EFTA02362584

From: Barrett, Paul Sent: Tuesday, May 1, 2012 8:04 PM To: Epstein, Jeffrey (jeevacation@gmail.com) Cc: Giuffrida, David Subject: RE: $2.59mm of WAMU 04-AR3 B2 @ 62-16 (10% yield / 6.26 durn) =body lang="EN-US" link="blue" vlink="purple"> Jeffre= We have 1.8MM cash in the Haze Trust. I would l=ke to spend $1MM on this mortgage and 800K on a new oil trust coming out=2E Will walk you through the details. =OD Also we have $3MM=of the Chevron Market Plus note that will likely pay out a 10.6% coupon =n mid May. Underlying was up 5%. So did well. Will look for some =OA ideas for the $3.3MM. Paul =OA &nbs=; Paul Barrett, CFA =OA Managing Director Global Investment Opportunities Group =p class="MsoNormal">JPMorgan Private Bank 320 Park Avenue, 14th Floor, New York, NY 10022=/p> EFTA_R1_01355518 EFTA02362584 NMLS ID# 853441 =OD =nbsp; From: Barrett, Paul S =OA Sent: Tuesday, May 01, 2012 3:54 PM To: =Epstein, Jeffrey (jeevacation@gmail.com) Cc: Giuffrida, =avid J Subject: $2.59mm of WAMU 04-AR3 62 @ 62.16 (10% y=eld / 6.26 durn) Jeffrey Found a bond for the $1MM we were look=ng to spend from last week. - &nbs=; HPI Updated LTV = 58.53% - &nbs=; 85% of the borrowers have not missed a payment in the past 2 =ears -&n=sp; 96% owner occupied=span style="font-size:10.0pt;font-family:"Calibri","san=-serir;color:#1F497D"> 97 months season=d WAMU 2004-AR3 62 Offered @ 62-16</=pan> =OD =OD =0D BOND DESCRIPTION =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Prepay Rate <=d width="153" nowrap="" valign="bottom" style="width:114.45pt;ba=kground:f1F2F2F2;padding:0in 5.4pt Oin 5.4pt;height:15.75pt"> 6 CPR =0 ramp 30 8 CPR Cusip: 92922FNM6<=span> =OD Default Rate<=:p> 2 EFTA_R1_01355519 EFTA02362585 1 ramp 36 3 1 CDR 0.75 ramp 36 =.25 0.5 CDR Original Face: 2,590,000 Default=Severity 30 30 ramp 48 25 =OD Current Face:4=pan> =OD <=pan style="font-size:9.Optfont-family:"Aria)","sans-se=if";color:#1F497D">1,888,737 <=d width="228" nowrap="" valign="bottom" style="width:171.25ptpa=ding:0in 5.4pt 0in 5.4ptheight:14.15pt"> Prime 5/1 Sub =OD Stress Caseq=pan> =OA <=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:black">Base Case =td width="175" nowrap="" valign="bottom" style="width:131.05pt;b=rder-top:solid windowtext 1.0pt;border- left:none;border-bottom:none;bord=r-right:solid windowtext 1.0pt;background:#BFBFBF;padding:0in 5.4pt 0i= 5.4ptheight:14.15pt"> Recovery Case CCC/Ca/-=/o:p> Yield 4.518 =0A10.001=o:p> =urrent Coupon: 2.586% =OA Spread 3 EFTA_R1_01355520 EFTA02362586 274 816 =0D 1061</=:p> =OD =OD Yield @ Base Case 10.001% =OD apan style="font-size:9.0ptfont-family:"Arial","sans-se=if";color:black">6.71 6.26 WAL @ Base Case 9.58 =OA =OAWAL=/o:p> 9.28 9.58<=p> Pr=ncipal Window @ Base Case Jun12 to Apr34 Principal Window Jun12 to Apr34 Jun12 to Apr34 atd> Jun12 to May34 Writedown % =/td> 11.39% Principal Writedown 52.29%</=:p> 11.39% =0A=.00% 2.30% 4 EFTA_R1_01355521 EFTA02362587 =0D Total Collat Loss=/o:p> 1.11% =0A=.80% 0.51% =OA 60+ Delinquencies 5.38 =OD Total Liquidation =0A=0.08% 