EFTA02555347.pdf

From: Barrett, Paul S < Sent: Friday, June 15, 2012 2:04 PM To: Jeffrey Epstein Cc: Giuffrida, David J; Ens, Amanda Subject: To Do =OA Jeffrey This looks like an interesting bond.=Would be spending around $1MM. =OA $1.5MM of our CIT =amp;% 2017 bonds have been called at par. I would like to use some of th=se proceeds to buy this mortgage bond. =OD let me know. ••• ALL OFFERS ARE SUBJECT US Onsh=re Clients — Blue Sky (U.S. State Securities Law): Please confir= Blue Sky eligibility before soliciting to a US Onshore client by entering=the CUSIP into the web tool located at: http://pscppvl.amer.j=mchase.net:8080/BIueSkyPage.html <http://pscppv1=2Eamer.jpmchase.net:8080/BlueSkyPage.html> and review to see if yo=r client's state of residence is listed. If you receive 'NO =ECURITY FOUND', 'NO STATES FOUND' or the security =OES NOT HAVE A CUSIP or is not USD- denominated, then please contact your 5= or local compliance officer and provide the requested security and client=information. Please note that a suitability review and other pre-trade p=ocedures must still be followed.=0D =p class="MsoNormal"> Apologies =n advance for the dissertation below. BOAMS 07-1 2Al2=is a Prime 6% coupon, senior support backed by prime jumbo 30yr fix mortga=es with a weighted average coupon of 6.38%. What does th=s mean? Essentially, the bonds are backed by one of the most rat= sensitive homeowners in the market. 76% of the homeowners h=ve not missed a payment in the past 2 years, have a 749 avg FICO and have =nbsp;some degree of equity in their homes (home price index updated =TV for this subset of borrowers is 94.07%). These are the type o= borrowers that are looking to refinance their current mortgages...thi= is evident in the pool's historical speeds which have prepaid in th= mid to high teens. EFTA_R1_01713336 EFTA02555347 Base Case Scenario:&n=sp; This bond is a short duration =ond paying 8.8% yield with a 2.47 duration. This i= assuming 50% higher severities than 6 month averages, over 2.9x higher =DR prints than 6 month averages, and 20% slower speeds than 6 mos averages=2E Stress Case Scenario: As=uming home lending tightens, property values decline further and the=current homeowners' credit undergoes significant deterioration, then=we should expect prepay speeds to slow down and defaults to ramp up.&nbs=; In our stress case scenario, we assume 33% slower speeds vs 6 mos averag=, 3.1x higher default rates vs 6 mos averages and 50% higher sever=ties vs 6 mos averages for life of the loans. In this scenario, we=default and liquidate 19.6% of the remaining pool. Bear in mind =here are only 13.93% delinquent loans to date. In this stress, t=is bond would yield 2.01% with a 2.44 durn. =/o:p> Recovery Case Scenario: In this =cenario, we assume housing recovers (results in lower LTVs) and borr=wer's experience positive credit migration (i.e. credit scores i=proves due to continued performance). If this were to transpire, w='d expect prepay speeds to ramp up as more borrower's would qu=lify to refinance and severities on liquidations to decrease as prop=rty values increase. In this scenario, we assume similar prepay sp=eds to the 6 month average, 2.6x higher default rates vs 6 month average=and 35% higher severities than the 6 month average. To our recover= scenario, this bond is a 16.42% yield at a 2.40 duration.<=:p> &n=sp; • &n=sp; • &n=sp; • &n=sp; =OD Please call the desk with all bids/inquiries related to this bond. =32124 Bond Highlights:</=> &m=ddot; =nbsp; Avg Loan Balance = $558k<=b> &nb=p; Avg FICO Score= 742 &=iddot; = <=pan style="font-size:10.0ptfont-family:"Calibri","sans=serif";color:$11F497D">HPI (Home price index) adjusted LTV 97%<=> = 83 months seasoned<=:p> <=span>76% of borrowers have not miss=d a single payment in the past 2 years =OD =p class="MsoNormal"> BOAMS 2007-1 2Al2 Offered @ 57-00=/o:p> =OD =OD =00 BOND DESCRIPTION 2 EFTA_R1_01713337 EFTA02555348  Prepay Rate 12 CPR 14=CPR 18 CPR =0ACusip: 05952HBY4 =td width="43" nowrap="" valign="bottom" style="width:32.5pt;padd=ng:0in 5.4pt 0in 5.4pt;height:13.35pt"> Default Rate <=td> =OA 5.5 for 363 CDR =0A=0A 5 for 36 3 CDR ci=r> Original Face: =OD 3,954,000 Default Severity 55 ramp 1= 50 50</=pan> <=d width="229" nowrap="" valign="bottom" style="width:172.1pt;pad=ing:0in 5.4pt 0in 5.4ptheight:14.15pt"> Current Face:</=:p> 3,894,509 =OA =0ABond Type:<=o:p> Prime 6% Senior Support =OD =OD Price @ 57.00 Stress Case<=:p> Base Case =OA Recovery=Case 3 EFTA_R1_01713338 EFTA02555349 =OA Ratings (S&P/Moodys/Fitch): =td width="174" nowrap="" valign="bottom" style="width:130.2pt;pa=ding:Oin 5.4pt 0in 5.4pt;height:13.35pt"> =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Yield 2.015 =OA 16.429 =OD Current Coupon: 6.000°A.