EFTA Document EFTA01768810

From: Barrett, Paul S Sent: Thursday, April 12, 2012 6:58 PM To: Epstein, Jeffrey ([email protected]) Cc: Giuffrida, David Subject: HY RMBS FOCUS BOND- 58.65mm of BAFC 06-G 2A5 @ 65-00 (11.05% yield / 3.96 dum) This is an interesting bond. Would be s=ending $1.7MM. Paul</=:p> =OA BAFC 06-G 2A5 is an Alt-A senior support backed=by 76 month seasoned Alt-A hybrids. =OD =OA BAFC 2006-6 2A5 Offer=d @ 65-00 =OA =OD =OA =OA BOND DESCRIPTION</=> <=d width="156" nowrap="" valign="bottom" style="width:117.35pt;ba=kground:#F2F2F2;padding:0in 5.4pt Oin 5.4pt;height:15.75pt"> Prepay Rate<=p> 3 CPR Cusip: 05950MAF7 =OA Default Rate<=:p> 6 ramp 24 14 10 ramp=12 5 CDR 6 =amp 24 14 12 ramp 12 5 CDR =OA Original Face: <=d width"144" nowrap="" valign="bottom" style="width:108.2pt;pad=ing:0in 5.4pt 0in 5.4pt;height:13.35pt"> 6,1=0,000 Default Severity EFTA_R1_00078961 EFTA01768810 =0 ramp 60 50 50 ramp=36 45 Curren= Face: 2,598,075 =OD =OD B=nd Type: Alt-A Senior Men =OA cpan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:black">Price @ 65-00 =OD St=ess Case Base Case=/p> Ratings (S&P/Moodys/Fitch): CCC/Ca/- Yield =OD 4.355 11.054 =p class="MsoNormal" align="center" style="text-align:center">12.268 =tr style="height:13.35pt"> Current Coupon: <=d width="144" nowrap="" valign="bottom" style="width:108.2pt;pad=ing:Oin 5.4pt Din 5.4ptheight:13.35pt"> 0=2E522% Spread =OA 296 1100 Duration=o:p> 4.04 <=td> 3.43 =OA WAL @ Base Ca=e 6.36=/span> 2 EFTA_R1_00078962 EFTA01768811 =OD WAL 6.36=/o:p> 5.38 Principal Window @ Base Case =0A=0A Apr12 to Jan35 =td width="39" nowrap="" valign="bottom" style="width:28.9pt;padd=ng:Oin 5.4pt Oin 5.4pt;height:13.35pt"> Principal Window Apr12 to=Feb28 Apr12 to Jan35<=p> =OA Apr12 to Apr31 </=r> 0.00% Principal Writedown 33.67= 0.00% =OD Current Credit Enhancement: <=d width="144" nowrap="" valign="bottom" style="width:108.2pt;padring:Oin 5.4pt Oin 5.4pt;height:13.35pt"> 5=2E24% Total Collat =oss 19.05% =OA 17.10% 15.89% =0A60+ Delinque=cies 19.27 <1=> 44.19%<frp> 46.15% 3 EFTA_R1_00078963 EFTA01768812 38.75% =0A 60+ Delinquency Coverage =OD <=pan style="font-size:9.0ptjont-family:"Arial","sans-se=if";color:#1F497D">0.27x HISTORICAL PERFORMANCE =OD =OD </=pan> =b> =OA UNDERLYING COLLATERAL DESCRIPTION atd> ad width="156" nowrap="" valign="bottom" style="width:117.35pt;bo=der:none;border-bottom:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5=2E4ptheight:14.15pt"> 1 MOS =OD 6 MOS CPR =00 <=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:01F497D">4.82 5.80=o:p> 7.15 Mortgage Type =OA CDR 3.18 =OA 4.92 6.90 4 EFTA_R1_00078964 EFTA01768813 =0AWtd Avg Mortgage=Coupon 4.403% =OD =OD SEV =td width="150" nowrap="" valign="bottom" style="width:112.35pt;p=dding:0in 5.4pt 0in 5.4pt;height:13.35pt"> =2.49 49.48 =OD 45.33 Wtd Avg FICO Score width="144" nowrap="" valign="bottom" style="width:108.2ptpad=ing:0in 5.4pt 0in 5.4pt;height:13.35pt"> 693=o:p> =OA =OD =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Wtd Avg Orig Loan-to-Value =OA =OA HPI Adj LTV<=p> =OA 97.81% Weighted Avg Loan Age 76 =td width="39" nowrap="" valign="bottom" style="width:28.9pt;padd=ng:0in 5.4pt 0in 5.4pt;height:13.35pr> 89.53 =1W> <=d width="156" nowrap="" valign="bottom" style="width:117.35pt;pa=ding:0in 5.4pt 0in 5.4pt;height:13.35pt"> Top 1 =eo Concentration CA 54% =OA =OD Top 2 Geo Concentration FL&nbs=; 7% =OA Always Current (24 mos) =OD =OD 5 EFTA_R1_00078965 EFTA01768814 </=:p> =O:p> =0D =OD =p class="MsoNormal">*All Investments a=e subject to risk, including possible loss of principal. investment idea may not be sui=able for all investors. =OA *This message is a product of sales and trading and is not a =esearch report *Non-Agency bonds ma= have limited liquidity and clients should be aware that the secordary market for mortgage- backed securities has experienced periods of illi=uidity and may do so in the future. Illiquidity means that there may not=be any purchasers for your class of certificates. Although any class =OA of certificates may experience illiquidity, it is more likely that clas=es risk=of default or other adverse credit events which are appropriate for high r=sk investors only. =00 <=tbody> =OD *** ALL OFFERS ARE SUBJECT =OA US Onshore Clients — Blue Sky (U.S. State Securities=Law): Please confirm Blue Sky eligibility before soliciting to a US Onshor= client by entering the CUSIP into the web tool located at: http:/=pscppvl.amer.jpmchase.net:8080/BlueSkyPage.html and =eview to see if your client's state of residence is listed. If you=receive 'NO SECURITY FOUND', 'NO STATES FOUND' or =he security DOES NOT HAVE A CUSIP or is not USD- denominated, then pl=ase contact your SM or local compliance officer and provide the requested =ecurity and client information. Please note that a suitability review an= other pre-trade procedures must still be followed.=b> =/span> 6 EFTA_R1_00078966 EFTA01768815 This email is confiden=ial and subject to important disclaimers and conditions including on offer= for the purchase or sale of securities, accuracy and completeness of info=mation, viruses, confidentiality, legal privilege, and legal entity discla=mers, available at http://www.jpmorgan.com/pages/disclosures/email. = 7 EFTA_R1_00078967 EFTA01768816