EFTA01795259

From: Barrett, Paul S Sent: Monday, February 11, 2013 6:04 PM To: Jeffrey Epstein Subject: RE: NEW HY RMBS BWIC - $4.3mm of RFMSI 04-S4 1M1 @ 85-16 (6.51% yield/2.97 dum) =OA Traded away — will keep looking =OD gspan> &=bsp; <=o:p> Paul Barrett=/b> I Managing Director I Global Investm=nt Opportunities Group I J.P. Morgan Private Bank I =/o:p> 320 Park Avenue, 14t= Floor, New York, NY 10022 =OA F: (212) 310-0108 I =OD NMLS IDtt 853441 From: <=b> Jeffrey Epstein [mailto:[email protected] Sent: Monday, February 11, 2013 12:38 PM To: =arrett, Paul S Subject: Re: NEW HY RMBS BWIC - $4.3mm of=RFMSI 04-54 1M1 @ 85-16 (6.51% yield/2.97 durn) =OD ok On Mon, Feb 11, 2013 at 1:07 PM, Barrett, Pa=l wrote: <=iv> Jeffrey=/b> We should =uy $1MM of this bond. EFTA_R1_00130257 EFTA01795259 <=pan style="font-size:9.0pt;font-family:"Calibri","sans-=erif";color:#1F497D"> =OD US Onshore Clients — Blue Sky (U=2ES. State Securities Law): Please confirm Blue Sky eligibility before s=liciting to a US Onshore client by entering the CUSIP into the web t=ol located at: http://pscppv1.amer.jpmchase.net=8080/BlueSkyPage.html <http://pscppvl.amer.jpmchase.net:8080/B=ueSkyPage.html> and review to see if your clientR=7;s state of residence is listed. If you receive 'NO SECURIT= FOUND', 'NO STATES FOUND' or the security DOES NOT HAVE=A CUSIP or is not USD-denominated, then please contact your SM or local co=pliance officer and provide the requested security and client information=2E Please note that a suitability review and other pre-trade procedu=es must still be followed. The RFMSI 04-S4 1M1 is a Prime Seasoned Fix 5.25%=Sub bond backed by 105 months seasoned fix mortgages=2E The bond has 2.38% credit enhancement vs 7.08% 60+ delinq=encies, for a 0.34x coverage ratio. =OD THE COLLATERAL: The pool consists of 145 Prime loans =hat are 105 months seasoned with an average updated LTV of 56%. Th= average balance of the loans is $296k — this coupled with the low u=dated LTV should result in both low CORs and Severities. In fact, =here has been only 2 CDR prints over the last 12 months and the aver=ge severity of those 2 prints is 20.64%. Our base case assumes 3=.% severity ramping down to 30% over 3 years. What's more interesti=g is that the 5 foreclosure loans in the pipe have an updated LTV of =41%, which is even lower than the overall pool LTV of 56%. Accordi=g to our model, this should translate to lower severities at liquidation=2E THE STORY: For investors=looking for a housing recovery play backed by seasoned Prime collateral, t=is bond offers a great convexity story levered to prepayments and overall =omeowner performance. Please call the desk with all bids/inquir=es related to this bond. X32124 HIGHLIGHTS = HPI Updated LTV = 56% =nbsp; 87% of the b=rrowers have not missed a payment in the past 2 years &nb=p; 105 months seasoned<=b> &n=sp; 735 FICO =nbsp; $296k averag= balance "Source: Bloomberg 2 EFTA_R1_00130258 EFTA01795260 =OD RFNISI 20=4-S4 1M1 Offered @ 85-16 =OA Prepay Rate=/p> apan style="font-size:8.0pt;font-family:"Arial","sans-se=if"">20 CPR 24 CPR =OA 28 CPR Cusip:ao:p> 76111XHZ9 2 ramp 20 4 3 ramp 36 1.75 CDR 2 ramp 20 4 3 ramp 12 1.5 CDR =OA <=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if—>Original Face: 4,314,300 =OD Default Severity</=> 35 ramp 36 30=/o:p> =OD 30 Delinq Rate 7.5 Percent 7.5 Percent =td width="193" nowrap="" valign="bottom" style="width:144.75pt;b=ckground:#IF2F2F2;padding:0in 5.4pt 0in 5.4pt;min-height:13.35pt"> =OA 7.5 Perc=nt Prime =ix 5.25% Men 100=lp 100 <=pan style="font-size:8.0ptfont-family:"Arial","sans-se=if"">100 <=td> Ratings (S&P/Moodys/Fitch): =OA =CC/-/NR 3 EFTA_R1_00130259 EFTA01795261 =OD Current Coupon: =OD =OD =1td> =OD Yield @ Base Case =OA 6.509% Price @ 85-16 =p class="MsoNormal" align="center" style="mso-margin-top-alt:auto;ms=-margin-bottom-alt:auto;text-align:center"> WAL @ Base Case 