<table><tr><th>From:</th><th>Barrett, Paul S &lt;1 1MIM&gt; </th></tr><tr><td>Sent:</td><td>Tuesday, February 5, 2013 4:33 PM</td></tr><tr><td>To:</td><td>Epstein, Jeffrey (jeevacation@qmail.com)</td></tr><tr><td>Cc:</td><td>Ens, Amanda; Weissend, Renee E</td></tr><tr><td>Subject:</td><td>FW: NEW HY PRIME RMBS #2 - $5.00mm of CWALT 04-2CB M @ 875-00 (6.21%
yield/4.71 durn)</td></tr></table>

Jeffrey

We should buy $1.25MM of this bond

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://pscppvl.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 CWALT 04-2CB M is an Alt-A Fix 5.692% Men backed by 109 month seasoned Fix mortgages. This bond has 4.51% credit enhancement vs 10.23% 60+ delinquencies, for a 0.44x coverage ratio.

THE COLLATERAL:

The pool consists of 3,343 loans that are 109 months seasoned with an average updated LTV of 59.5%. The average balance of the loans is $104k, which is relatively low, and explains the higher severity prints we see on such a low LTV pool. That being said, the 6 month historical trend in severities is showing slow improvement. 6month average severity in June 2012 showed 50.71% vs 48.09% in Jan 2013. As expected, recovery will be slow and that is what we are modeling in our stress and base case assumptions.

## THE STORY:

For investors looking for a housing recovery play backed by seasoned 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 = 60%

- 73% of the borrowers have not missed a payment in the past 2 years

## HIGHLIGHTS (cont.)

- 109 months seasoned

- 710 FICO

$104k average balance

**Source: Bloomberg

CWALT 2004-2CB M Offered @ 75-00

BOND DESCRIPTION

Prepay Rate

8 CPR

10 CPR

12 ramp 20 15 CPR

Cusip:

12667FAZ8

Default Rate

4 ramp 20 6 5 ramp 12 2.5 CDR

4 for 24 3 ramp 24 2 CDR

4 for 24 3 ramp 24 2 CDR

Original Face:

5,000,000

Default Severity

50 ramp 24 45

50 ramp 18 45

45 ramp 36 40

Current Face:

3,400,764

## HIGHLIGHTS (cont.)

Delinq Rate

11 Percent

11ramp 12 10.5 Percent

11ramp 12 10 Percent

Bond Type:

Alt-A Mezz Pass-Through

Del inq Advance (% of P&I)

100

100

100

Ratings (S&P/Moodys/Fitch):

CCC/-/-

Current Coupon:

5.692%

Yield @ Base Case

6.208%

Price @ 75.00

Stress Case

Base Case

Recovery Case

WAL @ Base Case

7.02

Yield

0.122

6.208

## HIGHLIGHTS (cont.)

9.704

Principal Window @ Base Case

Mar13 to Feb34

Spread over Tsy

-120

467

827

Writedown %

34.77%

Duration

5.11

4.71

4.15

Current Credit Enhancement:

4.51%

WAL

6.11

7.02

6.58

60+ Delinquencies

10.23

Principal Window

Mar13 to Jan34

Mar13 to Feb34

Mar13 to Jan34

60+ Delinquency Coverage

4

## HIGHLIGHTS (cont.)

<table><tr><th>0.44x </th><th></th></tr><tr><td colspan="2">Principal Writedown</td></tr><tr><td>59.43% </td><td></td></tr><tr><td>34.77% </td><td></td></tr><tr><td>16.07% </td><td></td></tr><tr><td colspan="2">Total Collat Loss</td></tr><tr><td>2.62% </td><td></td></tr><tr><td>2.24% </td><td></td></tr><tr><td>1.96% </td><td></td></tr><tr><td colspan="2">UNDERLYING COLLATERAL DESCRIPTION</td></tr><tr><td></td><td>Total Liquidation</td></tr><tr><td>18.51% </td><td></td></tr><tr><td>14.37% </td><td></td></tr><tr><td>12.23% </td><td></td></tr><tr><td>Average</td><td>Loan Balance ($,000s)</td></tr><tr><td>104 </td><td></td></tr><tr><td>Loan</td><td>Count</td></tr><tr><td>3,343 </td><td></td></tr><tr><td></td><td>HISTORICAL PERFORMANCE</td></tr></table>

Mortgage Type
Alt-A 30yr Fix

## HIGHLIGHTS (cont.)

<table><tr><th>1 MOS</th></tr><tr><td>3 MOS</td></tr><tr><td>6 MOS</td></tr><tr><td>Wtd Avg Mortgage Coupon</td></tr><tr><td>6.054%</td></tr><tr><td>CPR</td></tr><tr><td>15.78</td></tr><tr><td>13.83</td></tr><tr><td>12.76</td></tr><tr><td>Wtd Avg FICO Score</td></tr><tr><td>710</td></tr><tr><td>CDR</td></tr><tr><td>1.96</td></tr><tr><td>2.32</td></tr><tr><td>3.22</td></tr><tr><td>Wtd Avg Orig Loan-to-value</td></tr><tr><td>60.12%</td></tr><tr><td>SEV</td></tr><tr><td>57.88</td></tr><tr><td>51.28</td></tr><tr><td>48.09</td></tr><tr><td>HPI Adj LTV</td></tr><tr><td>59.52%</td></tr><tr><td>Weighted Avg Loan Age</td></tr><tr><td>109</td></tr></table>

## HIGHLIGHTS (cont.)

Owner Occupied

62.95

Top 1 Geo Concentration

CA 24%

Top 2 Geo Concentration

NY 7%

Top 3 Geo Concentration

FL 7%

Always Current (24 mos)

72.56%

## IMPORTANT DISCLAIMER:

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.

- 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.

## IMPORTANT DISCLAIMER: (cont.)

This commentary is a product of JPMorgan 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 JPMorgan is under no obligation to update or keep this information current.

Kevin Lynn
Vice President I JPMorgan Securities

Fixed Income Trading
kevin.lynn@jpmorgan.com <mailto:kevin.lynn@jpmorgan.com>
Desk: 212-464-2124 | Direct: 212-464-0716

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