EFTA01758172.pdf

From: Barrett, Paul S Sent: Thursday, May 2, 2013 2:43 PM To: Epstein, Jeffrey ([email protected]) Cc: Ens, Amanda; Dubov, Anastasia X; Sperling, Lee A Subject: 11:30AM BWIC - PRIME HY RMBS #9 - $5.704mm of MASTR 03-8 B2 px talked @ 884-00 (7.595% yield/2.14dum) Jeffrey We should buy this bond in Southern Trust. 1.5MM spend. "• ALL OFFERS ARE SUBJECT 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. This bond is on a 11:30am BWIC this morning. The prices listed on the email are merely price talks and are not firm offer levels. These are merely levels where we believe these bonds will trade and are tempered with where we see value in owning them today. The bonds may trade higher/lower than the price talk level listed in this email. Please show in all bids/inquiries before the bid time. Late bids may not be accepted. Please call the desk with all bids/inquiries related to this bond. X32124 **Source: Bloomberg MASTR 2003-8 B2 Offered @ 84-00 BOND DESCRIPTION Prepay Rate 27 CPR 30 CPR 34 CPR EFTA_R1_00060920 EFTA01758172 Cusip: 55265KN62 Default Rate 1.5 ramp 30 4 2.5 ramp 12 1.5 CDR 1.5 ramp 30 4 2.5 ramp 12 1.5 CDR 1.5 ramp 30 4 2.5 ramp 12 1.5 CDR Original Face: 5,704,000 Default Severity 35 ramp 12 30 30 ramp 24 25 25 Current Face: 1,884,069 Delinq Rate 7 Percent 7 Percent 7 Percent Bond Type: Prime 5.245% Fixed Delinq Advance (% of P&I) 100 100 100 Ratings (S&P/Moodys/Fitch): CCC/-/NR 2 EFTA_R1_00060921 EFTA01758173  Call No No Yes Current Coupon: 5.245% Yield @ Base Case 7.595% Price @ 84-00 Stress Case Base Case Recovery Case WAL @ Base Case 3.02 Yield -2.756 7.595 22.612 Principal Window @ Base Case Jun13 to Oct40 Spread over Tsy -318 715 2194 Writedown % 3 EFTA_R1_00060922 EFTA01758174 15.50% Duration 1.96 2.14 0.94 Current Credit Enhancement: 1.84% WAL 2.78 3.02 1.1 60+ Delinquencies 6.29 Principal Window Jun13 to Feb19 Jun13 to Oct40 Jun13 to Aug14 60+ Delinquency Coverage 0.29x Principal Writedown 34.32% 15.50% 0.00% Total Collat Loss 0.23% 0.20% 4 EFTA_R1_00060923 EFTA01758175 0.18% UNDERLYING COLLATERAL DESCRIPTION Total Liquidation 5.67% 5.20% 4.65% Average Loan Balance ($,000s) 324 Loan Count 419 HISTORICAL PERFORMANCE Mortgage Type Prime Fix 30yr 1 MOS 3 MOS 6 MOS Wtd Avg Mortgage Coupon 5.583% CPR 31.90 30.81 30.08 5 EFTA_R1_00060924 EFTA01758176 Wtd Avg FICO Score 732 CDR 0.00 0.00 0.00 Wtd Avg Orig Loan•to•Value 50.08% SEV #N/A N/A #N/A N/A #N/A N/A HPI Adj LTV 44.86% Weighted Avg Loan Age 117 Owner Occupied 96.72 Top 1 Geo Concentration CA 65% Top 2 Geo Concentration NY 5% Top 3 Geo Concentration 6 EFTA_R1_00060925 EFTA01758177 IL 4% Always Current (24 mos) 84.74% IMPORTANT DISCLAIMER: Non-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 performance of a deal is not indicative of its future performance. Additionally, 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 possible 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 class of certificates. Although any class of certificates may experience illiquidity, it is more likely that classes that are lower in the capital structure and non-investment grade related may experience greater illiquidity than more senior, investment-grade rated classes. High Yield Non-Agency bonds are speculative non-investment grade bonds that have higher risk of default or other adverse credit events which are appropriate for high risk investors only Non-Agency bonds are intended for clients with a minimum total net worth of $50mm. Please make sure your client fulfills this requirement before soliciting this order. This commentary is a product of JPMorgan Global Wealth Managements Taxable Fixed Income Trading Desk and not JPMorgan's Research Department. The views expressed in this trading desk commentary may differ from those of JPMorgan's Research Department. Any opinions expressed in this trading desk commentary are subject to change without notice and JPMorgan is under no obligation to update or keep this information current. 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_00060926 EFTA01758178