EFTA02339711.pdf

From: Barrett, Paul S < Sent: Thursday, April 19, 2012 12:21 PM To: Epstein, Jeffrey (eevacation@gmail.com) Cc: Ens, Amanda Subject: WFMBS 04-EE 81 @ $70-00 (8.96% yield / 5.79 dum) =body lang="EN-US" link="blue" vlink="purple"> We should spend 51MM on this bond. let me k=ow. Paul</=> WFMBS 04-EE 131 is a Prime 5/1 subordinat= bond backed by 97month seasoned 5/1 hybrids. <=u> HIGHLIGHTS <=pan style="mso-list:Ignore">- <=span>736 FICO - =nbsp; HPI Updated LTV = 55.99%=span style="font-size:10.0pt;font-family:"Calibri","san=-serif";color:N1F497D"> -=span style="font:7.0pt "Times New Roman""> =nbsp; 90% of the borrowers have not missed a paymen= in the past 2 years <=pan style="mso-list:Ignore">- <=span>87% of the bo=rowers have not missed a payment since origination<=pan style="font-size:10.0pt;font-family:"Calibri","sans=serif";color:#1F497D"> -<=pan style="font:7.0pt "Times New Roman""> &=bsp; =span style="font-size:10.0ptfont-family:"Calibri","san=- serif";color:elF497D">94% owner occupied =OD -&nbs=; 97 months seasoned =OD WFMBS 2004-EE B1 Offered @ 70-00 <=td> <=d width="153" nowrap="" valign="bottom" style="width:114.55pt;pa=ding:0in 5.4pt 0in 5.4pt;height:16.5pt"> =OD <=td> BOND DESCRIPTION Prepay Rate 8 CPR 14 CPR</=> Cusip:</=> =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Default Rate EFTA_R1_01303047 EFTA02339711 =td width="153" nowrap="" valign="bottom" style="width:114.55pt;b=ckground:UF2F2F2;padding:0in 5.4pt 0in 5.4ptheight:13.35pt"> <= class="MsoNormal" align="center" style="text-align:center">1.5 CDR 1.25 CDR 1 =DR Or=ginal Face: 16,939,000 =OA Default Severity=o:p> 40=/p 35 =OD =OD <=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:black">35 =tr style="height:14.15pt"> Current Face: 10,79=,157 =OA =OD Bond Type: <=d width"189" nowrap="" valign="bottom" style="width:141.9pt;pad=ing:0in 5.4pt 0in 5.4pt;height:14.15pt"> Prime=5/1 SSNR sub =p class="MsoNormal">Price @ 70.00<=span> =OA <=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:black">Stress Case =0ABase =ase Ratings (S&P/Moodys/Fitch):</=:p> B+/NR/- =OD 11.660 =OA Current Coupon: =OA 2 EFTA_R1_01303048 EFTA02339712 2.720% Spread 267 width="153" nowrap="" valign="bottom" style="width:114.55pt;ba=kground:#FAC090;padding:0in 5.4pt 0in 5.4ptheight:13.35pt") 708 1034 Yield @ Base Case</=pan> 8.964% =OD =OD Duration 7.47aspan> 5.79 =OA 3.94 =0A=0A WAL @ Base Case apan style="font-size:9.0ptjont-family:"Arial","sans-se=if";color:black">WAL 9.86 =0A 5.75 Principal Window @ Base Case<=p> =OD =OD Principal Window =OA May12 to Oct34 May12 to Oc=34 May12 to Oct34 =OD 10.23% =OD =OD Principal Writedown =OD 42.46% May12 to Oct34 3 EFTA_R1_01303049 EFTA02339713 10.23%</=:p> 2.67% <=tr> Total Collat Loss 1.11%<=span> =span style="font-size:9.Opt;font-family:"Arial","sans-s=rif';color:black">0.75% 0.56% 4.71 </=pan> =OA Total Liquidation=/p> =OA 10.09% 6.78% 4.93% =OA 60+ Delinquency Coverage =OD <=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:#1F497D">0.48x HISTORICAL PERFORMANCE </=> 1 MOS 3 MOS <=td> 6 MOS =OD Average Loan =alance ($,000s) 395<=p> CPR =0Al2.11 Mortgage Type Seasoned P=ime 5/1 hybrid 4 EFTA_R1_01303050 EFTA02339714 CDR 0.00 =OD 0.00 0.52<=p> Wtd Avg Mortgage Coupon SEV NA =/o:p> NA =OD 54.45 =OA Wtd Avg FICO Score 736 =OD =td width="153" nowrap="" valign="bottom" style="width:114.55pt;p=dding:0in 5.4pt Din 5.4ptheight:13.35pt"> =0D <=tr> =0D <=tr> =OA Owner Occupied =OA Top 1 Geo Concentration =OD Top 2 Geo Con=entration IL 5% =OA =OD Top 3 Geo Concentration FL&nbs=; 5% =OD =OA =OD Always Current (24 mos) =OA =OA =OA =OD 5 EFTA_R1_01303051 EFTA02339715 =OA =span style="font-size:8.0pt">*All Investments are subject to risk, inc=uding possible loss of principal. =/tr> *High Yield Non-Agency bonds are s=eculative non-investment grade bonds that have higher risk of default or other adve=se credit events which are appropriate for high risk investors only.<=span> &nbs=; =OA =OD =OA *** ALL OFFERS ARE SUBJECT US Onshore Cli=nts — Blue Sky (U.S. State Securities Law): Please confirm Blue =ky eligibility before soliciting to a US Onshore client by entering the CU=IP into the web tool located at: http://pscppyl.amer.jpmchase=2Enet:8080/BlueSkyPage.html <http://pscppvl.amer=2Ejpmchase.net:8080/BlueSkyPage.html> and review to see if your clie=t's state of residence is listed. If you receive 'NO SECURIT= FOUND', 'NO STATES FOUND' or the security DOES NO= HAVE A CUSIP or is not USD- denominated, then please contact your SM or lo=a1 compliance officer and provide the requested security and client inform=tion. Please note that a suitability review and other pre-trade procedur=s must still be followed. =OD This email is confidential and subject to impo=tant disclaimers and conditions including on offers for the purchase or sa=e of securities, accuracy and completeness of information, viruses, confid=ntiality, legal privilege, and legal entity disclaimers, available at http=//www.jpmorgan.com/pages/disclosures/email. 6 EFTA_R1_01303052 EFTA02339716