EFTA02558517.pdf

From: Barrett, Paul S Sent: Wednesday, August 15, 2012 6:03 PM To: Jeffrey Epstein Cc: Giuffrida, David Subject: To Do - : NEW HY RMBS - $12.5mm of BSABS 04-AC6 M1 @ $49-16 (7.03% yield/2.81 dum) Why we think this bond is compelling: =OD </=pan>Deal still has ove=collateralization: There:=17;s currently 51.3mm overcollateralization in the deal.&=bsp; Overcollateralization (CC), which is essentially excess mortgages ove= the amount of bonds issued, has been increasing since April 2012<=u>. This is a function of the underlying mortgages bearing fixed coupons=while the issued bonds are low margin 1ML floaters. The excess int=rest generated from this is used to pay down the senior classes in the dea= thus reducing the relative amount of bonds outstanding vs mortgages=outstanding. Thus OC is the first line of defense against credit l=sses. That's why the most junior class in the deal, the B3s,=have not taken a principal write-down to date. =OD </=pan>Relatively short d=ration across all scenarios- &n=sp; HPI Updated LTV = 85%<=pan style="font- size:10.0pt;font-family:"Calibri","sans=serif";color:e1F497D"> -<=pan style="font:7.0pt "Times New Roman""> &=bsp; =span style="font-size:10.0pt;font-family:"Calibri","san=- serif";color:e1F497D">94 months seasoned - = 681 FICO =0A••Source: Bloomberg =OA BSABS 20O4-AC6 Ml Offered @ 49-164p atd> <=d width="168" nowrap="" valign="bottom" style="width:126.05pt;pa=ding:0in 5.4pt 0in 5.4ptheight:16.5pt"> width="50" nowrap="" valign="bottom" style="width:37.5pt;paddi=g:0in 5.4pt 0in 5.4pt;height:7.05pt"> BOND DESCRIPTION 3.5 =amp 20 5 CPR 6 CPR Default Rate EFTA_R1_01718249 EFTA02558517 =OD 6.5 for 30 4 CDR =OD 6 for 365 for 124.5 CDR 5 for 36 4 CDR =OD Original Face:<=span> =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">12,500,000 =td width="50" nowrap="" valign="bottom" style="width:37.5pt;padd=ng:0in 5.4pt 0in 5.4pt;height:13.35pt"> Default Severity =OA 65 for 36 60 for 12 55 60 ramp 18 65 60 ramp 12 55 55 ramp 12 60 55<=p> Current Face:<=span> =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">2,796,053 <=d width="50" nowrap="" valign="bottom" style="width:37.5pt;paddi=g:0in 5.4pt 0in 5.4pt;height:13.35pt"> Delinq Advance (% of P&I) 85 =OA Bond Type: Alt-A Men Floater (1ML =#43; 67bps) Balance Forgiveness 0.02 for 20 0 Current Balance 0.02 for 20 0 Current Balance</=:p> =OD Ratings (S&a=p;P/Moodys/Fitch): B-/Ca/-=/span> =OD =td width="168" nowrap="" valign="bottom" style="width:126.05pt;p=dding:0in 5.4pt 0in 5.4pt;height:13.35pt"> 0.916%<=:p> </=d> =td width="192" nowrap="" valign="bottom" style="width:144.3pt;pa=ding:0in 5.4pt 0in 5.4pt;height:14.15pt"> =OA Yield @ Base Case 2 EFTA_R1_01718250 EFTA02558518 7.034% =OA =0APrice @ 49.16 Stress Case<=:p> Base Case =OA Recovery=Case <=pan style="font-size:8.0ptfont-family:"Arial","sans-serincolor:black">WAL @ Base Case =0A=.0A 4.66 Yield =0D -0.858 7.034 12.928 <=tr> Aug12 to Sep20 -177 61= 1194 3.09 2.81 2.85 <=tr> =OA 13.83% WAL =OD 4.81 4.66 5.18 3 EFTA_R1_01718251 EFTA02558519 </=r> 60-E Delinquencies =OA 28.31 Principal Window Aug12 to lun20<=:p> Aug12 to Sep20 =OA 0.49x Pr=ncipal Writedown 59.98% =OD <=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">47.98% 35.90%<=:p> =td width="233" nowrap="" valign="bottom" style="width:174.75pt;p=dding:0in 5.4pt Din 5.4pt;height:11.8pt"> Total Collat Loss 6..04% 5.73% 5.28% <= class="MsoNormal">UNDERLYING COLLATERAL DESCRIP=ION Total Liquidation<=:p> 28.10% 25.20%=/p> Average Loan Balance ($,=00s) 216 <=td> <=d width="177" nowrap="" valign="bottom" style="width:132.8ptpad=ing:0in 5.4pt 0in 5.4pt;height:13.35pt"> Loan C=unt 429 </=d> <=d width="177" nowrap="" valign="bottom" style="width:132.8ptbac=ground:#D99795;padding:0in 5.4pt Din 5.4pt;height:13.35pt"> 4 EFTA_R1_01718252 EFTA02558520 HISTORICAL PERFORMANCE<=o:p> <=td> Mortgage Typ= Alt-A 30yr Fix =OD =OD 1 MOS =/td> 3 MOS</=:p> Wtd Avg Mortgage Coupon =OD 6.200% CPR 0.09 =OD 2.64 6.44<=p> Wtd Avg FICO Score</=:p> 681 CDR 0.00 =0D <=pan style="font-size:8.0pefont-family:"Arial","sans-se=if";colOr:#1F497D">1.44 2.45<=:p> Wtd Av= Ork Loan-to-Value 75.38% SEV =1W> NA NA 42.48 5 EFTA_R1_01718253 EFTA02558521 </=r> HPI Adj LTV =OA =OA =OD Weighted Avg Loan Age=/p> =OA 94 =OD Owner Occupied<=span> =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:141F497D">81.37 =0A =0ATop 1 Geo Conce=tration CA 22% =OD =OD T=p 2 Geo Concentration NY 22%</=:p> =OA =OD Top 3 Geo Concentration =OD FL 10% =OA =OD Always Current (24 mos) =OA 57.05% =p class="MsoNormal">IMPORTANT DISCLAIMER: Non-agency RMBS is a complex fixed income product and is not suitabl= for all investors. Please note that while desk assumptions are dr=ven by a number of collateral and macro factors, the historical p=rformance of a deal is not indicative of its future performance.&nbs=; Additionally, this message is a product of sales and trading and is not = research report. Other key risks to consider are outlined below:<=:p> =nbsp; All=investments are subject to possible loss of principal <=span>Non-Agency bonds may ha=e limited liquidity and clients should be aware that the secondary market =or 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 certifi=ates may experience illiquidity, it is more likely that classes that are l=wer in the capital structure and non-investment grade related may ex=erience greater illiquidity than more senior, investment-grade rated class=s. 6 EFTA_R1_01718254 EFTA02558522 - &nb=p; High Yield Non-Agency bonds are speculative non-investmen= grade bonds that have higher risk of default or other adverse credit even=s which are appropriate for high risk investors only qtbody> &nbs=; This email is c=nfidential and subject to important disclaimers and conditions including o= offers for the purchase or sale of securities, accuracy and completeness =f information, viruses, confidentiality, legal privilege, and legal entity=disclaimers, available at http://www.jpmorgan.com/pages/disclosures/em=il. 7 EFTA_R1_01718255 EFTA02558523