<table><tr><th>From:</th><th>Barrett, Paul S</th></tr><tr><td>Sent:</td><td>Friday, March 30, 2012 5:45 PM</td></tr><tr><td>To:</td><td>Epstein, Jeffrey (jeevacation@gmail.com)</td></tr><tr><td>Cc:</td><td>Giuffrida, David J</td></tr><tr><td>Subject:</td><td>$6mm of IMSA 03-3 M2 @ 78-00 (10.24% yield / 2.64 durn)</td></tr></table>

Jeffrey

=nbsp;

This is an ex=mple of the bonds I think we should accumulate. Let me know when you hav= free time to discuss.

Paul

</=:p>

</=pan>

## BOND HIGHLIGHTS

- &nb=p; The IMSA 03-3 M2 is a fix 4.967% Mezz bond backed by seasoned Alt-A=collateral

=0A1.&nbs=; Bond is backed by 105 month seasoned Alt-A 30yr mort=ages with an average coupon of 5.284%

2. 76% of the borrowers have =ever missed a payment in the past 2 years

3. </=pan>HPI Updated LTV = 54%<=:p>

4.<=pan style="font:7.0pt "Times New Roman""> &=bsp; The deal currently has 2.44% overcollateralization (think $97.5= of bonds created for a $100 worth of underlying mortgages)

If there are losses in th= collateral, you have more collateral to cover you for the principal losse= you incurred than you have bonds

&middo=; &nbs=; Additionally, you have B-class bond that is su=ordinate to you that will absorb losses in front of you<=p>

5. =OD Base case= 10.24% yield @ 2.64 mod duration

&=iddot; = <pan style="font-size:10.0pt;font-family:"Calibri","sans=serif";color:#1F497D">Compare vs similar short durn, upper tier HY pa=er

=0D

## BOND HIGHLIGHTS (cont.)

=td width="221" nowrap="" valign="bottom" style="width:2.3in;padd=ng:0in 5.4pt 0in 5.4pt;height:7.1pt">
=0D =0D
=0D
BOND DESCRIPT=ON

=/o:p>

Prepay =ate

10 CPR

14 CPR

=0D 16 CPR

=0A
Cusip:

=0A Default Rate

2 CDR

2 CDR<=p>
Original Face:<=span>

=span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">6,000,000

<=d width="41" nowrap="" valign="bottom" style="width:30.65pt;padd=ng:0in 5.4pt 0in 5.4pt;height:13.35pt"> Default
Severity

=0A 55

45<=o:p>

=0D Current Face:

1,203,948

=/td> =td width="145" nowrap="" valign="bottom" style="width:108.5pt;pa=ding:0in 5.4pt 0in 5.4pt;height:14.15pt">

Bond Type:=o:p>

Alt-A Fix 4.967% Mezz

=0A Price @ 78-00

=0AStress=Case

Re=overy Case

## BOND HIGHLIGHTS (cont.)

=0D

Ratings (S&P/Moodys/Fitch): =0A
Yield =0D 3.213=/p> 11.558

Current Coupon: 4.967%<=:p>
921<=span>
1=60

Yield @ Base Case =0D
Duration=/span>
2.74
2.64
2.49

=0A
WAL @ Base Case=/span>
=0D WAL
4.23
4.17</=> Princi=al Window @ Base Case

May12 to May24
Pr=ncipal Window
May12 to Mar21<=span>
=0D

<=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:black">May12 to May24
=0A=ay12 to Oct24
=0A

## BOND HIGHLIGHTS (cont.)

<table><tr><th>Princ=pal Writedown</th></tr><tr><td>35.41%=/p&gt; =0A</td></tr><tr><td>14.74%</td></tr><tr><td>10.73%</td></tr><tr><td>Current Cr=dit Enhancement:</td></tr><tr><td>4.40%&lt;/=pan&gt;</td></tr><tr><td>=OD Total Collat Loss</td></tr><tr><td>=0A</td></tr><tr><td>1.51%</td></tr><tr><td>1.23%</td></tr><tr><td>1.16%</td></tr><tr><td>=0A</td></tr><tr><td>60+ Delinquencies</td></tr><tr><td>=OD 7.67</td></tr><tr><td>Total Liquidation</td></tr><tr><td>9.79%</td></tr><tr><td>8.94%</td></tr><tr><td>8.2=%</td></tr><tr><td>60+ Delinquency Coverage</td></tr><tr><td>0.57x&lt;=o:p&gt;</td></tr><tr><td>=0A =OD</td></tr><tr><td>=OA =OA=p class="MsoNormal"&gt;HISTORICAL PERFORMANCE</td></tr></table>

<=span>
=0D UNDERLYING COLLATERAL DESCRIPTIO=

4

## BOND HIGHLIGHTS (cont.)

1 MOS=/span>
3 MOS
6 MOS
=0D
Average Loan Balance ($,000s)</=pan>
=0D
<=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if";color:#1F497D">196
CPR
23.58=/p> =0A
15.83
16.07<=:p>
Mortgage T=pe
Seasoned Alt-A 30yr Fix</=pan>
=0D CDR
<=td> 0.00=/p> =0A
0.64
=0A
Wtd Avg Mortgage Coupon
=0D 5.284%
SEV
NA
=0D NA
37.63=/p>
Wtd Avg FICO Score
NA
=0A
=0AWtd Avg Orig Loan-=o-Value
58.05%

## BOND HIGHLIGHTS (cont.)

<=d width="137" nowrap="" valign="bottom" style="width:103.0pt;pad=ing:0in 5.4pt 0in 5.4pt;height:13.35pt">
<= class="MsoNormal" style="text-indent:8.0pt">

54.01%

=0A =0D
=0D

Weighted Avg Loan Age

105=/o:p>

=0A =0D
Owner Occupied

79.13=0D

=0D =/tr>
CA 70%

=0A
Top 2 Geo Concentration=/span>

Top 3 Geo Concentration

NY 5%

=0A =0A 76.36%

=0A =0D
=0D

=p class="MsoNormal" style="margin-bottom:12.0pt">
-----------------------------------------------------------------=-----------------------------------------------------------------=-

=0A

=tr style="height:13.8pt"> &nbs=;

*Inv=stment idea may not be suitable for all investors.

=0D
*This message is a product of sale= and trading and is not a research report

## BOND HIGHLIGHTS (cont.)

*Non-Agency bonds may have limited liquidity and clients should be =ware that the secondary market for mortgage-
backed securities ha= experienced periods of illiquidity and may do so in the future. Illiqui=ity means that there may not
be any purchasers for your class of certifica=es. Although any class of certificates may experience illiquidity,=it is more
likely that classes

=0D
*High Yield Non-Agency bonds are speculative non-investmen= grade bonds that have higher

=td width="42" style="width:31.35pt;padding:0in 0in 0in 0in;height:13=2E8pt">

=/tr>
risk of default or other adverse credit events whic= are appropriate for high risk investors only

=0A

=0A

=0D <=td>

## *** ALL=OFFERS ARE SUBJECT

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