EFTA02562930.pdf

From: Barrett, Paul S < Sent: Wednesday, November 14, 2012 8:25 PM To: Epstein, Jeffrey (jeevacation@qmail.com) Cc: Giuffrida, David J; Schaffer, Susannah Subject: NEW HY PRIME RMBS (3:30pm BWIC) - $10mm of IMM 05-2 1M1 @ 71-00 (6.44% yield/5.69 durn) Jeffrey Here is a good replacement for the bonds we sold last week. Spend around $1.2MM. Let me know. Paul "• 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 IMM 05-2 1M1is an Alt-A Men floater (1ML + 43bps) that has 11.1% Credit support vs 15.3% in 60+ delinquency. That's 0.72x coverage assuming 100% severities. In our stress case scenario where we default 39% of the collateral (bear in mind only 15% is currently in 60+ delinquency), this bond @ 71-00 yields 3.12%. In our base case were we default 36% of the collateral, it is a 6.44% yield; to recovery, it's a 7.52% yield. The yield delta between scenarios demonstrates the resilience of the bond to different home price stresses. THE COLLATERAL The mortgage pool is backed by 93 months seasoned Alt-A borrowers with an average updated LTV of 88% and 704 FICO. THE STORY: EFTA_R1_01725351 EFTA02562930 For investors looking for a housing recovery play backed by well structured seasoned collateral, the IMM 05-2 1M1 offers a compelling spread and yield pickup levered to prepays. Please call the desk with all bids/inquiries related to this bond. X32124 HIGHLIGHTS HPI Updated LTV = 88% 68% of the borrowers have not missed a payment in the past 2 years 93 months seasoned 704 FICO $249k average balance **Source: Bloomberg IMM 2005.2 1M1 Offered @ 71.00 BOND DESCRIPTION Prepay Rate 1 CPR 2 CPR 3 CPR Cusip: 45254NNB9 Default Rate 6 for 304 CDR 6 for 24 4 ramp 12 3.5 CDR 5 for 24 4 ramp 12 3 CDR Original Face: 2 EFTA_R1_01725352 EFTA02562931 10,000,000 Default Severity 65 ramp 12 60 55 ramp 12 60 55 55 ramp 24 50 Current Face: 1,665,558 Delinq Rate 16 Percent 16 Percent 16 Percent Bond Type: Alt-A Floater Men (1.ML + 43bps) Delinq Advance (% of P&I) 75 80 80 Ratings (S&P/Moodys/Fitch): CCC/B2/- Current Coupon: 0.856% Yield @ Base Case 6.441% Price @ 71.00 Stress Case 3 EFTA_R1_01725353 EFTA02562932 Base Case Recovery Case WAL @ Base Case 8.29 Yield 3.122 6.441 7.522 Principal Window @ Base Case Nov12 to Feb38 Spread over Tsy 183 506 617 Writedown % 11.98% Duration 5.32 5.69 5.73 Current Credit Enhancement: 11.07% WAL 7.74 8.29 8.08 4 EFTA_R1_01725354 EFTA02562933 60+ Delinquencies 15.28 Principal Window Nov12 to May28 Nov12 to Feb38 Nov12 to lan35 60+ Delinquency Coverage 0.72x Principal Writedown 33.06% 11.98% 0.00% Total Collat Loss 8.66% 8.10% 7.35% UNDERLYING COLLATERAL DESCRIPTION Total Liquidation 38.95% 36.06% 30.31% Average Loan Balance ($,000s) 249 Loan Count 764 HISTORICAL PERFORMANCE 5 EFTA_R1_01725355 EFTA02562934 Mortgage Type Mix Alt-A FRM and ARMs 1 MOS 3 MOS 6 MOS Wtd Avg Mortgage Coupon 4.110% CPR 0.10 4.44 3.95 Wtd Avg FICO Score 704 CDR 6.73 6.33 6.22 Wtd Avg Orig Loan-to-Value 70.45% SEV 34.97 52.01 6 EFTA_R1_01725356 EFTA02562935 39.23 HPI Adj LTV 88.14% Weighted Avg Loan Age 93 Owner Occupied 67.87 Top 1 Geo Concentration CA 52% Top 2 Geo Concentration FL 11% Top 3 Geo Concentration VA 3% Always Current (24 mos) 68.16% IMPORTANT DISCLAIMER: Non-agency RM85 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 7 EFTA_R1_01725357 EFTA02562936  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 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. Kevin Lynn Vice President I JPMorgan Securities Fixed Income Trading Desk: I Direct: 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_01725358 EFTA02562937