EFTA02401402

From: Sent: To: Cc: Subject: Barrett, Paul S Monday, June 18, 2012 12:19 PM Epstein, Jeffrey ([email protected]) Giuffrida, David J FW: To Do (W)&nb=p; 212-310-0108 (F) NMLS ID# 853441 From: Barrett, Paul S Sent: Friday, June 15, 2012 10:=4 AM To: 'Jeffrey Epstein' Cc: Giuffrida, =avid J; Ens, Amanda Subject: To Do =OD =OD Jeffrey =nbsp; This looks like an interesting bond. Would be spending around $1MM=2E $1.5MM of our CIT &% 2017 bonds have been ca=led at par. I would like to use some of those proceeds to buy this mortg=ge bond. =span style="font-size:11.0pt;font-family:"Calibri","san=-serir;color:#1F497D">Let me know. Paul<=span> &n=sp; EFTA_R1_01437872 EFTA02401402 <=> =p class="MsoNormal"> <=span> *** ALL =FFERS ARE SUBJECT US Onshore Clients — Blue Sky (=.S. State Securities Law): Please confirm Blue Sky eligibility before =oliciting to a US Onshore client by entering the CUSIP into the web tool l=cated at: http://pscppvl.amer.jpmchase.net:8080/BlueSkyPage=2Ehtml chttp://pscppvl.amer.jpmchase.net:8080/8=ueSkyPage.html> and review to see if your client's state of res=dence is listed. If you receive 'NO SECURITY FOUND', '=O STATES FOUND' or the security DOES NOT HAVE A CUSIP or is no= USD- denominated, then please contact your SM or local compliance officer =nd provide the requested security and client information. Please note th=t a suitability review and other pre-trade procedures must still be =ollowed. Apologies in advance for the dissertation =elow. BOAMS 07-1 2Al2 is a Prime 6% coupon, senior su=port backed by prime jumbo 30yr fix mortgages with a weighted average coup=n of 6.38%. What does this mean? Essentially, =he bonds are backed by one of the most rate sensitive homeowners in the ma=ket. 76% of the homeowners have not missed a payment in the =ast 2 years, have a 749 avg FICO and have some degree of equity in t=eir homes (home price index updated LTV for this subset of borrowers=is 94.07%). These are the type of borrowers that are looking to =efinance their current mortgages...this is evident in the pool's=historical speeds which have prepaid in the mid to high teens. =OA Base Case Scenario: This bond is a short duration bond paying 8.8% yiel= with a 2.47 duration. This is assuming 50% higher severitie= than 6 month averages, over 2.9x higher CDR prints than 6 month average=, and 20% slower speeds than 6 mos averages. =p class="MsoNormal">Stress Case Scenario= Assuming home lending tightens, p=operty values decline further and the current homeowners' cred=t undergoes significant deterioration, then we should expect prepay speeds=to slow down and defaults to ramp up. In our stress case scenario,=we assume 33% slower speeds vs 6 mos average, 3.1x higher default =ates vs 6 mos averages and 50% higher seventies vs 6 mos averages for lif= of the loans. In this scenario, we default and liquidate 19.6% =f the remaining pool. Bear in mind there are only 13.93% delinqu=nt loans to date. In this stress, this bond would yield 2=2E01% with a 2.44 durn. Recovery Case Scenario: In this scenario, we assume housing rec=vers (results in lower LTVs) and borrower's experience positiv= credit migration (i.e. credit scores improves due to continued perfor=ance). If this were to transpire, we'd expect prepay speeds =o ramp up as more borrower's would qualify to refinance and severiti=s on liquidations to decrease as property values increase. 1= this scenario, we assume similar prepay speeds to the 6 month average, 2=2E6x higher default rates vs 6 month average and 35% higher seventies tha= the 6 month average. To our recovery scenario, this bond is=a 16.42% yield at a 2.40 duration. =OA &nb=p; =nbsp; &nb=p; =nbsp; &nb=p; =nbsp; &nb=p; =nbsp; &nb=p; Please call the desk wi=h all bids/inquiries related to this bond. X32124<=p> =/o:p> 2 EFTA_R1_01437873 EFTA02401403 Bond Highlights: =nbsp; Avg=Loan Balance = $558k Avg FICO Score= 742 HPI (Home price index) adjusted LTV = 97% *= = 83 months seasoned &nbs=; 76% of borrowers have not missed a single payment in the =ast 2 years BOAMS 2007-1 2Al2 