From: Barrett, Paul S <████████████████████
Sent: Thursday, May 31, 2012 4:10 PM
To: Epstein, Jeffrey (jeevacation@gmail.com)
Cc: Giuffrida, David J
Subject: To Do

Jeffrey

<=>:

We should buy t=is bond. Spending $1.7MM. Our base case has a yield of 9.72% with = 2.20yr duration. Our stress case scenario sees the yield dropping to =.98% with similar duration.

=0A

Also our $3MM Chevro= note fixed today. Stock was flat and we got paid a 10.60%. So that =eaves us with $3.318MM in
cash. Will reprice some other ideas.<=o:p>

<=:p>

Paul

</=>

US Onshore Clients — Blue Sky (U.S. State Secur=ties Law): Please confirm Blue Sky eligibility before soliciting to a US O=shore client by entering the CUSIP into the web tool located at: <= href="http://pscppvl.amer.jpmchase.net:8080/BlueSkyPage. html">h=tp://pscppvtamer.jpmchase. net:8080/BIueSkyPa ge.html =and review to see if your client's state of residence is listed. 1= you receive 'NO SECURITY FOUND', 'NO STATES FOUND'= or the security DOES NOT HAVE A CUSIP or is not USD-denominated, th=n please contact your SM or local compliance officer and provide the reque=ted security and client information. Please note that a suitability revi=w and other pre-trade procedures must still be followed.

- &nb=p; HPI Updated LTV = 64%

	=OD 83% of=the borrowers have not missed a payment in the past 2 years

- &nbs=; 74% of the borrowers have not missed a payment si=ce inception 87 months ago

- =0D 87 mon=hs seasoned

=0D

</=pan>726 FICO</=pan>

	=0D $421 a=erage balance

- = Time to recoup investment cost:<=b>

- o =b>Stress case: 56 months

- o Base case: 52 months

- o Recovery case: 43 months

<able class="MsoNormalTable" border="0" cellspacing="0" cellpadding=3D"0" width="1201" style="width:900.8pt;margin-left:-.75pt;border-collapse:collapse">
<d width="453" nowrap="" colspan="2" valign="bottom" style="width:339.5pt;padding:0in 5.4pt 0in 5.4pt;height:16.5pt">

CMSI 2005-1 B2 Offered @ 83-00

=OD
=/td>
=0ABOND DESCRIPTION

=0D

Prepay Rate

28 for 20 24 for 12 20 for 618 CPR

30 ramp 24 34 30 CPR</=:p>

=0D Cusip:</=p>

172973P94

=OA 1.5 for 48 1 CDR

=OA 1.5 for 36 1 CDR

<=td> =span style="font-size:8.0pt;font-family:"Arial","sans-s-serif";color:black">1 for 36 0.5 CDR

=0D

Original Face:

=OA 45 for 12 40

35

35</=pan>

<=d width="241" nowrap="" valign="bottom" style="width:180.75pt;pa=ding:0in 5.4pt 0in 5.4pt;height:14.15pt">

2,111,340

Seasoned 5.417% Prime Sub=/span> =0D <=>Price @ 83-00 Base Case</=> -/NR/CCC Yield =0A2.986 9.722 =0D Current Coupon: 5.420%<=o:p> Spread <=d width="163" nowrap="" valign="bottom" style="width:122.55pt;padding: 219 894<=p> 1303 Yield @ Base Case Duration=/p> =0A 2.12 2.20 =0D <=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">2.04 =0D WAL @ Base Case 3.54 =0A =0AWAL 3.58

Spread
<=d width="163" nowrap="" valign="bottom" style="width:122.55pt;pa=ding:0in 5.4pt 0in 5.4pt;height:13.4pt">
219
894<=p>    1303
Yield @ Base Case
    Duration=/p>    =0A
2.12
2.20
=0D
<=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">2.04
=0D
WAL @ Base Case
3.54
=0A    =0AWAL
3.58

