EFTA01761184.pdf

From: Barrett, Paul S •Sl=g Sent: Tuesday, April 30, 2013 4:56 PM To: Epstein, Jeffrey ([email protected]) Cc: Ens, Amanda; Weissend, Renee E Subject: NEW PRIME HY RMBS - $2.726mm of SASC 03-10 B2 @ 100-00 (5.943% yield/3.14dum) Jeffrey We should buy these bonds to replace the sale from yesterday. Around $1MM spend. Let me know Paul US Onshore Clients — Blue Sky (U.S. State Securities Law): Please confirm Blue Sky eligibility before soliciting to a US Onshore client by entering the CUSIP into the web tool located at: http://pscppvl.amer.jpmchase.net:8080/BlueSkyPage.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 SASC 2003-10 B2 is a seasoned Prime Fix 6% sub bond backed by 123 months seasoned 30yr Fix mortgages. The bond has 5.08% credit enhancement vs 10.04% 60+ delinquencies, for a 0.51x coverage ratio. In our recovery case scenario, we see this bond being callable starting in November 2013, giving the client a 5.29% yield for a 0.51 durn. THE COLLATERAL: The bond is backed by 98 Prime 30-yr Fix Rate mortgages that are 123-months seasoned and have a 47% updated LTV. The average balance of the loans is $478k . This coupled with the lower LTVs of the pool should result in lower loss severities in the future. That being said, the last defaulted/liquidated loan print in this pool occurred in March of 2012. Since then, the deal has not experienced any default experiences. EFTA_R1_00065860 EFTA01761184 THE STORY: For investors looking to gain exposure to US housing recovery via a shorter duration, more levered strategy, this bond provides a healthy yield pickup with improving pool performance. Please call the desk with all bids/inquiries related to this bond. X32124 HIGHLIGHTS HPI Updated LTV = 47% 67% 24-month perfect payers 123 months seasoned $478k average balance "Source: Bloomberg SASC 2003-10 B2 Offered @ 100-00 BOND DESCRIPTION Prepay Rate 22 ramp 20 18 CPR 26 ramp 20 22 CPR 28 ramp 20 22 CPR Cusip: 86359AQW6 Default Rate 64.5 ramp 303.5 CDR 64.5 for 304 CDR 6 4 ramp 24 2.5 CDR Original Face: 2,726,000 2 EFTA_R1_00065861 EFTA01761185  Default Severity 55 30 45 25 35 20 Current Face: 1,076,783 Delinq Rate 13 Percent 13 Percent 13 Percent Bond Type: Prime Fix 6% Sub (Wing Advance (% of P&I) 60 60 60 Ratings (S&P/Moodys/Fitch): CCC/-/- Call No No Yes Current Coupon: 6.000% Yield @ Base Case 5.943% 3 EFTA_R1_00065862 EFTA01761186  Price @ 100-00 Stress Case Base Case Recovery Case WAL @ Base Case 3.65 Yield 4.325 5.943 5.286 Principal Window @ Base Case Jun13 to Jun21 Spread over Tsy 274 539 484 Writedown % 0.00% Duration 6.45 3.14 0.51 Current Credit Enhancement: 5.08% WAL 8.58 4 EFTA_R1_00065863 EFTA01761187 3.65 0.53 60+ Delinquencies 10.04 Principal Window Jun13 to Jun31 Jun13 to Jun21 Jun13 to Nov13 60+ Delinquency Coverage 0.51x Principal Writedown 17.14% 0.00% 0.00% Total Collat Loss 0.75% 0.63% 0.46% UNDERLYING COLLATERAL DESCRIPTION Total Liquidation 14.36% 13.58% 9.72% Average Loan Balance ($,000s) 478 5 EFTA_R1_00065864 EFTA01761188 Loan Count 98 HISTORICAL PERFORMANCE Mortgage Type Prime 30yr Fix 1 MOS 3 MOS 6 MOS Wtd Avg Mortgage Coupon 6.423% CPR 50.00 43.58 27.85 Wtd Avg FICO Score NA CDR NA NA NA Wtd Avg Orig Loan•to•Value 55.20% 6 EFTA_R1_00065865 EFTA01761189  SEV NA NA NA HPI Adj LTV 47.11% Weighted Avg Loan Age 123 Owner Occupied NA Top 1 Geo Concentration CA 40% Top 2 Geo Concentration NY 14% Top 3 Geo Concentration FL 11% Always Current (24 mos) 66.98% 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://www.jpmorgan.com/pages/disclosures/email. 7 EFTA_R1_00065866 EFTA01761190