From: Barrett, Paul S <████████████████████>
Sent: Tuesday, July 9, 2013 2:00 PM
To: Jeffrey Epstein (jeevacation@gmail.com)
Cc: Barrett Pod
Subject: To Do - ALT-A HY RMBS OFFERING - $10mm of IMM 05-2 1M2 @ $70-08 (7.005% yield/4.56 durn)

Jeffrey

I think we should sell our Chase 2007-A1 mortgage bond. We are up $123K. And then buy the below bond. We will be raising around $1MM in cash if we do this switch and pick up around 225bps on our base case yield assumption.

Let me know.

Paul

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## THE BONDS:

The IMM 2005.2 1M2 is an Alt-A Mezz Floater (1mL + 73.5bps) backed by 101months seasoned Alt-A Fix and Hybrid ARM mortgages. The bond has 6.01% credit enhancement vs 17.22% 60+ delinquencies, giving the bond a 0.35x coverage ratio.

## THE COLLATERAL:

The pool consists of 734 Alt-A Hybrid ARMs that are 100 months seasoned with an updated LTV of 84%. The average balance of the loans is $246k.

THE STORY:

## THE COLLATERAL: (cont.)

For clients looking for housing exposure via cleaner, seasoned Alt-A collateral, this bond offers a very compelling yield pickup vs corp HY and provides a positive convexity story for investors. The bond is recommended for buy and hold clients who want yield pickup in this dislocated market.

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

HIGHLIGHTS

- HPI Updated LTV = 84%

- 101 months seasoned

- 704 Original FICO

$246k average balance

- 66% 24-month perfect payers

**Source: Intex/Bloomberg: July 8, 2013
IMM 2005-2 1M2 Offered @ 70-08

BOND DESCRIPTION

Prepay Rate

1.5 CPR

4 CPR

6 CPR

Cusip:

45254NNC7

Default Rate

4.5 for 203.5 ramp 123 CDR

4.5 for 20 3.5 ramp 12 2.75 CDR

4.5 for 20 3.5 ramp 12 2.5 CDR

Original Face:

## THE COLLATERAL: (cont.)

<table><tr><th>10,000,000 </th></tr><tr><td>Default Severity</td></tr><tr><td>60 ramp 24 50</td></tr><tr><td>55 ramp 18 45</td></tr><tr><td>50 ramp 20 40</td></tr><tr><td>Current Face:</td></tr><tr><td>1,566,775 </td></tr><tr><td>Delinq Rate</td></tr><tr><td>Group Level</td></tr><tr><td>Group Level</td></tr><tr><td>Group Level</td></tr><tr><td>Bond Type:</td></tr><tr><td>Alt-A Mezz Floater (1ML + 73.5bps)</td></tr><tr><td>Delinq Advance (% of P&amp;I)</td></tr><tr><td>Group Level</td></tr><tr><td>Group Level</td></tr><tr><td>Group Level</td></tr><tr><td>Ratings (S&amp;P/Moodys/Fitch):</td></tr><tr><td>CC/Ca/-</td></tr><tr><td>Call </td></tr><tr><td>No </td></tr><tr><td>No </td></tr><tr><td>No </td></tr><tr><td>Current Coupon:</td></tr><tr><td>0.928% </td></tr></table>

## THE COLLATERAL: (cont.)

Yield @ Base Case
7.005%

Price @ 70-08

Stress Case
Base Case
Recovery Case

WAL @ Base Case
7.07

Yield
2.918
7.005
9.721

Principal Window @ Base Case
Jul13 to Sep28

DM
87
481
731

Writedown %
23.66%

Duration
4.75
4.56
4.61

Current Credit Enhancement:
6.01%

4

## THE COLLATERAL: (cont.)

<table><tr><th>WAL</th></tr><tr><td>7.2</td></tr><tr><td>7.07</td></tr><tr><td>6.91</td></tr><tr><td>60+ Delinquencies</td></tr><tr><td>17.22</td></tr><tr><td>Principal Window</td></tr><tr><td>Jul13 to Dec25</td></tr><tr><td>Jul13 to Sep28</td></tr><tr><td>Jul13 to Feb35</td></tr><tr><td>60+ Delinquency Coverage</td></tr><tr><td>0.35x</td></tr><tr><td>Principal Writedown</td></tr><tr><td>42.88%</td></tr><tr><td>23.66%</td></tr><tr><td>0.00%</td></tr><tr><td>Total Collat Loss</td></tr><tr><td>7.27%</td></tr><tr><td>6.65%</td></tr><tr><td>6.23%</td></tr><tr><td>UNDERLYING COLLATERAL DESCRIPTION</td></tr><tr><td>Total Liquidation</td></tr><tr><td>30.35%</td></tr><tr><td>24.99%</td></tr><tr><td>21.14%</td></tr><tr><td>Average Loan Balance ($,000s)</td></tr></table>

## THE COLLATERAL: (cont.)

246

Loan Count: 731
HISTORICAL PERFORMANCE

Mortgage Type

Alt-A Fix and ARM

1 MOS

3 MOS

6 MOS

Wtd Avg Mortgage Coupon

3.986%

CPR

6.55

6.22

5.58

Wtd Avg FICO Score

704

CDR

0.79

3.40

3.25

Wtd Avg Orig Loan-to-Value

## THE COLLATERAL: (cont.)

70.56%

SEV
95.19
55.27
58.00

HPI Adj LTV
83.94%

Weighted Avg Loan Age
101

Owner Occupied
68.21

Top 1 Geo Concentration
CA 52%

Top 2 Geo Concentration
FL 10%

Top 3 Geo Concentration
VA 4%

Always Current (24 mos)
66.40%

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IMPORTANT DISCLAIMER:

## THE COLLATERAL: (cont.)

Non-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 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

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

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.

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