From: Jeffrey <[email protected]>

EFTA01765918 Dataset 10 8 pages Download original PDF Download as text
From: Jeffrey <[email protected]> Sent: Friday, October 19, 2012 3:28 PM To: Barrett, Paul S Subject: Re: To Do - NEW HY RMBS - $7.521mm of SEMI 03-5 B1 @ $80-16 (6.15% yield / 5.62 durn) Ok Sorry for all the typos .Sen= from my iPhone On Oct 19, 2012, at 5:17 PM, "Barrett, Paul S= > wrote: Hi Jeffrey This bond looks interesting= I would like to take profit= on our Barclays Pfd which is yielding 3.70% and buy this mortgage bond. We=are up $154K all in on the Barclays Pfd. let me know Paul US Onshore Clients — Blue Sky (U.S. State Securities Law): Please co=firm Blue Sky eligibility before soliciting to a US Onshore client by enter=ng the CUSIP into the web tool located at: httpl=pscppyl.amer.jpmchase.net:8080/BlueSkyPage.html EFTA_R1_00074341 EFTA01765918 chttp://pscppvl.amer.jpmchase.net:8080/BlueSkyPage.html> and review to-see if your client's state of residence is listed. If you receive 4k=8O4kNO SECURITY FOUND', 'NO STATES FOUND' or the security DOES NOT HAVE A CUSIP or is not USD-denominated, then please conta=t your SM or local compliance officer and provide the requested security an= client information. Please note that a suitability review and other pre-tr=de procedures must still be followed. =/b> The SEMT 03-5 B1 is a pr=me subordinate bond rated BB+/B2/BBB and is backed by 110 month seasoned Pr=me Vanilla ARM mortgages. The pool has 60.35% updated LW, 84% always current borrowers (looking back 2 years), 271k average bala=ce and most importantly, 4.7% credit support vs only 3.55% 60+ delinquency. The way I lo=k at it, if 100% of the 60+ delinquent borrowers were immediately evicted a=d foreclosed on and the repossessed homes sold for $0, the pool would incur=3.55% losses. In this grim scenario I painted, this B1 bond would still receive no writedowns. Additionally, this deal is immediately callable by the servicer since the co=lateral factor is below the 10% range. This deal becomes more callabl= as time passes and in the scenario where rates were to back up, the ARM mo=tgages in this pool would be worth considerably more on bank balance sheets. With only 3.55% delinquent l=ans, this deal is already clean enough to call, it's really a matte= of economics for the servicer at this point. In our recovery scenari=, we are assuming the deal is called 3 years from today even though the bonds are callable right now. In our stress scenario, we default approximately 2.6x the current 60+ delinq=ent population at 60 severity ramping down over 2 years to 40. Wet=99re also running half the 6 month speeds and see this bond producing a 5.0=% yield for a 6.03 duration bond. *** THIS BOND IS OFFERED TO US AND THE STREET AT 84-16. I see value in=this bond @ 80-16 but there is no guarantee we can trade it there. HIGHLIGHTS - =nbsp; HPI Updated L=V = 60% - =nbsp; 84% of the b=rrowers have not missed a payment in the past 2 years - =nbsp; 110 months s=asoned - =nbsp; 732 FICO =nbsp; $271k averag= balance "Source: Bloomberg SEMT 2003-5 B1 Offered @ 80-1= BOND DESCRIPTION 2 EFTA_R1_00074342 EFTA01765919 Prepay Rate 3 CPR 5 CPR 8 CPR Cusi=: 81743PCR5 Default Rate</=> 2.5 ramp 24 1 CDR 2 ramp 24 0.75 0.5 CDR 2 ramp 24 0.5 CDR Orig=nal Face: 7,521,500 Default Severity 60 ramp 24 40 50 40 ramp 24 35 45 ramp 24 30 Curr=nt Face: 1,863,319 Delinq Rate 4 Percent 4 Percent 4 Percent Bond=Type: Seasoned Prime Subs Delinq Advance (% of P&I) 100 100 3 EFTA_R1_00074343 EFTA01765920 100 Rati=gs (S&P/Moodys/Fitch): BB+/B3/BBB/s- Optional Servicer Call N N 10/2015 Curr=nt Coupon: 1.119% ** Run to Fwd LIBOR<=span> Yiel= @ Base Case 6.149% WAL @=Base Case 7.11 Prin=ipal Window @ Base Case Nov12 to Aug33 Price @ 80-16 Stress Case Base Case Recovery Case Writ=down % Yield</=> 5.015 6.149 10.416 Curr=nt Credit Enhancement: 4 EFTA_R1_00074344 EFTA01765921 4.70% Spread over Tsy 357 481 996 60+ D=linquencies 3.55 Duration 6.03 5.62 2.29 60+ D=linquency Coverage 1.32x WAL = 7.69 7.11 2.53 Principal Window Nov12 to Aug33 Nov12 to Aug33 Nov12 to Nov15 UNDERLYING COLLATERAL DESCRIPTIO= Principal Writedown</=pan> 8.63% 0.00% 0.00% 5 EFTA_R1_00074345 EFTA01765922 Aver=ge Loan Balance ($,000s) 271 Total Collat Loss 0.56% 0.41% 0.35% Loan=Count 211 Total Liquidation 9.20% 5.13% 2.57% Mort=age Type Seasoned Prime Vanilla ARMs Wtd A=g Mortgage Coupon 2.332% HISTORICAL PERFORMANCE</=:p> <=p> <=p> <=p> Wtd