EFTA01765977.pdf

From: Giuffrida, David J Sent: Monday, November , : To: Jeffrey Epstein Cc: Barrett, Paul S Subject: To Do Jeffrey, ao:p> Paul & I ju=t discussed this bond and we think you should pick it up. $600,000=spend; 8.2% yield to base case with 2.5 duration. </=pan> Please let us know. =0A &=bsp; Thanks =OA The GMSL 04-A B3 is a privately placed Prime Fix 5=2E25% Subordinate bond backed by seasoned 1Syr Fix collateral with an orig=nal LTV of 37%. The loans have amortized down significantly =ince issuance and are now seasoned 103 months. Prepays remain high=on this pool given the quality of the borrowers and the 15yr amort nature =f the loans. Please call the desk with =11 bids/inquiries related to this bond. X32124 =OD H=GHLIGHTS =OD 4=pan>Original LTV = 37%<=span> =/o:p> GM=L 2004-A B3 Offered @ 81-00 =b>QIB INVESTORS ONLY - 144A/REG Sc=b> EFTA_R1_00074436 EFTA01765977 =OA =OD =00 BOND DESCRIPTION =OA =0APrepay Rate<=p> 10 ramp 20 8 CPR =OD 12 CPR =OA=p class="MsoNormal" align="center" style="text-align:center">14 CPR Cusip: 378961AH9 Default R=te 1.5 ramp 30 3 0=2E75 rampl 12 0.5 CDR 1.5 ramp 30 2.5 1.5 ramp 120.75 CDR =/td> Original Face: 1,750,000 =td width="43" nowrap="" valign="bottom" style="width:32.0pt;padd=ng:0in 5.4pt 0in 5.4pt;height:12.75pt"> Default Severity =/td> =OA 55 Current Face: 735,416 Delinq Rate 7 Percent =OD 7 Percent =OD Bond Type: </=d> Prime 15yr Fix 5.25% Sub =OA 100 2 EFTA_R1_00074437 EFTA01765978 Ra=ings (S&P/Moodys/Fitch): BB-/e/Caa=/- <=d width="200" nowrap="" valign="bottom" style="width:150.0pt;pad=ing:Oin 5.4pt Oin 5.4pt;height:12.75pt"> =tr style="height:13.5pr> 5.250%=o:p> =OA =OA Yield @ Base Case =00 <=pan style="font-size:8.0ptfont-family:"Arial","sans-serif";color:#1F497D">8.213% Price @ 81-=0 Stress Case =OA Base Case Recovery Case =OD 6.03</=:p> Yield 8.213 11.891 Principal Window @ Base Case =0A=0A Dec12 to Aug32 =td width="43" nowrap="" valign="bottom" style="width:32.0pt;padd=ng:Oin 5.4pt Oin 5.4pt;height:12.75pt"> Spread ove= Tsy 65 <=td> 1126 =OD Writedown % 17.45% =OD Durat=on 3 EFTA_R1_00074438 EFTA01765979 2.95 =OA 2.56 <=d width="200" nowrap="" valign="bottom" style="width:150.0pt;bor=er:none;border-right:solid windowtext 1.0pt;padding:Oin 5.4pt Oin 5.=pt;height:12.75pt"> 2.89 =OD 2.81% =OD WAL 8=2E64 6.03 =OD 4.1 =0D 60+ Delinquencies<=p> =OA 6.88 Dec12 to Au=32 Dec12 to Aug32 =OD Dec12 to Aug32 =0A 60+ Delinquency Coverage =OA Princ=pal Writedown 32.98%=/p> =OA 17.45% 0.00% <=d width="218" nowrap="" valign="bottom" style="width:163.5pt;pad=ing:Oin 5.4pt Oin 5.4pt;height:11.25pt"> Total Collat Loss 0.39%</=pan> =OD <=pan style="font-size:8.0ptfont-family:"Arial","sans-se=if";color:black">0.35% 4 EFTA_R1_00074439 EFTA01765980 0.19% UNDERLYING COLLATERAL DESCRIPTION=o:p> =OA Total Liquidation 4.40%<=:p> 2.37% =OD Average Loan Balance ($,000s)=/span> =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">42 =OA Loan Count</=> HISTORICAL PERFORMANCE =0A </=:p> =OD Mortgage Type =0A =O:p> 1 MOS 3 MOS =OA 6.814% =NI> CPR =OA 13.21 Wtd Avg FICO Score" =OA =OA 0.68 0.50 5 EFTA_R1_00074440 EFTA01765981 Wtd Avg Orig Loan-to-Value =00 <=pan style="font-size:8.0ptfont-family:"Arial","sans-se=if";color:01F497D">37.47% SEV 35.13=/p> =OA 31.20 44.68 NA =/td> <=d width="163" nowrap="" valign="bottom" style="width:1.7in;paddi=g:0in 5.4pt 0in 5.4ptheight:12.75pt"> Weighted A=g Loan Age 103 =00 =00 Ow=er Occupied 61.35 <=span> =OD =OD =OA Top 1 Geo Concentration*• CA (36%)=o:p> =00 <=d width="200" nowrap="" valign="bottom" style="width:150.0pt;pad=ing:0in 5.4pt 0in 5.4pt;height:12.75pt"> =tr style="height:12.75pt"> Top 2 Geo Concentration•* </=d> FL (16%) =OA =OD Top 3 Geo Concentration*• =OA TX (12%) =00 Always Current (24 mos) =OA =OD 6 EFTA_R1_00074441 EFTA01765982 ** Scores as of cut-off date=/span> =OD =0D IMPORTANT DISCLAIMER: Non-age=cy RMBS is a complex fixed income product and is not suitable for all inve=tors. Please note that while desk assumptions are driven by a numb=r of collateral and macro factors, the historical performance of = deal is not indicative of its future performance. Additionall=, this message is a product of sales and trading and is not a research rep=rt. Other key risks to consider are outlined below: </=pan>All investments a=e subject to possible loss of principal - &=bsp; <=jendifj>Non-Agency bonds may have limited liq=idity and clients should be aware that the secondary market for mortgage-b=cked securities has experienced periods of illiquidity and may do so=in the future. Illiquidity means that there may not be any purchasers fo= your class of certificates. Although any class of certificates may expe=ience illiquidity, it is more likely that classes that are lower in the ca=ital structure and non-investment grade related may experience great=r illiquidity than more senior, investment-grade rated classes. - =OD High Yiel= Non-Agency bonds are speculative non-investment grade bonds that have hig=er risk of default or other adverse credit events which are appropriate =OA for high risk investors only</=:p> No=-Agency bonds are intended for clients with a minimum total net worth of $=0mm. Please make sure your client fulfills this requirement before=soliciting this order. =OD This email is con=idential and subject to important disclaimers and conditions including on =ffers for the purchase or sale of securities, accuracy and completeness of=information, viruses, confidentiality, legal privilege, and legal entity d=sclaimers, available at http://www.jpmorgan.com/pages/disclosures/emai=. 7 EFTA_R1_00074442 EFTA01765983