<table><tr><th>From:</th><th>Barrett, Paul S &lt;</th></tr><tr><td>Sent:</td><td>Wednesday, November 14, 2012 8:25 PM</td></tr><tr><td>To:
Cc:</td><td>Epstein, Jeffrey (jeevacation@qmail.com)
Giuffrida, David J; Schaffer, Susannah</td></tr><tr><td>Subject:</td><td>NEW HY PRIME RMBS (3:30pm BWIC) - $10mm of IMM 05-2 1M1 @ 71-00 (6.44%
yield/5.69 durn)</td></tr></table>

Jeffrey

Here is a good replacement for the bonds we sold last week. Spend around $1.2MM.

Let me know.

Paul

## **** ALL OFFERS ARE SUBJECT

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 IMM 05-2 1M1is an Alt-A Men floater (1ML + 43bps) that has 11.1% Credit support vs 15.3% in 60+ delinquency. That's 0.72x coverage assuming 100% severities. In our stress case scenario where we default 39% of the collateral (bear in mind only 15% is currently in 60+ delinquency), this bond @ 71-00 yields 3.12%. In our base case were we default 36% of the collateral, it is a 6.44% yield; to recovery, it's a 7.52% yield. The yield delta between scenarios demonstrates the resilience of the bond to different home price stresses.

## THE COLLATERAL

The mortgage pool is backed by 93 months seasoned Alt-A borrowers with an average updated LTV of 88% and 704 FICO.

THE STORY:

## THE COLLATERAL (cont.)

For investors looking for a housing recovery play backed by well structured seasoned collateral, the IMM 05-2 1M1 offers a compelling spread and yield pickup levered to prepays.

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

HIGHLIGHTS

- HPI Updated LTV = 88%

	- 68% of the borrowers have not missed a payment in the past 2 years

	- 93 months seasoned

	- 704 FICO

	$249k average balance

**Source: Bloomberg

IMM 2005-2 1M1 Offered @ 71-00

BOND DESCRIPTION

Prepay Rate
1 CPR
2 CPR
3 CPR
Cusip:
45254NNB9
Default Rate
6 for 30 4 CDR
6 for 24 4 ramp 12 3.5 CDR
5 for 24 4 ramp 12 3 CDR
Original Face:

## THE COLLATERAL (cont.)

<table><tr><th>10,000,000 </th></tr><tr><td>Default Severity</td></tr><tr><td>65 ramp 12 60</td></tr><tr><td>55 ramp 12 60 55</td></tr><tr><td>55 ramp 24 50</td></tr><tr><td>Current Face:</td></tr><tr><td>1,665,558 </td></tr><tr><td>Delinq Rate</td></tr><tr><td>16 Percent</td></tr><tr><td>16 Percent</td></tr><tr><td>16 Percent</td></tr><tr><td>Bond Type:</td></tr><tr><td>Alt-A Floater Men (1.ML + 43bps)</td></tr><tr><td>Delinq Advance (% of P&amp;I)</td></tr><tr><td>75 </td></tr><tr><td>80 </td></tr><tr><td>80 </td></tr><tr><td>Ratings (S&amp;P/Moodys/Fitch):</td></tr><tr><td>CCC/B2/-</td></tr><tr><td>Current Coupon:</td></tr><tr><td>0.856% </td></tr><tr><td>Yield @ Base Case</td></tr><tr><td>6.441% </td></tr><tr><td>Price @ 71.00</td></tr><tr><td>Stress Case</td></tr></table>

## THE COLLATERAL (cont.)

<table><tr><th>Base Case</th></tr><tr><td>Recovery Case</td></tr><tr><td>WAL @ Base Case</td></tr><tr><td>8.29</td></tr><tr><td>Yield</td></tr><tr><td>3.122</td></tr><tr><td>6.441</td></tr><tr><td>7.522</td></tr><tr><td>Principal Window @ Base Case</td></tr><tr><td>Nov12 to Feb38</td></tr><tr><td>Spread over Tsy</td></tr><tr><td>183</td></tr><tr><td>506</td></tr><tr><td>617</td></tr><tr><td>Writedown %</td></tr><tr><td>11.98%</td></tr><tr><td>Duration</td></tr><tr><td>5.32</td></tr><tr><td>5.69</td></tr><tr><td>5.73</td></tr><tr><td>Current Credit Enhancement:</td></tr><tr><td>11.07%</td></tr><tr><td>WAL</td></tr><tr><td>7.74</td></tr><tr><td>8.29</td></tr><tr><td>8.08</td></tr></table>

## THE COLLATERAL (cont.)

<table><tr><th>60+ Delinquencies</th></tr><tr><td>15.28 </td></tr><tr><td>Principal Window</td></tr><tr><td>Nov12 to May28</td></tr><tr><td>Nov12 to Feb38</td></tr><tr><td>Nov12 to lan35</td></tr><tr><td>60+ Delinquency Coverage</td></tr><tr><td>0.72x </td></tr><tr><td>Principal Writedown</td></tr><tr><td>33.06% </td></tr><tr><td>11.98% </td></tr><tr><td>0.00% </td></tr><tr><td>Total Collat Loss</td></tr><tr><td>8.66% </td></tr><tr><td>8.10% </td></tr><tr><td>7.35% </td></tr><tr><td>UNDERLYING COLLATERAL DESCRIPTION</td></tr><tr><td>Total Liquidation</td></tr><tr><td>38.95% </td></tr><tr><td>36.06% </td></tr><tr><td>30.31% </td></tr><tr><td>Average Loan Balance ($,000s)</td></tr><tr><td>249 </td></tr><tr><td>Loan Count</td></tr><tr><td>764 </td></tr><tr><td>HISTORICAL PERFORMANCE</td></tr></table>

## THE COLLATERAL (cont.)

Mortgage Type
Mix Alt-A FRM and ARMs

1 MOS
3 MOS
6 MOS

Wtd Avg Mortgage Coupon
4.110%

CPR
0.10
4.44
3.95

Wtd Avg FICO Score
704

CDR
6.73
6.33
6.22

Wtd Avg Orig Loan-to-Value
70.45%

SEV
34.97
52.01

## THE COLLATERAL (cont.)

39.23

HPI Adj LTV

88.14%

Weighted Avg Loan Age

93

Owner Occupied

67.87

Top 1 Geo Concentration

CA 52%

Top 2 Geo Concentration

FL 11%

Top 3 Geo Concentration

VA 3%

Always Current (24 mos)

68.16%

Non-agency RM85 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
7

## THE COLLATERAL (cont.)

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.

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 <u>Income Trading</u>

Desk: I Direct:

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