EFTA02357573.pdf

From: Barrett, Paul S Sent: Thursday, March 7, 2013 7:51 PM To: Jeffrey Epstein Cc: Ens, Amanda Subject: To Do - NEW HY RMBS - $5.982mm of CMSI 2005-7 1M @ $98-00 ( 6.033% yield/ + 522 vs. tsy/ 3.49 dum) Jeffrey We should buy $1MM of this bond. Would bid 97.00 which is a 6.30% yield. Let me know. Paul 11" 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://pscppv1.amer.jpmchase.net:8080/BlueSkyPage.html and review to see if your client's state of residence is listed. If you receive 'NO SECURITY FOUND', 'NO STATES FOUND' or the security DOES NOT HAVE A CUSIP or is not USD- denominated, then please contact your SM or local compliance officer and provide the requested security and client information. Please note that a suitability review and other pre-trade procedures must still be followed. THE BOND: The CMSI 2005.7 1A4 is a Prime, Seasoned, Fixed, Senior support bond backed by 89 months 30yr Fix rate mortgages. The bond has 5.53% credit enhancement vs 8.39% 60+ delinquencies, for a 0.66x coverage ratio. THE COLLATERAL: The pool consists of 209 Prime 30yr fixed borrowers that are 89 months seasoned with an average LTV of 79% and 731 FICO score. The average balance of the loans is $466k — this coupled with the low updated LTV should result in both low CDRs and Severities. Additionally, 82% of homeowners have been 24 months perfect payers. THE STORY: For investors looking for a housing recovery play backed by seasoned Prime collateral, this bond offers a great convexity story levered to prepayments and overall homeowner performance. Please call the desk with all bids/inquiries related to this bond. X32124 HIGHLIGHTS HPI Updated LTV = 79% 82% of the borrowers have not missed a payment in the past 2 years EFTA_R1_01343584 EFTA02357573 89 months seasoned $466k average balance "Source: Bloomberg•' CMSI 2005-7 1A4 Offered @ 98-00 BOND DESCRIPTION Prepay Rate 15 CPR 18 CPR 22 CPR Cusip: 1729733H0 Default Rate 2 ramp 24 6 6 ramp 12 2 CDR 2 ramp 24 5 5 ramp 12 2 CDR 2 ramp 24 5 5 ramp 12 2 CDR Original Face: 5,982,000 Default Severity 50 50 ramp 12 45 45 ramp 12 40 Current Face: 4,551,230 2 EFTA_R1_01343585 EFTA02357574 Delinq Rate 9 Percent 9 Percent 9 Percent Bond Type: Prime Fixed 30yr Snr. Sub Delinq Advance (% of P&I) 100 100 100 Ratings (S&P/Moodys/Fitch): -/Ca/CCC Call No No No Current Coupon: 5.500% Yield @ Base Case 6.033% Price @ 98-00 Stress Case Base Case Recovery Case WAL @ Base Case 4.39 3 EFTA_R1_01343586 EFTA02357575 Yield 0.811 6.033 6.101 Principal Window @ Base Case Apr13 to Oct34 Spread over Tsy 6 522 543 Writedown % 0.00 (0.00%) Duration 3.12 3.49 3.05 Current Credit Enhancement: 5.53% WAL 4.14 4.39 3.73 60+ Delinquencies 8.39 Principal Window 3.122 4 EFTA_R1_01343587 EFTA02357576 3.49 3.046 60+ Delinquency Coverage 0.66x Principal Writedown 21.87% 0.00% 0.00% Total Collat Loss 2.32% 1.99% 1.72% UNDERLYING COLLATERAL DESCRIPTION Total Liquidation 12.94% 10.69% 9.30% Average Loan Balance ($,000s) 466 Loan Count 209 HISTORICAL PERFORMANCE 5 EFTA_R1_01343588 EFTA02357577 Mortgage Type Prime 30yr Fixed 1 MOS 3 MOS 6 MOS WW Avg Mortgage Coupon 5.532% CPR 31.59 19.70 17.78 WW Avg FICO Score 731 COR 0.00 2.24 2.49 WW Avg Orig Loan•to•Value 62.01% SEV #N/A N/A 51.43 41.42 HPI Adj LTV 79.02% 6 EFTA_R1_01343589 EFTA02357578 Weighted Avg Loan Age 89 Owner Occupied 93.94 Top 1 Geo Concentration CA 36% Top 2 Geo Concentration NY 21% Top 3 Geo Concentration VA 5% Always Current (24 mos) 82.27% IMPORTANT DISCLAIMER: Non-agency RMBS is a complex fixed income product and is not suitable for all investors. Please note that while desk assumptions are driven by a number of collateral and macro factors, the historical performance of a deal is not indicative of its future performance. Additionally, this message is a product of sales and trading and is not a research report. Other key risks to consider are outlined below: All investments are subject to possible loss of principal Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage-backed securities has experienced periods of illiquidity and may do so in the future. Illiquidity means that there may not be any purchasers for your class of certificates. Although any class of certificates may experience illiquidity, it is more likely that classes that are lower in the capital structure and non-investment grade related may experience greater illiquidity than more senior, investment-grade rated classes. 7 EFTA_R1_01343590 EFTA02357579 High Yield Non•Agency bonds are speculative non•investment grade bonds that have higher risk of default or other adverse credit events which are appropriate for high risk investors only Non•Agency bonds are intended for clients with a minimum total net worth of $50mm. Please make sure your client fulfills this requirement before soliciting this order. This commentary is a product of WMorgan Global Wealth Managements Taxable Fixed Income Trading Desk and not JPMorgan's Research Department. The views expressed in this trading desk commentary may differ from those of JPMorgan's Research Department. Any opinions expressed in this trading desk commentary are subject to change without notice and WMorgan is under no obligation to update or keep this information current. This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, confidentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email. 8 EFTA_M_01343591 EFTA02357580