EFTA02347700.pdf

From: Barrett, Paul S Sent: Friday, October 19, 2012 3:17 PM To: Jeffrey Cc: Giuffrida, David J; Schaffer, Susannah Subject: To Do - NEW HY RMBS - $7.521mm of SEMI 03-5 B1 @ $80-16 (6.15% yield / 5.62 dum) =OA Hi Jeffrey =span style="font-size:11.0pt;font-family:"Calibri","san=-seriflcolor:#1F497D"> This bond looks interesting. =OA I would like to take profits on our Barclays Pfd which i= yielding 3.70% and buy this mortgage bond. We are up $154K all in on =he Barclays Pfd. Let me know <= class="MsoNormal"> =/p> Paul =span style="font-size:11.0pt;font-family:"Calibri","san.-serif";color:#1F497D"> US Onshore Clients — Blue Sk= (U.S. State Securities Law): Please confirm Blue Sky eligibility befo=e soliciting to a US Onshore client by entering the CUSIP into the web too= located at: http://pscppvl.amer.jpmchase.net:8080/BlueSkyPa=e.html chttp://pscppvl.amer.jpmchase.net:808=/BlueSkyPage.html> and review to see if your client's state of r=sidence is listed. If you receive 'NO SECURITY FOUND',-=;NO STATES FOUND' or the security DOES NOT HAVE A CUSIP or is =ot US0- denominated, then please contact your SM or local compliance office= and provide the requested security and client information. Please note =hat a suitability review and other pre-trade procedures must still be =OA followed. The SEMT 03-5 B1 is a prime =ubordinate bond rated BB+/B2/BBB and is backed by 110 month seasoned P=ime Vanilla ARM mortgages. The pool has 60.35% updated LTV, 84% =lways current borrowers (looking back 2 years), 271k average balance and m=st importantly, 4.7% credit support vs only 3.55% 60+ deli=quency. The way I look at it, if 100% of the EFTA_R1_01320866 EFTA02347700 60+ delinquen= borrowers were immediately evicted and foreclosed on and the repossessed =omes sold for $0, the pool would incur 3.55% losses. In this gri= scenario I painted, this B1 bond would still receive no writedowns=2E Additionally, this deal is immediately callab=e by the servicer since the collateral factor is below the 10% range.&nb=p; This deal becomes more callable as time passes and in the scenario wher= rates were to back up, the ARM mortgages in this pool would be worth =OA considerably more on bank balance sheets. With only 3.55% del=nquent loans, this deal is already clean enough to call, it's really=a matter of economics for the servicer at this point. In our recov=ry scenario, we are assuming the deal is called 3 years from today&n=sp; even though the bonds are callable right now. In =ur stress scenario, we default approximately 2.6x the current 60+ de=inquent population at 60 severity ramping down over 2 years to 40. =We're also running half the 6 month speeds and see this bond produci=g a 5.02% yield for a 6.03 duration bond. • • • THI= BOND IS OFFERED TO US AND THE STREET AT 84-16. I see value in thi= bond @ 80-16 but there is no guarantee we can trade it there. =br> HIGHLIGHT= -&n=sp; HPI Updated LTV = 60% - &=bsp; 84% of the borrowers have not missed a p=yment in the past 2 years =OD 110 mo=ths seasoned =OD </=pan>732 FICO</=pan> =0D $271k =verage balance ••Sou=ce: Bloomberg SEMT 2003-5 B1 Offered @ 80-16 =/td> <=d width="184" nowrap="" valign="bottom" style="width:138.0pt;pad=ing:0in 5.4pt 0in 5.4pt;height:15.75pt"> <=d width="231" nowrap="" valign="bottom" style="width:173.45pt;pa=ding:0in 5.4pt 0in 5.4pt;height:6.75pt"> =/td> BOND DESCRIPTION 3=CPR 5 CPR=/span> 8 CPR =/td> Cusip: 2 EFTA_R1_01320867 EFTA02347701 =/td> 81743PCR5 2.5 ramp 24 1 CDR 2 ramp 24 0.75 0.5 CDR width="256" nowrap="" valign="bottom" style="width:192.0pt;bac=ground:#F2F2F2;padding:0in 5.4pt 0in 5.4pt;height:12.75pt"> 2 ramp 24 0.5 CDR Original Face: =0D 7,521,500 Default Severity 60 ramp 24 40 =0A Current Face: =OD Delinq Rate 4 Percent =OD 4 Percent =OD Bond Type: <=td> Seasoned Prime Subs Delinq Advance (% of P&I) 100 =td width="175" nowrap="" valign="bottom" style="width:131.0pt;ba=kground:#F2F2F2;padding:0in 5.4pt 0in 5.4pt;height:12.75pt"> 100 10= Ra=ings (S&P/Moodys/Fitch): 88+/=3/BBB/. - N N 3 EFTA_R1_01320868 EFTA02347702 10/2015</=> Current Coupon:=/span> • • Run to Fwd LIBOR<=p> =OA =OD Yield @ Base Case4=pan> 6.149% =OD =OD WAL @ Base Case =/td> =/tr> Nov12 to Aug33 Price @ 80-16 =OA Stress Case Base Case Recovery Case Writedown % </=d> 6.149 10.416 Current Credit Enhancement: Spread over Tsy =span style="font-size:8.0ptfont-family:"Arial","sans-s=rif";color:black">357 =OA 996 60+ Delinquencies =OA Duration=/p> =OA 6.03 =OD <=pan style="font-size:8.0ptfont-family:"Arial","sans-serif";color:black">2.29 =OD <=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">60+ Delinquency Coverage 4 EFTA_R1_01320869 EFTA02347703 =OD 1.32x 7.69 7.11 2.53 =OD =OD Principal Window =OA Nov12 to Aug33<=:p> Nov12 to Nov15 =OA UNDERLYING COLLATERAL DESCRIPTION =OD =OD Principal Writedown =OA 8.63% 0.00%=/p> =p class="MsoNormal" align="center" style="text-align:center">0.00% <=r style="height:12.75pt"> 271 Total C=Ilat Loss 0.56%</=> 0.35%=/span> =0ALoan Count=/o:p> 211 =OA Total Liquidation 9.20= 5.13% 2.57% =OD Mortgage Type Seasoned Prime Van=lla ARMs =OD <=tr> 2.332% =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:black">HISTORICAL PERFORMANCE EFTA_R1_01320870 EFTA02347704