EFTA01767795

From: Barrett, Paul S Sent: Wednesday, October 10, 2012 4:42 PM To: Jeffrey Epstein Cc: Giuffrida, David Subject: To Do - HY RMBS BWIC #2 - 3.85mm of WFMBS 04-C B1 (AA'-/Ba3) @ 85-00 (6.952% yield / 4.70 durn) Jeffrey </=> We like this bo.d. Spending +-$1.4MM. Let me know.4=pan> &nb=p; =OD </=pan>"' ALL OFFERS ARE SUBJECT =OD US Onshore Clients — Blue Sky (U.S. State Securities Law): =lease confirm Blue Sky eligibility before soliciting to a US Onshore clien= by entering the CUSIP into the web tool located at: http://pscppv=.amer.jpmchase.net:8080/BlueSkyPage.html and review =o see if your client's state of residence is listed. If you receiv= 'NO SECURITY FOUND', 'NO STATES FOUND' or the =OA security DOES NOT HAVE A CUSIP or is not USD- denominated, then please c=ntact your SM or local compliance officer and provide the requested securi=y and client information. Please note that a suitability review and othe= pre-trade procedures must still be followed. =0AThe WFMBS 04-C B1 is a split rated Prime Subordinate Bond backed by seas=ned hybrid ARMs. This bond is out for bid wante= in comp auction at 2pm and the color we have received is that we will not=get a 2nd look on this bond, meaning we need to show best foot =orward on bids. At $85-00, I see this bond as a 6.952% bond to a=4.70 duration to our base case assumptions. In our stress =ase where we liquidate/default 1.76x the current delinquent pipeline, th=s bond is a 2.3% yield to a 7.13 duration. In a recovery case =cenario, we assume the Wells Fargo, the servicer, calls this deal 3 years=0D after the call date (date when collateral balance drops below 10% of=original issued balance) and see a 10% yield for a 2.5 duration bond.<=r> EFTA_R1_00077298 EFTA01767795 HIGHLIGHTS=/b> - &n=sp; HPI Updated LTV = 59% - &=bsp; 90% of the borrowers have not missed a payment in th= past 2 years <=span>104 months seasonedaspan> WF=BS 2004-C B1 Offered @ 85.00 =OD =OD =OD BOND DESCRIP=ION =/o:p> Prepay Ra=e 16 CPR 22 ramp 12 20 CPR<=p> 24 ramp 12 26 CPR =OD Cusip:</=> =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:black">Default Rate =td width="175" nowrap="" valign="bottom" style="width:131.0pt;ba=kground1F2F2F2;padding:0in 5.4pt 0in 5.4ptheight:12.75pt"> 5 ramp 30 3 2 CDR 3.5 ramp 30 3 2 CDR 3 ramp 30 2.5 1.5 CDR =OA Original Face: =/td> 3,850,000 60 ramp 12 55 45=ramp 18 40 =OA Current Face: 2 EFTA_R1_00077299 EFTA01767796 =OD Delinq Rate 7 ramp 24 6.5 Percent 7 ramp 24 5 Percent<=span> =td width="278" nowrap="" valign="bottom" style="width:208.85pt;p=dding:0in 5.4pt 0in 5.4pt;height:12.75pt"> Bond Type: Prime 10/1 Hybrid Sub =0A =0A=0A Delinq Advance (% of P&am=;l) 100<=span> 100 </=d> =span style="font-size:8.0ptfont-family:"Arial","sans-s=rir;color:black">100 =OA Ratings (S&P/Moodys/Fitch): =OD AA/*-/Ba3/- =span style="font-size:8.0ptfont-family:"Arial","sans-s=rif";color:black">Optional Servicer Call <=td> Current Coupon: 4.949%<=:p> =OD =OD Yield @ Base Case =OA 6.952% =OD =rice @ 85-00 Stress Case=/b> Base Case Recovery Case=/b> W=L @ Base Case 6.