EFTA02370477

From: Barrett, Paul S Sent: Thursday, August 23, 2012 3:16 PM To: Epstein, Jeffrey ([email protected]) Cc: Ens, Amanda Subject: Rplacement for the mortgage we sold last week - NEW PRIME RMBS SUB - $3.325mm of CWHL 03-26 B1 @ S80-16 (7.56% yield / 3.16 dum) =body lang="EN-US" link="blue" vlink="purple"> Hil=ffrey This is a good replacement for the mortga=e we sold last week. Spending around $1.3MM. Let me know. - &nbs=; 741 FICO =OA CWHL 2003-26 B1 Offere= @ 80-16 =OA =/td> 5.4pt Din 5.4pt;height:6.75pt"> =OA BOND DESCRIPTION =OD =OD =td width="183" nowrap="" valign="bottom" style="width:137.1pt;pa=ding:0in <=td> Prepay Rate 18 ramp 18 22 CPR </=d> =OD <=pan style="font-size:8.0pt;font-family:"Arial","sans-serincolor:black">20 ramp 18 24 CPR =OD Cusip: =OD 12669ERR9 Default Rate EFTA_R1_01372423 EFTA02370477 =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:black">4 ramp 30 2.5 1 ramp 24 0.5 CDR 4 ramp 24 2.5 0.5 CDR<=span> =td width"333" nowrap="" valign="bottom" style="width:250.05pt;p=dding:0in 5.4pt 0in 5.4pt;height:12.75pt"> Original Face: 3,325,000 Default Severityap> 40 ramp 18 35 =OA 35 Current Face: 1,626,664=o:p> =OD Bond Type: =OD Prime Fix Sub Price @ 80-16 =OA Stress Case Base Case Recovery Case Ratings (S&P/Moodys/Fitch): =OA -/-/8/"- Yield =OD =OD <=pan style="font-size:8.Optfont-family:"Arial","sans-se=if";color:black">7.562 Current Coupon: =OD 5.337% Spread over Tsy =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:black">-149 684 2 EFTA_R1_01372424 EFTA02370478 =OD <=pan style="font-size:8.0ptfont-family:"Arial","sans-serif";color:black">1137 =0A Yield @ Base Case 7.562% =OA =OADuration 3.52 3.16 2.97 WA= @ Base Case 4.09=o:p> WAL 4.62 =OD 4=2E18 Principal Window @ Base Case <=td> Principal Window =td width="196" nowrap="" valign="bottom" style="width:147.1pt;pa=ding:Oin 5.4pt 0in 5.4pt;height:12.75pt"> Sep12 to Jul334=pan> =OD <=pan style="font-size:8.0ptfont-family:"Arial",Thans-se=incolor:black">Sep12 to Jun33 =OA Writedown %<=span> 17.00% =OA Principal Writedown =td width="196" nowrap="" valign="bottom" style="width:147.1pt;pa=ding:Oin 5.4pt 0in 5.4ptheight:12.75pt"> 17.00% =OA 2.32% 3 EFTA_R1_01372425 EFTA02370479 Total C=Ilat Loss 0.35%</=> 0.25%=/span> =0A60+ Delinqu=ncies 7.47 <=p> Total Liquidation =OD 7.01% 6.45%</=pan> =OD <=pan style="font-size:8.0ptfont-family:"Arial",Thans-se=if";color:black">5.38% =OD 60+ Delinquency Coverage =OD 0.31x =OA HISTORICAL PERFORMANCE UNDERLY=NG COLLATERAL DESCRIPTION <=span> 1 MOS 6 MOS=/b> Average Loan Balance=(5,000s) =OD CPR <=d width="196" nowrap="" valign="bottom" style="width:147.1ptpad=ing:0in 5.4pt 0in 5.4pt;height:12.75pt"> 15=2E76 18.19 =OA Loan Count 365 4 EFTA_R1_01372426 EFTA02370480 =OD CDR <=td> 0.00=/p> =OA 0.00 =OA Mortgage Type <=d width="151" nowrap="" valign="bottom" style="width:112.95pt;pa=ding:0in 5.4pt 0in 5.4pt;height:12.75pr> SEV NA =OD NA NA Wtd Avg Mortgage Coupon=o:p> 5.570% <=td> ad width="184" nowrap="" valign="bottom" style="width:138.0pt;pad=ing:0in 5.4pt Din 5.4pt;height:12.75pt"> 741 =OD =OD Wt= Avg Orig Loan-to-Value 49.68%=/o:p> =OA HPI Adj LW 46.68%a:p> =OD <=d width="200" nowrap="" valign="bottom" style="width:150.0pt;pad=ing:0in 5.4pt 0in 5.4pt;height:12.75pt"> =tr style="height:12.75pt"> Weighted Avg Loan Age =OD 109 =OD <=tr> Top 1 Geo Concentration</=pan> =OD <=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:#1F4970">CA 37% Top 2 Geo Concentration EFTA_R1_01372427 EFTA02370481 <=d width="184" nowrap="" valign="bottom" style="width:138.0pt;pad=ing:0in 5.4pt 0in 5.4ptheight:12.75pt"> FL 5%<=span> =OD <=d width="183" nowrap="" valign="bottom" style="width:137.1pt;pad=ing:0in 5.4pt 0in 5.4ptheight:12.75pt"> =9.77% =OD <=tr> <=span> =OA =0AIMPORTANT DISCLAIMER:=0D Non-agency R=BS is a complex fixed income product and is not suitable for all investors=2E Please note that while desk assumptions are driven by a number of=collateral and macro factors, the historical performance of a dea= is not indicative of its future performance. Additionally, th=s message is a product of sales and trading and is not a research report=2E Other key risks to consider are outlined below:=/p> All investments are =ubject to possible loss of principal This emai= is confidential and subject to important disclaimers and conditions inclu=ing on offers for the purchase or sale of securities, accuracy and complet=ness of information, viruses, confidentiality, legal privilege, and legal =ntity disclaimers, available at http://www.jpmorgan.com/pages/disclosu=es/email. 6 EFTA_R1_01372428 EFTA02370482