From: Barrett, Paul S <

EFTA02555347 Dataset 11 9 pages Download original PDF Download as text
From: Barrett, Paul S < Sent: Friday, June 15, 2012 2:04 PM To: Jeffrey Epstein Cc: Giuffrida, David J; Ens, Amanda Subject: To Do =OA Jeffrey This looks like an interesting bond.=Would be spending around $1MM. =OA $1.5MM of our CIT =amp;% 2017 bonds have been called at par. I would like to use some of th=se proceeds to buy this mortgage bond. =OD let me know. ••• ALL OFFERS ARE SUBJECT US Onsh=re Clients — Blue Sky (U.S. State Securities Law): Please confir= Blue Sky eligibility before soliciting to a US Onshore client by entering=the CUSIP into the web tool located at: http://pscppvl.amer.j=mchase. net:8080/BI ueSkyPage.html <http://pscppv1=2Eamer.jpmchase.net:8080/BlueSkyPage.html> and review to see if yo=r client's state of residence is listed. If you receive 'NO =ECURITY FOUND', 'NO STATES FOUND' or the security =OES NOT HAVE A CUSIP or is not USD- denominated, then please contact your 5= or local compliance officer and provide the requested security and client=information. Please note that a suitability review and other pre-trade p=ocedures must still be followed.=0D =p class="MsoNormal"> Apologies =n advance for the dissertation below. BOAMS 07-1 2Al2=is a Prime 6% coupon, senior support backed by prime jumbo 30yr fix mortga=es with a weighted average coupon of 6.38%. What does th=s mean? Essentially, the bonds are backed by one of the most rat= sensitive homeowners in the market. 76% of the homeowners h=ve not missed a payment in the past 2 years, have a 749 avg FICO and have =nbsp;some degree of equity in their homes (home price index updated =TV for this subset of borrowers is 94.07%). These are the type o= borrowers that are looking to refinance their current mortgages...thi= is evident in the pool's historical speeds which have prepaid in th= mid to high teens. EFTA_R1_01713336 EFTA02555347 Base Case Scenario:&n=sp; This bond is a short duration =ond paying 8.8% yield with a 2.47 duration. This i= assuming 50% higher severities than 6 month averages, over 2.9x higher =DR prints than 6 month averages, and 20% slower speeds than 6 mos averages=2E Stress Case Scenario: As=uming home lending tightens, property values decline further and the=current homeowners' credit undergoes significant deterioration, then=we should expect prepay speeds to slow down and defaults to ramp up.&nbs=; In our stress case scenario, we assume 33% slower speeds vs 6 mos averag=, 3.1x higher default rates vs 6 mos averages and 50% higher sever=ties vs 6 mos averages for life of the loans. In this scenario, we=default and liquidate 19.6% of the remaining pool. Bear in mind =here are only 13.93% delinquent loans to date. In this stress, t=is bond would yield 2.01% with a 2.44 durn. =/o:p> Recovery Case Scenario: In this =cenario, we assume housing recovers (results in lower LTVs) and borr=wer's experience positive credit migration (i.e. credit scores i=proves due to continued performance). If this were to transpire, w='d expect prepay speeds to ramp up as more borrower's would qu=lify to refinance and severities on liquidations to decrease as prop=rty values increase. In this scenario, we assume similar prepay sp=eds to the 6 month average, 2.6x higher default rates vs 6 month average=and 35% higher severities than the 6 month average. To our recover= scenario, this bond is a 16.42% yield at a 2.40 duration.