‘MeMahon, Bill ‘Wednesday, August 15, 2007 2:08 PM Cohn, Gary (EO 85630) Vinier, David Subject: RE: Trading VaR $165mm, The volatilities and correlations among our assets are really driving the ewings in var Fight now, Robert Berry sent out a note last night indicating that the sensitivity of our var models to correlationa suggests that the var can swing between 140 and 160 without any changes in the complexion of our trading nooks - essentially, it is noise. Phe only Solution 19 to reduce the size of the books, which 1s What We are working on with mortgages and credit trading. In credit trading, in Ram's book, we are long 1.1 cv0l by short 3.4 Gv0l. He is reducing his short by 390’ dv0l today [in monolines, brokers and 16 index), and we aze trying to £igure out how much of his cemaining short he needs against other Comnitnents he has which ARE NOT showing up on his long side. Oon and T are meeting With the moztgage guys today, and will shaze with you the plan in that book after ive is finalized. Original Message. From: Conn, Gary (BO 85830) Sent: Wednesday, August 15, 2007 1:43 PM To: Dinias, Michael; Viniar, David; Montag, Tom; sherwood, Michael S; Broderick, Craigs Berry, Robert; Mullen, Donald; Sparks, Daniel L; McMahon, Bill; Petersen, Bruce; Wilson, Edward Subject: Re: Trading VaR $165nn There is no room for debate - we must get down now Original Message From: Dinias, Micheal Tos Viniar, Davids Cohn, Gary: Montag, Toms Shexwood, Michael S; Brodesick, Craigs Bercy, Robert; Mullen, Donald; Sparks, Daniel L; McMahon, Bill; Petersen, Bruce; Wilson, Edward (eb, LNve/042) Sent: Wed Aug 15 13:41:22 2007 Subject: Trading VaR $165am Trading VaR increased $1érm, from ¢1491m to $16onm, versus $150nm Limit. Mortgage VaR increased $1émn, from $96mn to $110mm. Mortgage risk increase wes driven almost entizely from wider spreads/mackdowns on ADS CDOs. Credit Trading vak increased $2nm, from $79mm to $8Lm. Credit Origination VaR increased $inm, from $62nm to $63rm. Interest Rate Product VaR now stands at $l4dem. Confidential Treatment Requested by Goldman Sachs GS MBS-£-009778573