EFTA01790117

From: Barrett, Paul S Sent: Thursday, May 16, 2013 2:58 PM To: Jeffrey Epstein Cc: Barrett Pod Subject: To Do - PRIME HY RMBS #4 - $2.992mm of BOAMS 04-D B1 px talked @ $85-16 (5.958% yield/ 6.80dum) Jeffrey One other idea: We sell our $1MM of the NRG bonds (ytw 3.95%) and switch into this bond. Spend around $1.4ish. Let me know Paul 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://pscppv1.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 BOAMS 2004-D B1 Offered @ 85-16 BOND DESCRIPTION Prepay Rate EFTA_R1_00117620 EFTA01790117 10 CPR 14 CPR 16 CPR Cusip: 05949ADR8 Default Rate 4.5 for 16 2.5 ramp 16 2 CDR 4.5 for 12 2.5 ramp 16 2 CDR 4.5 for 12 2.5 ramp 16 2 CDR Original Face: 2,992,000 Default Severity 45 ramp 24 35 40 ramp 18 30 35 ramp 24 30 Current Face: 1,592,301 Delinq Rate 8 ramp 24 6 Percent 8 ramp 24 6 Percent 8 ramp 24 6 Percent Bond Type: Prime Hybrid Sub Delinq Advance (% of P&I) 90 90 2 EFTA_R1_00117621 EFTA01790118 90 Ratings (S&P/Moodys/Fitch): B-/Caa3/B Call No No May-2016 Current Coupon: 2.930% Yield @ Base Case 5.958% Price @ 85.16 Stress Case Base Case Recovery Case WAL @ Base Case 8.95 Yield 0.979 5.958 8.698 Principal Window @ Base Case Jun13 to Dec43 Spread over Tsy -99 402 3 EFTA_R1_001 17622 EFTA01790119 818 Writedown % 6.30% Duration 7.73 6.80 2.62 Current Credit Enhancement: 4.34% WAL 9.12 8.95 2.87 60+ Delinquencies 7.15 Principal Window Jun13 to Jul40 Jun13 to Dec43 Jun13 to May16 60+ Delinquency Coverage 0.61x Principal Writedown 48.08% 6.30% 0.00% Total Collat Loss 4 EFTA_R1_001 17623 EFTA01790120 1.25% 1.02% 0.96% UNDERLYING COLLATERAL DESCRIPTION Total Liquidation 14.60% 11.82% 10.95% Average Loan Balance ($,000s) 444 Loan Count 351 HISTORICAL PERFORMANCE Mortgage Type Prime Hybrid ARMs 1 MOS 3 MOS 6 MOS Wtd Avg Mortgage Coupon 3.205% CPR 5 EFTA_R1_00117624 EFTA01790121 35.03 21.08 17.20 Wtd Avg FICO Score 740 CDR 0.00 3.17 4.08 Wtd Avg Orig Loan-to-Value 56.89% SEV #N/A N/A 23.32 31.71 HPI Adj LIV 57.52% Weighted Avg Loan Age 109 Owner Occupied 89.45 Top 1 Geo Concentration CA 65% Top 2 Geo Concentration 6 EFTA_R1_00117625 EFTA01790122 FL 6% Top 3 Geo Concentration IL 4% Always Current (24 mos) 77.27% 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 550mm. 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. 7 EFTA_R1_00117626 EFTA01790123 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_00117627 EFTA01790124