6.95% =OD 3.78% 60+ Delinquency Coverage </=d> =OD =OD </van> =OA =OD HISTOR=CAL PERFORMANCE UNDERLYING C=LLATERAL DESCRIPTION 1 MOS =b>3 MOS =td width="175" nowrap="" valign="bottom" style="width:131.05pt;b=rder:none;border-bottom:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5=2E4ptheight:14.15pt") 6 MOS<=b> Average Loan Balance =$,000s) 571 5 EFTA_R1_01355522 EFTA02362588 =OA =0ACPR 8.4= 10.81 <=td> 11.11 Mortgage Type Seasoned Pr=me 5/1 Hybrids CDR 2.03 =OD 0.67 0.88<=p> Wtd Avg Mortgage Coupon 3.010% <=td> <=d width="161" nowrap="" valign="bottom" style="width:120.6pt;pad=ing:0in 5.4pt 0in 5.4ptheight:13.35pt"> SEV 16.39 16.39 </=d> Wtd Avg FICO Score 747<=o:p> =OA =OD <=r style="height:13.35pt"> =OD HPI Adj LTV =OA 58.53% =OD Weighted Avg Loan Age=/o:p> 97 =td width="45" nowrap="" valign="bottom" style="width:34.1pt;padd=ng:0in 5.4pt 0in 5.4ptheight:13.35pt"> Owner Occupied 96.18 6 EFTA_R1_01355523 EFTA02362589 =/td> ad width="161" nowrap="" valign="bottom" style="width:120.6pt;pad=ing:0in 5.4pt Oin 5.4pt;height:13.35pt"> Top 1 =eo Concentration CA 72% =0A =OD Top 2 Geo Concentration NY&n=sp; 5% =OD =/tr> Always Current (24 mos)<=:p> 85.46% <=td> <=d width="161" nowrap="" valign="bottom" style="width:120.6ptpad=ing:0in 5.4pt Oin 5.4pt;height:13.35pt"> *=II Investments are subject to risk, including possible loss of principal=2E <1=> *This message is a prod=ct of sales and trading and is not a research report=/p> "Non-Agency bonds may have limited liquidity and c=ients should be aware that the seco=dary market for mortgage- backed securities has experienced periods of illi=uidity and may do so in the future. Illiquidity means that there may not=be any purchasers for your class of certificates. Although any cla=s of certificates may experience illiquidity, it is more likely that class=s *High=Yield Non-Agency bonds are speculative non-investment grade bonds that hav= higher risk of default or other adverse credit events which are appropriat= for high risk investors only. =td width="42" style="width:31.35pt;padding:0in Oin 0in Oin;height:13=2E8pt"> =nr> =OA =OD <=pan style="font-size:11.0ptfont-family:"Calibri","sans=serif";color:#1F4970"> *** ALL OFFERS ARE=SUBJECT 7 EFTA_R1_01355524 EFTA02362590 US Onshore Clients — Blue Sky (U.S. S=ate Securities Law): Please confirm Blue Sky eligibility before soliciting=to a US Onshore client by entering the CUSIP into the web tool located at:=0D http://pscppvl.amer.jpmchase.net:8080/BlueSkyPage.html <http://pscppvl.amer.jpmchase.net:8080/BlueSkyPage=2Ehtml> =/u> and review to see if your client's state of residence is l=sted. If you receive 'NO SECURITY FOUND', 'NO STATES F=UND' or the security DOES NOT HAVE A CUSIP or is not USD-denom=nated, then please contact your SM or local compliance officer and provide=the requested security and client information. Please note that a suitab=lity review and other pre-trade procedures must still be followed.=/span> </=:p> =OA 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. 8 EFTA_R1_01355525 EFTA02362591