From: Barrett, Paul S <
Sent: Friday, June 15, 2012 2:04 PM
To: Jeffrey Epstein
Cc: Giuffrida, David J; Ens, Amanda
Subject: To Do

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Jeffrey

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

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$1.5MM of our CIT =amp;% 2017 bonds have been called at par. I would like to use some of th=se proceeds to buy this mortgage bond.

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let me know.

••• ALL OFFERS ARE SUBJECT

US Onsh=re Clients — Blue Sky (U.S. State Securities Law): Please confir= Blue Sky eligibility before soliciting to a US Onshore client by entering=the CUSIP into the web tool located at: http://pscppvl.amer.j=mchase. net:8080/BIueSkyPage.html <http://pscppv1=2Eamer.jpmchase.net:8080/BlueSkyPage.html> and review to see if yo=r client's state of residence is USD-denominated, listed. If you receive then please 'NO =ECURITY contact your FOUND', 5= or 'NO local STATES compliance FOUND' officer or the and security provide =OES the NOT requested HAVE A security CUSIP and or is not client=information. Please note that a suitability review and other pre-trade p=ocedures must still be followed.=0D

=p class="MsoNormal">
Apologies =n advance for the dissertation below.

BOAMS 07-1 2Al2=is a Prime 6% coupon, senior support backed by prime jumbo 30yr fix mortga=es with a weighted average coupon of 6.38%. What does th=s mean? Essentially, the bonds are backed by one of the most rat= sensitive homeowners in the market. 76% of the homeowners h=ve not missed a payment in the past 2 years, have a 749 avg FICO and have =nbsp;some degree of equity in their homes (home price index updated =TV for this subset of borrowers is 94.07%). These are the type o= borrowers that are looking to refinance their current mortgages...thi= is evident in the pool's historical speeds which have prepaid in th= mid to high teens.

Base Case Scenario:&n=sp; This bond is a short duration =ond paying 8.8% yield with a 2.47 duration. This i= assuming 50% higher severities than 6 month averages, over 2.9x higher =DR prints than 6 month averages, and 20% slower speeds than 6 mos averages=2E

Stress Case Scenario: As=uming home lending tightens, property values decline further and the=current homeowners' credit undergoes significant deterioration, then=we should expect prepay speeds to slow down and defaults to ramp up.&nbs=; In our stress case scenario, we assume 33% slower speeds vs 6 mos averag=, 3.1x higher default rates vs 6 mos averages and 50% higher sever=ties vs 6 mos averages for life of the loans. In this scenario, we=default and liquidate 19.6% of the remaining pool. Bear in mind =here are only 13.93% delinquent loans to date. In this stress, t=is bond would yield 2.01% with a 2.44 durn. =/o:p>

Recovery Case Scenario: In this =cenario, we assume housing recovers (results in lower LTVs) and borr=wer's experience positive credit migration (i.e. credit scores i=proves due to continued performance). If this were to transpire, w='d expect prepay speeds to ramp up as more borrower's would qu=lify to refinance and severities on liquidations to decrease as prop=rty values increase. In this scenario, we assume similar prepay sp=eds to the 6 month average, 2.6x higher default rates vs 6 month average=and 35% higher severities than the 6 month average. To our recover= scenario, this bond is a 16.42% yield at a 2.40 duration.<=:p>

&n=sp; • &n=sp; • &n=sp; • &n=sp; =OD Please call the desk with all bids/inquiries related to this bond. =32124

Bond Highlights:</=>

&m=ddot; =nbsp; Avg Loan Balance = $558k<=b>

&nb=p; Avg FICO Score= 742

&=iddot; = <pan style="font-size:10.0pt;font-family:"Calibri","sans=serif";color:#1F497D">HPI (Home price index) adjusted LTV = 97%<=></pan>

- 83 months seasoned<=:p>

<=span>76% of borrowers have not miss=d a single payment in the past 2 years

=0D

=p class="MsoNormal">

BOAMS 2007-1 2A12 Offered @ 57-00=/o:p>

=0D =0D
=0D
BOND DESCRIPTION

Prepay Rate
12 CPR
14=CPR
18 CPR
=0ACusip:
05952HBY4
=td width="43" nowrap="" valign="bottom" style="width:32.5pt;padd=ng:0in 5.4pt 0in 5.4pt;height:13.35pt"> Default Rate
<=td> =0A
5.5 for 36 3 CDR
=0A=0A
5 for 36 3 CDR
</=r>
Original Face:
=0D 3,954,000
Default Severity
55 ramp 1= 50
50</=pan>
<=d width="229" nowrap="" valign="bottom" style="width:172.1pt;pad=ing:0in 5.4pt 0in 5.4pt;height:14.15pt">
Current Face:</=:p>
3,894,509
=0A
=0ABond Type:<=o:p>
Prime 6% Senior Support
=0D =0D Price @ 57-00
Stress Case<=:p>
Base Case
=0A Recovery=Case

