EFTA01963710

To: Jeffrey epstein (jeeyacation@gmaitcom)[Jeffrey epstein (jeevacation©gmaitcom)]; [email protected] ieevacation mail.com Cc: Barrett Pod Barrett, Paul S From: Ens, Amanda Sent: Wed 7/10/2013 5:13:55 PM Subject: RE: To Do - ALT-A HY RMBS OFFERING - $10mm of IMM 05-2 1M2 @ $69-00 (7.428% yield/4.53 dum) Jeffrey, We think we can source more of this bond and at 69 instead of 70.25. Paul thinks we should buy $2mm now, more than the $1mm originally discussed — could we work an order on $2mm? Thanks, Amanda *• •ALL OFFERS ARE SUBJECT•"• THE BONDS: The IMM 2005-2 1M2 is an Alt-A Men Floater (1mL + 73.5bps) backed by 101months seasoned Alt-A Fix and Hybrid ARM mortgages. The bond has 6.01% credit enhancement vs 17.22% 60+ delinquencies, giving the bond a 0.35x coverage ratio. THE COLLATERAL: The pool consists of 734 Alt-A Hybrid ARMS that are 100 months seasoned with an updated LTV of 84%. The average balance of the loans is $246k. THE STORY: For clients looking for housing exposure via cleaner, seasoned Alt-A collateral, this bond offers a very compelling yield pickup vs corp HY and provides a positive convexity story for investors. The bond is recommended for buy and hold clients who want yield pickup in this dislocated market. HIGHLIGHTS - HPI Updated LTV = 84% - 101 months seasoned - 704 Original FICO - $246k average balance EFTA_R1_00440053 EFTA01963710 66% 24-month perfect payers "Source: Intex/Bloomberg: July 10, 2013 iMM 2006.2 1M2 Offered fa 69-00 BOND DESCRIPTION Cusip: Original Face: Current Face: Bond Type: Ratings (S&P/MoodysiFitch): Current Coupon: Yield @ Base Case WAL @ Base Case Pnncipal Window @ Base Case Writedown % Current Credit Enhancement 60* Delinquencies 60+ Delinquency Coverage UNDERLYING COLLATERAL DESCRIPTION Prepay Rate 45254NNC7 Default Rate 10,000,000 Default Severity 1.566.775 Delinq Rate Alt-A Men Floater (1ML 73.5bps) Delinq Advance (% of P8I) CC/Cat- Call 0.928% 7 1 1 Jul13 to Nov28 23 20% 6.01% ' 3 2? Price @ 69-00 Yield DM Duration WAL Principal Window Principal Writedown Total Collet Loss Total Liquidation Average Loan Balance (5.000s) 246 Loan Count 731 HISTORICAL PERFORMANCE Mortgage Type Alt-A Fix and ARM Wtd Avg Mortgage Coupon 3.986•% CPR Wtd Avg FICO Store 704 CDR Wtd Avg Orig Loan-to-Value 70.56% SEV HPI Adj LTV 83.94% Weighted Avg Loan Age 101 Owner Occupied 68.21 EFTA_R1_00440054 EFTA01963711 Top 1 Geo Concentration CA 52% Top 2 Geo Concentration FL 10% Top 3 Geo Concentration VA 0% Always Current (24 mos) 66.40% IMPORTANT DISCLAIMER: Non-agency RMBS 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 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. Thanks, Amanda Amanda Ens I Vice President I Global Investment Opportunities I J.P.Morgan I WAS ID: 320 Park Ave, 14th Floor, New York, NY 10022 M: EFTA_R1_00440055 EFTA01963712 THIS IS NOT AN OFFICIAL CONFIRMATION For informational purposes only. This report does not represent an official account of the holdings, balances, or transactions made in your account and is being provided at your request. Please refer to your monthly account statement for the official record of all of your account activities. For question, please call your I.P. Morgan representative. 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.ipmorgan.com/onesidisclosurestemail. IRS Circular 230 Disclosure: .IPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly, any discussion of V.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used. In connection with the promotion, marketing or recommendation by anyone unaffiliated with IPMorgan Chase & Co. of any of the matters addressed herein or for the purpose of avoiding U.S. tax-related penalties. From: Barrett, Paul S Sent: Tuesday, July 09, 2013 10:00 AM To: Jeffrey Epstein ([email protected]) Cc: Barrett Pod Subject: To Do - ALT-A HY RMBS OFFERING - $10mm of IMM 05-2 1M2 @ $70-08 (7.005% yield/4.56 durn) Jeffrey I think we should sell our Chase 2007-Al mortgage bond. We are up $123K. And then buy the below bond. We will be raising around $1MM in cash if we do this switch and pick up around 225bps on our base case yield assumption. EFTA_R1_00440056 EFTA01963713 Let me know. Paul 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: httpifipssppvLamertipmchase.net:8080/81ueSkyPase.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 BONDS: The IMM 2005-21M2 is an Alt-A Men Floater (1mL + 73.5bps) backed by 101months seasoned Alt-A Fix and Hybrid ARM mortgages. The bond has 6.01% credit enhancement vs 17.22% 60+ delinquencies, giving the bond a 0.35x coverage ratio. THE COLLATERAL: The pool consists of 734 Alt-A Hybrid ARMs that are 100 months seasoned with an updated LTV of 84%. The average balance of the loans is $246k. THE STORY: For clients looking for housing exposure via cleaner, seasoned Alt-A collateral, this bond offers a very compelling yield pickup vs corp HY and provides a positive convexity story for investors. The bond is recommended for buy and hold clients who want yield pickup in this dislocated market. Please call the desk with all bids/inquiries related to this bond. HIGHLIGHTS - HPI Updated LTV = 84% 101 months seasoned 704 Original FICO $246k average balance 66% 24-month perfect payers "Source: Intex/8loomberg: July 8, 2013 IMM 2005-2 1M2 Offered © 70-08 EFTA_R1_00440057 EFTA01963714 BOND DESCRIPTION Prepay Rate Cusip: c Default Rate Original Face: 10,000,000 Current Face: 1.566,775 Bond Type: Alt-A Men Floater (1ML + 73.5bps) Ratings (S&P/Moodys/Fitch): CC/Ca(- Current Coupon: 0.928% Yield @ Base Case 7.005% WAL @ Base Case 7.07 Principal Window @ Base Case Jul13 to Sep28 Writedown % 23.66% Current Credit Enhancement: 6.01% 60+ Delinquencies 17.22 60+ Delinquency Coverage 0.35x UNDERLYING COLLATERAL DESCRIPTION Average Loan Balance (5.000$) 246 Default Severity Delinq Rate Delinq Advance (% of P&I) Call Price @ 70-08 Yield DM Duration WAL Principal Window Principal Writedown Total Collat Loss Total Liquidation Loan Count 731 HISTORICAL PERFORMANCE Mortgage Type Alt-A Fix and ARM Wtd Avg Mortgage Coupon 3.986% CPR Wtd Avg FICO Score 704 CDR Wtd Avg Orig Loan-to-Value 70.56% SEV HPI Adj LTV 83.94% Weighted Avg Loan Age 101 Owner Occupied 68.21 EFTA_R1_00440058 EFTA01963715 Top 1 Geo Concentration CA 52% Top 2 Geo Concentration FL 10% Top 3 Geo Concentration VA 4% Always Current (24 mos) 66.40% IMPORTANT DISCLAIMER: Non-agency RMBS 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 This commentary is a product of !Morgan 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 WMorgan'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. 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/cmail. EFTA_R1_00440059 EFTA01963716