EFTA02520483.pdf

From: Barrett, Paul S < Sent: Tuesday, July 9, 2013 2:00 PM To: Jeffrey Epstein (jeevacation@qmail.com) Cc: Barrett Pod Subject: To Do - ALT-A HY RMBS OFFERING - $10mm of IMM 05-2 1M2 @ $70-08 (7.005% yield/4.56 durn) Jeffrey I think we should sell our Chase 2007-Al mortgage bond. We are up $123K. And then buy the below bond. We will be raising around $1MM in cash if we do this switch and pick up around 225bps on our base case yield assumption. 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. THE BONDS: The IMM 2005.2 1M2 is an Alt-A Mezz Floater (1m L + 73.5bps) backed by 101months seasoned Alt-A Fix and Hybrid ARM mortgages. The bond has 6.01% credit enhancement vs 17.22% 60+ delinquencies, giving the bond a 0.35x coverage ratio. THE COLLATERAL: The pool consists of 734 Alt-A Hybrid ARMs that are 100 months seasoned with an updated LTV of 84%. The average balance of the loans is $246k. THE STORY: EFTA_R1_01657296 EFTA02520483 For clients looking for housing exposure via cleaner, seasoned Alt-A collateral, this bond offers a very compelling yield pickup vs corp HY and provides a positive convexity story for investors. The bond is recommended for buy and hold clients who want yield pickup in this dislocated market. Please call the desk with all bids/inquiries related to this bond. X32124 HIGHLIGHTS HPI Updated LTV = 84% 101 months seasoned 704 Original FICO $246k average balance 66% 24-month perfect payers **Source: Intex/Bloomberg: July 8, 2013 IMM 2005.2 1M2 Offered @ 70.08 BOND DESCRIPTION Prepay Rate 1.5 CPR 4 CPR 6 CPR Cusip: 45254NNC7 Default Rate 4.5 for 203.5 ramp 123 CDR 4.5 for 20 3.5 ramp 12 2.75 CDR 4.5 for 20 3.5 ramp 12 2.5 CDR Original Face: 2 EFTA_R1_01657297 EFTA02520484 10,000,000 Default Severity 60 ramp 24 50 55 ramp 18 45 50 ramp 20 40 Current Face: 1,566,775 Delinq Rate Group Level Group Level Group Level Bond Type: Alt-A Mezz Floater (1ML + 73.5bps) Delinq Advance (% of P&I) Group Level Group Level Group Level Ratings (S&P/Moodys/Fitch): CC/Ca/- Call No No No Current Coupon: 0.928% 3 EFTA_R1_01657298 EFTA02520485 Yield @ Base Case 7.005% Price @ 70-08 Stress Case Base Case Recovery Case WAL @ Base Case 7.07 Yield 2.918 7.005 9.721 Principal Window @ Base Case Jul13 to Sep28 DM 87 481 731 Writedown % 23.66% Duration 4.75 4.56 4.61 Current Credit Enhancement: 6.01% 4 EFTA_R1_01657299 EFTA02520486 WAL 7.2 7.07 6.91 60+ Delinquencies 17.22 Principal Window Jul13 to Dec25 Jul13 to Sep28 Ju113 to Feb35 60+ Delinquency Coverage 0.35x Principal Writedown 42.88% 23.66% 0.00% Total Collat Loss 7.27% 6.65% 6.23% UNDERLYING COLLATERAL DESCRIPTION Total Liquidation 30.35% 24.99% 21.14% Average Loan Balance ($,000s) 5 EFTA_R1_01657300 EFTA02520487 246 Loan Count 731 HISTORICAL PERFORMANCE Mortgage Type Alt-A Fix and ARM 1 MOS 3 MOS 6 MOS Wtd Avg Mortgage Coupon 3.986% CPR 6.55 6.22 5.58 Wtd Avg FICO Score 704 CDR 0.79 3.40 3.25 Wtd Avg Orig Loan-to-Value 6 EFTA_R1_01657301 EFTA02520488 70.56% 5EV 95.19 55.27 58.00 HPI Adj LTV 83.94% Weighted Avg Loan Age 101 Owner Occupied 68.21 Top 1 Geo Concentration CA 52% Top 2 Geo Concentration FL 10% Top 3 Geo Concentration VA 4% Always Current (24 mos) 66.40% IMPORTANT DISCLAIMER: 7 EFTA_R1_01657302 EFTA02520489 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. 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 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. 8 EFTA_R1_01657303 EFTA02520490