<=:p> &n=sp; • &n=sp; • &n=sp; • &n=sp; =OD Please call the desk with all bids/inquiries related to this bond. =32124 Bond Highlights:</=> &m=ddot; =nbsp; Avg Loan Balance = $558k<=b> &nb=p; Avg FICO Score= 742 &=iddot; = <=pan style="font-size:10.0ptfont-family:"Calibri","sans=serif";color:$11F497D">HPI (Home price index) adjusted LTV = 97%<=> 83 months seasoned<=:p> <=span>76% of borrowers have not miss=d a single payment in the past 2 years =OD =p class="MsoNormal"> BOAMS 2007-1 2Al2 Offered @ 57-00=/o:p> =OD =OD =00 BOND DESCRIPTION 2 EFTA_R1_01713337 EFTA02555348 Prepay Rate 12 CPR 14=CPR 18 CPR =0ACusip: 05952HBY4 =td width="43" nowrap="" valign="bottom" style="width:32.5pt;padd=ng:0in 5.4pt 0in 5.4pt;height:13.35pt"> Default Rate <=td> =OA 5.5 for 363 CDR =0A=0A 5 for 36 3 CDR ci=r> Original Face: =OD 3,954,000 Default Severity 55 ramp 1= 50 50</=pan> <=d width="229" nowrap="" valign="bottom" style="width:172.1pt;pad=ing:0in 5.4pt 0in 5.4ptheight:14.15pt"> Current Face:</=:p> 3,894,509 =OA =0ABond Type:<=o:p> Prime 6% Senior Support =OD =OD Price @ 57.00 Stress Case<=:p> Base Case =OA Recovery=Case 3 EFTA_R1_01713338 EFTA02555349 =OA Ratings (S&P/Moodys/Fitch): =td width="174" nowrap="" valign="bottom" style="width:130.2pt;pa=ding:Oin 5.4pt 0in 5.4pt;height:13.35pt"> =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Yield 2.015 =OA 16.429 =OD Current Coupon: 6.000°A.=/o:p> <=>Spread =td width="145" nowrap="" valign="bottom" style="width:109.1pt;pa=ding:Oin 5.4pt 0in 5.4pt;height:13.35pt"> 833 1591 Yield @ Base Case Duration</=> =OA 2.44 =OD <=pan style="font-size:9.0pt;font-family:"Arial",Thans-se=incolor:black">2.40 =OD WAL @ Base Case 3.49 =/td> <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;bo=der-top:none;border-left:solid windowtext 1.0pt;border-bottom:solid wind=wtext 1.0pt;border-right:none;padding:Oin 5.4pt Oin 5.4pt;height:14=2E15pt"> WAL</=:p> 3.49 4 EFTA_R1_01713339 EFTA02555350 =OD 3.8 =0D =u112 to Oct22 Princi=al Window Jul12 to Mar214=pan> =OD <=pan style="font-size:9.0pt;font-family:"Arial","sans-serincolor:black">Jull2 to Oct22 =0A1=112 to Jun26 Writedown % =td width="174" nowrap="" valign="bottom" style="width:130.2pt;ba=kground1D7E4BC;padding:0in 5.4pt 0in 5.4pt;height:13.35pt"> 48.32% Princi=al Writedown 58.39%<=p> =OA 48.32% 31.66% Current Cr=dit Enhancement: 3.49% =OA Total Collat Loss =OA 6.06% 5.47% 4.94% =OA 60+ Delinquencies 13.93 Total Liquidation 19.61% 5 EFTA_R1_01713340 EFTA02555351 =OA 60+ Delinquency Coverage 0.2=x =OA =OD =/o:p> =OD <=td> class="MsoNormal">UNDERLYING COLLATERAL DESCRIP=ION =OA 3 MOS 6 MOS <=td> Average Loan Balance (S,000s)</=:p> 558 CPR 21.35 =0A 14.82 17.73 225 =OD CDR 7.21</=:p> 4.00 =td width="167" nowrap="" valign="bottom" style="width:124.9pt;pa=ding:0in 5.4pt 0in 5.4pt;height:13.35pt"> M=rtgage Type Prime 30yr Fix</=pan> 6 EFTA_R1_01713341 EFTA02555352 =0A SEV 35.40 37.08 =OA 37.08 =00 =span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Wtd Avg Mortgage Coupon =/td> 6.383% Wtd Avg FICO Score<=p> =OA 742 =OD Wtd Avg Orig Loan-to-Value=o:p> 67.55% </=d> <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;pa=ding:0in 5.4pt 0in 5.4ptheight:13.35pt"> HPI Adj LT= 96.54% <=td> <=d width= 153" nowrap="" valign="bottom" style="width:114.95pt;pa=ding:0in 5.4pt 0in 5.4ptheight:13.35pt"> Weighted A=g Loan Age 70 =OD =OD Ow=er Occupied 91.87 <=span> =OD 5.4ptheight:13.35pt"> CA 48= <=d width="145" nowrap="" valign="bottom" style="width:109.1ptpad=ing:0in 5.4pt 0in ad width="167" nowrap="" valign="bottom" style="width:124.9pt;pad=ing:0in 5.4pt 0in 5.4ptheight:13.35pt"> =tr style="height:13.35pt"> Top 2 Geo Concentration FL 10% =OA =OD 7 EFTA_R1_01713342 EFTA02555353 Top 3 Geo Concentration =OA NC 5% Always Current (24 mos)<=:p> 76.15% </=d> <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;pa=ding:0in 5.4pt 0in 5.4ptheight:13.35pr> =p class="MsoListParagraph"> =OA <=pan style="font-size:10.0pt;font-family:"Calibri","sans=serif";color:1O$497D"> <=body> IMPO=TANT DISCLAIMER: Non-agency RMBS is a complex fixed incom= product and is not suitable for all investors. Please note that w=ile desk assumptions are driven by a number of collateral and macro =actors, the historical performance of a deal is not