EFTA00953914.pdf

From: Jeffrey Epstein [email protected]> To: 'Barrett, Paul S" caz• Subject: Re: NEW HY RMBS BWIC - S4.3mm of RFMSI 0444 IMI Qa 85-16 (6.51% yield/2.97 dum) Date: Mon, 11 Feb 2013 17:37:45 +0000 ok On Mon, Feb II, 2013 at 1:07 PM, Barrett, Paul S na. wrote: lehey We should buy SLIAM al this bond. US Onshore aents - Blue SAy (US. State securities taw): Please confirm Woe Sky eholbility before sandtMo to a US Onshore client by entering the CUSIP Into the web tool located or; Weliacopil.ometyparchase.net.SOSO/BloeSAyPoge.html anti review to see If your client's state of residence Is Akre . If you receive WO SIGNOR), FOLINO;110 STATES FOUND' or the :county DOES NOT HAVE A CUSIP arts not USadenominated, then please contact you 514 or local compliance officer and provide the requested sectrnIty anti them information. Please note that a sultablity review and other amitotic procedures must :la be/allowed. THE BOND' The RFMSI 04-541M1is a Prime Seasoned Fix 5.25% Sub bond backed by 105 months seaszymiflunstagna. The bond has 2.38% credit enhancement vs 7.08% 604 delinquencies, for a 0 Mx coverage/alio. THE COI LATERAL. The pool consists of 145 Prime loans that are 105 months seasoned with an average updated LTV of 56%. The average balance of the loans Is $296k - this coupled with the low updated LTV should result in both low CDRs and Severities. In fact, there has been only 2 CDR prints over the last 12 months and the average severity of those 2 prints is 20.64%. Our base case assumes 35% severity ramping down to 30% over 3 years. What's more interesting is that the S foreclosure loans in the pipe have an updated LTV of 41%, which is even lower than the overall pool LTV of 56%. According to our model, this should translate to lower seventies at liquidation. THE STORY: for investors looking for a housing recovery play backed by seasoned Prime collateral, this bond offers a great convexity story levered to prepayments and overall homeowner performance. Please call the desk with all bids/Inquiries related to this bond. X32124 HIGHLIGHTS 11P1 Updated LTV a 56% 87% of the borrowers have not missed a payment in the past 2 years 105 months seasoned 735 FICO 5296k average balance "Source: Bloomberg RFMSI 200444 1MI Offered 684516 ROMDESCRIPTION prep.", 5z.xo 20 CPR 24 CPR 28 CPR Cusp 7611001M Cetaut liLlik 2 ramp 2043 raw 12 2CDR 2 ramp 2043 ramp 33 1.75 CCR 2 romp 2043 tamp 12 1 5 CDR Orient Face 4314.300 Detail Seeerily 40 MVO 36 36 36 HMO 36 30 30 Cunene Face 2092.760 COrq Rule 7.4P•itent 7.4Percee4 7.5 Pwoeni Bons 1)eo Pomo Fa 5.28% Mau Der., Aevanco %of.] 100 100 100 RaIlf9S iSI(PASoodys.FICh) occeow Curren! Cetcon . 5 29" Ylall di Base Casa 6.9:0% Me 1!8115.15 WAS. *Base Case 4.03 Yield 2.124 6103 9.815 Principal Woclow 6 Base Case meralo 0037 Spread over Tey 138 575 912 Wrirgdoen % 14436% Ouneren 3.18 2.97 2.71 Curren, Croat Eltiatiallril 21S% VIAL 4.05 4.03 3.84 03. Ctinquencel 708 Ponape Wroclaw 1.18031o141036 lerol3 to 0037 Mer13 Is 0037 W. Coanauoncr Comeaae 0.34x Principal Maclean 2922% 1446% 3.28% This Cereal Loss OW% 0.46% 0.39% UNDERLYING COLLATERAL OESCRIPTION Total Usvidalian 7.69% 683% 5.55% 'Verne Loan Ostoncv (5,00%) 296 Loan Cowl 145 klorts.35 Tura Seasoned Prime 304 Ax 1NOS 38i013 e mos %WA., MoraaVe Coupon 5665% CPR 2723 31 87 274$ wss Ave FICO Score 735 COR 0.00 1.64 220 ‘vgi Ave Cvg Lcen.to.Vathe 6181% BEV NA 30.01 30.01 HPIA4 LTv 5615% Meolled An; Lorna/J., 105 Pan** Oc.a.sied 95.17 lip I GcoCo5ccetaban CA49% lip 2 GcoCo5ccetaban IX 7% TW 3 C059 Conorhoran NY 5% Nwa..0 Cyreet (24 inns) 0581% EFTA00953914  IMPORTANT DISCUUMER: Nothagency RMBS is a complex fixed income product and is not suitable for all investors. Please note that while desk assumptions are driven by a number of collateral and macro factors, the historical performance of a deal is not indicative of its future performance. Additionally, this message is a product of sales and trading and is not a research report. Other key risks to consider are outhned below: All investments are subject to possible loss of principal Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage-bathed securities has experienced periods of illiquidity and may do so in the future. 'liquidity means that there may not be any purchasers for your class of certificates. Although any dais of certificates may experience illiquidity, it is more likely that classes that are lower in the capital structure and non-investment grade related may experience greater illiquidity than more senior, investment-grade rated dames. - High Yield tionagency bonds are speculative non-investment grade bonds that have higher risk of default or other adverse credit events which are appropriate for high risk investors only Non.Agency bonds are intended for diems with a minimum total net worth of $SOmai. Please make sure your client fulfills this requirement before soliciting this order. This commentary is a product of theAorgan Global Wealth Managements Taxable Fixed Income Trading Desk and not eMorgan's Research Department. The views expressed in this trading des* oammemary may differ from those of AxMorgan's Research Department. Any opinions cm:vexedrites trading desk commentary are suNect to change without notice and eMorgan is wider noobligati:di to update or keep this information current. fm„.m. Banana imm pigt ota j., no GOA \Agin lAnnAntn" 270 On. kerne, Fba 5, nen Yon hem vul, 1))17 This anal 350,566cm°' and sunontenmyortny Aida:nun and condoms uncluing on ortas Srihrpnrctwe 01 sale of KaIltIO. accuracy al conelttaten of infontsnonst vinivn. neon& whin. tent pflncyc. and ley] alloy irtxts..nili al brap, yy 4olnm,synneal ir chAlm 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 jrevacationCit,grnalEgm, and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA00953915