<table><tr><th>From:</th><th>Barrett, Paul S</th></tr><tr><td>Sent:</td><td>Wednesday, August 15, 2012 6:03 PM</td></tr><tr><td>To:</td><td>Jeffrey Epstein</td></tr><tr><td>Cc:</td><td>Giuffrida, David J</td></tr><tr><td>Subject:</td><td>To Do - : NEW HY RMBS - $12.5mm of BSABS 04-AC6 M1 @ $49-16 (7.03% yield/2.81
dum) </td></tr></table>

Why we think this bond is compelling:

=0D

</=pan>Deal still has ove=collateralization: There :=17;s currently 51.3mm overcollateralization in the deal.&=bsp; Overcollateralization (CC), which is essentially excess mortgages ove= the amount of bonds issued, has been increasing since April 2012<=u>. This is a function of the underlying mortgages bearing fixed coupons=while the issued bonds are low margin 1ML floaters. The excess int=rest generated from this is used to pay down the senior classes in the dea= thus reducing the relative amount of bonds outstanding vs mortgages=outstanding. Thus OC is the first line of defense against credit l=sses. That's why the most junior class in the deal, the B3s,=have not taken a principal write-down to date.

=0D

- </=pan>Relatively short d=ration across all scenarios- &n=sp; HPI Updated LTV = 85%<=pan style="font-size:10.0pt;font-family:"Calibri","sans=serif";color:#1F497D">

-<span style="font:7.0pt "Times New Roman""> &nbsp; =span style="font-size:10.0pt;font-family:"Calibri","sans-serif";color:#1F497D">94 months seasoned

= 681 FICO

=0A**Source: Bloomberg

=0A

BSABS 2004-AC6 M1 Offered @ 49-16=/p> <td> <d width="168" nowrap="" valign="bottom" style="width:126.05pt;pa=ding:0in 5.4pt 0in 5.4pt;height:16.5pt">
 <d width="50" nowrap="" valign="bottom" style="width:37.5pt;paddi=g:0in 5.4pt 0in 5.4pt;height:7.05pt">
BOND DESCRIPTION

3.5 =amp 20 5 CPR

## 6 CPR

Default Rate

## 6 CPR (cont.)

<table><tr><th>=OD 6.5 for 30 4 CDR</th></tr><tr><td>=OD 6 for 365 for 124.5 CDR</td></tr><tr><td>5 for 36 4 CDR</td></tr><tr><td>=OD </td></tr><tr><td>Original Face:&lt;=span&gt;</td></tr><tr><td>=span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:#1F497D"&gt;12,500,000</td></tr><tr><td>=td width="50" nowrap="" valign="bottom" style="width:37.5pt;padd=ng:0in 5.4pt 0in 5.4pt;height:13.35pt"&gt; Default
Severity </td></tr><tr><td>=OA 65 for 36 60 for 12 55</td></tr><tr><td>60 ramp 18 65 60 ramp 12 55</td></tr><tr><td>55 ramp 12 60 55&lt;=p&gt;</td></tr><tr><td>Current Face:&lt;=span&gt;</td></tr><tr><td>=span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:#1F497D"&gt;2,796,053</td></tr><tr><td>&lt;=d width="50" nowrap="" valign="bottom" style="width:37.5pt;paddi=g:0in 5.4pt 0in 5.4pt;height:13.35pt"&gt; Delinq
Advance (% of P&amp;I)</td></tr><tr><td>85 </td></tr><tr><td>=OA </td></tr><tr><td>Bond Type:</td></tr><tr><td>Alt-A Men Floater (1ML =#43; 67bps)</td></tr><tr><td>Balance Forgiveness</td></tr><tr><td>0.02 for 20 0 Current Balance</td></tr><tr><td>0.02 for 20 0 Current Balance&lt;/=:p&gt;</td></tr><tr><td>=OD Ratings (S&amp;a=p;P/Moodys/Fitch):</td></tr><tr><td>B-/Ca/-=/span&gt; </td></tr><tr><td>=OD =td width="168" nowrap="" valign="bottom" style="width:126.05pt;p=dding:0in 5.4pt 0in
5.4pt;height:13.35pt"&gt; 
0.916%&lt;=:p&gt; </td></tr><tr><td>&lt;/=d&gt;  =td width="192" nowrap="" valign="bottom" style="width:144.3pt;pa=ding:0in 5.4pt
0in 5.4pt;height:14.15pt"&gt;
=OA 
Yield @ Base Case</td></tr></table>

## 6 CPR (cont.)

7.034%

=0A =0APrice @ 49-16

Stress Case<=:p>

Base Case

=0A Recovery=Case

<=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">WAL @ Base Case
=0A=0A

4.66

Yield

=0D -0.858

7.034

12.928

<=tr>

Aug12 to Sep20

-177

61=

1194

3.09

2.81

2.85

<=tr>

=0A

13.83%

WAL

=OD 4.81

4.66

5.18

## 6 CPR (cont.)

</=r>
60+ Delinquencies

=OA 28.31

Principal Window

Aug12 to lun20<=:p>

Aug12 to Sep20

=OA 0.49x

Pr=ncipal Writedown

59.98%
=0D
<=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">47.98%

35.90%<:=p>

=td width="233" nowrap="" valign="bottom" style="width:174.75pt;p=dding:0in 5.4pt 0in 5.4pt;height:11.8pt">
Total Collat Loss
6..04%

5.73%

5.28%

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

Total Liquidation<=:p>

28.10%

25.20%=/p>
Average Loan Balance ($,=00s)

216

Loan C=unt
429

</d> <d width="177" nowrap="" valign="bottom" style="width:132.8pt;bac=ground:#D99795;padding:0in 5.4pt 0in 5.4pt;height:13.35pt">

4

## 6 CPR (cont.)

Mortgage Type
Alt-A 30yr Fix
1 MOS
3 MOS

Wtd Avg Mortgage Coupon
6.200%

CPR
0.09
2.64
6.44

Wtd Avg FICO Score
681

CDR
0.00
1.44
2.45

Wtd Avg Orig Loan-to-Value
75.38%

SEV
NA
NA
42.48

## 6 CPR (cont.)

</=r>
HPI Adj LTV

=0A =0A =0D
Weighted Avg Loan Age=/p> =0A
94

=0D
Owner Occupied<=span>

=span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">81.37

=0A
=0ATop 1 Geo Conce=tration

CA 22%

=0D =0D
T=p 2 Geo Concentration

NY 22%</=:p>

=0A =0D
Top 3 Geo Concentration

=0D FL 10%

=0A =0D
Always Current (24 mos)

=0A
57.05%

=p class="MsoNormal">IMPORTANT DISCLAIMER: Non-agency RMBS is a complex fixed income product and is not suitabl= for all investors. Please note that while desk assumptions are dr=ven by a number of collateral and macro factors, the historical p=rformance of a deal is not indicative of its future performance.&nbs=; Additionally, this message is a product of sales and trading and is not = research report. Other key risks to consider are outlined below:<=:p>

=nbsp; All=investments are subject to possible loss of principal

<=span>Non-Agency bonds may ha=e limited liquidity and clients should be aware that the secondary market =or 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 certifi=ates may experience illiquidity, it is more likely that classes that are l=wer in the capital structure and non-investment grade related may ex=erience greater illiquidity than more senior, investment-grade rated class=s.

## 6 CPR (cont.)

- &nb=p; High Yield Non-Agency bonds are speculative non-investmen= grade bonds that have higher risk of default or other adverse credit even=s which are appropriate for high risk investors only

=/tbody>

&nbs=;

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