indicative of its f=ture performance. Additionally, this message is a product of s=les and trading and is not a research report. Other key risks to c=nsider are outlined below: - &n=sp; All investments are subject to possible loss of pr=ncipal &nb=p; Non-Agency bonds may have limited liquidity and clients should be aware that the secondary market for mortgage -backed securities has experienced=periods of illiquidity and may do so in the future. Illiquidity me=ns that there may not be any purchasers for your class of certificates. =lthough any class of certificates may experience illiquidity, it is more l=kely that classes that are lower in the capital structure and non-in=estment grade related may experience greater illiquidity than more senior,=investment-grade rated classes. High Yield Non-Agency bond= are speculative non-investment grade bonds that have higher risk of defau=t or other adverse credit events which are appropriate for high risk=investors only =OA This email is confidential and subject t= important disclaimers and conditions including on offers for the purchase=or sale of securities, accuracy and completeness of information, viruses, =onfidentiality, legal privilege, and legal entity disclaimers, available a= http://www.jpmorgan.com/pages/disclosures/email. 8 EFTA_R1_01713343 EFTA02555354 9 EFTA_R1_01713344 EFTA02555355

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[Image 1] The image appears to be a photograph of a document, specifically a page from a financial report or a similar type of document. The text is too small to read clearly, but it seems to contain various sections with headings and subheadings, possibly related to financial data or analysis. There are tables with numerical data, and the document includes a footer with a page number. The style of the docu [Image 2] The image shows a document with text, which appears to be a page from a book or a manual. The text is too small to read clearly, but it seems to be a section titled "Topic Conversation" with a subtitle "Ask." Below the title, there is a paragraph that is not fully visible due to the resolution of the image. The document is printed on a white page with a visible crease, indicating it may have been [Image 3] The image appears to be a scanned document, possibly a letter or a report, with text and a header. The header includes a date and a recipient's name. The document contains several paragraphs of text, which seem to discuss a financial or business matter. There are references to a "security deposit" and a "security bond," suggesting that the document may be related to a rental agreement or a similar [Image 4] The image appears to be a photograph of a printed document, possibly a medical report or a similar type of record. The document contains a series of numerical values and text fields, which are typical for medical records. There are sections titled "WEIGHT," "HEIGHT," "BMI," "AGE," and "DATE." The text fields are blank, and there are no visible names, dates, places, or logos. The document is printe [Image 5] The image shows a text document with a list of items or tasks. The text is too small to read clearly, but it appears to be a list with headings and subheadings. The document is structured with bullet points, suggesting it might be a to-do list or a schedule of some sort. The text is in English, and there are no visible images or graphics within the document. The document is printed on a piece of p [Image 6] The image shows a document with a list of items or services, each followed by a price. The items are organized in a table format with columns and rows. The text is too small to read the specific details of the items and their prices. The document appears to be a list or invoice, but the exact nature of the items or services is not clear due to the resolution of the image.