EFTA02553893

From: Barrett, Paul S <p Sent: Tuesday, May 1, 21.11 To: Epstein, Jeffrey ([email protected]) Cc: Giuffrida, David Subject: $2.59mm of WAMU 04-AR3 B2 @ 62-16 (10% yield / 6.26 durn) =OA Jeffrey=/b> Found a bond for the 51MM we were looking to spe=d from last week. =AMU 04-AR3 B2 is a Prime 5/1 Subordinate bond backed by seasoned Prim= 5/1 hybrid jumbo mortgages. HIGHLIGHTS=/b> - &n=sp; 747 FICO - &nb=p; HPI Updated LTV = 58.53%- &nb=p; 85% of the borrowers have not missed a payment in the past 2 years - &=bsp; 96% owner occupied - <=span>97 months seasoned</=> =OA WAMU 2004-AR3 B2 Offered @ 62-16</=> =OD =OA BOND DESCRIPTION Prepay Rate 6 CPR 10 ramp 36 14 C=R Cu=ip: 92922FNM6 =OD =OD Default Rate 1 PROT7 PROT0 0.75 ramp 36 1.25 0.5 CDR =OA Original Face: 2,590,000 Default Seve=ity 35 for 36 30 30 ramp 48 25 =/td> Current Face: 1,888,737 =OD Bond Type: =OA Prime 5/1 Sub Price @b-16 Stress Case Base Case Recovery Case <=d width="228" nowrap="" valign="bottom" style="width:171.25pt;pa=ding:0in 5.4pt 0in 5.4pt;height:13.35pt"> CCC/Cak =/td> =ield 10.001<=span> 11.974</=:p> =OD Current Coup=n: 2.586% =OA Spread 2 PROT8 PROT1 274</=> 1061 Yield = Base Case 10.0=1% Duration </=d> 6.26 5.12 WAL @ Base Case =OA 9.58 =OD 9.28 7.44 =OA Principal Wi=dow @ Base Case Princip=l Window =OD <=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:black">Jun12 to Apr34 =un12 to May34 Writedown % =OD =OD <=pan style="font-size:9.0ptfont-family:"Arial","sans-se=if"">11.39% Pr=ncipal Writedown 52.29% =OD <=pan style="font-size:9.0ptfont-family:"Arial","sans-se=if";color:black">11.39% 0.00%<=:p> Curren= Credit Enhancement: 2.30% Total Collat Loss 3 PROT9 PROT2 =OD <=pan style="font-size:9.0pt;font-family:"Arial","sans-se=incolor:black">1.11% 0.80% 0.51% 60+ Delinquencies =OA 5.38 Total Liquidation 10.08%<=:p> 6.95% =OD 60+ Delinquency Coverage =td width="195" nowrap="" valign="bottom" style="width:145.95pt;pÝing:0in 5.4pt 0in 5.4pt;height:13.35pt"> =.43x =OD =/tr> =OD HISTORICAL =ERFORMANCE =b> =/p> 1=O5 =OA <=pan style="font-size:9.Optfont-family:"Aria)",'sans-se=if";color:black">3 MOS Average Loan Balance ($,0=0s) 571 </=d> <=d width="161" nowrap="" valign="bottom" style="width:120.6ptpad=ing:0in 5.4pt 0in 5.4pt;height:13.35pt"> 4 PROT10 PROT3 CPR 8.47 11.11 =OD Mortgage Type Seasoned Prime 5/1=Hybrids CDR 2.03 0.67 0.88 =OA Wtd Avg Mortgage Coupon</=:p> 3.010% =OA SEV 16.39 16.39 <=d width="175" nowrap="" valign="bottom" style="width:131.05pt;pa=ding:0in 5.4pt 0in 5.4pt;height:13.35pt"> 747 =OA =OD Wtd Avg Orig Loan•to•Value =td width="195" nowrap="" valign="bottom" style="width:145.95pt;pÝing:0in 5.4pt 0in 5.4pt;height:13.35pt"> =7.88% =OD =/tr> =OD Weighted Avg Loan Age =OA 97 =OD Owner Occupied<=span> 5 PROT11 PROT4 =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">96.18 =OA =OATop 1 Geo Conce=tration CA 72% =OD =OD =op 2 Geo Concentration NY 5% =OD =td width="175" nowrap="" valign="bottom" style="width:131.05pt;pÝing:Oin 5.4pt Oin 5.4ptheight:13.35pt"> =OA Top 3 Geo Concentration Always Current (24 mos)</=pan> =OD <=pan style="font-size:9.0ptfont-family:"Arial","sans-serif";color:#1F497D">85.46% =o:p> =OD =NI> =OD *All Inve=tments are subject to risk, including possible loss of principal.</=:p> *This message is a product of s=les and trading and is not a research report =OA `Non•Agency bonds may have limited liquidity and clients =hould be aware that the secondary mar=et for mortgage- backed securities has experienced periods of illiquidity a=d may do so in the future. Illiquidity means that there may not be any p=rchasers for your class of certificates. Although any class of cer=ificates may experience illiquidity, it is more likely that classes</=:p> &n=sp; 6 PROT12 PROT5 =OA *High Yield =on-Agency bonds are speculative non-investment grade bonds that have highe= =OD </=r> *** ALL OFFERS ARE SUBJECT=br> US Onshore Clients - Blue Sky (U.S. State Sec=rities Law): Please confirm Blue Sky eligibility before soliciting to a US=Onshore client by entering the CUSIP into the web tool located at: chttp://pscppvl.amer.jpmchase.net:8080/BlueSkyPage.html> &nb=p;and review to see if your client's state of residence is listed.=If you receive 'NO SECURITY FOUND', 'NO STATES FOUNDR=7; or the security DOES NOT HAVE A CUSIP or is not USD-denominated, =hen please contact your SM or local compliance officer and provide the req=ested security and client information. Please note that a suitability re=iew and other pre-trade procedures must still be followed.<=i> &nbs=; This email is c=nfidential and subject to important disclaimers and conditions including o= offers for the purchase or sale of securities, accuracy and completeness 4 information, viruses, confidentiality, legal privilege, and legal entity=disclaimers, available at http://www.jpmorgan.com/pages/disclosures/em=il. 7 PROT13 PROT6