EFTA02339783.pdf

From: Barrett, Paul S <paul.s.barrett@jpmorgan.com> Sent: Wednesday, April 18, 2012 8:28 PM To: Epstein, Jeffrey (jeevacation@gmail.com) Cc: Ens, Amanda Subject: To Do - BALTA 03-3 B1 @ $55-16 (11.64% yield / 6.71 dum) =OA Hi Jeffrey =span style="font-size:11.0pt;font-family:"Calibri","san=-serir;color:#1F497D"> We should buy this bond. Spending=$770,000. Base case yield 11.64%. =OD Paul4=pan> &nb=p; WFMBS 04-EE 81=is a Prime 5/1 subordinate bond backed by 97month seasoned 5/1 hybrids.&=bsp; HIGHLIGHTS - = 707 FICO <=pan style="mso-list:Ignore">- <=span>HPI Updated L=V = 64% =OA 82% of the borrowers ha=e not missed a payment in the past 2 years =!lif Isupportlists]>- &nbs=; 104 months seasoned &=bsp; =OD =OA BOND DES=RIPTION Pr=pay Rate EFTA_R1_01303156 EFTA02339783 5 CPR 7 CPR =OA Cusip: =OA Default Rate 1.5 ramp 2444 ramp 122 CDR =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:black">1.5 ramp 24 4 4 ramp 12 1.5 CDR Original Face: 4,500,000 =OA 55 ramp 24 50 <=td> =OA 45 ramp 24 40 Current Face: =OD 1,399,744 =OA =OD Bond Type: <=td> Price @ 55-16=o:p> Stress Case =OA Base Case Recovery Case =OD Ratings (S&P/Moodys/Fi=ch): AAA/Caa3/- =0D =OD Yield=o:p> 2.367 11.644<=p> 12.725 2 EFTA_R1_01303157 EFTA02339784 Current Coupon:=/o:p> 2.947% =OD Spread 46 <=td> 1060 =OD Duration 4.98<=:p> 6.71 WAL @ Base Case 12.25 WAL =OA 8.737-/o:p> 10.29 <=tr> May12 to Sep33 =OD Principal Window<=o:p> May12 to Mar21 <=td> May12 to Sep33 May12 to Sep33<=:p> Writedown % 5.13% =OD Principal Writedown 5.13% 0.00%</=> Current Credit Enhancement= 3 EFTA_R1_01303158 EFTA02339785 9.58% </=d> <=d width="172" nowrap="" valign="bottom" style="width:129.1pt;pad=ing:0in 5.4pt 0in 5.4pt;height:13.35pt"> Total Collat Loss =OD 1.68% 1.19%</=> 60+ Delinquencies =OA Total L=quidation 25.51%<=p> =OA 17.41% 13.44% =0D =td width="163" nowrap="" valign="bottom" style="width:122.55pt;p=dding:0in 5.4pt 0in 5.4ptheight:13.35pt"> HISTORICAL PERFORMANCE=/span> =b> =0A=p class="MsoNormal"> <=b> UNDERLYING COLLATERAL DESCRIPTION <=pan style="font-size:B.Optfont-family:"Aria)",'sans-se=if";color:black"> 1 MOS</=> =OA <=pan style="font-size:8.Opt;font-family:"Aria)",'sans-se=if";color:black">6 MOS 0.16 </=d> 6.24=/p> Mortgage Type=/span> =span style="font-size:8.0ptfont-family:"Arial","sans-s=rif";color:black">Seasoned Alt-A Hybrids <=td> ad width="172" nowrap="" valign="bottom" style="width:129.1pt;pad=ing:0in 5.4pt 0in 5.4ptheight:13.35pt"> CDR 0.00 4 EFTA_R1_01303159 EFTA02339786 0.39 =OA Wtd Avg Mortgage Coupon 3.449%<=:p> SEV=/p> =OA NA NA =OA 37.51 =/td> Wtd Avg FICO Score =OA 707 =OD Wtd Avg Orig Loan-to-Value=o:p> 65.68% q=d> ad widthe172" nowrape" valign=bottom" style="width:129.1pt;padring:0in 5.4pt Oin 5.4pt;height:13.35pt"> HPI Ad= LTV 64.14% =OA —dZOS7E2dill 8AaA 11UbgUOiAl)Eej I 040211.0,E1Wsce0Aig0 —7..."AnWc06ZCEna 8 4Out)vT2?OdVhf+-E:Y/E6?R/z119%0CE6 5 EFTA_R1_01303160 EFTA02339787 Ota)4M131*! AJoBrtiti* !V OD ClIo,40(5M9dehti)RosA59] LlArkd :1159600nIVIWZAkae—p •-e h " a©J{Ix 6 EFTA_R1_01303161 EFTA02339788 ©020Qta010 7 EFTA_R1_01303162 EFTA02339789 ZW5H2itan Li}0x) 8 EFTA_R1_01303163 EFTA02339790