EFTA01765964.pdf

From: Barrett, Paul S Sent: Thursday, October 11, 2012 5:28 PM To: Jeffrey Epstein Subject: RE: NEW PRIME HY RMBS #2 - 5.79mm of CWHL 03-60 M @ 69-08 (7.69% yield / 7.58 Burn) ok On Thu, Oct 11, =012 at 5:53 PM, Barrett, Paul S > =rote: Jeffrey =span style="font-size:9.0pt;font-family:"Calibri","sans=serif";color:#1F497D"> US Onshore Clients — Blue Sky (U.=. State Securities Law): Please confirm Blue Sky eligibility before soli=iting to a US Onshore client by entering the CUSIP into the web tool locat=d at: http://pscppvl.amer.jpmchase.net:8084BlueSkyPage.html <http://pscppvl.amer.jpmchase.net:8080/BlueS=yPage.html> and review to see if your client's=state of residence is listed. If you receive 'NO SECURITY FOUND2=17;, 'NO STATES FOUND' or the security DOES NOT HAVE A C=SIP or is not USD-denominated, then please contact your SM or local compli=nce officer and provide the requested security and client information. P=ease note that a suitability review and other pre-trade procedures m=st still be followed. The CWHL =3-60 M is a seasoned prime mezzanine bond backed by hybrid ARM borrowers=2E Please call the desk with all bids/inqui=ies related to this bond. X32124 HIGHLIGHTS &nb=p; HPI Updated LTV = 6=% -<=pan style="font-size:7.0ptcolor:#1F497D"> &nbs=; 77% =f the borrowers have not missed a payment in the past 2 years - &=bsp; 106 months seasoned=/span> - =nbsp; 725 FI=O -<=pan style="font-size:7.0pt;color:#1F497D"> &nbs=; $463= average balance EFTA_R1_00074409 EFTA01765964 "Source: Bloomberg =/b> =OD =OD CWHL 2003-60 M Offered @ 69-08 =OA =OA BOND DESCRIPTION=o:p> =OA Prepay Rate 8 CPR =0Al2 ramp 12 10 CPR 12 ramp 24 14 =PR =OD 12669FJH7 10 5.5 for 30 3 CDR=/p> =span style="font-size:8.0pt;font-family:Arial","sans-s=rif">8 4.5 for 204 ramp 12 3 CDR =OD Original Fa=e: =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:$1F497D">5,979,000 ad width="38" nowrap="" valign="bottom" style="width:28.5pt;paddi=g:0in 5.4pt 0in 5.4pt;min-height:13.35pt"> 55 ramp 36 45<=span> 45 ramp 24 40 =OD Current Face:a:p> 3,246,998 Delinq Rate 15 Percent<=p> =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif"">15 Percent 15 Percent =0ABond Type: Prime Hybrid Men 2 EFTA_R1_00074410 EFTA01765965  Delinq Advance (% of P&am=;I) 100 =0A=OD 100 =OA </=d> =OD =/tr> Current Coupon: </=d> =OA =0AYield @ Base Case =.691% =OA Price @ 69-08 Stress Case WAL @ Base Case Yiel= =OA 2.063 9.289</=:p> =0A=OD Principal Window @ Bas= Case Nov12 to Dec33<=o:p> 45 <= class="MsoNormal" align="center" style="mso-margin-top-alt:auto;mso=margin-bottom-alt:auto;text-align:center"> 571 764 =OD Writedown % 14.14% =OA 3 EFTA_R1_00074411 EFTA01765966 Duration =0A7.96</=> =00 Current Credit Enhance=ent: WAL =OD 9.09 11.68 <=td> =OD 9.26 <=r style="min-height:13.35pt"> 601=; Delinquencies 14.18 =OD </=d> Principal Window Nov12 to Dec33 =OD =OA Nov12 to D=c33 =0ANov12 to Dec33 =OD 60+ Delinquency Coverage 0.52x =OD =p class="MsoNormal" styleemso-margin-top-alt:auto;mso-margin-bottom-a=t:auto">Principal Writedown =OD 55.72%<=o:p> 14=2E14% =OD 1.08% =tr style="min-height:11.8pt"> =OD <= class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin- bottom-al=:auto">Total Collat Loss =0A1.65%</=> UNDERLYING COLLATERAL DESCRIPTION<=span> Total Liquidation =OD =OA 4 EFTA_R1_00074412 EFTA01765967 23.37%</=pan> 18.99% 15.49% <=tr> Average Loan Balance ($,000s) =td width="160" nowrap="" valign="bottom" style="width:120.2pt;pa=ding:0in 5.4pt 0in 5.4pt;min-height:13.35pr> 463<=o:p> =OA </rd> =OD =/tr> Loan Count 102 <=d width="164" nowrap="" valign="bottom" style="width:123.0ptbac=ground:#D99795;padding:0in 5.4pt 0in 5.4pt;min-height:13.35O1> =OA HISTORICAL PERFORMANCE =OD <1=> Prime Hybrid ARMs 1 MOS 3 MOS Wtd Avg Mortgage C=upon 10.52<=:p> 12.28 Wtd Av= FICO Score 725 =OA 0.00 Wtd Av= Orig Loan-to-Value 65.00% =OD </=d> 5 EFTA_R1_00074413 EFTA01765968 SEV NA =OA =A HPI Adj LTV 64.31% =00 </=d> =OA Weight=d Avg Loan Age 97.37 =td width="38" nowrap="" valign="bottom" style="width:28.5pt;padd=ng:Oin 5.4pt Oin 5.4pt;min-height:13.35pt"> Top 1 Geo Concentrati=n <=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";colorl1F497D">CA 66% NY 6% =OD Top 3 Geo Concentratio= MA 5% <=d width="38" nowrap="" valign="bottom" style="width:28.5pt;paddi=g:Oin 5.4pt Oin 5.4pt;min-height:13.35pt"> =00 Always Current (24 mos= 76.75% Non-Agency bonds are intended for clients with a minimum total net worth =f $50mm. Please make sure your client fulfills this requirem=nt before soliciting this order. =/div> This email is confidential=and subject to important disclaimers and conditions including on offers fo= the purchase or sale of securities, accuracy and completeness of informat=on, viruses, confidentiality, legal privilege, and legal entity disc=aimers, available at http://www.jpmorgan.com/pages/disclo=ures/email <http://www.jpmorgan.com/pages/disdosures/email> . 6 EFTA_R1_00074414 EFTA01765969 <=r> =••••• The information contained in this communication is =OAconfidential, may be attorney-client privileged, may constitute=inside information, and is intended only for the use of the addre=see. It is the property of Jeffrey Epstein Unauthoriz=d use, disclosure or copying of this communication or any part th=reof is strictly prohibited and may be unlawful. If you have re=eived this communication in error, please notify us immediately b= return e-mail or by e-mail to [email protected] <mailto:jeevacation@gmai=.com> , and =estroy this communication and all copies thereof, including all a=tachments. copyright -all rights reserved =OA This email is confidential and s=bject to important disclaimers and conditions including on offers for the =urchase or sale of securities, accuracy and completeness of information, v=ruses, confidentiality, legal privilege, and legal entity disclaimers, ava=lable at http://www.jpmorgan.com/pages/disclosures/email. 7 EFTA_R1_00074415 EFTA01765970