Text extracted via OCR from the original document. May contain errors from the scanning process.
From:
Barrett, Paul S <
Sent:
Wednesday, February 6, 2013 2:24 PM
To:
Jeffrey Epstein
Cc:
Ens, Amanda; Weissend, Renee E
Subject:
FW: HY PRIME RMBS #1 - $5.70mm of SEMT 11 61 @ $74-16 (6.51% yield/ 6.20 durn)
Let me know on this
Paul Barrett I Managing Director I Global Investment Opportunities Group I J.P. Morgan Private Bank I
320 Park Avenue, 14th Floor, New York, NY 10022 I
NMLS IN 853441
Cc: Ens, Amanda; Weissend, Renee E
Jeffrey
The mortgage from this morning traded away at a higher price. I think this is also interesting.
Spend $750K.
Let me know.
Paul
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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 SEMT 11 B1 is a Prime subordinate floater (1ML + 145.5bps) backed by 125 month seasoned vanilla ARM mortgages.
This bond has 4.03% credit enhancement vs 12.03% 60+ delinquencies, for a 0.33x coverage ratio.
THE COLLATERAL:
The pool consists of 165 loans that are 125 months seasoned with an average updated LTV of 53%. The average balance
of the loans is $238 — this coupled with the low updated LTV should result in both low CDRs and Severities.
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
HIGHLIGHTS
HPI Updated LTV = 53%
78% of the borrowers have not missed a payment in the past 2 years
125 months seasoned
723 FICO
$238k average balance
"Source: Bloomberg
SEMT 11 B1 Offered @ 74-16
Prepay Rate
5 CPR
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8 CPR
12 CPR
Cusip:
81744AAB4
Default Rate
1 ramp 20 3 3 ramp 12 2 CDR
1 ramp 20 3 3 ramp 12 2 CDR
1 ramp 20 3 3 ramp 12 2 CDR
Original Face:
5,700,000
Default Severity
45 ramp 36 40
40 ramp 24 35
35 ramp 18 30
Current Face:
1,060,043
Delinq Rate
12 Percent
12 Percent
12 Percent
Bond Type:
Prime Sub Floaters (1ML +145.5 bps)
Delinq Advance (% of P&I)
100
100
100
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Ratings (S&P/Moodys/Fitch):
B-/Caal/B
Current Coupon:
1.660%
Yield @ Base Case
6.510%
Price @ 74-16
Stress Case
Base Case
Recovery Case
WAL @ Base Case
8.19
Yield
3.520
6.510
7.639
Principal Window @ Base Case
Feb13 to Nov32
Spread over Tsy
191
473
584
Writedown %
10.89%
Duration
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5.80
6.20
6.28
Current Credit Enhancement:
4.03%
WAL
7.32
8.19
8.25
60+ Delinquencies
12.03
Principal Window
Feb13 to Nov32
Feb13 to Nov32
Feb13 to Nov32
60+ Delinquency Coverage
0.33x
Principal Writedown
30.94%
10.89%
0.08%
Total Collat Loss
0.49%
0.43%
0.37%
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Total Liquidation
11.80%
10.54%
9.04%
Average Loan Balance (5,000s)
238
Loan Count
165
Mortgage Type
Prime Vanilla ARMs
1 MOS
3 MOS
6 MOS
Wtd Avg Mortgage Coupon
2.176%
CPR
0.52
25.69
18.14
Wtd Avg FICO Score
723
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CDR
0.00
0.00
0.00
Wtd Avg Orig Loan-to-Value
59.56%
SEV
NA
NA
NA
HPI Adj LTV
53.22%
Weighted Avg Loan Age
125
Owner Occupied
87.86
Top 1 Geo Concentration
FL 21%
Top 2 Geo Concentration
NY 10%
Top 3 Geo Concentration
GA 9%
Always Current (24 mos)
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78.37%
Non-agency RM8S 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.
Kevin Lynn
Vice President I JPMorgan Securities
Fixed Income Trading
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<http://www.jpmorgan.com/pages/disdosures/email> .
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
<http://www.jpmorgan.com/pages/disdosures/email> .
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.
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