EFTA00941740.pdf

From: Jeffrey Epstein leevacationfirtmail.com> 'lb: "Barrett. Paul S" Subject: Re: To Do - a switch Date: Mon. 13 Aug 2012 17:42:58 +0000 ok On Mon. Aug 13. 2012 at 11:40 AM. Barrett. Paul S wrote: Jeffrey We are up 10% ($100K) on our SEMI Mortgage bond we bought back in April. I think we should sell it and switch the proceeds into the bond below. Let me know. Paul Paul Barrett, CFA Managing Director Global Investment Opportunities Group 1PMorgan Private Bank New York, NY 10022 MILS IDR Frain: Lynn, Kevin X Sent Monday, August 13, 2012 12:57 PM Subject NEW HY RM85 • $3.4nvn of MALT 03.4 8344. $63.00 (9.35% yield/2.07 dm) •'•AIL OFFERS ARE SUOJECE US Onshore °Vents - Sloe Sky MS Stott SCCOMICS low*:Please confirm Slue Sty eugroomy before soliciting too US Mullett ['keit by enterffig the CULP Mto the web tool located at: httpAwgpv.I.omer,Ipmcherse.rwt.80230/BlueSkauelsml and review to see Ovw dimes state of residence Is Nsted. IS you receive 'NO SECURITY FOUND; 'NO STATES FOUND' or the security DOES NOT NAVE A CUSIP °Mao< LISO-denomlhated, then please comoct your Strt or local compliance officer andprovide the requested security and dent InfonerrtIon. %COM note that a sunobINty review and other pre-Dade procedures must sell be felbawed. Why we think this bond is compelling: - Assuming.bjgber losses than current experience: The 66 class which is the most subordinate bond in the deal is currently taking losses around $13k/month (3 month average) to $26k/month (12 month average). in our base case scenario, we are projecting about $85k/month for the next 6 months. In fact we have over $110k/month for the first 4 months. Across all scenarios, we see this as a shirt duration bond - in our stress case scenario, we see slight negative yield slowing down cpr assumption from 6 CPR to 4cpa over 1.5 years (about 38% of current 6mos CPR print of 16.7) and ramping CDR and Severity assumptions for the first 3 years. - Please call the desk with all bids/Inquiries related to this bond. X32124 MIGMUGMTS HPI Updated UV n BS% 77% of the borrowers have not missed a payment in the past 2 years ll3 months seasoned EFTA00941740  722 MO °Source: Bloomberg MALT 20034 B3 Offered @ 63-00 BOND DESCRIPTION Prepay Rate 6 ramp 18 4 CPR B ramp 24 6 CPR 10 ramp 24 12 CPR Cusip. 576434EY8 Default Rate 4 for 51 ramp 30 31CDR 4 for 51.25 rarrp 30 2.51 CDR 4 for 4 1 ramp 36 2 0 75 COR Original Face. 3.412.000 Default Severity 75 for 36 70 70 for 36 65 70 ramp 48 65 Current Face. 1.716.596 Bond Type: Seasoned 15yr A4412/ Sub Price a 6340 Stress Case Base Case Raceway Case Ratings (SMItTloodystritch): CCCf-iNR Yield -1.513 9.348 19.139 Current Coupon: 5 812% Spread over Tay 205 882 1858 Yield@ Base Case 9.348% Duration 2.25 2.07 1.99 WAL @ Base Case 3.88 WAL 3.79 388 4.07 Principal Window @BaseGam Sep12 to Feb22 Principal Window Sep12 to Apr18 Sept 2 lo reb22 Sep12 to Feb30 Writedown % 0.88% Principal Writedown 6143% 0.66% 0.56% Current Credit Enhancement_ 396% Total Corral Loss 0.73% 0.66% 1.51% 60. Delinquencies 10.14 Total Lig:dation 682% 6.29% 4.89% 60. Delinquency Coverage 0.392 MIIIMICAL PERFORM/110E UNDERLYING COLLATERAL DESCRIPTION 1 MOS 3 MOS 'MOS Average Loan Balance ($.000S) 70 CPR 32 11 16.25 16.69 Loan Count 654 CDR 009 000 0.00 Mortgage Type Ata 15yr RI mortgages 5EV NA NA NA held Avg hlongage Coupon 6.128% held Avg FICO Score 722 Wtd Avg Ong Loan-to-Value 75.38% HPI Adj LTV 85.19% Weighted Avg Loan Age 113 Owner Occupied 51.26 Top 1 Geo Concentration CA 35% Top 2 Geo Conentration FL 11% Top 3 Geo Conentration TX 5% Always Current (24 mos) 76.53% IMPORTANT DISCLAIMER: Non:agency RMBS is a complex fixed income product and is not suitabk for all investors. Please note that while desk aswmptions are driven by a number of collateral and macro factors, the historical performance of a deal is not indicative of its future perfonnance. Additionally, this message is a product of sales and trading and is not a research report. Other key risks to consider are outlined below: Al investments are subject to possible loss of principal Non-Agency bonds may have limited liquidity and dents should be aware that the secondary market for mortgage-backed securities has experienced periods of iliquidity and may do so in the future. Illiquidity means that there may not be any purchasers for your class of certificates. Although any class ol certificates may experience iliquidik, it is more likely that classes that are lower in the capital structure and non- investment grade related may experience greater illiquicity than more senior, investment -grade rated classes. - High Yield Non-Agency bonds are speculative nominvestment grade bonds that have higher risk ol default or other adverse credit events which are appropriate for high risk investors only Ilmrettml is confiders:01db' regfica to empdrtars dererimers and doldrums en: Wens on oilers for the method or Idle of mummies demi, ancwg4deners entormanda. arrests. coroSnerabrd. bpimarine. and legal ail, de[ dcdeltale a hipwwoirmommomro udoclomos out 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 c-mail to jecyagation@gmairstm. and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA00941741