3.54</=> =u112 to Dec46

Principa= Window

=p class="MsoNormal" align="center" style="text-align:center">Jul12 to Dec46

Jul12 to M=y38

Writedown %

Principal Writedown

27.98%

13.29%

0.00%

Current Credit Enhancement=

2.03%

</=d>

=span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:black">Total Collat Loss

=0D 0.34%

=0A 0.19%

=0D

60+ Delinquencies

2.94 =0A

Total Liquidation

4=2E13%

2.09%

=/td>
60+ Delinquency Coverage

0.69x

=td width="49" nowrap="" valign="bottom" style="width:36.5pt;padd=ng:0in 5.4pt 0in 5.4pt;height:13.4pt">

## HISTORICAL PERFORMANCE

4

## HISTORICAL PERFORMANCE (cont.)

<=p> =o:p>

=OA
=NDERLYING COLLATERAL DESCRIPTION

1 MOS

3 MOS

=OA Average Lo=n Balance ($,000s)

<=td>

31.91

Loan Count

343<=o:p>

=OA

CDR

=OD 0.00

0.00<=span>

<=td> NA

NA

Wtd Avg Mortgage Coupon<=:p>

5.625%

</=d>
=0AWtd Avg FICO Sco=e

=OD

<=pan style="font-size:8.0pt;font-family:"Arial","sans-serif";color:#1F497D">0.00

=OD
<=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">Mortgage Type

=td width="212" nowrap="" valign="bottom" style="width:158.75pt;p=dding:0in 5.4pt 0in 5.4pt;height:13.4pt">

NA

## HISTORICAL PERFORMANCE (cont.)

=0D
=td width="241" nowrap="" valign="bottom" style="width:180.75pt;p=dding:0in 5.4pt 0in 5.4pt;height:13.4pt">

58.08%

=OD =OD
HPI A=j LTV

64.11%

=OD =OD
Weigh=ed Avg Loan Age

88</=> =0D
Owner=Occupied

96.58

<td width="163" nowrap="" valign="bottom" style="width:122.55pt;padding:0in 5.4pt 0in 5.4pt;height:13.4pt">
To= 1 Geo Concentration
</td>

## CA 31%=/span>

=0D
<=d width="177" nowrap="" valign="bottom" style="width:132.9pt;padding:0in 5.4pt 0in 5.4pt;height:13.4pt">
=0D

Top 2 Geo Concentration

NY 18%<=>:p>

=OD
Top 3 Geo Concentration

<signature> =/tr>

=0A
82.55%
=0D
</=body>
=/td>
=/td>

&n=sp;

----------------=----------------------------------------------------------------------=----------------------------------------------------------------------------
----------=-----------------------------------------------<=b>

## CA 31%=/span> (cont.)

## IMPORTANT DISCLAIMER:

No.-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 performanc= of a deal is not indicative of its future performance. Additi=nally, this message is a product of sales and trading and is not a researc= report. Other key risks to consider are outlined below:

=DAAll investme=ts are subject to possible loss of principal

-&n=sp; Non-Agency bonds may have limite= liquidity and clients should be aware that the secondary market for mortg=ge-backed securities has experienced periods of illiquidity and may =o so in the future. Illiquidity means that there may not be any purchase=s for your class of certificates. Although any class of certificates may=experience illiquidity, it is more likely that classes that are lower in t=e capital structure and non-investment grade related may experience =reater illiquidity than more senior, investment-grade rated classes.

- =nbsp; High Yield Non-Agency bonds are speculative non-investment grade b=nds that have higher risk of default or other adverse credit events which =re appropriate for high risk investors only

=0D

=/span>

This e=ail is confidential and subject to important disclaimers and conditions in=luding on offers for the purchase or sale of securities, accuracy and comp=eteness of information, viruses, confidentiality, legal privilege, and leg=l entity disclaimers, available at http://www.jpmorgan.com/pages/discl=sures/email.