2.124=o:p> 6.50= 9.838 =00 Principal Window @ Base Case <Ad> Spread ov=r Tsy 136 575 912 <=td> Writedown % =OA 14.66% =OA Duration =0A3.18</=> Current Credit Enhanc=ment: =OD 2.38% 4 EFTA_R1_00130260 EFTA01795262 =OA WAL 4.03 =OA 3.84 =OA =OD <= class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-al=:auto">Principal Window =td width="169" nowrap="" valign="bottom" style="width:126.45pt;p=dding:0in 5.4pt 0in 5.4pt;min-height:13.35pt"> Mar13 to Mar36 Mar13 =o Oct37 60+ Delinquency Coverage =p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-a=t:auto">Principal Writedown =OD 29.22%<=o:p> 14=2E66% =OD 3.28% =tr style="min-height:11.8pt"> <= class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin- bottom-al=:auto">Total Collat Loss =0A0.54%</=> UNDERLYING COLLATERAL DESCRIPTIO= Total Liquidation =OD =OA 7.59% 5.55% =OD =OD <=td> =OD =td width="193" nowrap="" valign="bottom" style="width:144.75pt;p=dding:0in 5.4pt 0in 5.4pt;min-height:13.35pt"> =OD 145 =OA HISTORICAL PERFORMANCE <=td> 5 EFTA_R1_00130261 EFTA01795263 =OA =OA =OD Mortgage Type =0ASeasoned Prime 30yr Fix 1 MOS 3 MOS 6 MOS Wtd Avg Mort=age Coupon 5.655% =td width="178" nowrap="" valign="bottom" style="width:1.85in;pad=ing:0in 5.4pt 0in 5.4pt;min- height:13.35pt"> CPR =OD 27.23 =0A31.87 27.45 =tr style="min-height:13.35pt"> Wtd=Avg FICO Score 4.64 2.20 Wtd A=g Orig Loan-to-Value 54.81% =OD </=d> NA =OA =0.01 =OD 30.01 6 EFTA_R1_00130262 EFTA01795264 =OA <=pan style="font-size:8.0pt;font-family:"Arial","sans-serif"">HPI Adj LTV </=d> =OA =OD =OA =OD <=d width="169" nowrap="" valign="bottom" style="width:126.45pt;pa=ding:0in 5.4pt 0in 5.4pt;min- height:13.35pt"> Owner Occ=pied Top 1 Geo Concent=ation =OD CA 49% =OA =span style="font-size:8.0pt;font- =OA =span style="font-size:8.0pt;font- =OA =span style="font-size:8.0pt;font &nbs=; family:"Arial","sans-s=rif";color:#1F497D">TX 7% family:"Arial","sans-s=rif";color:$11F497D">NY 5% -family:"Arial","sans-s=rif";color:#1F497D">86.81% This commen=ary is a product of JPMorgan Global Wealth Managements Taxable Fixed Incom= Trading Desk and not JPMorgan's Research Department. =he views expressed in this trading desk commentary may differ from those o= JPMorgan's Research Department. Any opinions expressed in t=is trading desk commentary are subject to change without notice and JPMorg=n is under no obligation to update or keep this information current=2E &nb=p; I Vice Pre=ident I J.P. Morgan Global Wealth Management =OA 270 Park Avenue, Floor 5, New =ork, New York 10017 T: 2=2 464 0608 <tel:212%20464%200608> I F: =0A212 464 1129 <tel:212%20464%201129> <mailto:[email protected]> 7 EFTA_R1_00130263 EFTA01795265 =OA This email =s confidential and subject to important disclaimers and conditions includi=g on offers for the purchase or sale of securities, accuracy and completen=ss of information, viruses, confidentiality, legal privilege, and le=al entity disclaimers, available at http://www.jpmorgan.c=m/pages/disclosures/email <http://www.jpmorgan.com=pages/disclosures/email> . <= class="MsoNormal"> =00 =he information contained in this communication is confidential, m=y be attorney-client privileged, may constitute inside informatio=, and is intended only for the use of the addressee. It is the =roperty of Jeffrey Epstein Unauthorized use, disclosure=or copying of this communication or any part thereof is strictly =rohibited and may be unlawful. If you have received this =0Acommunication in error, please notify us immediately by return =-mail or by e-mail to [email protected] <mailto:[email protected]> , and destroy this commu=ication and all copies thereof, including all attachments. copy=ight -all rights reserved 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, confidentia=ity, legal privilege, and legal entity disclaimers, available at http://ww=.jpmorgan.com/pages/disclosures/email. 8 EFTA_R1_00130264 EFTA01795266