From: Barrett, Paul S <paul.s.barrett@jpmorgan.com>
Sent: Wednesday, April 18, 2012 8:28 PM
To: Epstein, Jeffrey (jeevacation@gmail.com)
Cc: Ens, Amanda
Subject: To Do - BALTA 03-3 B1 @ $55-16 (11.64% yield / 6.71 durn)

=0A
Hi Jeffrey
=span style="font-size:11.0pt;font-family:"Calibri","san=-serif";color:#1F497D">
We should buy this bond. Spending=$770,000. Base case yield 11.64%.

=0D
Paul</=pan>
&nb=p;

WFMBS 04-EE 81=is a Prime 5/1 subordinate bond backed by 97month seasoned 5/1hybrids.&=bsp;

HIGHLIGHTS

- = 707 FICO

<=pan style="mso-list:Ignore">- <=span>HPI Updated L=V = 64%

=OA

-      82% of the borrowers ha=e not missed a payment in the past 2 years

=![if !supportLists]>- &nbs=;      104 months seasoned

&=bsp;

=0D

=0A
BOND DES=RIPTION

       Pr=pay Rate

5 CPR

7 CPR
=0A
Cusip: 
=0A
Default Rate

1.5 ramp 24 4 4 ramp 12 2 CDR

=span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:black">1.5 ramp 24 4 4 ramp 12 1.5 CDR

Original Face:

4,500,000

=OA 55 ramp 24 50

<=td> =OA

45 ramp 24 40

Current Face:

=OD 1,399,744

=OA =OD
Bond Type:

<=td> Price @ 55-16=o:p>

Stress Case

=OA Base Case

Recovery Case

=OD
Ratings (S&P/Moodys/Fi=ch):

AAA/Caa3/-

=0D =OD Yield=o:p>

2.367

11.644<=p> 12.725

<table><tr><th>Current Coupon:=/o:p&gt;</th></tr><tr><td>2.947%</td></tr><tr><td>=OD Sp=ead</td></tr><tr><td>46</td></tr><tr><td>&lt;=td&gt; 1060</td></tr><tr><td>=OD Duration</td></tr><tr><td>4.98&lt;=:p&gt;</td></tr><tr><td>6.71</td></tr><tr><td>WAL @ Base Case</td></tr><tr><td>12.25</td></tr><tr><td>WAL</td></tr><tr><td>=0A 8.73=/o:p&gt;</td></tr><tr><td>10.29</td></tr><tr><td>&lt;=tr&gt;</td></tr><tr><td>May12 to Sep33</td></tr><tr><td>=OD</td></tr><tr><td>Principal Window&lt;=o:p&gt;</td></tr><tr><td>May12 to Mar21</td></tr><tr><td>&lt;td&gt; May12 to Sep33</td></tr><tr><td>May12 to Sep33&lt;=:p&gt;</td></tr><tr><td>Writedown %</td></tr><tr><td>5.13%</td></tr><tr><td>=OD</td></tr><tr><td>Principal Writedown</td></tr><tr><td>5.13%</td></tr><tr><td>0.00%&lt;/=&gt;</td></tr><tr><td>Current Credit Enhancement=</td></tr></table>

9.58%

</=d> <=d width="172" nowrap="" valign="bottom" style="width:129.1pt;pad=ing:0in 5.4pt 0in 5.4pt;height:13.35pt">

Total Collat Loss

=0D 1.68%

1.19%</=> 60+ Delinquencies

=0A Total L=quidation

25.51%<=p> =0A

17.41%

13.44%

=0D =td width="163" nowrap="" valign="bottom" style="width:122.55pt;p=dding:0in 5.4pt 0in
5.4pt;height:13.35pt">
HISTORICAL PERFORMANCE=/span>

=b>

=0A=p class="MsoNormal"> <b>
UNDERLYING COLLATERAL DESCRIPTION
<pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">
1 MOS</pan>
=0A
<pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">6 MOS
0.16
</pan> 6.24</p>
Mortgage Type</span>
<span style="font-size:8.0pt;font-family:"Arial","sans-s=if";color:black">Seasoned Alt-A Hybrids
<td> <d width="172" nowrap="" valign="bottom" style="width:129.1pt;pad=ing:0in 5.4pt 0in 5.4pt;height:13.35pt">
CDR
0.00
</td>

4

0.39

=0A

Wtd Avg Mortgage Coupon

3.449%<=:p>

SEV=/p> =OA

NA

NA =OA

37.51

=/td>

Wtd Avg FICO Score

=0A

707

=OD
Wtd Avg Orig Loan-to-Value=o:p>

65.68%

q=d> ad widthe172" nowrape" valign=bottom" style="width:129.1pt;padring:0in 5.4pt Oin 5.4pt;height:13.35pt">
HPI Ad= LTV

64.14%

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