EFTA02557924.pdf

From: Barrett, Paul S Sent: Wednesday, August 1, 2012 6:05 PM To: Jeffrey Epstein Cc: Giuffrida, David Subject: To Do - HY RMBS OFFER $17+mm of WFMBS 05-9 B1 @ $33-16 (8.66% yield / 6.68 dum) Jeffrey After the sale of the 1.2MM Sprint bond in Haze we have a total of 1=2E7MM cash in Haze. I think we should buy this bond. Our base case has=a 8.63% yield. Let me know. Paula:p> HI=HLIGHTS - &n=sp; <=pan style="font-size:10.0pt;font-family:"Calibri","sans=serif";colorl1F497D">HPI Updated LTV = 84% - = 83 months seasoned- &nb=p; 734FICO - &nb=p; WFMBS 2005-9 81=ffered @ 33-16 =OD =OD =OD =OD BOND DESCRIPTION =OA =0A=DA Prepay Rate 1 EFTA_R1_01717304 EFTA02557924 22 ramp 18 18 CPR 24 ramp 18 20 CPR</=> 94982WBH6 <=pan style="font-size:9.0ptfont-family:"Arial",sans-se=if";color:black">Default Rate <=d width="160" nowrap="" valign="bottom" style="width:119.75pt;ba=kground:NF2F2F2;padding:0in 5.4pt 0in 5.4ptheight:13.4pt"> 3 for 36 2.5 for 24 2 CDR =OD =OD apan styleefont-size:9.0ptfont-family:"Arial","sans-se=if";color:black">3 for 361.5 2 for 24 1.5 CDR<=p> 2 for 36 1 CDR =OA Original Face:</=> =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Default Severity =OD =OD <=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:black">50 for 36 45 <=d width="160" nowrap="" valign="bottom" style="width:119.75pt;ba=kground:#F2F2F2;padding:0in 5.4pt 0in 5.4ptheight:13.4pt"> 50 ramp 6 45 45 ramp 60 40 =OD =OA 45 ramp 36 40 =OD Bond Type: <=td> Price @ 3=-16 Base Case Recovery Case=/b> Ratings (S&P/Moodys=Fitch): =OD Yield=o:p> 0.708 8.636 15.421<=p> Current Coupon:=/span> 2 EFTA_R1_01717305 EFTA02557925 =0D <=pan style="font-size:9.0ptdont-family:"Arial","sans-se=incolor:#1F497D">5.415% Spread over=Tsy =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">747 1382 =00 Yield @ Base Case<=o:p> 8.636°A=/p> =/td> Duration 7.20=/o:p> 6.69</=> WAL @ Base Case 6.82 WAL =0A4.69.=/p> 6.82 9.7 Principal Window @ Base Case Sep12 to Jul35 =00 Principal Window =OA Sep12 to Jul35 Sep12 to Sep35 =OA Writedown % 67.60% </=d> <=d width="168" nowrap="" valign="bottom" style="width:126.15pt;pa=ding:Oin 5.4pt Oin 5.4pt;height:13.4pt"> Principal Writedown 89.70% 67.60%<=p> =p class="MsoNormal" align="center" style="text-align:center">39.22% 3 EFTA_R1_01717306 EFTA02557926 =tr style="height:13.4pt"> 0.73% Total Co=lat Loss 2.75% =OD 2.38% 60+ Delinquencies 6.26 =OA =0ATotal Liquidation <=td> 8.78%<=p> =p class="MsoNormal" align="center" style="text-align:center">5.63% style="height:13.4pt"> 60+ Delinquency Coverage 0.12x =OA =OA HISTORICA= PERFORMANCE =OA &=bsp; UNDERLYING COLLATER=L DESCRIPTION 1=O5 =OA apan style="font-size:9.Optfont-family:"Arial","sans-se=if";color:black">3 MOS 6 MOS</=> 450 =OA CPR 25.24=/span> =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">24.96 24.9= Loan C=unt 4 EFTA_R1_01717307 EFTA02557927 679 CDR 0.67 1.65 <=d width="183" nowrap="" valign="bottom" style="width:137.1ptpad=ing:0in 5.4pt 0in 5.4pt;height:13.4pt"> 1.=5 Mortga=e Type Seasoned Prime 30yr Fix=/span> =OD SEV <=td> 19.62 =OA 33.78 =OD Wtd Avg Mortgage Coupon </=d> 5.713% =OA =OA Wtd Avg FICO Score =0A 734 =OA =OA Wtd Avg Orig Loan-to-Value =p class="MsoNormal" align="center" style="text-align:center">64.19% =OA HPI Adj LTV =OD 84.63% 4td> Weighted Avg Loan Age =OA 83 5 EFTA_R1_01717308 EFTA02557928  =OA Owner Occupied</=> =OD CA 41% =td width="48" nowrap="" valign="bottom" style="width:35.65pt;pad=ing:0in 5.4pt 0in 5.4pt;height:13.4pt"> Top 2 Geo Concentration =OD Top 3 Geo Conc=ntration <=d width="160" nowrap="" valign="bottom" style="width:119.75pt;pa=ding:0in 5.4pt 0in 5.4pt;height:13.4pt"> Afrays Current (24 mos) 86.48% =OD <=d width="160" nowrap="" valign="bottom" style="width:119.75pt;pa=ding:0in 5.4pt 0in 5.4ptheight:13.4pt"> =OD =OD /o:p> IMPORTANT DISCLAIMER: Non-agency RMBS is a complex fixed income product and is not =uitable for all investors. Please note that while desk assumptions=are driven by a number of collateral and macro factors, the histo=ical performance of a deal is not indicative of its future performance=2E Additionally, this message is a product of sales and trading and =s not a research report. Other key risks to consider are outlined =elow: - &nb=p; All investments are subject to possible loss of principal<=span> &nbs=; =span style="font-size:10.0ptfont-family:"Calibri","san=-serif";color:#C00000">High Yield Non-Agency bonds are speculative no=-investment grade bonds that have higher risk of default or other adverse =redit events which are appropriate for high risk investors only =/tr> =OA This email is confidential and subject to important discla=mers and conditions including on offers for the purchase or sale of securi=ies, accuracy and completeness of information, viruses, confidentiality, l=gal privilege, and legal entity disclaimers, available at http://www.jpm=rgan.com/pages/disclosures/email. 6 EFTA_R1_01717309 EFTA02557929