Offered @ 57.00 <=td> =OA =OD BOND DESCRI=TION Prepay=Rate 12 CPR 14 CPR =OD 18 CPR =OA Cusip: =OA 5.5 =or 36 3 CDR S for 36 = CDR Or=ginal Face: 3,954,000 =/td> Default Severity 55 ramp 12 50 =OA 50 =OD =OD =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Current Face: 3 EFTA_R1_01437874 EFTA02401404 =OA =OA =OD Bond Type: </=d> Prime 6% Senior Support Price @ 57=00 Stress Case =OD Base Case Recovery Case</=> Ratings (S&P/Moodys/Fi=ch): CCC/C/C =OA =0AYield 16.429<=p> Current Coupon:=/span> =span style="font-size:9.0ptfont-family:"Arial","sans-s=rif";color:#1F497D">6.000% Spread 160 =0A=0A 833 1591 =OA Yield @ Base Case</=:p> 8.798% =/td> Duration 2.44=/o:p> 2.47</=> WAL @ Base Case 3.49 WAL 4 EFTA_R1_01437875 EFTA02401405 =0A3.12<=p> 3.49 3.8 Principal Window @ Base Case Jul12 to Oct22<=p> Jul12 to Mar21 Ju112 to Oc=22 Ju112 to Jun26 =OD 48.32% =OD =OD Principal Writedown =OD 58.39% 48.32%=/span> =span style="font-size:9.0ptfont-family:"Arial","sans-s=rif";color:black">31.66% Current Credit Enhancement: =OD 3.49% Total Collat Loss 6.06%</=pan> =OD <=pan style="font-size:9.0ptfont-family:"Arial","sans-serif";color:black">5.47% 4.94% 60+ De=inquencies 13.93 <=span> =OD Total Liquidation =OD <=pan style="font-size:9.0ptfont-family:"Arial","sans-serif";color:black">19.61% 18.15%<=:p> 15.56% 5 EFTA_R1_01437876 EFTA02401406 60+ Delinquency Coverage=/span> =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">0.25x HISTORICAL PERFORMANCE 1 MOS 3 MOS </=d> 6 MOS=/span> =OD Average Loan =alance ($,000s) 558<=p> Loan Count 225<=o:p> =OA 17.73 CDR =OD 7.21 4.00=/span> =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";colorM1F497D">1.91 Mortgage Type =0AP=ime 30yr Fix SEV 37.08 37.08=/p> Wtd Avg Mortgage Coupon 6.383% 6 EFTA_R1_01437877 EFTA02401407 </=d> <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;pa=ding:0in 5.4pt 0in 5.4ptheight:13.35pr> Wtd Avg FI=O Score =OA Wt= Avg Orig Loan-to-Value 67.55%=/o:p> =0A HPI Adj LN 96.54%<=:p> =OD <=d width="167" nowrap="" valign="bottom" style="width:124.9pt;pad=ing:0in 5.4pt 0in 5.4pt;height:13.35pt"> =tr style="height:13.35pt"> Weighted Avg Loan Age =OD 70 91.87 =OD <=tr> =OD Top 1 Geo Concentration =OA CA 48% =OD Top 2 Geo Concentration =OD Top 3 Geo Con=entration NC 5% =OA =OD =OA Always Current (24 mos) 76.15%<=:p> <=d width="167" nowrap="" valign="bottom" style="width:124.9ptpad=ing:0in 5.4pt 0in 5.4ptheight:13.35pt"> =/tbody> </=> <=:p> 7 EFTA_R1_01437878 EFTA02401408 IMPORTANT DISCLAIMER: =OA Non-agency RMBS=is a complex fixed income product and is not suitable for all investors.=nbsp; Please note that while desk assumptions are driven by a number of co=lateral and macro factors, the historical performance of a deal i= not indicative of its future performance. Additionally, this =essage is a product of sales and trading and is not a research report.&n=sp; Other key risks to consider are outlined below: =OD c/=pan>AII investments are subj=ct to possible loss of principal - &n=sp; Non-Agency bonds may have limited liquidity =nd clients should be aware that the secondary market for mortgage-backed s=curities has experienced periods of illiquidity and may do so in the=future. Illiquidity means that there may not be any purchasers for your =lass of certificates. Although any class of certificates may experience =lliquidity, it is more likely that classes that are lower in the capital s=ructure and non-investment grade related may experience greater illi=uidity than more senior, investment-grade rated classes. - =nbsp; Hig= Yield Non-Agency bonds are speculative non-investment grade bonds that ha=e higher risk of default or other adverse credit events which are appropri=te for high risk investors only =OD This email is con=idential and subject to important disclaimers and conditions including on =ffers for the purchase or sale of securities, accuracy and completeness of=information, viruses, confidentiality, legal privilege, and legal entity d=sclaimers, available at http://www.jpmorgan.com/pages/disclosures/emai=. 8 EFTA_R1_01437879 EFTA02401409