<table><tr><th>From: </th><th>Barrett, Paul S</th></tr><tr><td>Sent: </td><td>Monday, June 18, 2012 12:19 PM</td></tr><tr><td>To: </td><td>Epstein, Jeffrey (jeevacation@gmail.com)</td></tr><tr><td>Cc: </td><td>Giuffrida, David J</td></tr><tr><td>Subject: </td><td>FW: To Do</td></tr></table>

(W)&nb=p; 212-310-0108 (F)

NMLS ID# 853441

From: Barrett, Paul S
Sent: Friday, June 15, 2012 10:=4 AM
To: 'Jeffrey Epstein'
Cc: Giuffrida, =avid J; Ens, Amanda
Subject: To Do

=0D

=0D

Jeffrey

=nbsp;

This looks like an interesting bond. Would be spending around $1MM=2E

$1.5MM of our CIT &% 2017 bonds have been ca=led at par. I would like to use some of those proceeds to buy this mortg=ge bond.

=span style="font-size:11.0pt;font-family:"Calibri","san=-serif";color:#1F497D">Let me know.

Paul<=span>

&n=sp;

<=>

=p class="MsoNormal"> <=span>

## *** ALL =FFERS ARE SUBJECT

US Onshore Clients — Blue Sky (=.S. State Securities Law): Please confirm Blue Sky eligibility before =oliciting to a US Onshore client by entering the CUSIP into the web tool l=cated at:

http://pscppvl.amer.jpmchase.net:8080/BlueSkyPage=2Ehtml

chttp://pscppvl.amer.jpmchase.net:8080/8=ueSkyPage.html> and review to see if your client's state of res=dence is USD-denominated, listed. If you receive then please 'NO SECURITY contact your FOUND', SM or '=O local STATES compliance FOUND' officer or the =nd security provide DOES the NOT requested HAVE A security CUSIP or and is no= client information. Please note th=t a suitability review and other pre-trade procedures must still be =ollowed.

Apologies in advance for the dissertation =elow.

BOAMS 07-1 2Al2 is a Prime 6% coupon, senior su=port backed by prime jumbo 30yr fix mortgages with a weighted average coup=n of 6.38%. What does this mean? Essentially, =he bonds are backed by one of the most rate sensitive homeowners in the ma=ket. 76% of the homeowners have not missed a payment in the =ast 2 years, have a 749 avg FICO and have some degree of equity in t=eir homes (home price index updated LTV for this subset of borrowers=is 94.07%). These are the type of borrowers that are looking to =efinance their current mortgages...this is evident in the pool's=historical speeds which have prepaid in the mid to high teens. =OA

Base Case Scenario: This bond is a short duration bond paying 8.8% yiel= with a 2.47 duration. This is assuming 50% higher severitie= than 6 month averages, over 2.9x higher CDR prints than 6 month average=, and 20% slower speeds than 6 mos averages.

=p class="MsoNormal">Stress Case Scenario= Assuming home lending tightens, p=operty values decline further and the current homeowners' cred=t undergoes significant deterioration, then we should expect prepay speeds=to slow down and defaults to ramp up. In our stress case scenario,=we assume 33% slower speeds vs 6 mos average, 3.1x higher default =ates vs 6 mos averages and 50% higher seventies vs 6 mos averages for lif= of the loans. In this scenario, we default and liquidate 19.6% =f the remaining pool. Bear in mind there are only 13.93% delinqu=nt loans to date. In this stress, this bond would yield 2=2E01% with a 2.44 durn.

Recovery Case Scenario: In this scenario, we assume housing rec=vers (results in lower LTVs) and borrower's experience positiv= credit migration (i.e. credit scores improves due to continued perfor=ance). If this were to transpire, we'd expect prepay speeds =o ramp up as more borrower's would qualify to refinance and severiti=s on liquidations to decrease as property values increase. 1= this scenario, we assume similar prepay speeds to the 6 month average, 2=2E6x higher default rates vs 6 month average and 35% higher seventies tha= the 6 month average. To our recovery scenario, this bond is=a 16.42% yield at a 2.40 duration.

