EFTA02393665.pdf

From: Barrett, Paul S Sent: Friday, March 30, 2012 5:45 PM To: Epstein, Jeffrey ([email protected]) Cc: Giuffrida, David Subject: $6mm of IMSA 03-3 M2 @ 78-00 (10.24% yield / 2.64 durn) Jeffrey =nbsp; This is an ex=mple of the bonds I think we should accumulate. Let me know when you hav= free time to discuss. Paul ch:p> </=pan> BOND HIGHLIGHTS &nb=p; The IMSA 03-3 M2 is a fix 4.967% Men bond backed by seasoned Alt-A=collateral =0A1.&nbs=; Bond is backed by 105 month seasoned Alt-A 30yr mort=ages with an average coupon of 5.284% 2. 76% of the borrowers have =ever missed a payment in the past 2 years 3. </=pan>HPI Updated LTV = 54%<=:p> 4.<=pan style="font:7.0pt "Times New Roman""> &=bsp; The deal currently has 2.44% overcollateralization (think $97.5= of bonds created for a $100 worth of underlying mortgages) If there are losses in th= collateral, you have more collateral to cover you for the principal losse= you incurred than you have bonds &middo=; &nbs=; Additionally, you have B-class bond that is su=ordinate to you that will absorb losses in front of you<=p> 5. =OD Base case= 10.24% yield @ 2.64 mod duration &=iddot; = <=pan style="font-size:10.0ptfont-family:"Calibri","sans=serif";color:#1F497D">Compare vs similar short durn, upper tier HY pa=er =OD EFTA_R1_01422429 EFTA02393665 IMSA 2003.3 M2 Offered @ 78.00 =td width="221" nowrap="" valign="bottom" style="width:2.3in;padd=ng:0in 5.4pt 0in 5.4pt;height:7.lpt"> =OD =OD =OD BOND DESCRIPT=ON =/o:p> Prepay =ate 10 CPR 14 CPR =OD 16 CPR =OA Cusip: =OA Default Rate 2 CDR 2 CDR<=p> Original Face:<=span> =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">6,000,000 <=d width="41" nowrap="" valign="bottom" style="width:30.65pt;padd=ng:0in 5.4pt 0in 5.4pt;height:13.35pt"> Default Severity =OA 55 45<=o:p> =0D Current Face: 1,203,948 =/td> =td width="145" nowrap="" valign="bottom" style="width:108.5pt;pa=ding:0in 5.4pt 0in 5.4pt;height:14.15pr> Bond Type:=o:p> Alt-A Fix 4.967% Men =OA Price @ 78-00 =oAStress=Case Re=overy Case 2 EFTA_R1_01422430 EFTA02393666 =OD Ratings (S&P/Moodys/Fitch): =OA Yield =OD 3.213=/p 11.558 Current Coupon: 4.967%<=:p> 921<=span> 1=60 Yield @ Base Case =OD Duration=/span> 2.74 2.64 2.49 =OA WAL @ Base Case=/span> =OD WAL 4.23 4.17</=> Princi=al Window @ Base Case May12 to May24 Pr=ncipal Window May12 to Mar21<=span> =OD <=pan style="font-size:8.0pt;font-family:"Arial","sans-serif";color:black">May12 to May24 =0A=ay12 to Oct24 =OA 3 EFTA_R1_01422431 EFTA02393667 14.74% Princ=pal Writedown 35.41%=/p> =OA 14.74% 10.73% Current Cr=dit Enhancement: 4.40%</=pan> =OD Total Collat Loss =OA 1.51% 1.23% 1.16% =OA 60+ Delinquencies =OD 7.67 Total Liquidation 9.79% 8.94% 8.2=% 60+= Delinquency Coverage 0.57x<=o:p> =OA =OD =OA =0A=p class="MsoNormal">HISTORICAL PERFORMANCE <=span> =OD UNDERLYING COLLATERAL DESCRIPTIO= 4 EFTA_R1_01422432 EFTA02393668  1 MOS=/span> 3 MOS 6 MOS =OD Average Loan Balance ($,000s)</=pan> =OD <=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:#1F4970">196 CPR 23.58=/p =OA 15.83 16.07<=:p> Mortgage T=pe Seasoned Alt-A 30yr Fix</=pan> =OD CDR <=td> 0.00=/p> =0A 0.64 =0A Wtd Avg Mortgage Coupon =OD 5.284% SEV NA =OD NA 37.63=/p> Wtd Avg FICO Score NA =OA =0AWtd Avg Orig loan-=o-Value 58.05% 5 EFTA_R1_01422433 EFTA02393669  <=d width="137" nowrap="" valign="bottom" style="width:103.0pt;pad=ing:0in 5.4pt 0in 5.4ptheight:13.35pt"> <= class="MsoNormal" style="text-indent:8.0pt"> 54.01% =OA =OD =OD Weighted Avg Loan Age 105=/o:p> =OA =OD Owner Occupied 79.13=0D =OD =/tr> CA 70% =OA Top 2 Geo Concentration=/span> Top 3 Geo Concentration NY 5% =OA =OA 76.36% =OA =OD =OD =p class="MsoNormal" style="margin-bottom:12.0pt"> =OA =tr style="height:13.8pt"> &nbs=; *Inv=stment idea may not be suitable for all investors. =OD •This message is a product of sale= and trading and is not a research report 6 EFTA_R1_01422434 EFTA02393670 *Non-Agency bonds may have limited liquidity and clients should be =ware that the secondary market for mortgage- backed securities ha= experienced periods of illiquidity and may do so in the future. Illiquirity means that there may not be any purchasers for your class of certifica=es. Although any class of certificates may experience illiquidity,=it is more likely that classes =OD *High Yield Non-Agency bonds are speculative non-investmen= grade bonds that have higher =td width="42" style="width:31.35pt;padding:0in 0in 0in 0in;height:13=2E8pt"> =/tr> risk of default or other adverse credit events whic= are appropriate for high risk investors only =OA =OA =OD c=td> *** 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 =ocated at: http://pscppvl.amer.jpmchase.net:8080/BlueSkyPage=2Ehtml <http://pscppvl.amer.jpmchase.net:8080/=lueSkyPage.html> and review to see if your client's state of res=dence is listed. If you receive 'NO SECURITY FOUND', '=O STATES FOUND' or the security DOES NOT HAVE A CUSIP or is no= USD- denominated, then please contact your SM or local compliance officer =nd provide the requested security and client information. Please note th=t a suitability review and other pre-trade procedures must still be =ollowed. =OD This email is confidential and subject to important disclaimers and c=nditions including on offers for the purchase or sale of securities, accur=cy and completeness of information, viruses, confidentiality, legal privil=ge, and legal entity disclaimers, available at http://www.jpmorgan.com=pages/disclosures/email. 7 EFTA_R1_01422435 EFTA02393671