EFTA02378612.pdf

From: Barrett, Paul S Sent: Thursday, May 16, 2013 9:56 PM To: 'Jeffrey Epstein' Subject: RE: PRIME HY RMBS #2 - $2.669mm of BOAMS 03-1 B2 px talked @ $59-00 (5.885% yield/ 3.55durn) Traded away at a higher price. Original Message From: Jeffrey Epstein [jeevacation@gmail.com <mailto:jeevacation@gmail.com> ) Sent: Thursday, May 16, 2013 12:04 PM Eastern Standard Time To: Barrett, Paul S Subject: Re: PRIME HY RMBS #2 - $2.669mm of BOAMS 03-J 82 px talked @ $59.00 (5.885% yield/ 3.55durn) ok On Thu, May 16, 2013 at 11:32 AM, Barrett, Paul S <paul.s.barrett@jpmorgan.com <mailto:paul.s.barrett@jpmorgan.com» wrote: Jeffrey A few bonds coming out to the market today. Lets buy this one to replace what we sold on Tuesday. Spend around $600K. Let me know Paul 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://pscppvl.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. EFTA_R1_01390770 EFTA02378612 This bond is on a 11:30am BWIC this morning. The prices listed on the email are merely price talks and are not firm offer levels. These are merely levels where we believe these bonds will trade and are tempered with where we see value in owning them today. The bonds may trade higher/lower than the price talk level listed in this email. Please show in all bids/inquiries before the bid time. Late bids may not be accepted. Please call the desk with all bids/inquiries related to this bond. X32124 "Source: Bloomberg BOAMS 2003-1 92 Offered @ 59-00 BOND DESCRIPTION Prepay Rate 10 CPR 12 ramp 12 14 12 CPR 14 ramp 12 16 12 CPR Cusip: 05948XYS4 Default Rate 1.5 ramp 2432 CDR 1.5 ramp 24 3 ramp 24 1.75 CDR 1.5 ramp 24 3 ramp 24 1.5 CDR Original Face: 2,669,000 Default Severity 45 ramp 24 35 40 ramp 24 35 35 Current Face: 2 EFTA_R1_01390771 EFTA02378613 982,053 Del i nq Rate 9 Percent 9 ramp 24 6.5 Percent 9 ramp 24 6.5 Percent Bond Type: Prime Hybrid Sub Deling Advance (% of P&I) 100 100 100 Ratings (S&P/Moodys/Fitch): -/Ca/B Call No No May-2017 Current Coupon: 3.153% Yield @ Base Case 5.885% Price @ 59-00 Stress Case Base Case Recovery Case 3 EFTA_R1_01390772 EFTA02378614 WAL @ Base Case 5.05 Yield -0.382 5.885 20.084 Principal Window @ Base Case Jun13 to Dec23 Spread over Tsy -175 485 1942 Writedown % 44.69% Duration 4.91 3.55 2.88 Current Credit Enhancement: 2.38% WAL 6.34 5.05 3.55 60+ Delinquencies 8.27 4 EFTA_R1_01390773 EFTA02378615 Principal Window Jun13 to Jan26 Jun13 to Oec23 Jun13 to May17 60+ Delinquency Coverage 0.29x Principal Writedown 66.92% 44.69% 0.09% Total Collat Loss 0.49% 0.44% 0.41% UNDERLYING COLLATERAL DESCRIPTION Total Liquidation 11.61% 10.26% 9.41% Average Loan Balance (5,000s) 412 Loan Count 254 HISTORICAL PERFORMANCE 5 EFTA_R1_01390774 EFTA02378616 Mortgage Type Prime Hybrid ARMs 1 MOS 3 MOS 6 MOS Wtd Avg Mortgage Coupon 3.408% CPR 14.47 12.41 13.35 Wtd Avg FICO Score #N/A Field Not Applicable COR 0.00 1.03 1.15 Wtd Avg Orig Loan-to-Value 52.29% SEV #N/A N/A 78.95 55.O9 HPI Adj LTV 6 EFTA_R1_01390775 EFTA02378617 48.79% Weighted Avg Loan Age 115 Owner Occupied 91.13 Top 1 Geo Concentration CA 57% Top 2 Geo Concentration FL 8% Top 3 Geo Concentration GA 4% Always Current (24 mos) 84.40% 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 7 EFTA_R1_01390776 EFTA02378618 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. 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 JPMorgan 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 JPMorgan 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 <http://www.jpmorgan.com/pages/disdosures/email> . The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of Jeffrey Epstein Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to jeevacation@gmail.com <mailto:jeevacation@gmail.com> , and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 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_R1_01390777 EFTA02378619