From: Barrett, Paul S
Sent: Thursday, May 16, 2013 2:58 PM
To: Jeffrey Epstein
Cc: Barrett Pod
Subject: To Do - PRIME HY RMBS #4 - $2.992mm of BOAMS 04-D B1 px talked @ $85-16
(5.958% yield/ 6.80dum)
Jeffrey
One other idea:
We sell our $1MM of the NRG bonds (ytw 3.95%) and switch into this bond. Spend around $1.4ish.
Let me know
Paul
US Onshore Clients — Blue Sky (U.S. State Securities Law): Please confirm Blue Sky eligibility before soliciting to a US
Onshore client by entering the CUSIP into the web tool located at:
http://pscppv1.amer.jpmchase.net:8080/BlueSkyPage.html and review to see if your client's state of residence is listed.
If you receive 'NO SECURITY FOUND', 'NO STATES FOUND' or the security DOES NOT HAVE A CUSIP or is not USD-
denominated, then please contact your SM or local compliance officer and provide the requested security and client
information. Please note that a suitability review and other pre-trade procedures must still be followed.
This bond is on a 11:30am BWIC this morning. The prices listed on the email are merely price talks and are not firm offer
levels. These are merely levels where we believe these bonds will trade and are tempered with where we see value in
owning them today. The bonds may trade higher/lower than the price talk level listed in this email.
Please show in all bids/inquiries before the bid time. Late bids may not be accepted.
Please call the desk with all bids/inquiries related to this bond. X32124
"Source: Bloomberg
BOAMS 2004-D B1 Offered @ 85-16
BOND DESCRIPTION
Prepay Rate
EFTA_R1_00117620
EFTA01790117
10 CPR
14 CPR
16 CPR
Cusip:
05949ADR8
Default Rate
4.5 for 16 2.5 ramp 16 2 CDR
4.5 for 12 2.5 ramp 16 2 CDR
4.5 for 12 2.5 ramp 16 2 CDR
Original Face:
2,992,000
Default Severity
45 ramp 24 35
40 ramp 18 30
35 ramp 24 30
Current Face:
1,592,301
Delinq Rate
8 ramp 24 6 Percent
8 ramp 24 6 Percent
8 ramp 24 6 Percent
Bond Type:
Prime Hybrid Sub
Delinq Advance (% of P&I)
90
90
2
EFTA_R1_00117621
EFTA01790118
90
Ratings (S&P/Moodys/Fitch):
B-/Caa3/B
Call
No
No
May-2016
Current Coupon:
2.930%
Yield @ Base Case
5.958%
Price @ 85.16
Stress Case
Base Case
Recovery Case
WAL @ Base Case
8.95
Yield
0.979
5.958
8.698
Principal Window @ Base Case
Jun13 to Dec43
Spread over Tsy
-99
402
3
EFTA_R1_00117622
EFTA01790119
818
Writedown %
6.30%
Duration
7.73
6.80
2.62
Current Credit Enhancement:
4.34%
WAL
9.12
8.95
2.87
60+ Delinquencies
7.15
Principal Window
Jun13 to Jul40
Jun13 to Dec43
Jun13 to May16
60+ Delinquency Coverage
0.61x
Principal Writedown
48.08%
6.30%
0.00%
Total Collat Loss
4
EFTA_R1_00117623
EFTA01790120
1.25%
1.02%
0.96%
UNDERLYING COLLATERAL DESCRIPTION
Total Liquidation
14.60%
11.82%
10.95%
Average Loan Balance ($,000s)
444
Loan Count
351
HISTORICAL PERFORMANCE
Mortgage Type
Prime Hybrid ARMs
1 MOS
3 MOS
6 MOS
Wtd Avg Mortgage Coupon
3.205%
CPR
5
EFTA_R1_00117624
EFTA01790121
35.03
21.08
17.20
Wtd Avg FICO Score
740
CDR
0.00
3.17
4.08
Wtd Avg Orig Loan-to-Value
56.89%
SEV
#N/A N/A
23.32
31.71
HPI Adj LIV
57.52%
Weighted Avg Loan Age
109
Owner Occupied
89.45
Top 1 Geo Concentration
CA 65%
Top 2 Geo Concentration
6
EFTA_R1_00117625
EFTA01790122
FL 6%
Top 3 Geo Concentration
IL 4%
Always Current (24 mos)
77.27%
IMPORTANT DISCLAIMER:
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
Non-Agency bonds are intended for clients with a minimum total net worth of 550mm. Please make sure your client
fulfills this requirement before soliciting this order.
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.
7
EFTA_R1_00117626
EFTA01790123
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8
EFTA_R1_00117627
EFTA01790124