EFTA Document EFTA01764668

From: Barrett, Paul S Sent: Friday, Octoberl illig To: Jeffrey Epstein Cc: Giuffrida, David J; Schaffer, Susannah Subject: RE: To Do - NEW HY RMBS - S7.521mm of SEMT 03-5 B1 @ $80-16 (6.15% yield / 5.62 durn) Paul Paul Barrett,=CFA Managing Director Global Investment Opportunities Group=o:p> JPMorgan Private Bank Maui ttarrett, < =pan> Managing Director =p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-a=t:auto">Global Investment Opportunities Group JP=organ Private Bank (W) I would like to take profits on our Barclays Pfd which is yielding 1=2E70% and buy this mortgage bond. We are up $154K all in on the Barclays Pfd. Paul &nb=p; =/span> EFTA_R1_00072169 EFTA01764668 US Onshore Cli=nts — Blue Sky (U.S. State Securities Law): Please confirm Blue =ky eligibility before soliciting to a US Onshore client by entering the CU=IP into the web tool located at: http://pscppv1=2Eamer.jpmchase.net:8080/BlueSkyPage.html <http://pscppvl.amer=2Ejpmchase.net:8080/BlueSkyPage.html> and review t= see if your client's state of residence is listed. If you receive='NO SECURITY FOUND', 'NO STATES FOUND' or th= security DOES NOT HAVE A CUSIP or is not USD- denominated, then please con=act your SM or local compliance officer and provide the requested security=and client information. Please note that a suitability review and other =re-trade procedures must still be followed. The SEMT 03-5 B1 is a prime subordinate bond rated BB+=/B2/BBB and is backed by 110 month seasoned Prime Vanilla ARM mortga=es. The pool has 60.35% updated LTV, 84% always current borrowers (loo=ing back 2 years), 271k average balance and most importantly, 4.=% credit support vs only 3.55% 60+ delinquency. The way = look at it, if 100% of the 60+ delinquent borrowers were immediately =victed and foreclosed on and the repossessed homes sold for $0, the pool w=uld incur 3.55% losses. In this grim scenario I painted, t=is B1 bond would still receive no writedowns. =dditionally, this deal is immediately callable by the servicer since the c=llateral factor is below the 10% range. This deal becomes more cal=able as time passes and in the scenario where rates were to back up, the A=M mortgages in this pool would be worth considerably more on bank ba=ance sheets. With only 3.55% delinquent loans, this deal is alre=dy clean enough to call, it's really a matter of economics for the s=rvicer at this point. In our recovery scenario, we are assuming th= deal is called 3 years from today even though the bonds are c=llable right now. In our stress scenario, we default =pproximately 2.6x the current 60+ delinquent population at 60 severi=y ramping down over 2 years to 40. We're also running half t=e 6 month speeds and see this bond producing a 5.02% yield for a 6.03 =uration bond. *** THIS BOND IS OFFERED TO US AND THE =TREET AT 84-16. I see value in this bond @ 80.16 but there is no g=arantee we can trade it there. HIGHLIGHTS =OD - &nbs=; HPI =pdated LTV = 60% =0A84% of the borrowers have not mis=ed a payment in the past 2 years - &n=sp; 110 months seasoned<=span> -&nb=p; 732 FICO =nbsp; $271k average balance =0A**Source: Bloomberg 2 EFTA_R1_00072170 EFTA01764669 SEMT 2003-5 B1=Offered @ 80-16 =0D =td width="231" nowrap="" valign="bottom" style="width:173.45pt;p=dding:0in 5.4pt Oin 5.4pt;min- height:6.75pt"> BOND DESCRIPTION =o:p> Prepay Rate 3 CPR S CPR =/td> =OD Cusip: 81743PCR5 2.5 ramp 24 1 CDR</=> =p class="MsoNormal" align="center" style="mso-margin-top-alt:auto;ms=-margin- bottom-alt:auto;text-align:center> 2 ramp 24 0=2E5 CDR 7,521,500 Default Severity 60 ramp 24 40=/o:p> =OD 50 40 ramp 24 35 =p class="MsoNormal" align="center" style="mso-margin-top-alt:auto;ms=-margin-bottom-alt:auto;text-align:center"> 45 ramp 24 30=/span> =p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-a=t:auto;text-indent:8.0pt"> Current Face: 4 Percent =OA 4 Percent 4 Percent =OA Bond Type: Seasoned Prime Subs</=:p> =OD Delinq Advance (% of P&I) 100 3 EFTA_R1_00072171 EFTA01764670 100 <=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if"">100 Ratings (S&a=p;P/Moodys/Fitch): 66+/63/BBB/`- =OD Optional Servicer Call<=o:p> =OD N N =OA 10/2015 Current Coupon: <=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:red">** Run to Fwd LIBOR =OA =OA Yield @ Base Case =td width="231" nowrap="" valign="bottom" style="width:173.45pt;b=ckground:#D7E4BC;padding:0in 5.4pt 0in 5.4pt;min-height:12.75pt"> =OA 6.149% =p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-a=t:auto;text-indent:8.0pt") WAL @ Base Case<=o:p> =OD 7.11 =OA Prin=ipal Window @ Base Case Nov12 t= Aug33 =p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-a=t:auto">Price @ 80-16 =OD Stress Case Base Case =OA Recover= Case =OD Yield=/p> 5.015 4 EFTA_R1_00072172 EFTA01764671 =Ad> 6.1494=> 10.416 357 481 996 =OD 60+ Delinquencies =/td> 3.