EFTA00937761

From: Jeffrey Epstein ❑jeevacation@gmail.com> To: "Barlett. Paul S" Subject: Re: FW: To Do Date: Mon, 18 Jun 2012 12:31:31 +0000 Yes On Mon, Jun 18, 2012 at 8:18 AM, Barrett, Paul S wrote: Can we do this? Paul Barrett, CFA Managing Director Global Investment Opportunities Group 1PNorgan Private Bank 320 Park Avenue, 14th Floor, New York, NY 10022 (F) NMLS IDe From: Barrett, Paul S Sent Friday, Isle 15, 2012 10:04 AM To: 'Jeffrey Erstere Cc: Guffrida, David J; Ens, Amanda Subject: To Do Jeffrey This looks like an interesting bond. Would be spending around $1MM. $1.514M of our CIT 8%2017 bonds have been called at par. I would like to use some of those proceeds to buy this mortgage bond. Let me know. Paul "'AU. DEFERS ARE SUBJECT USOnshore Clients -Blue Sty (U.S Rote Secutttles Low). Meow confitm Blue Sky ciplbility before sone/Nog to o US Onshore UM*C by entering the WSW Into the web roof located at: MtpdAncepv.tomet.ipmchole.net.S0.40/BlueSkyPooe.html and review Co see if your client's note of residence is tested if you receive WO SECURIlY FOUND; WO SERIES FOUND' Of the scarcity DOES WI HAVE A WSW or h not USD denominated, then pose contact yew SAC or local compliance office, endprovide the requested security and client informotion. Please note toot o suitobtaty review and other pre.ttordc procedures must stiff be fonowect Apologies in advance for the dissertation below. BOAMS 07-12Al2 is a Prime 6% coupon, senior support backed by prime Jumbo 30yr fix mortgages with a weighted average coupon of 6.38%. What does this mean? Essentially, the bonds are backed by one of the most rate sensitive homeowners in the market. 76% of the homeowners have not missed a payment in the past 2 years, have a 749 avg FICO and have some degree of equity in their homes (home price Index updated LTV for this subset of borrowers is 94.07%). These are the type of borrowers that are looking to refinance their current mortgages-.this is evident in the pool's historical speeds which have prepaid in the mid to high teens. EFTA00937761 Base Case Scenario: This bond is a short duration bond paying 8.8% yield with a 2.47 duration. This is assuming 50% higher seventies than 6 month averages, over 2.9x higher COR prints than 6 month averages, and 20% slower speeds than 6 mos averages. Stress Case Scenario: Assuming home lending tightens, property values decline further and the current homeowners' credit undergoes significant deterioration, then we should expect prepay speeds to slow down and defaults to ramp up. In our stress case scenario, we assume 33% slower speeds vs 6 mos average, 3.1x higher default rates vs 6 mos averages and 50% higher seventies vs 6 mos averages for life of the loans. In this scenario, we default and liquidate 19.6% of the remaining pool. Bear in mind there are only 13.93% delinquent loans to date. In this stress, this bond would yield 201% with a744 dupi Recovery Case Scenario: In this scenario, we assume housing recovers (results in lower LTVs) and borrower's experience positive credit migration fLe. credit scores improves due to continued performance). If this were to transpire, we'd expect prepay speeds to ramp up as more borrower's would qualify to refinance and seventies on liquidations to decrease as property values increase. In this scenano, we assume similar prepay speeds to the 6 month average, 2.6x higher default rates vs 6 month average and 35% higher seventies than the 6 month average. To our recovery scenario, this bond is a 16 42% yield at a 2 40 duration Please call the desk with all bids/inquiries related to this bond. X32124 Bond NIghllitth Avg Loan Balance . $5584 Avg NCO Score. 742 • HIN I home price index' adjusted LTV .97% • 83 months seasoned • 76% of borrowers have not missed a single payment M the past 2 years BOAMS 2007.1 2Al2 Offered @ 57-00 BONO DESCRIPTION Prepay Rate 12 CPR 14 CPR 18 CPR Cusip: 05952HBY4 Default Rate 6 for 36 3 COR 5.5 for 363 COR 5 for 36 3 CDR Original Face: 3.954.000 Default Severity 55 55 ramp 12 50 50 Current Face: 3.894.509 Bend Type: Prime 6% &odor Support Prim e 5748 8tress CNN Base Cam Recovery Cam Ratings (SE.P/Moodys/Filds) CCCIC,C Yield 2 015 8.798 16 429 Current Coupon: 6.000% Spread 160 833 1591 Yields Base Case 8.798% Duration 2.44 2.47 2.40 WAL 9 Base Case 3.49 WAL 3.12 3.0 3.8 Prildpel Windy". Base Case 1412 to Oct22 Principal Window JJ1210 Mar21 Jd12 lo Oet22 Jul12 to Jun26 Writedonn % 48.32% Principal Wntedovm 58.39% 48.32% 31.66% Current d nhancement 34916 Total Ccdal Loss 6.06% 5.47% 4.94% 60. Delinquencies 1393 Total Liqudaten 19.61% 18.15% 15.56% 60' Delinquency Coverage 0.25x UNDERLYINGCOLLATERAL DESCRIPTION I FPW O RICAL MIANCE Average Loan Balance (5.000s) 558 CPR 21.35 14 82 17.73 Loan Count 225 CDR 7.21 4.00 1.91 Morl9age Type Prime 30yr Fix 5EV 35.40 3708 37.08 Mild Avg Mortgage Coupon 6.383% Wtd Avg F/CO Some 742 Wid Avg Otig Loanto-Value 67.55% HPI Adj LTV 96.54% Weighted Avg Lean Age 70 Owner Occupied 91.87 Tap 1 Goo Concentration CA 48% Tap 2 Goo Concentration F1.10% Tap 3 Goo Ccricontratmo NC 5% Always Current (24 nice) 76.15% IMPORTANT DISCLAIMER: Norragency 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. Additionaly, this message is a product of sales and trades and is not a research report. Other key risks to consider are outlined below: Al irwestments are subject to possible loss of principal Non Agency bonds may have Ignited liquidity and clients should be aware that the secondary market for mortgage backed securities has experienced periods of ifiquidity 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 nom investment grade related may experience greater iliquidity than more senior, irwestment.grade rated classes. - High Yield Nonagency 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 EFTA00937762 flu anal is omrnbetul mai cobjcula igeparissi dowlihnen and WaStaNti =Oakes' <a arm fm IA ;imitate at SAC OnCiaititi“.sccuney sad vcapkin,:s. abtgesta simsn. vtifedeeliAty. lessa ptiv dee. nth 'godway Chcbiotas. u•vibW MO .^%,, nnvn Imays'ANnstirtticmill The information contained in this communication is confidential, may be attorney-client privileged. may constitute inside information, and is intended only for the use of the addressee. It is the property of Jeffrey Epstein Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by c-mail to Urvaratiou@gmailsam, and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA00937763