EFTA02353218.pdf

From: Giuffrida, David J < Sent: Thursday, November 29, 2012 5:53 PM To: Jeffrey Epstein Cc: Ens, Amanda; Weissend, Renee E; Barrett, Paul S Subject: RE: To Do <=ody lang="EN-US" link="blue" vlink="purple"> Jeffrey= Nothing done on this. Someone came in and bi= significantly higher; we didn't like the bond at that price. =OA Thanks From: Jeffrey Epstein [mailto:[email protected] <=>Sent: Thursday, November 29, 2012 10:35 AM To: Giuffr=da, David Subject: Re: To Do =/div> ok =OA On Thu, Nov 29 2012 at 10:32 AM Giuffrida, Davi= <mailto: > wrote: =OD Jeffrey,=0D &nb=p; Paul &=mp; I think we should try to bid 65 for this bond which is BWIC on a liqui=ation list. The dealer thinks it will trade around 73. The spend would=be $500,000. EFTA_R1_01333490 EFTA02353218 Thanks 144= - CUB INVESTORS ONLY =OD =td width="175" nowrap="" valign="bottom" style="width:131.0pt;pa=ding:0in 5.4pt 0in 5.4pt;min-height:6.75pt"> BOND DESCRIPTION 12 ramp 18 20 6 CPR</=pan> <= class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-al=:auto;text-indent:10.0pt"> Cusip: =OA 5899296C7 Defau=t Rate 6 for 7 2.5 ramp 48 0.75 CDR=o:p> 6 for 7 1.5 for 24 0.75 CDR =OD 6 for 71.5 for 24 0.5 CDR =/tr> Original Face: 2,500,000 =OD Default Severity=/p> =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif"">55 55 ramp 12 50</=> 752,434 Bond Type: =OD =p class="MsoNormal" align="center" style="mso-margin-top-alt:auto;ms=-margin-bottom-alt:auto;text- align:center"> Seasoned Pri=e Sub Stress Case<=o:p> =p class="MsoNormal" align="center" style="mso-margin-top-alt:auto;ms=-margin-bottom-alt:auto;text-align:center"> Base Case=/span> 2 EFTA_R1_01333491 EFTA02353219 =OD Rec=very Case Ratings (S=amp;P/Moodys/Fitch): </=d> Yield=/o:p> 1.321 6.841=/o:p> 7.572 =OD =OACurrent Coupon: Spread over Tsy 16 =0A=OD 538 =OD Yield @ Base Case =OD Duration <=pan style="font-size:10.0ptfont-family:"Arial","sans-s=rif"">6.77 6.91 =OD 6.99 WAL @ Base Case =OA 9.12 WAL 9.12 =ec13 to Nov28 Principal Window<=:p> Dec13 to Nov28 3 EFTA_R1_01333492 EFTA02353220 =0Alan14 to Nov28<=o:p> =0A=0D Writedown % 8.38% Princip=l Writedown 44.30% 8.38% <=td> 0.00%<=o:p> =0ACurrent Credit Enhancement:=/o:p> Total Collat Loss4=pan> 0.75% 0.60% 0.53% =OA 60+ Delinquencies </=d> 6.8= Total Liquidation</=:p> 11=2E01% =OD 8.70% 7.30% =OD 60+ Delinquency Coverage =/td> 0=2E68x =OD HISTORICAL PERFORMANCE class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-al=:auto"> =p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-a=t:auto"> 4 EFTA_R1_01333493 EFTA02353221 <=tr> UNDERLYING C=LLATERAL DESCRIPTION </=d> 1 MOS 3 MOS =OD 6 MOS =OA =span style="font-size:10.0ptfont-family:"Arial","sans-=erif">Average Loan Balance ($,000s) =OD 243 CPR =0A18.45 13.34 9.31=/p> Loan Count =OD 372 CDR =0A0.00 0.96 0.47=/p> Mortgage Type Seasoned Vanilla AR= los NA </=pan> =0A33.15 =0A33.15 Wtd Avg Mortgage Coupon<=:p> 7.000% <= class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-al=:auto;text-indent:10.0pt"> Wtd Avg FICO Score 5 EFTA_R1_01333494 EFTA02353222 722 =0D Wtd Avg Orig Loan-to-Value<=:p> 61.27% <= class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-al=:auto;text-indent:l0.Opt"> HPI Adj LTV 59.71% =OD Weighted Avg Loan Age<=o:p> 109 =0AOwner Occupied =OA =5.05 =0ATop 1 Geo Concentration CA 14% =0ATop 2 Geo Concentration NY 11% =0ATop 3 Geo Concentration FL 9% =OD Always Current (24 mos) 84.01% =/div> 6 EFTA_R1_01333495 EFTA02353223 This email is =onfidential and subject to important disclaimers and conditions including =n 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/=ages/disclosures/email <http://www.jpmorgan.com/pa=es/disclosures/email> . The information contained in this communication=is confidential, may be attorney-client privileged, may =onstitute inside information, and is intended only for the use of=the addressee. It is the property of Jeffrey Epstein =nauthorized use, disclosure or copying of this communication or a=y part thereof is strictly prohibited and may be unlawful. If y=u have received this communication in error, please notify us imm=diately by return e-mail or by e-mail to [email protected] <mailto:[email protected]> , and=br> destroy this communication and all copies thereof, inclu=ing all attachments. copyright -all rights reserved =/div> This email is confident=al and subject to important disclaimers and conditions including on offers=for the purchase or sale of securities, accuracy and completeness of infor=ation, viruses, confidentiality, legal privilege, and legal entity disclai=ers, available at http://www.jpmorgan.com/pages/disclosures/email..00 7 EFTA_R1_01333496 EFTA02353224