=5 Duration =OD 2.29<=span> 60+ Delinquency Coverage class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-aHauto">WAL =OD =OA =OD Nov12 to Aug33 =OA Nov12 to Aug33=/span> Nov12 to Nov15 UNDERLYING COLLATERAL DES=RIPTION Principal Writedown</=:p> 8.63= 0.00% Average Loan Balance (5,000s) 271 =OD =p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-a=t:auto">Total Collat Loss =0A0.56%</=> Total Liquidat=on =span style="font-size:8.0pt;font-family:"Arial","sans-s=rif"">9.20% 5.13% <=d width="256" nowrap="" valign="bottom" style="width:192.0pt;pad=ing:0in 5.4pt 0in 5.4pt;min-height:12.75pr> 5 EFTA_R1_00072173 EFTA01764672 2.57% =00 Mortgage Type =0ASeasoned Prime Vanilla ARM= =OD =/td> Wtd Avg Mortgage Coupon =OD 2.332= HISTORICAL PER=ORMANCE Wtd Avg FICO S=ore <=p> 1 MOS</=> 6 MOS =OA Wtd Avg Orig Loan-to-Value =OA =0.67% CPR <=td> 4.30=/span> 6.01 6.52 <=d width="253" nowrap="" valign="bottom" style="width:189.55pt;pa=ding:0in 5.4pt 0in 5.4pt;min-height:12.75pt"> HPI Adj LW =OD 60.35= CDR =0A0.00=o:p> 0.00 Weighted Avg Loan Age =/td> 110<=span> SEV =DANA =OA NA 6 EFTA_R1_00072174 EFTA01764673 NA =0AOwner Occupied =OA =4.21 <=d width="253" nowrap="" valign="bottom" style="width:189.55pt;pa=ding:0in 5.4pt 0in 5.4pt;min-height:12.75pt"> Top 1 Geo Concentration =OD =OA CA 14% =OD Top 2 Geo Concentration =OA =L 13% =OD Top 3 Geo Concentration =OA =A 11% =OD Always Current (24 mos) =OA =4.06% =OD <=0:p> IMPORTANT DISCLAIMER: Non-agency RMBS is a complex fixed income product and is not suitabl= for all investors. Please note that while desk assumptions are dr=ven by a number of collateral and macro factors, the historical p=rformance of a deal is not indicative of its future performance.&nbs=; Additionally, this message is a product of sales and trading and is not = research report. Other key risks to consider are outlined below:<=span> &=bsp; All investments are subject to possible loss of principal - &nbs=; Non-Agency bonds may have limited liquidity and clients should b= aware that the secondary market for mortgage-backed securities has experi=nced periods of illiquidity and may do so in the future. Illiquidi=y means that there may not be any purchasers for your class of certificate=. Although any class of certificates may experience illiquidity, it is m=re likely that classes that are lower in the capital structure and non-inv=stment grade related may experience greater illiquidity than more se=ior, investment-grade rated classes. 7 EFTA_R1_00072175 EFTA01764674 -<=pan style="font-size:7.0pt"> =nbsp; High Yield Non-Agency=bonds are speculative non-investment grade bonds that have higher risk of =efault or other adverse credit events which are appropriate for high risk=OD investors only Non-Agency bonds are intended for clients with a minimum total =et worth of $50mm. Please make sure your client fulfills thi= requirement before soliciting this order. This email is confident=al and subject to important disclaimers and conditions including on offers=for the purchase or sale of securities, accuracy and completeness of infor=ation, viruses, confidentiality, legal privilege, and legal entity d=sclaimers, available at http://www.jpmorgan.com/pages/dis=losures/email <http://www.jpmorgan.com/pages/disd=sures/email> . =OD =OD =he information contained in this communication is confidential, m=y be attorney-client privileged, may constitute inside informatio=, and is intended only for the use of the addressee. It is the =roperty of Jeffrey Epstein Unauthorized use, disclosure=or copying of this communication or any part thereof is strictly =rohibited and may be unlawful. If you have received this =OAcommunication in error, please notify us immediately by return =-mail or by e-mail to [email protected] <mailto:[email protected]> , and destroy this commu=ication and all copies thereof, including all attachments. copy=ight -all rights reserved 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, confidentia=ity, legal privilege, and legal entity disclaimers, available at http://ww=.jpmorgan.com/pages/disclosures/email. 8 EFTA_R1_00072176 EFTA01764675