EFTA02555415.pdf

From: Barrett, Paul S < Sent: Thursday, May 31, 2012 4:10 PM To: Epstein, Jeffrey ([email protected]) Cc: Giuffrida, David Subject: To Do Jeffrey <1=> We should buy t=is bond. Spending $1.7MM. Our base case has a yield of 9.72% with = 2.20yr duration. Our stress case scenario sees the yield dropping to =.98% with similar duration. =OA Also our $3MM Chevro= note fixed today. Stock was flat and we got paid a 10.60%. So that =eaves us with $3.318MM in cash. Will reprice some other ideas.<=o:p> <=:p> Paul <1=> US Onshore Clients — Blue Sky (U.S. State Secur=ties Law): Please confirm Blue Sky eligibility before soliciting to a US O=shore client by entering the CUSIP into the web tool located at: <= href="http://pscppvl.amer.jpmchase.net:8080/BlueSkyPage.html">h=tp://pscppvtamer.jpmchase.net:8080/BIueSkyPa ge.html =and review to see if your client's state of residence is listed. 1= you receive 'NO SECURITY FOUND', 'NO STATES FOUND'= or the security DOES NOT HAVE A CUSIP or is not USD-denominated, th=n please contact your SM or local compliance officer and provide the reque=ted security and client information. Please note that a suitability revi=w and other pre-trade procedures must still be followed. - &nb=p; HPI Updated LTV = 64% =OD 83% of=the borrowers have not missed a payment in the past 2 years - &nbs=; 74% of the borrowers have not missed a payment si=ce inception 87 months ago =OD 87 mon=hs seasoned =OD EFTA_R1_01713432 EFTA02555415  </=pan>726 FICO</=pan> =0D $421 a=erage balance - = Time to recoup investment cost:<=b> o =b>Stress case: 56 months o Base case: 52 months o Recovery case: 43 months cable class="MsoNormalTable" border="0" cellspacing="0" cellpadding=3D"0" width="1201" style="width:900.8pt;margin-left:-.75pt;border-=ollapse:collapse"> <=d width="453" nowrap="" colspan="2" valign="bottom" style="width=339.5pt;padding:0in 5.4pt 0in 5.4ptheight:16.5pt"> CMSI 2005-1 B2 Offered @ 83-00 =OD =/td> =0ABOND DESCRIPTION =OD Prepay Rate 28 for 20 24 for 12 20 for 618 CPR 30 ramp 24 34 30 CPR</=:p> =OD Cusip:</=:p> 172973P94 =OA 1.5 for 48 1 CDR =OA 1.5 for 36 1 CDR <=td> =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:black">1 for 36 0.5 CDR =OD Original Face: =OA 45 for 12 40 35 35</=pan> <=d width="241" nowrap="" valign="bottom" style="width:180.75pt;pa=ding:0in 5.4pt 0in 5.4ptheight:14.15pr> 2 EFTA_R1_01713433 EFTA02555416 2,111,340 Seasoned 5.417% Prime Sub=/span> =OD <=>Price @ 83-00 Base Case</=> -/NR/CCC Yield =0A2.986 9.722 =OD Current Coupon: 5.420%<=o:p> Spread <=d width="163" nowrap="" valign="bottom" style="width:122.55ptpa=ding:Oin 5.4pt Oin 5.4pt;height:13.4pt"> 219 894<=p> 1303 Yield @ Base Case Duration=/p> =OA 2.12 2.20 =OD <=pan style="font-size:8.0ptfont-family:"Arial","sans-se=if";color:black">2.04 =OD WAL @ Base Case 3.54 =OA =OAWAL 3.58 3 EFTA_R1_01713434 EFTA02555417 3.54</=> =u112 to Dec46 Principa= Window =p class="MsoNormal" align="center" style="text-align:center">Jull2 to Dec46 Jul12 to M=y38 Writedown % Principal Writedown 27.98% 13.29% 0.00% Current Credit Enhancement= 2.03% </=d> =span style="font-size:8.0pOont-family:"Arial","sans-s=re;color:black">Total Collat Loss =OD 0.34% =OA 0.19% =OD 60+ Delinquencies 2.94 =OA Total Liquidation 4=2E13% 2.09% =/td> 60+ Delinquency Coverage 0.69x =td width="49" nowrap="" valign="bottom" style="width:36.5pt;padd=ng:0in 5.4pt 0in 5.4pt;height:13.4pt"> HISTORICAL PERFORMANCE 4 EFTA_R1_01713435 EFTA02555418 <=p> =o:p> =OA =NDERLYING COLLATERAL DESCRIPTION 1 MOS 3 MOS =OA Average Lo=n Balance ($,000s) <=td> 31.91 Loan Count 343<=o:p> =OA CDR =OD 0.00 0.00<=span> =OD <=pan style="font-size:8.0pt;font-family:"Arial","sans-serif";color:#1F497D">0.00 =OD <=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">Mortgage Type =td width="212" nowrap="" valign="bottom" style="width:158.75pt;p=dding:0in 5.4pt 0in 5.4pt;height:13.4pt"> NA <=td> NA NA Wtd Avg Mortgage Coupon<=:p> 5.625% </=d> =0AWtd Avg FICO Sco=e 5 EFTA_R1_01713436 EFTA02555419 726 =OD =td width="241" nowrap="" valign="bottom" style="width:180.75pt;p=dding:0in 5.4pt 0in 5.4pt;height:13.4pt"> 58.08% =OD =OD HPI A=j LTV 64.11% =OD =OD Weigh=ed Avg Loan Age 88</=> =OD Owner=Occupied 96.58 <=td> =td width="163" nowrap="" valign="bottom" style="width:122.55pt;p=dding:0in 5.4pt 0in 5.4pt;height:13.4pt"> To= 1Geo Concentration CA 31%=/span> =OD <=d width="177" nowrap="" valign="bottom" style="width:132.9pt;pad=ing:0in 5.4pt 0in 5.4pt;height:13.4pt"> =OD Top 2 Geo Concentration NY 18%<=:p> =OD Top 3 Geo Concentration =OA =/td> =/tr> 82.55% =/td> =OD </=body> &n=sp; 6 EFTA_R1_01713437 EFTA02555420 IMPORTANT DISCLAIMER: No.-agency RMBS is a complex fixed income product and is not suitable for all=investors. Please note that while desk assumptions are driven by a=number of collateral and macro factors, the historical performanc= of a deal is not indicative of its future performance. Additi=nally, this message is a product of sales and trading and is not a researc= report. Other key risks to consider are outlined below: =DAAll investme=ts are subject to possible loss of principal -&n=sp; Non-Agency bonds may have limite= liquidity and clients should be aware that the secondary market for mortg=ge-backed securities has experienced periods of illiquidity and may =o so in the future. Illiquidity means that there may not be any purchase=s for your class of certificates. Although any class of certificates may=experience illiquidity, it is more likely that classes that are lower in t=e capital structure and non-investment grade related may experience =reater illiquidity than more senior, investment-grade rated classes. - =nbsp; High Yield Non-Agency bonds are speculative non-investment grade b=nds that have higher risk of default or other adverse credit events which =re appropriate for high risk investors only =OD =/span> This e=ail is confidential and subject to important disclaimers and conditions in=luding on offers for the purchase or sale of securities, accuracy and comp=eteness of information, viruses, confidentiality, legal privilege, and leg=l entity disclaimers, available at http://www.jpmorgan.com/pages/discl=sures/email. 7 EFTA_R1_01713438 EFTA02555421