=0A

&nb=p; =nbsp; &nb=p; =nbsp; &nb=p; =nbsp; &nb=p; =nbsp; &nb=p; Please call the desk wi=h all bids/inquiries related to this bond. X32124<=p>

=/o:p>

## *** ALL =FFERS ARE SUBJECT (cont.)

Bond Highlights:

* =nbsp; Avg=Loan Balance = $558k

Avg FICO Score= 742

HPI (Home price index) adjusted LTV = 97%

*= = 83 months seasoned

&nbs=; 76% of borrowers have not missed a single payment in the =ast 2 years

BOAMS 2007-1 2Al2 Offered @ 57.00

<=td>
=0A =0D
=0D
BOND DESCRIPTION

Prepay=Rate

12 CPR

14 CPR

=OD 18 CPR

=0A

Cusip:

=0A

5.5 =or 36 3 CDR

5 for 36 = CDR

Or=ginal Face:

3,954,000

=/td>

Default Severity

55 ramp 12 50

=0A 50

=0D

=span style="font-size:9.0pt;font-family:"Arial","sans-s=if";color:black">Current Face:

## *** ALL =FFERS ARE SUBJECT (cont.)

=OA =OA =OD
Bond Type:

</=d> Prime 6% Senior Support

Price @ 57=00

Stress Case

=OD Base Case

Recovery Case</=>
Ratings (S&P/Moodys/Fi=ch):

CCC/C/C

=OA =0AYield

16.429<=p>
Current Coupon:=/span>

=span style="font-size:9.0pt;font-family:"Arial","sans-s=if";color:#1F497D">6.000%

Spread

160

=0A=0A

833

1591

=0A

Yield @ Base Case</=:p>

8.798%

=/td>

Duration

2.44=/o:p>

2.47<=>>

WAL @ Base Case

3.49

WAL

4

## *** ALL =FFERS ARE SUBJECT (cont.)

=0A3.12<=p>    3.49
3.8
Principal Window @ Base Case
Jul12 to Oct22<=p>    Jul12 to Mar21
Jul12 to Oc=22
Jul12 to Jun26
=0D
48.32%
=0D    =0D Principal Writedown
=0D 58.39%
48.32%=/span>
=span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">31.66%
Current Credit Enhancement:
=0D 3.49%
         Total Collat Loss
6.06%</=pan>
=0D
<=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:black">5.47%
4.94%
60+ De=inquencies
13.93 <=span>
=0D    Total Liquidation
=0D
<=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:black">19.61%
18.15%<=:p>
15.56%

## *** ALL =FFERS ARE SUBJECT (cont.)

60+ Delinquency Coverage=/span>

=span style="font-size:9.0pt;font-family:"Arial","sans-s-rif";color:#1F497D">0.25x

## HISTORICAL PERFORMANCE

1 MOS

3 MOS

</=d> 6 MOS=/span>

=OD Average Loan =alance ($,000s)

558<=p> 17.73

Loan Count

225<=o:p>

=OA

CDR

=OD 7.21

4.00=/span>

=span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";colorM1F497D">1.91

Mortgage Type

=0AP=ime 30yr Fix

SEV

37.08

37.08=/p>
Wtd Avg Mortgage Coupon

6.383%

## HISTORICAL PERFORMANCE (cont.)

Wtd Avg FICO Score
709

Wt Avg Orig Loan-to-Value
67.55%

HPI Adj LTV
96.54%

Weighted Avg Loan Age
91.87

Top 1 Geo Concentration
CA 48%

Top 2 Geo Concentration
FL 15%

Top 3 Geo Concentration
NC 5%

Always Current (24 mos)
76.15%

## HISTORICAL PERFORMANCE (cont.)

## IMPORTANT DISCLAIMER: =0A

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

=0D

c/=pan>AII investments are subj=ct to possible loss of principal

- &n=sp; Non-Agency bonds may have limited liquidity =nd clients should be aware that the secondary market for mortgage-backed s=curities has experienced periods of illiquidity and may do so in the=future. Illiquidity means that there may not be any purchasers for your =lass of certificates. Although any class of certificates may experience =lliquidity, it is more likely that classes that are lower in the capital s=ructure and non-investment grade related may experience greater illi=uidity than more senior, investment-grade rated classes.

- =nbsp; Hig= Yield Non-Agency bonds are speculative non-investment grade bonds that ha=e higher risk of default or other adverse credit events which are appropri=te for high risk investors only

=0D

This email is con=idential and subject to important disclaimers and conditions including on =ffers for the purchase or sale of securities, accuracy and completeness of=information, viruses, confidentiality, legal privilege, and legal entity d=sclaimers, available at http://www.jpmorgan.com/pages/disclosures/emai=.