EFTA00945744.pdf

From: Jeffrey Epstein [email protected]> To: "Barrett, Paul S" Subject: Re: To Do - NEW HY RMBS - 57.521mm of SEMI 03-5 BI @ 380-16 (6.15% yield / 5.62 dum) Date: Fri, 19 Oct 2012 17:22:38 +0000 ok On Fri. Oct 19.2012 at 5:48 PM. Barrett. Paul S wrote: Lets also sell our Cm Pfds yielding 3.50% ytw. We are up 2251( all in since we bought them 2yrs ago. Don't think it makes much sense to hold these at these low yields. Paul Paul Barrett, CFA Managing Director Global Investment Opportunities Group 3PWorgan Private Bank 320 Park Avenue, 14th Floor, New York, NY 10022 (W) (F) N1415 IDa 853441 From: Jeffrey (mailto:jeevacationeemail.com Sent Friday, October 19, 2012 11:28 AM To: Barrett, Paul S Subject Re: To Do • NEW HT RMEIS • 57.521mm of SENT 03-5 81 D 580.16 (6.15% yield / 5.62 dm) Ok Sorry for all the typos Sent from my iPhonc On Oct 19, 2012, at 5:17 PM, "Barrett, Paul S" wrote: Hi Jeffrey This bond looks interesting. I would like to take profits on our Barclays Nd which is yielding 3.70% and buy this mortgage bond. We are up $154K all in on the Barclays Nd. Let me know Paul EFTA00945744 US Onshore dents -Blue Sky N.S. State Serwhies Low): Please confirm Nue Sky elhgibitity before solkiting too US Onshore client by entering the CUM. Into the web tool located at: httpsaptcppvLomealpnichoseser.80110/8114/freSkage.hrml and review to see if your client's store of residence Is Mired. If you receive WO SKURITY FOUND', WO STAYI3 FOUND' or the security DOES NOT HAVE A CLISIP or Isnot USadenomMoted, then please contact your Shl or local compliance ofIke, end provide the requested secwity ond cheat Information. Please note that a sultoblbey review and other pre.trode procedures must dal be followed. The SEMT 03-5 81is a prime subordinate bond rated BB./B2/BBB and is backed by 110 month seasoned Prime Vanilla ARM mortgages. The pool has 60.35% updated LTV, 84% always current borrowers (looking back 2 years), 271k average balance and most Importantly, 4.7% credit support vs only 3.55% 60. delinquency. The way I look at it, if 10O% of the 6Os delinquent borrowers were immediately evicted and foreclosed on and the repossessed homes sold for SO, the pool would Incur 3.55% losses. In this grim scenario I painted, this B1 bond would still receive no writedowns. Additionally, this deal is immediately callable by the servicer since the collateral factor is below the 10% range. This deal becomes more callable as time passes and in the scenario where rates were to back up, the ARM mortgages in this pool would be worth considerably more on bank balance sheets. With only 3.55% delinquent loans, this deal is already clean enough to call, it's really a matter of economics for the service( at this point In our recovery scenario, we are assuming the deal is called 3 years from today even though the bonds are callable right now. In our stress scenario, we default approximately 2.6x the current 604 delinquent population at 60 severity ramping down over 2 years to 40. We're also running half the 6 month speeds and see this bond producing a 5.O2% yield for a 6.03 duration bond. ••• THIS BOND IS OFFERED TO US AND THE STREET AT 84-16. I see value in this bond tis 80-16 but there is no guarantee we can trade it there. HIfiNI tralic UPI Updated LW = 60% 84% of the borrowers have not mined a payment in the past 2 years 110 months seasoned 732 FICO 5271k average balance ''Source: Bloomberg SENT 2003-5 01Offered g 8046 BOND DESCRIPTION Prepay Raw 3 CPR 5 CPR 8 CPR CUPP 8124.6°CR5 Default Rate 260.p 24 1CDR 2 nor 240.75 0.5 COR 2 ramp 24 0$ CDR Ovigrin Faun 7.521.500 Default Ser.erty 60ren.p 24 40 50 40 rem 24 35 45 woo 24 30 Carta Fat* 1.061119 Deli Rule PCfCCIW 4 Parton 4 Percent Bend rya*: Sortiorof Prim Subs Dalac Advan..5*(%cte 100 100 100 Reatrun ibbfl.MocelytifIBM 08•+8108&-- 000ntil Serves Cali N Pi 10+2015 Greet Codpun 1.119% " Run to Fwd LIBOR Yew *Base Case 6.149% %/JAL* Bata Case 7.11 Panopal VAnclow (* B.150 Caw Nov12 9:40'033 Price &IMO toss ewe 1•6012••• Raccrwv Cam Wrsiorlov.n% c00% YIeld 5.015 1114. 10416 0..rrcrs C'ccit Eithantrienl. 470th Spear, over,sy 357 481 996 ON DelrC,.ercos 3.56 OW/M011 6.03 L@ 229 50. Delr6.enw Ce.t.a5,6 1321 wAL 7.89 7.11 253 Printipal Wake/. Nco2 roAto33 N0, 125)4A663 Nov1210 tiovIS UNDERLYING COLLATERAL DESORPTION prieciparwritearan 863% 0.00% 000% A.0350 ltOn 0148000 IS.COS) 271 Toted COIL91 LOCO 056% 0.41% 035% 1.61n COJTII 211 Tor.S1636410n 920% 5.13% 2.57% Mdngage T'go season:4 Pmia Vann *Rau Vila Nog litongage Loan 2 332% I HISTORICAL PERFORMANCE WM Avg AGO Scat 732 .103 3 M0O I HOS Veld Avg Ong LOOn-baiVeibe 83.67% CPR 4 30 601 6.52 UPI Adi LTV 60.35% CDR 000 0 CO 0.00 Woomod Avg Loan Age II 0 say NA NA NA 04ncc Occup0d 84 21 lOp 1 Geo Concenerreco CA I4% TOP 2 Geo Concenetreco FL 13% TOP 3 Geo Concenetreco GA 11% Alsays Currant 124 mos) 84.0016 IMPORTANT DISCLAIMER: Non-agency MOBS is a complex fixed income product and is not suitable for all investors. Please note that whiledesk assumptions are driven by a number of collateral and macro factors, the historical performance of a deal is not indicative of its future performance. Additional% this message is a product of sales and trading and is not a research report. Other key risks to consider are outlined below: All investments are subject to posstle loss of principal - 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 means that there may not be any purchasers for your dass of certificates.Mthough any class of certificates may experience illiquidity, it is mere lkely that daises that ate lower in the capital structure and non-investment grade related may experience greater illiquidity than more senior, investment-grade rated classes. High Weld Non-Agencybonds are speculative non-investment grade bonds that have higher risk or default or other adverse credit events width are appropriate for high risk investors only Non-Agency bonds are intended for clients with a minimum total net worth of 55Omm. Please make sure your client fulfils this requirement before soliciting this order. This enuil hawrdailia sad subject in 4apoorrarbrasiteen and avudetiona v4idS nil alter. rot rinelano et sok ofI...aniline. aavetuy and culablevenna of infannation. vinnes.vanibleveisibba. Iced gnaw. and legal cagily darabinnia. available as EFTA00945745 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 propcny of Jeffrey Epstein Unauthorized usc, 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 jcevacation(4gmail.com, and destroy this communication and all copies thereof. including all attachments. copyright -all rights reserved EFTA00945746