=4 2.296 3 EFTA_R1_00077300 EFTA01767797 =OD 6.95= Principal Window @ Base Case =ltd> Nov12 to Feb34 Sp=ead over Tsy 94 603 =td width="200" nowrap="" valign="bottom" style="width:150.0pt;bo=der:none;border•right:solid windowtext 1.0pt;padding:Oin 5.4pt Oin 5=2E4ptheight:12.75pt"> 971 =OD Writed=wn % 4.39%</=> Duration 7.13=/o:p> 4.70</=> 5.36% =OA =OA 8.21 6.14</=pan> 2.93</=pan> width="278" nowrap="" valign="bottom" style="width:208.85pt;pa=ding:Oin 5.4pt Oin 5.4ptheight:12.75pt"> 6.96 =OD =OD Principal Window =OA Nov12 to Feb34<=:p> Nov12 to Dec16 Current Cr=dit Enhancement: =OA 60+ Delinquency Coverage 0.77x </=d> <=d width="184" nowrap="" valign="bottom" style="width:138.0pt;pad=ing:Oin 5.4pt Oin 5.4pt;height:12.75pt"> 4 EFTA_R1_00077301 EFTA01767798 Principal Writedown 36.42% 4.39%</=> =OD =OD Total Collat Loss =OA 0.58% =OA 0.36% =OA UN=ERLYING COLLATERAL DESCRIPTION Total Liquidation 12.29% S.58%<=:p> Averag= Loan Balance (5,000s) 390 =OD <=d width="175" nowrap="" valign="bottom" style="width:131.0pt;pad=ing:0in 5.4pt 0in 5.4ptheight:12.75pr> 89=/span> =OD HISTORICAL=PERFORMANCE =0A=0A =nbsp; =OA Mortgage Type 1 MOS=/span> 3 MOS 6 MOS 5 EFTA_R1_00077302 EFTA01767799 =OD Wtd Avg Mortgage Coupon =OA 5.208% CPR 17.41=/p> =OA 15.73 26.35 Wtd Av= FICO Score 727 =OD =OD CDR ad width="175" nowrap="" valign="bottom" style="width:131.Optpad=ing:0in 5.4pt 0in 5.4ptheight:12.75pt"> 0=2E00 0.00 =OA Wtd Avg Orig Loan-to-Value =OA SEV<A:p> NA =OA NA HPI Adj LTV =OD apan style="font-sizeS.0ptfont-family:"Arial","sans-se=if";color:#1F497D">59.21% Weighted Avg Loan Age 104 =OD =OD Owner Occupi=d 96.65 =OD =OD 6 EFTA_R1_00077303 EFTA01767800 To= 1 Geo Concentration CA 26% =OD <=d width="175" nowrap="" valign="bottom" style="width:131.0pt;pad=ing:0in 5.4pt 0in 5.4pt;height:12.75pt"> =N 12% =OA =OD IL 7% =OD Always Current (24 mos) =OA =MPORTANT DISCLAIMER: <=span>Non-agency RMBS is a complex fixed i=come product and is not suitable for all investors. Please note th=t while desk assumptions are driven by a number of collateral and ma=ro factors, the historical performance of a deal is not indicative of i=s future performance. Additionally, this message is a product =f sales and trading and is not a research report. Other key risks =o consider are outlined below: &nbs=; =span style="font-size:10.0ptfont-family:"Calibri","san=-serir;colorl$C00000">All investments are subject to possible loss o= principal = Non-Agency bonds may have limited liquidity and clients should be=aware that the secondary market for mortgage-backed securities has experie=ced periods of illiquidity and may do so in the future. Illiquidit= means that there may not be any purchasers for your class of certificates=2E Although any class of certificates may experience illiquidity, it is mo=e likely that classes that are lower in the capital structure and no=-investment grade related may experience greater illiquidity than more sen=or, investment-grade rated classes. - &n=sp; High Yield Non-Agency bonds are specul=tive non-investment grade bonds that have higher risk of default or other =dverse credit events which are appropriate for high risk investors o=ly Non-Agency bonds are intended f=r clients with a minimum total net worth of $50mm. Please make sur= your client fulfills this requirement before soliciting this order=2E =OA This email is confidential and subject to imp=rtant disclaimers and conditions including on offers for the purchase or s=le of securities, accuracy and completeness of information, viruses, confi=entiality, legal privilege, and legal entity disclaimers, available at htt=://www.jpmorgan.com/pages/disclosures/email. 7 EFTA_R1_00077304 EFTA01767801