value</td></tr><tr><td>59.50%</td></tr><tr><td>SEV</td></tr><tr><td>NA</td></tr><tr><td>31.29</td></tr><tr><td>35.51</td></tr><tr><td>HPI Adj LTV</td></tr><tr><td>64.07%</td></tr><tr><td>Weighted Avg Loan Age</td></tr><tr><td>105</td></tr></table>

## HIGHLIGHTS (cont.)

Owner Occupied

91.47

Top 1 Geo Concentration

CA 33%

Top 2 Geo Concentration

NY 11%

Top 3 Geo Concentration

FL 7%

Always Current (24 mos)

84.04%

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