<table><tr><th>From:</th><th>Barrett, Paul S</th></tr><tr><td>Sent:</td><td>Friday, October 19, 2012 3:17 PM</td></tr><tr><td>To:</td><td>Jeffrey</td></tr><tr><td>Cc:</td><td>Giuffrida, David J; Schaffer, Susannah</td></tr><tr><td>Subject:</td><td>To Do - NEW HY RMBS - $7.521mm of SEMI 03-5 B1 @ $80-16 (6.15% yield / 5.62
dum) </td></tr></table>

=0A

Hi Jeffrey

=span style="font-size:11.0pt;font-family:"Calibri","san=-serif";color:#1F497D">

This bond looks interesting. =OA

I would like to take profits on our Barclays Pfd which i= yielding 3.70% and buy this mortgage bond. We are up $154K all in on =he Barclays Pfd.

Let me know

<= class="MsoNormal" > =/p>

Paul

=span style="font-size:11.0pt;font-family:"Calibri","san=-serif";color:#1F497D">

US Onshore Clients — Blue Sk= (U.S. State Securities Law): Please confirm Blue Sky eligibility befo=e soliciting to a US Onshore client by entering the CUSIP into the web too= located at: http://pscppvl.amer.jpmchase.net:8080/BlueSkyPa=e.html chttp://pscppvl.amer.jpmchase.net:808=/BlueSkyPage.html> and review to see if your client's state of r=sidence is listed. If you receive 'NO SECURITY FOUND',-=;NO STATES FOUND' or the security DOES NOT HAVE A CUSIP or is =ot US0- denominated, then please contact your SM or local compliance office= and provide the requested security and client information. Please note =hat a suitability review and other pre-trade procedures must still be =OA followed.

The SEMT 03-5 B1 is a prime =ubordinate bond rated BB+/B2/BBB and is backed by 110 month seasoned P=ime Vanilla ARM mortgages. The pool has 60.35% updated LTV, 84% =lways current borrowers (looking back 2 years), 271k average balance and m=st importantly, 4.7% credit support vs only 3.55% 60+ deli=quency. The way I look at it, if 100% of the

60+ delinquen= borrowers were immediately evicted and foreclosed on and the repossessed =omes sold for $0, the pool would incur 3.55% losses. In this gri= scenario I painted, this B1 bond would still receive no writedowns=2E

Additionally, this deal is immediately callab=e by the servicer since the collateral factor is below the 10% range.&nb=p; This deal becomes more callable as time passes and in the scenario wher= rates were to back up, the ARM mortgages in this pool would be worth =OA considerably more on bank balance sheets. With only 3.55% del=nquent loans, this deal is already clean enough to call, it's really=a matter of economics for the servicer at this point. In our recov=ry scenario, we are assuming the deal is called 3 years from today&n=sp; even though the bonds are callable right now.

In =ur stress scenario, we default approximately 2.6x the current 60+ de=inquent population at 60 severity ramping down over 2 years to 40. =We're also running half the 6 month speeds and see this bond produci=g a 5.02% yield for a 6.03 duration bond.

• • • THI= BOND IS OFFERED TO US AND THE STREET AT 84-16. I see value in thi= bond @ 80-16 but there is no guarantee we can trade it there. =br> HIGHLIGHT=

-&n=sp; HPI Updated LTV = 60%

- &=bsp; 84% of the borrowers have not missed a p=yment in the past 2 years

=0D 110 mo=ths seasoned

=0D

</=pan>732 FICO</=pan>

=0D $271k =verage balance

**Sou=ce: Bloomberg

SEMT 2003-5 B1 Offered @ 80-16

=/td> <=d width="184" nowrap="" valign="bottom" style="width:138.0pt;pad=ing:0in 5.4pt 0in 5.4pt;height:15.75pt">
<=d width="231" nowrap="" valign="bottom" style="width:173.45pt;pa=ding:0in 5.4pt 0in 5.4pt;height:6.75pt">
=/td>
BOND DESCRIPTION
3=CPR
5 CPR=/span>
8 CPR
=/td>
Cusip:

=/td> 81743PCR5

2.5 ramp 24 1 CDR

2 ramp 24 0.75 0.5 CDR

<=d width="256" nowrap="" valign="bottom" style="width:192.0pt;bac=ground:#F2F2F2;padding:0in 5.4pt 0in 5.4pt;height:12.75pt">

2 ramp 24 0.5 CDR

Original Face:

=0D 7,521,500

Default Severity

60 ramp 24 40

=0A

Current Face:

=OD Delinq Rate

4 Percent

=OD 4 Percent

=0D

Bond Type:

<=td> Seasoned Prime Subs

Delinq Advance (% of P&I)

100

=td width="175" nowrap="" valign="bottom" style="width:131.0pt;ba=kground:#F2F2F2;padding:0in 5.4pt 0in
5.4pt;height:12.75pt">

100

10=

Ra=ings (S&P/Moodys/Fitch):

BB+/=3/BBB/*-

N

N

10/2015</=>
Current Coupon:=/span>

** Run to Fwd LIBOR<=p> =0A =0D
Yield @ Base Case</=pan>

6.149%

=0D =0D
WAL @ Base Case

=/td> =/tr>
Nov12 to Aug33

Price @ 80-16

=0A Stress Case

Base Case

Recovery Case

Writedown %

</=d> 6.149

10.416

Current Credit Enhancement:

Spread over Tsy

=span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:black">357

=0A

996

60+ Delinquencies

=0A Duration=/p> =0A

6.03

=0D

<=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">2.29

=0D
<=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">60+ Delinquency Coverage

4

=OD 1.32x

7.69

7.11

2.53

=OD =OD Principal Window

=OA Nov12 to Aug33<=:p>

Nov12 to Nov15

=0A

UNDERLYING COLLATERAL DESCRIPTION

=OD =OD Principal Writedown

=OA 8.63%

0.00%=/p> =p class="MsoNormal" align="center" style="text-align:center">0.00%

<=r style="height:12.75pt"> 271

Total C=Ilat Loss

0.56%<=>>

0.35%=/span>

=0ALoan Count=/o:p>

211

=0A

Total Liquidation

9.20=

5.13%

2.57%

=0D

Mortgage Type

Seasoned Prime Van=lla ARMs

=OD <=tr>

2.332%

=span style="font-size:8.0pt;font-family:"Arial","sans-s=if";color:black">HISTORICAL PERFORMANCE