EFTA02522065

From: Barrett, Paul S < Sent: Tuesday, September 11, 2012 2:28 PM To: Epstein, Jeffrey ([email protected]) Cc: Giuffrida, David J; Schaffer, Susannah Subject: NEW HY RMBS on 10am BWIC - $8.13mm of MHL 05-2 1M1 (BBB+•) @ $70-00 (6.50% yield / 6.25 dum) Jeffrey =br> US Onshore Clients — Blue Sky (U.S. State Securities La=): Please confirm Blue Sky eligibility before soliciting to a US Onshore c=ient by entering the CUSIP into the web tool located at: http://=scppvl.amer.jpmchase.net:8080/BlueSkyPage.html and r=view to see if your client's state of residence is listed. If you =eceive 'NO SECURITY FOUND', 'NO STATES FOUND' or t=e security DOES NOT HAVE A CUSIP or is not USD- denominated, then ple=se contact your SM or local compliance officer and provide the requested s=curity and client information. Please note that a suitability review and=other pre-trade procedures must still be followed.<=> The MHL 05-2 1M1 is a Seasoned Men Floater backed by Prime H=brid ARMs. This bond is on BWIC at 10am and there is no guarantee =e can trade this bond at our talked level. Please call th= desk with all bids/inquiries related to this bond. X32124 HIGHLIGHTS =DAHPI Updat=d LTV = 92% <=span>76% of the borrowers=have not missed a payment in the past 2 years - = 90 months seasoned &nb=p; 734=FICO "Source: Bloomberg MHL 2005.2 1M1 Offered @ 70-00 =OD =OD =/td> =OA BOND DESCRIPTION Prepay Rate 0.5 CPR 3 CPR Cusip: 1 EFTA_R1_01659904 EFTA02522065 61915RAD =OD Default Rate =0D 5 for 30 4.5 CDR =0A 5 ramp 24 4.5 CDR =OD 5 ramp 18 4.5 CDR =00 Original Face:aspan> =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:S1F497D">8,130,000 width="48" nowrap="" valign="bottom" style="width:35.8pt;paddi=g:0in 5.4pt 0in 5.4pt;height:13.35pt"> Default Severity =OA 65 ramp 12 60 60 for 36 55</=> 55 ramp 12 45 </=d> Current Face: =OD 2,080,970 =span style="font-size:9.0ptfont-family:Arial","sans-s=rif";color:black">Advance (% of P&I) <=td> 85 85<=o:p> =OD Bond Type: 0e=inq Rate 11 Percent Ratings (S&P/Moodys/F=tch): BBB+/*/N RI- =/td> Balance Forgiveness=o:p> 0.02 for 20 0 =0A 0.01 for 20 0=0D C=rrent Coupon: 2 EFTA_R1_01659905 EFTA02522066 0.676% =0A =00 Yield @ Base Case </=d> Price=@ 70-00 Stress Case=/p> Base Case Recovery Case <=d width="206" nowrap="" valign="bottom" style="width:154.6pt;bac=ground:gD7E4BC;padding:Oin 5.4pt Oin 5.4ptheight:13.35pt"> W=L @ Base Case 8.=2 5.310 =OD 6.5=5 7=2E924 Principal Window @ Base Case <=td> Sp=ead over Tsy 381</=> 671 =OD 10.45% =OD =OD Duration 6.53</=pan> 6.25 =OA Current Credi= Enhancement: 11.24% =OA WAL =OD <=pan style="font-size:9.0ptfont-family:"Arial","sans-serif";color:black">9.12 8.82 7.74=/o:p> 3 EFTA_R1_01659906 EFTA02522067 60+ De=inquencies 10.17 <=span> =OD Principal Window =OA Sep12 to Jan3S Sepl2=to Apr35 60+ Delinquency C=verage 1.11x =OD =OD Principal Writedown =OD 19.89% 10.45% 0.00% =OA Total Collat Loss<=p> =p class="MsoNormal" align="center" style="text-align:center">10.20% 9.47% 7.91% =OA UNDERLYING COLLATERAL DESCRIPTION <=td> <=d width="169" nowrap="" valign="bottom" style="width:126.7pt;pad=ing:0in 5.4pt 0in 5.4ptheight:14.15pt"> Total Liquidation =OD 40.65%<=p> =OA 36.74% =OA Average Loan Balance ($,000s) =OA 276 =OD Loan Count =/td> 580 HISTORICAL PERFORMANCE 4 EFTA_R1_01659907 EFTA02522068 =OD =OD </=pan> Mortgage Type <=td> Prime Hybrid ARMs 1 MOS 3 MOS =OD Wtd Avg Mortgage=Coupon 3.012% =OD =OD CPR cd width="150" nowrap="" valign="bottom" style="width:112.2pt;pad=ing:0in 5.4pt 0in 5.4ptheight:13.35pt"> 0=2E28 1.73 =0A 2.18 Wtd Avg FICO Score 734 =OD CDRap> =0A 6.62 3.38 Wtd Avg Orig boan-to-Value =OD <=pan style="font-size:9.Opt;font-family:"Arial","sans-se=if";color:#1F4970">69.62% SEV 50.96 5 EFTA_R1_01659908 EFTA02522069 =OD <=pan style="font-size:9.0ptfont-family:"Arial",nsans-se=incolor:#1F497D">60.70 48.=9 HP= Adj LT/ =/td> =OA =OA Weighted Avg Loan Age 90</=:p> =OA =OD <=r style="height:13.35pt"> 82.8= =OD =/tr> CA 56% =OA Top 2 Geo Concentration</=:p> AZ 7% =OD =OD Top 3 Geo Con=entration FL 6% =OA =OD Always Current (24 mos) 76.=1% =OA =OD IMPORTANT DISCLAIMER: Non-agen=y RMBS is a complex fixed income product and is not suitable for all inves=ors. Please note that while desk assumptions are driven by a numbe= 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 repo=t. Other key risks to consider are outlined below: All investments ar= subject to possible loss of principal - &n=sp; Non-Agency bonds may have limited liqu=dity and clients should be aware that the secondary market for mortgage-ba=ked securities has experienced periods of illiquidity and may do so =n the future. Illiquidity means that there may not be any purchasers for=your class of certificates. Although any class of certificates may exper=ence 6 EFTA_R1_01659909 EFTA02522070 illiquidity, it is more likely that classes that are lower in the cap=tal structure and non-investment grade related may experience greate= illiquidity than more senior, investment-grade rated classes. =OAHigh Yield N=n-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 Non-A=ency bonds are intended for clients with a minimum total net worth of $50m=. Please make sure your client fulfills this requirement before so=iciting this order.=/span> K=vin Lynn Vice President I WMorgan Securities</=> Desk: =OD =OA This email is confid=ntial and subject to important disclaimers and conditions including on off=rs for the purchase or sale of securities, accuracy and completeness of in=ormation, viruses, confidentiality, legal privilege, and legal entity disc=aimers, available at http://www.jpmorgan.com/pages/disclosures/email=2E 7 EFTA_R1_01659910 EFTA02522071