EFTA01989224

To: [email protected][[email protected]]; Jeffres[[email protected]] From: Barrett. Paul S Sent: Tue 5/1/2012 8:38:40 PM Subject: RE: $2.59mm of WAMU 04-AR3 B2 @ 62-16 (10% yield / 6.26 durn) Can I book it in Haze? Paul Barrett, CFA Managing Director Global Investment Opportunities Group JPMorgan Private Bank From: Jeffrey [mailto:[email protected]] Sent: Tuesday, May 01, 2012 4:05 PM To: Barrett, Paul S Subject: Re: $2.59mm of WAMU 04-AR3 B2 @ 62-16 (10% yield / 6.26 durn) Ycs Sorry for all the typos .Sent from my iPhone On May I, 2012, at 3:53 PM, "Barrett, Paul S" a wrote: Jeffrey Found a bond for the $1MM we were looking to spend from last week. WAMU 04•AR3 B2 is a Prime 5/1 Subordinate bond backed by seasoned Prime 5/1 hybrid EFTA_R1_00481400 EFTA01989224 jumbo mortgages. HIGHLIGHTS - 747 FICO - HPI Updated LTV = 58.53% - 85% of the borrowers have not missed a payment in the past 2 years - - 96% owner occupied 97 months seasoned WAMU 2004-AR3 B2 Offered @ 62-16 BOND DESCRIPTION Prepay Rate 6 Cusip: 92922FNM6 Default Rate 1 ramp Original Face: 2,590,000 Default Severity 35 fo Current Face: 1.888.737 Bond Type: Prime 5/1 Sub Mfte62-16 Saes Ratings (S&PlMoodys/Fitch): CCC/Ca/- Yield 4. Current Coupon: 2.586% Spread • 4 Yield a Base Case 10.001% Duration 6 WAL © Base Case 9.58 WAL 9 Principal Window © Base Case Jun12 to Apr34 Principal Window Jun12 Writedown % 11.39% Principal Writedown 52 Current Credit Enhancement: 2 30% Total Collet Loss 1. 60+ Delinquencies 5.38 Total Liquidation 10 60+ Delinquency Coverage 0 43x HISTORICAL PERFORMANCE UNDERLYING COLLATERAL DESCRIPTION 1 I EFTA_R1_00481401 EFTA01989225 Average Loan Balance ($.000s) 571 CPR 8 Mortgage Type Seasoned Prime 5/1 Hybrids CDR 2 Wtd Avg Mortgage Coupon 3.010% SEV ti 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 possibk loss of principal 'Investment idea mas not be suitable for all ins estors. e'lhis message is a product of salts and trading and is not a research report •Non-Agencj bonds nos have limited liquidity and clients should be AIN are that the secondary market for mortgage-backed securities has experience purchasers for your class of certificates. Although any class of certificates may experience illlquldln, it is more likely that classes *High Yield Non-Agency bonds arc speculative non-investment grade bonds that have higher risk of default or other adverse credit events which are appropriate for high risk investors only. • • • ALL OFFERS ARE SUBJECT EFTA_R1_00481402 EFTA01989226 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://pscppvtomeripmchasemet: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. 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.comipages/disclosures/email. EFTA_R1_00481403 EFTA01989227