=/o:p> <=>Spread =td width="145" nowrap="" valign="bottom" style="width:109.1pt;pa=ding:Oin 5.4pt 0in 5.4pt;height:13.35pt"> 833 1591 Yield @ Base Case Duration</=> =OA 2.44 =OD <=pan style="font-size:9.0pt;font-family:"Arial",Thans-se=incolor:black">2.40 =OD WAL @ Base Case 3.49 =/td> <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;bo=der-top:none;border-left:solid windowtext 1.0pt;border-bottom:solid wind=wtext 1.0pt;border-right:none;padding:Oin 5.4pt Oin 5.4pt;height:14=2E15pt"> WAL</=:p> 3.49 4 EFTA_R1_01713339 EFTA02555350 =OD 3.8 =0D =u112 to Oct22 Princi=al Window Jul12 to Mar214=pan> =OD <=pan style="font-size:9.0pt;font-family:"Arial","sans-serincolor:black">Jull2 to Oct22 =0A1=112 to Jun26 Writedown % =td width="174" nowrap="" valign="bottom" style="width:130.2pt;ba=kground1D7E4BC;padding:0in 5.4pt 0in 5.4pt;height:13.35pt"> 48.32% Princi=al Writedown 58.39%<=p> =OA 48.32% 31.66% Current Cr=dit Enhancement: 3.49% =OA Total Collat Loss =OA 6.06% 5.47% 4.94% =OA 60+ Delinquencies 13.93 Total Liquidation 19.61% 5 EFTA_R1_01713340 EFTA02555351 =OA 60+ Delinquency Coverage 0.2=x =OA =OD <=td> =OD =/o:p> class="MsoNormal">UNDERLYING COLLATERAL DESCRIP=ION =OA 3 MOS 6 MOS <=td> Average Loan Balance (S,000s)</=:p> 558 CPR 21.35 =0A 14.82 17.73 225 =OD CDR 7.21</=:p> 4.00 =td width="167" nowrap="" valign="bottom" style="width:124.9pt;pa=ding:0in 5.4pt 0in 5.4pt;height:13.35pt"> M=rtgage Type Prime 30yr Fix</=pan> 6 EFTA_R1_01713341 EFTA02555352 =0A SEV 35.40 37.08 =OA 37.08 =00 =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Wtd Avg Mortgage Coupon =/td> 6.383% Wtd Avg FICO Score<=p> =OA 742 =OD Wtd Avg Orig Loan-to-Value=o:p> 67.55% </=d> <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;pa=ding:0in 5.4pt 0in 5.4ptheight:13.35pt"> HPI Adj LT= 96.54% <=td> <=d width= 153" nowrap="" valign="bottom" style="width:114.95pt;pa=ding:0in 5.4pt 0in 5.4ptheight:13.35pt"> Weighted A=g Loan Age 70 =OD =OD Ow=er Occupied 91.87 <=span> =OD <=d width="145" nowrap="" valign="bottom" style="width:109.1ptpad=ing:0in 5.4pt 0in 5.4ptheight:13.35pt"> CA 48= ad width="167" nowrap="" valign="bottom" style="width:124.9pt;pad=ing:0in 5.4pt 0in 5.4ptheight:13.35pt"> =tr style="height:13.35pt"> Top 2 Geo Concentration FL 10% =OA =OD 7 EFTA_R1_01713342 EFTA02555353 Top 3 Geo Concentration =OA NC 5% Always Current (24 mos)<=:p> 76.15% </=d> <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;pa=ding:0in 5.4pt 0in 5.4ptheight:13.35pr> =p class="MsoListParagraph"> =OA <=pan style="font-size:10.0pt;font-family:"Calibri","sans=serif";color:1O$497D"> <=body> IMPO=TANT DISCLAIMER: Non-agency RMBS is a complex fixed incom= product and is not suitable for all investors. Please note that w=ile desk assumptions are driven by a number of collateral and macro =actors, the historical performance of a deal is not indicative of its f=ture performance. Additionally, this message is a product of s=les and trading and is not a research report. Other key risks to c=nsider are outlined below: - &n=sp; All investments are subject to possible loss of pr=ncipal &nb=p; Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage-backed securities has experienced=periods of illiquidity and may do so in the future. Illiquidity me=ns that there may not be any purchasers for your class of certificates. =lthough any class of certificates may experience illiquidity, it is more l=kely that classes that are lower in the capital structure and non-in=estment grade related may experience greater illiquidity than more senior,=investment-grade rated classes. High Yield Non-Agency bond= are speculative non-investment grade bonds that have higher risk of defau=t or other adverse credit events which are appropriate for high risk=investors only =OA This email is confidential and subject t= important disclaimers and conditions including on offers for the purchase=or sale of securities, accuracy and completeness of information, viruses, =onfidentiality, legal privilege, and legal entity disclaimers, available a= http://www.jpmorgan.com/pages/disclosures/email. 8 EFTA_R1_01713343 EFTA02555354 9 EFTA_R1_01713344 EFTA02555355