<table><tr><th>From:</th><th>Barrett, Paul S</th></tr><tr><td>Sent:</td><td>Thursday, March 7, 2013 7:51 PM</td></tr><tr><td>To:</td><td>Jeffrey Epstein</td></tr><tr><td>Cc:</td><td>Ens, Amanda</td></tr><tr><td>Subject:</td><td>To Do - NEW HY RMBS - $5.982mm of CMSI 2005-7 1M @ $98-00 ( 6.033% yield/ +
522 vs. tsy/ 3.49 dum)</td></tr></table>

Jeffrey

We should buy $1MM of this bond. Would bid 97.00 which is a 6.30% yield.

Let me know.

Paul

## 11" ALL OFFERS ARE SUBJECT

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http://pscppv1.amer.jpmchase.net:8080/BlueSkyPage.html and review to see if your client's state of residence is listed.

If USD-denominated, you receive 'NO then SECURITY please contact FOUND', your 'NO SM STATES or local FOUND' compliance or the officer security and DOES provide NOT the HAVE requested A CUSIP security or is not and client information. Please note that a suitability review and other pre-trade procedures must still be followed.

## THE BOND:

The CMSI 2005.7 1A4 is a Prime, Seasoned, Fixed, Senior support bond backed by 89 months 30yr Fix rate mortgages. The bond has 5.53% credit enhancement vs 8.39% 60+ delinquencies, for a 0.66x coverage ratio.

## THE COLLATERAL:

The pool consists of 209 Prime 30yr fixed borrowers that are 89 months seasoned with an average LTV of 79% and 731 FICO score. The average balance of the loans is $466k — this coupled with the low updated LTV should result in both low CDRs and Severities. Additionally, 82% of homeowners have been 24 months perfect payers.

## THE STORY:

For investors looking for a housing recovery play backed by seasoned Prime collateral, this bond offers a great convexity story levered to prepayments and overall homeowner performance.

Please call the desk with all bids/inquiries related to this bond. X32124

HIGHLIGHTS

-

- HPI Updated LTV = 79%

- 82% of the borrowers have not missed a payment in the past 2 years

## THE STORY: (cont.)

- 89 months seasoned

$466k average balance

**Source: Bloomberg**

CMSI 2005-7 1A4 Offered @ 98-00

BOND DESCRIPTION

Prepay Rate

15 CPR

18 CPR

22 CPR

Cusip:

## 1729733H0

Default Rate

2 ramp 24 6 6 ramp 12 2 CDR

2 ramp 24 5 5 ramp 12 2 CDR

2 ramp 24 5 5 ramp 12 2 CDR

Original Face:

5,982,000

Default Severity

50

50 ramp 12 45

45 ramp 12 40

Current Face:

4,551,230

## 1729733H0 (cont.)

Delinq Rate

9 Percent

9 Percent

9 Percent

Bond Type:

Prime Fixed 30yr Snr. Sub

Delinq Advance (% of P&I)

100

100

100

Ratings (S&P/Moodys/Fitch):

-/Ca/CCC

Call

No

No

No

Current Coupon:

5.500%

Yield @ Base Case

6.033%

Price @ 98-00

Stress Case

Base Case

Recovery Case

WAL @ Base Case

4.39

## 1729733H0 (cont.)

Yield

0.811

6.033

6.101

Principal Window @ Base Case

Apr13 to Oct34

Spread over Tsy

6

522

543

Writedown %

0.00 (0.00%)

Duration

3.12

3.49

3.05

Current Credit Enhancement:

5.53%

WAL

4.14

4.39

3.73

60+ Delinquencies

8.39

Principal Window

3.122

4

## 1729733H0 (cont.)

3.49
3.046
60+ Delinquency Coverage
0.66x
Principal Writedown
21.87%
0.00%
0.00%
Total Collat Loss
2.32%
1.99%
1.72%
UNDERLYING COLLATERAL DESCRIPTION
Total Liquidation
12.94%
10.69%
9.30%
Average Loan Balance ($,000s)
466
Loan Count
209
HISTORICAL PERFORMANCE

## 1729733H0 (cont.)

Mortgage Type
Prime 30yr Fixed

1 MOS
3 MOS
6 MOS

Wtd Avg Mortgage Coupon
5.532%

CPR
31.59
19.70
17.78

Wtd Avg FICO Score
731

CDR
0.00
2.24
2.49

Wtd Avg Orig Loan-to-Value
62.01%

SEV
#N/A N/A
51.43
41.42

HPI Adj LTV
79.02%

## 1729733H0 (cont.)

Weighted Avg Loan Age

89

Owner Occupied

93.94

Top 1 Geo Concentration

CA 36%

Top 2 Geo Concentration

NY 21%

Top 3 Geo Concentration

VA 5%

Always Current (24 mos)

82.27%

Non-agency RMBS is a complex fixed income product and is not suitable for all investors. Please note that while desk assumptions are driven by a number of collateral and macro factors, the historical performance of a deal is not indicative of its future performance. Additionally, this message is a product of sales and trading and is not a research report. Other key risks to consider are outlined below:

	- 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 securities has experienced periods of illiquidity and may do so in the future. Illiquidity means that there may not be any purchasers for your class of certificates. Although any class of certificates may experience illiquidity, it is more likely that classes that are lower in the capital structure and non-investment grade related may experience greater illiquidity than more senior, investment-grade rated classes.

## 1729733H0 (cont.)

High Yield Non•Agency bonds are speculative non•investment grade bonds that have higher risk of default or other adverse credit events which are appropriate for high risk investors only

Non•Agency bonds are intended for clients with a minimum total net worth of $50mm. Please make sure your client fulfills this requirement before soliciting this order.

This commentary is a product of WMorgan Global Wealth Managements Taxable Fixed Income Trading Desk and not JPMorgan's Research Department. The views expressed in this trading desk commentary may differ from those of JPMorgan's Research Department. Any opinions expressed in this trading desk commentary are subject to change without notice and WMorgan is under no obligation to update or keep this information current.

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