=0A

Ratings (S&P/Moodys/Fitch):
=td width="174" nowrap="" valign="bottom" style="width:130.2pt;pa=ding:0in 5.4pt 0in 5.4pt;height:13.35pt">
=span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Yield
2.015
=0A 16.429
=0D
Current Coupon:
6.000%=/o:p>
         <=>Spread
=td width="145" nowrap="" valign="bottom" style="width:109.1pt;pa=ding:0in 5.4pt 0in 5.4pt;height:13.35pt">
833
1591
Yield @ Base Case
         Duration</=>
=0A
2.44
=0D
<=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:black">2.40
=0D
WAL @ Base Case
3.49
=/td>   <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;bo=der-top:none;border-left:solid windowtext 1.0pt;border-bottom:solid wind=wtext 1.0pt;border-right:none;padding:0in 5.4pt 0in 5.4pt;height:14=2E15pt">
WAL</=:p>
3.49

4

=OD 3.8

=0D
=u112 to Oct22

Princi=al Window

Jul12 to Mar214=pan>

=OD

<=pan style="font-size:9.0pt;font-family:"Arial","sans-se=if";color:black">Jul12 to Oct22
=0AJ=I12 to Jun26

Writedown %

=td width="174" nowrap="" valign="bottom" style="width:130.2pt;ba=kground:#D7E4BC;padding:0in 5.4pt 0in 5.4pt;height:13.35pt">
48.32%

Princi=al Writedown

58.39%<=p> =OA

48.32%

31.66%

Current Cr=dit Enhancement:

3.49%

=OA Total Collat Loss

=OA

6.06%

5.47%

4.94%

=OA
60+ Delinquencies

13.93

Total Liquidation

19.61%

=0A

60+ Delinquency Coverage

0.2=x

=0A      =0D
<=td>

=0D =/o:p>

<= class="MsoNormal">UNDERLYING COLLATERAL DESCRIP=ION

=OA 3 MOS

6 MOS

<=td>

Average Loan Balance ($,000s)</:p>

558

CPR

21.35

=0A

14.82

17.73

225

=OD CDR

7.21</=:p>

4.00

=td width="167" nowrap="" valign="bottom" style="width:124.9pt;pa=ding:0in 5.4pt 0in 5.4pt;height:13.35pt">

M=rtgage Type

Prime 30yr Fix</=pan>

=0A   SEV

35.40

37.08

=0A

37.08

=0D
=span style="font-size:9.0pt;font-family:"Arial","sans-s=rif";color:black">Wtd Avg Mortgage Coupon

=/td> 6.383%

Wtd Avg FICO Score<=p>   =0A

742

=0D
Wtd Avg Orig Loan-to-Value=o:p>

67.55%

</=d> <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;pa=ding:0in 5.4pt 0in
5.4pt;height:13.35pt">
HPI Adj LT=

96.54%

<=td> <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;pa=ding:0in 5.4pt 0in
5.4pt;height:13.35pt">
Weighted A=g Loan Age

70

=0D   =0D
Ow=er Occupied

91.87 <=span>

=0D            <=d width="145" nowrap="" valign="bottom" style="width:109.1pt;pad=ing:0in 5.4pt 0in
5.4pt;height:13.35pt">
CA 48=

            <=d width="167" nowrap="" valign="bottom" style="width:124.9pt;pad=ing:0in 5.4pt 0in
5.4pt;height:13.35pt"> =tr style="height:13.35pt"> Top 2 Geo Concentration

FL 10%

=0A      =0D

Top 3 Geo Concentration

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NC 5%

Always Current (24 mos)<=:p>

76.15%

</=d> <=d width="153" nowrap="" valign="bottom" style="width:114.95pt;pa=ding:0in 5.4pt 0in
5.4pt;height:13.35pt">
=p class="MsoListParagraph">

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<=pan style="font-size:10.0pt;font-family:&quot;Calibri&quot;,&quot;sans=serif&quot;;color:#1F497D">

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<=body>

IMPO=TANT DISCLAIMER:

Non-agency RMBS is a complex fixed incom= product and is not suitable for all investors. Please note that w=ile desk assumptions are driven by a number of collateral and macro =actors, the historical performance of a deal is not indicative of its f=ture performance. Additionally, this message is a product of s=les and trading and is not a research report. Other key risks to c=nsider are outlined below:

- &n=sp; All investments are subject to possible loss of pr=ncipal

- &nb=p; Non-Agency bonds may have limited liquidity and clients should be awa=e that the secondary market for mortgage-backed securities has experienced=periods of illiquidity and may do so in the future. Illiquidity me=ns that there may not be any purchasers for your class of certificates. =lthough any class of certificates may experience illiquidity, it is more l=cky that classes that are lower in the capital structure and non-in=estment grade related may experience greater illiquidity than more senior,=investment-grade rated classes.

High Yield Non-Agency bond= are speculative non-investment grade bonds that have higher risk of defau=t or other adverse credit events which are appropriate for high risk=investors only

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