EFTA01973323.pdf

To: Barrett. Paul S From: Jeffrey Epstein Sent: Fri 5/10/2013 8:06:52 PM Subject: Re: NEW PRIME HY RMBS $1.5mm of GSR 05-5F B1 © 97-16 (6.132% yield/7.23durn) ok On Fri, May 10, 2013 at 4:05 PM, Barrett, Paul S ‹ > wrote: Jeffrey We should buy these for Haze Trust. Spend around $1.2MM, We have over $3MM in cash. ••• ALL OFFERS ARE SUBJECT US Onshore Clients — Blue Sky (U.S. State Securities Low): Please confirm Blue Sky eligibility before soliciting to a US Onshore client by entering the CUSIP Into the web tool located at: http://pscppvtamer.jpmchase.net:8080/8lueSkyPage.html and review to see If your client's state of residence is listed. If you receive 'NO SECURITY FOUND', 'NO STATES FOUND' or the security DOES NOT HAVE A CUSIP or is not USD- denominated, then please contact your SM or local compliance officer and provide the requested security and client Information. Please note that a suitability review and other pre-trade procedures must still be followed. THE BOND: The GSR 0S-SF B1 is a seasoned Prime Fix 5.76% subordinate bond backed by 105 months seasoned 30yr Fix mortgages. The bond has 4.81% credit enhancement vs. 9.99% 60+ delinquencies, for a 0.48x coverage ratio. The bond has a fairly stable yield profile ranging from 6.11% in our stress case to 6.15% in our recovery case. This is attributable to both the quality of the underlying loans and the relatively thicker CE/60+ ratio. Additionally, we do not see this bond taking any writedowns in all scenarios. THE COLLATERAL: The bond is backed by 836-Prime 30yr Fix Rate mortgages that are 104-months seasoned and have a 64% updated LTV. The average balance of the loans is $369k . This coupled with the low updated LTVs and a recovering housing market should keep future severities low on this pool. Further, the 3-month and 6-month average severity have been light at approx 32% and 35%, respectively. We are using 40% Severity ramping down to 35% over 4 years in our base case. Additionally, 84% of homeowners are 24-months perfect payers. THE STORY: For investors looking to gain exposure to US housing recovery backed by cleaner and more seasoned Prime collateral, this bond provides a healthy yield pickup that is less levered to other Please call the desk with all bids/inquiries related to this bond. X32124 HIGHLIGHTS EFTA_R1_00457473 EFTA01973323 - HPI Updated LW = 64% - 84% 24-month perfect payers - 726 FICO score - 105 months seasoned - $368k average balance "Source: Bloomberg GSR 2005-5F B1 Offered @ 97.16 BOND DESCRIPTION Prepay Rate Cusip: 36242D7X5 Default Rate Original Face: 1,500,000 Default Severity Current Face: 1.245.235 Delinq Rate Bond Type: Prime Fix 5.76% Sub Delinq Advance (% of P&I) Ratings (S&P/Moodys/Fitch): B+/NR/- Current Coupon: 5.759% Yield @ Base Case 6.132% Price @ 97-16 WAL @ Base Case 10.34 Yield Principal Window © Base Case Jun13 to May35 Spread over Tsy Writedown % 0.00% Duration Current Credit Enhancement: 4.81% WAL 60+ Delinquencies 9.99 Principal Window 60+ Delinquency Coverage 0.48x Principal Writedown Total Collat Loss UNDERLYING COLLATERAL DESCRIPTION Total Liquidation Average Loan Balance (5,000s) 368 Loan Count 818 Mortgage Type Prime 30yr Fix EFTA_R1_00457474 EFTA01973324  Wtd Avg Mortgage Coupon 5.813% CPR Wtd Avg FICO Score 726 CDR Wtd Avg Ong Loan-to-Value 59.50% SEV HPI Adj LTV 64.07% Weighted Avg Loan Age 105 Owner Occupied 91.47 Top 1 Geo Concentration CA 33% Top 2 Geo Concentration NY 11% Top 3 Geo Concentration FL 7% Always Current (24 mos) 84.04% This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, confidentiality, legal privilege, and legal entity disclaimers, available at http. v, v,wjpmorgan.com pm/es/disclosures email. *********************************************************** 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 e-mail to jeevacationagmail.com, and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA_R1_00457475 EFTA01973325