EFTA01882859

To: Barrett, Paul S From: Jeffrey Sent: Tue 5/1/2012 8:05:21 PM Subject: Re: $2.59mm of WAMU 04-AR3 B2 @ 62-16 (10% yield / 6.26 durn) Yes Sorry for all the typos .Sent from my iPhonc On May I, 2012, at 3:53 PM, "Barrett, Paul S" wrote: Jeffrey Found a bond for the $1MM we were looking to spend from last week. WAMU 04-AR3 82 is a Prime 5/1 Subordinate bond backed by seasoned Prime 5/1 hybrid jumbo mortgages. HIGHLIGHTS - 747 MO HPI Updated LTV = 58.53% 85% of the borrowers have not missed a payment in the past 2 years 96% owner occupied - 97 months seasoned WAMU 2004-AR3 B2 Offered @ 62-16 BOND DESCRIPTION Prepay Rate 6 Cusip: 92922FNM6 Default Rate 1 ramp Original Face: 2,590,000 Default Severity 35 fo Current Face: 1$88,737 Bond Type: Prime 5/1 Sub Price @ 62.16 Stres Ratings (S&P/Moodys/Fitch): CCC/Ca/- Yield 4 Current Coupon: 2.586% Spread Yield @ Base Case 10.001% Duration WAL @ Base Case 9.58 WAL 9 Principal Window @ Base Case Jun12 to Apr34 Principal Window Jun12 EFTA_R1_00296632 EFTA01882859 Writedown % 11.39% Current Credit Enhancement: 2.30% 60+ Delinquencies 5.38 60+ Delinquency Coverage 0.43x UNDERLYING COLLATERAL DESCRIPTION Principal Writedown Total Collet Loss Total Liquidation Average Loan Balance (5,000s) 571 CPR CDR SEV Mortgage Type Seasoned Prime 5/1 Hybrids Wtd Avg Mortgage Coupon 3.010% Wtd Avg FICO Score 747 Wtd Avg Orig Loan-to-Value 57.88% HPI Adj LTV 58.53% Weighted Avg Loan Age 97 Owner Occupied 96.18 Top 1 Geo Concentration CA 72% Top 2 Geo Concentration NY 5% Top 3 Geo Concentration FL 3% Always Current (24 mos) 85.46% •All Investments are subject to risk, including possibly loss of principal. *Investment idea may not be suitable for all Investors. 52 1. 10 •This message is a product of sales and trading and is not a research report •Non.Agency bonds may have limited liquidity and clients should he aware that the secondary market for mortgage.backed securities has experience purchasers for your class of certificates. Although any class of certificates may experience Illiquidity. It is more likely that classes •lllgh Ykld Non-Agency bonds are speculative non-investment grade bonds that have higher risk of default or other adverse credit events whkh are appropriate for high risk investors only. EFTA_R1_00296633 EFTA01882860 ' • ALL OFFERS ARE SUBJECT 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 httplipscppvLomer,jpmchase.net:8080/BlueSkyPage.html and review to set 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 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.jpmoruan.comitages/disclosurcs/cmail. EFTA_R1_00298634 EFTA01882861