From: Jeffrey Epstein <jeevacation®gmail.com>
To: "Barrett. Paul S" .11 >
Subject: Re: New mortgage bond to buy
Date: Thu, 13 Sep 2012 13:53:54 +0000
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On Thu, Sep 13, 2012 at 8:47 AM, Barrett, Paul S < wrote:
Jeffrey
I think we should buy this bond to replace the other mortgage we sold 2 weeks ago. Would be spending around $1.5MM on this.
Paul
US Onshore OVeots - Blue Sly (U.S. State Secutitles Law); Pkase [Winn aloe Sky noun before saNdtMg too Ur Onshore dlent by entering the CUSIP Mto the web tool located ot: bfaliegusty) amr6Mmazsgaagthasakdyntsiami andrevkw to
see lfrou anies state of res4denee is listed. If you receive' O SECURITY FOUND: WO STATES FOUND' or the securityDOS NOTHAVE A WSW or is nor USD-deoomMoted. then please contact your SAO aloe°, compliance officer and provide the requested
security and earns Information. Most note that osultabiNty review and otherDrell** procedures mute sari be followed.
The WFM85 04-EE 8115 a Prune 5/1Subordinate bond backed by 102 months seasoned Prime 5/1ARM mortgages. The average balance of the loans Is approximately 5389k with an average updated LTV of 56%.
91% of these borrowers have never missed a payment In the past 24 months. While our base case scenario does not price in the fact that this bond may potentially be called at par + accrued in the future, we see
the bonds being callable starting Dec 2016.
There are no guarantees that this bond will trade at this level but please call the desk with all bids/Inquiries related to this bond. 1( 32124
mPi Updated LTV . 91%
36% of the borrowers have not missed a payment in the past 2 years
102 months seasoned
736 FICO
$389k average balance
"Source: Bloomberg
VIF18B5 20044(81 Ottorocle 7340
SONO OESCRIPTION NIKO? RA, 8 CPR 12 ran) 18 10 CPR 14 ramp 24 12 CPR
Cusp: 949779AD1 CasJI Rao 2 fa 24 1,5 la 121 CDR 1.7550.'24 1for 12 0.75 OR 1.5 la 241 of 1205 CDR
Copal Face: 16.939.0)3 Caan Scarify ND camp 10455 45 5x 18 45 ramp 24 35 45 tamp 12 40 35
Cereal Face. 10850.131
Dom Type Pram 5/1St
RargiosatP,watisinIcri) CCONR.,. Price 073-00 Strns Can Ilm Caw ROCOVNY Cow
Caroni Capa. 2 712% Yield 3.237 7.296 9418
'Amen Sato Case 7.296% Spread over Tay 150 577 816
)ivAL 296%e Case 7% ()unman 8.15 580 4 67
Prrapal Wn4ove 88 Base Case 0012 to Jun34 Mt 9.25 796 El 696
AVitoSoan % 1127% Pnnµv Wo3,4 Oct12 Ju04 0312 10 Jun34 0:1120)Jun34
Curral Croy[ Erraccata 2.00% pnne0a Wniodoan 41.82% 12.27% 123%
etin).0aa. 434 To141Colat Ices 1.10% 0.01% 0.66%
63. Carkpuna Cemra).t. 048* Teal Ltquodolinn tar% 8.33% 466%
UNDERLYING COLLATERAL DESCRIPTION
Aarais LOW, ELOSOO, ($.0,0t1 3P0 11109 3 MOB &MOS
Los, Carl 812 CPR 13.69 13 57 11 68
0:09490 7y90 Parra 5/1 HybkIMMs COR 1.94 1.50 1.33
W10./149 klortnago Coupon 2.941% 5EV 63.81 51 06
1A03Avg FiC0 &we 736
cob Avg CO3 Umn4ONSMO 55.07%
HPIAq LW 5500%
Wleghted Avg Loan hoe 102
Owner 0:cup1od 9326
Top 1Geo CorKentrelion CA53%
Teo 2 GeoConantretion Ft. 5%
Ten 3 Geo Confers )n IL 5%
Myers Carrara (24 mail 9086%
EFTA00876985
IMPORTANT DISCLAIMER:
Non. ager.cy RktfiS 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
Al investments are subject to possible Ion of principal
Non-Agency bonds may have limited liquidity and clients should be :ware that the secondary market for mortgage-backed securities has experienced periods of illiquidity and may do so in the future. Niquelity
means that there may not be any purchasers for your class of certificates. Although any dais ol certificates may experience illiquidity, it is more likely that classes that are lower in thecapital structure and non-
investment grade related may experience greater iliquelity than more senior, investment-grade rated classes.
High Yield Non-Agencybonds are speculative non-investment grade bonds that have higher risk ol default or other adverse credit events which are appropriate for high risk investors only
Non-Agency bonds are intended for clients with a minimum total net worth of SSOmm. Please make sure your client fulfills this requirement before soliciting this order.
Kevin Lynn
Vice President I IPMorgan Securities
Fixed Income Trading
Desk: 'Direct
Paul Barrett, CFA
Managing Director
Global Investment Opportunities Group
3Proorgan Private Bank
320 Park Avenue, 14th Floor, New York, NY 10022
(W) 212:11DS02 (F)
/OILS IDS 853441
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