A=g FICO Score 732 <=p> 1 MOS 3 MOS 6 MOS Wtd A=g Orig Loan-to-Value 60.67% CPR 6 EFTA_R1_00074346 EFTA01765923 4.30 6.01 6.52 HPI A=j LTV 60.35% CDR 0.00 0.00 0.00 Weig=ted Avg Loan Age 110 SEV NA NA NA Owne= Occupied 84.21 Top 1=Geo Concentration CA 14% Top 2=Geo Concentration FL 13% Top 3=Geo Concentration GA 11% Alwa=s Current (24 mos) 7 EFTA_R1_00074347 EFTA01765924 84.06% IMPORTANT DISCLAIMER: Non-agency RMBS is a complex fix=d income product and is not suitable for all investors. Please note t=at while desk assumptions are driven by a number of collateral and macro factors, the historical performance of a deal is not indicativ= of its future performance. Additionally, this message is a produ=t of sales and trading and is not a research report. Other key risks t= consider are outlined below: - =nbsp; All investments=are subject to possible loss of principal - =nbsp; Non-Agency bond= may have limited liquidity and clients should be aware that the secondary m=rket for mortgage-backed securities has experienced periods of illiquidity and may do so in the future. Illiquidity means that there ma= not be any purchasers for your class of certificates. Although any class o= certificates may experience illiquidity, it is more likely that classes th=t are lower in the capital structure and non-investment grade related may experience greater illiquidity than mo=e senior, investment -grade rated classes. - =nbsp; High Yield Non-=gency bonds are speculative non-investment grade bonds that have higher ris= of default or other adverse credit events which are appropriate for high risk investors only Non-Agency bonds are intend=d for clients with a minimum total net worth of $50mm. Please make su=e your client fulfills this requirement before soliciting this order. http://www.jpmorgan.com/pages/disclosures/email <http://www.jpmorgan.com/pag=s/disclosures/email> . = 8 EFTA_R1_00074348 EFTA01765925

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[Image 1] The image appears to be a photograph of a printed document, possibly a letter or a report. The document contains text and tables, with visible sections titled "Summary," "Details," and "Bond Decision." There are also numerical values and percentages listed in the tables. The text includes references to "Vanda AM," "Vanda AM," and "Vanda AM," which could be names or entities mentioned in the docume [Image 2] The image shows a document with text, which appears to be a letter or a report. The document is titled "IMPORTANT NOTICE" and includes a subtitle "Important Notice Regarding Your Account." The text is written in English and discusses the importance of the notice, mentioning that the recipient's account has been suspended due to a lack of response to previous communications. It also mentions that t [Image 3] The image shows a document that appears to be a letter or an email. The document is partially obscured by a red rectangle, which suggests that it may contain sensitive information. The visible text includes a sender's name, a recipient's name, and a date. The document is addressed to a person named "Jeremy," and it mentions a subject line that is not fully visible. The visible part of the document [Image 4] The image appears to be a photograph of a printed document, possibly a receipt or an invoice. It lists various items with their corresponding prices, and there are sections for "Description," "Qty," "Price," and "Total." The document includes a header with the name of the company and a footer with the company's logo. The visible text includes names, dates, and numerical values, but the specific de [Image 5] The image appears to be a photograph of a printed document, possibly a technical specification or a report. The document contains a table with various columns, including "Type," "Specification," "Unit," "Value," and "Description." The visible text includes items such as "KG," "M3," "M2," "M," "L," "C," "N," "W," "V," "Hz," "°C," "°F," "°K," "°R," "°S," "°T," "°C," "°F," "°K," "°R," "°S," "°T," "°C [Image 6] The image appears to be a photograph of a printed document, specifically a financial statement or report. The document contains a table with various financial metrics such as "Total Dollars," "Total Cents," "Total Dollars," "Total Cents," and "Total Dollars." There are also percentages listed for "Total Dollars," "Total Cents," and "Total Dollars." The table includes columns for "January," "Februa