EFTA Document EFTA02005127

To: jeevacation©gmail.con[[email protected]]; epstein, jeffrey ([email protected])(epstein, jeffrey (jeevacationigmail.com)); jeevacation©g mail.comueevacation mail.com nna Giuffrida, David ran: tsarrett, Nau Sent: Thur 9/13/2012 12:47:05 PM Subject: New mortgage bond to buy Jeffrey I think we should buy this bond to replace the other mortgage we sold 2 weeks ago. Would be spending around $1.5MM on this. Paul US Onshore Clients — Blue Sky (U.S. State Securities Law): Please confirm Blue Sky eligibility before soliciting to a US Onshore client by entering the CUSIP into the web tool located at: http://pscppvtamer.ipmchose.net:8080/81ueSkyPoge.html and review to see if your client's state of residence is fisted. If you receive 'NO SECURITY FOUND', 'NO STATES FOUND' or the security DOES NOT HAVE A CUSIP or is not USD- denominated, then please contact your SM or local compliance officer and provide the requested security and client information. Please note that a suitability review and other pre-trade procedures must still be followed. The WFMBS 04-EE 81 is a Prime 5/1 Subordinate bond backed by 102 months seasoned Prime 5/1 ARM mortgages. The average balance of the loans is approximately $389k with an average updated LTV of 56%. 91% of these borrowers have never missed a payment in the past 24 months. While our base case scenario does not price in the fact that this bond may potentially be called at par + accrued in the future, we see the bonds being callable starting Dec 2016. There are no guarantees that this bond will trade at this level but please call the desk with all bids/inquiries related to this bond. X32124 HIGHLIGHTS - HPI Updated LTV = 91% - 56% of the borrowers have not missed a payment in the past 2 years EFTA_R1_00503725 EFTA02005127 - 102 months seasoned - 736 FICO - $389k average balance "Source: Bloomberg WFMBS 2004•EE Bt Offered @ 73-00 BOND DESCRIPTION Prepay Rate Cusip. 949779AO4 Default Rate Default Severity Original Face 16.939O00 Current Face 10.650.131 Bond Type. Prime 5/1 Sub Ratings (S&PrMoodys/Fitch): Current Coupon 2 712% Yield @ Base Case 7.295% WAL @ Base Case 7.98 Pnncipal Window @ Base Case Oct12 to Jun34 Writedown % 12.27% Current Credit Enhancement 2 08 60+ Delinquencies 4 34 60+ Delinquency Coverage 0 48x UNDERLYING COLLATERAL DESCRIPTION Average Loan Balance (5.000s) 2 fa Price @ 73-00 Yield Spread over Tsy Duration WAL Principal Window Principal Writedown Total Collet Loss Total Liquidation HISTORICAL PERFORMANCE Loan Count 812 CPR Mortgage Type Prime 5/1 Hybnd ARMs CDR Wtd Avg Mortgage Coupon 2 941' SEV Wtd Avg FICO Score 736 Wtd Avg Ong Loan-to-Value 55 07c,, EFTA_R1_00503726 EFTA02005128 HPI Adj LTV 55.90% Weighted Avg loan Age 102 Owner Occupied 93.86 Top 1 Geo Concentration CA 53% Top 2 Geo Concentration FL 5% Top 3 Geo Concentration IL 5% Always Current (24 mos) 90.96% IMPORTANT DISCLAIMER: Non-agency RMBS is a complex fixed income product and is not suitable for all investors. Please note that while desk assumptiol performance of a deal Is not indicative of its future performance. Additionally, this message is a product of sales and trading ar All investments are subject to possible loss of principal Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage-backed secui Illiquidity means that there may not be any purchasers for your class of certificates. Although any class of certificates may experi structure and non-investment grade related may experience greater illiquidity than more senior, investment-grade rated classes High Yield Non-Agency bonds are speculative non-investment grade bonds that have higher risk of default or other adverse cred Non-Agency bonds are intended for clients with a minimum total net worth of $50mm. Please make sure your client fulfills this I Kevin Lynn Vice President I IPMorgan Securities Fixed Income Trading [email protected] EFTA_R1_00503727 EFTA02005129 Paul Barrett, CFA Managing Director Global Investment Opportunities Group JPMorgan Private Bank 320 Park Avenue, 14th Floor, New York, NY 10022 NMLS IDS 853441 EFTA_R1_00503728 EFTA02005130