EFTA02385948.pdf

From: Barrett, Paul S < Sent: Friday, May 10, 2013 8:05 PM To: Epstein, Jeffrey (jeevacation@qmail.com) Cc: Barrett Pod Subject: NEW PRIME HY RMBS - 51.5mm of GSR 05-5F B1 @ 97-16 (6.132% yield/7.23dum) Jeffrey We should buy these for Haze Trust. Spend around $1.2MM, We have over $3MM in cash. `•" 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://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. THE BOND: The GSR 05.5E B1 is a seasoned Prime Fix 5.76% subordinate bond backed by 105 months seasoned 30yr Fix mortgages. The bond has 4.81% credit enhancement vs. 9.99% 60+ delinquencies, for a 0.48x coverage ratio. The bond has a fairly stable yield profile ranging from 6.11% in our stress case to 6.15% in our recovery case. This is attributable to both the quality of the underlying loans and the relatively thicker CE/60+ ratio. Additionally, we do not see this bond taking any writedowns in all scenarios. THE COLLATERAL: The bond is backed by 836-Prime 30yr Fix Rate mortgages that are 104-months seasoned and have a 64% updated LTV. The average balance of the loans is $369k . This coupled with the low updated LTVs and a recovering housing market should keep future severities low on this pool. Further, the 3-month and 6-month average severity have been light at approx 32% and 35%, respectively. We are using 40% Severity ramping down to 35% over 4 years in our base case. Additionally, 84% of homeowners are 24-months perfect payers. THE STORY: For investors looking to gain exposure to US housing recovery backed by cleaner and more seasoned Prime collateral, this bond provides a healthy yield pickup that is less levered to other Please call the desk with all bids/inquiries related to this bond. X32124 HIGHLIGHTS HPI Updated LTV = 64% 84% 24-month perfect payers EFTA_R1_01405304 EFTA02385948 726 FICO score 105 months seasoned $368k average balance "Source: Bloomberg GSR 2005-SF B1 Offered @ 97-16 BOND DESCRIPTION Prepay Rate 17 CPR 22 CPR 25 CPR Cusip: 36242D7X5 Default Rate 3 ramp 60 1 CDR 2.5 ramp 30 2 CDR 2.5 ramp 30 2 ramp 12 1.5 CDR Original Face: 1,500,000 Default Severity 45 ramp 24 35 40 ramp 48 30 35 ramp 12 30 Current Face: 1,245,235 2 EFTA_R1_01405305 EFTA02385949 Delirig Rate 10 Percent 9.5 Percent 9.5 Percent Bond Type: Prime Fix 5.76% Sub Del i nq Advance (% of P& I ) 95 100 100 Ratings (S&P/Moodys/Fitch): B+/NR/- Current Coupon: 5.759% Yield @ Base Case 6.132% Price @ 97.16 Stress Case Base Case Recovery Case WAL @ Base Case 10.34 Yield 6.113 6.132 3 EFTA_R1_01405306 EFTA02385950 6.157 Principal Window @ Base Case Jun13 to May35 Spread over Tsy 392 412 436 Writedown % 0.00% Duration 7.82 7.23 6.59 Current Credit Enhancement: 4.81% WAL 11.71 10.34 9.05 60+ Delinquencies 9.99 Principal Window Jun13 to May35 Jun13 to May35 Jun13 to May35 60+ Delinquency Coverage 4 EFTA_R1_01405307 EFTA02385951 0.48x Principal Writedown 0.00% 0.00% 0.00% Total Collat Loss 0.94% 0.91% 0.75% UNDERLYING COLLATERAL DESCRIPTION Total Liquidation 7.95% 7.73% 6.10% Average Loan Balance ($,000s) 368 Loan Count 818 HISTORICAL PERFORMANCE Mortgage Type Prime 30yr Fix 5 EFTA_R1_01405308 EFTA02385952 1 MOS 3 MOS 6 MOS Wtd Avg Mortgage Coupon 5.813% CPR 24.51 22.35 23.44 Wtd Avg FICO Score 726 CDR 0.00 1.08 1.66 Wtd Avg Orig Loan-to-Value 59.50% SEV NA 31.29 35.51 HPI Adj LTV 64.07% Weighted Avg loan Age 105 6 EFTA_R1_01405309 EFTA02385953 Owner Occupied 91.47 Top 1 Geo Concentration CA 33% Top 2 Geo Concentration NY 11% Top 3 Geo Concentration FL 7% Always Current (24 mos) 84.04% 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. 7 EFTA_R1_01405310 EFTA02385954