EFTA01760144.pdf

From: Barrett, Paul S Sent: Monday, April 15, 2013 9:46 PM To: Jeffrey Epstein ([email protected]) Cc: Ens, Amanda; Weissend, Renee E Subject: NEW SHORT DURN, HY RMBS BWIC - $6mm of CWHL 03-1 81 @ 95-16 (6.05% yield/2.24 durn) Importance: High Jeffrey We should buy this bond. Spend is $1.45MM. Let me know. Paul "" 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. THE BOND: The CWHL 03-1 B1 is a Prime Fix 5.75% Sub backed by 121 month seasoned 30yr Fix mortgages. This bond has 5.58% credit enhancement vs 13.04% 60+ delinquencies, for a 0.43x coverage ratio. THE COLLATERAL: The pool consists of 137 Prime loans that are 121months seasoned with an average updated LTV of 52%. The average balance of the loans is $362k— this coupled with the low updated LTV should result in both low CDRs and Severities. In fact, there are only 2 CDR prints in the past 12 months. THE STORY: For investors looking for a housing recovery play backed by seasoned Prime collateral, this bond offers a great convexity story levered to prepayments and overall homeowner performance. Please call the desk with all bids/inquiries related to this bond. X32124 EFTA_R1_00064317 EFTA01760144 HIGHLIGHTS HPI Updated LTV = 52% 75% of the borrowers have not missed a payment in the past 2 years 121 months seasoned 734 FICO $362k average balance "Source: Bloomberg CWHL 2003-1 B1 Offered @ 95-16 BOND DESCRIPTION Prepay Rate 20 CPR 24 CPR 28 CPR Cusip: 12669DYS1 Default Rate 2 ramp 20 8 8 ramp 12 2 CDR 2 ramp 20 8 8 ramp 12 2 CDR 2 ramp 20 8 8 ramp 12 2 CDR Original Face: 6,000,000 Default Severity 30 30 ramp 18 25 2 EFTA_R1_00064318 EFTA01760145 25 Current Face: 2,022,762 Delinq Rate 14 Percent 14 Percent 14 Percent Bond Type: Prime Fix 5.75% Sub Delinq Advance (% of P&I) 100 100 100 Ratings (S&P/Moodys/Fitch): -/-/B Call No No Dec-2016 Current Coupon: 5.750% Yield @ Base Case 6.051% Price @ 95.16 Stress Case 3 EFTA_R1_00064319 EFTA01760146 Base Case Recovery Case WAL @ Base Case 2.88 Yield 2.991 6.051 8.198 Principal Window @ Base Case May13 to Dec26 Spread over Tsy 250 559 783 Writedown % 5.76% Duration 2.36 2.24 1.74 Current Credit Enhancement: 5.58% WAL 3.12 2.88 2 4 EFTA_R1_00064320 EFTA01760147 60+ Delinquencies 13.04 Principal Window May13 to Mar24 May13 to Dec26 May13 to Dec16 60+ Delinquency Coverage 0.43x Principal Writedown 14.83% 5.76% 0.00% Total Collat Loss 0.23% 0.18% 0.17% UNDERLYING COLLATERAL DESCRIPTION Total Liquidation 12.27% 10.96% 9.85% Average Loan Balance ($,000s) 362 Loan Count 137 HISTORICAL PERFORMANCE s EFTA_R1_00064321 EFTA01760148 Mortgage Type 1 MOS 3 MOS 6 MOS Wtd Avg Mortgage Coupon 6.047% CPR 12.15 30.57 27.13 Wtd Avg FICO Score 734 CDR 0.00 0.00 0.00 Wtd Avg Orig Loan-to-Value 58.62% SEV NA NA NA 6 EFTA_R1_00064322 EFTA01760149 HPI Adj LTV 51.57% Weighted Avg Loan Age 121 Owner Occupied 95.66 Top 1 Geo Concentration CA 20% Top 2 Geo Concentration NY 13% Top 3 Geo Concentration FL 8% Always Current (24 mos) 75.22% 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 7 EFTA_R1_00064323 EFTA01760150 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. Kevin Lynn Vice President I JPMorgan Securities Fixed Income Tradin 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. 8 EFTA_R1_00064324 EFTA01760151