From: Barrett, Paul S
Sent: Monday, February 11, 2013 6:04 PM
To: Jeffrey Epstein
Subject: RE: NEW HY RMBS BWIC - $4.3mm of RFMSI 04-S4 1M1 @ 85-16 (6.51% yield/2.97
dum)
=OA
Traded away — will keep looking
=OD
gspan>
&=bsp;
<=o:p>
Paul Barrett=/b> I Managing Director I Global Investm=nt Opportunities Group I J.P. Morgan Private Bank I =/o:p>
320 Park Avenue, 14t= Floor, New York, NY 10022 F: (212) 310-0108 I =OD
NMLS IDtt 853441
=OA
From:<=b> Jeffrey Epstein [mailto:jeevacation@gmail.comj
Sent: Monday, February 11, 2013 12:38 PM
To: =arrett, Paul S
Subject: Re: NEW HY RMBS BWIC - $4.3mm of=RFMSI 04-54 1M1 @ 85-16 (6.51% yield/2.97 durn)
=OD
ok
On Mon, Feb 11, 2013 at 1:07 PM, Barrett, Pa=l
wrote:
<=iv>
Jeffrey=/b>
We should =uy $1MM of this bond.
EFTA_R1_00130257
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<=pan style="font-size:9.0pt;font-family:"Calibri","sans-=erif";color:#1F497D">
=OD
US Onshore Clients — Blue Sky (U=2ES. State Securities Law): Please confirm Blue Sky eligibility before s=liciting to a US
Onshore client by entering the CUSIP into the web t=ol located at:
http://pscppv1.amer.jpmchase.net=8080/BlueSkyPage.html
<http://pscppvl.amer.jpmchase.net:8080/B=ueSkyPage.html> and review to see if your clientR=7;s state of residence
is listed. If you receive 'NO SECURIT= FOUND', 'NO STATES FOUND' or the security DOES NOT HAVE=A CUSIP or is not
USD-denominated, then please contact your SM or local co=pliance officer and provide the requested security and client
information=2E Please note that a suitability review and other pre-trade procedu=es must still be followed.
The RFMSI 04-S4 1M1is a Prime Seasoned Fix 5.25%=Sub bond backed by 105 months seasoned fix mortgages=2E The
bond has 2.38% credit enhancement vs 7.08% 60+ delinq=encies, for a 0.34x coverage ratio.
=OD THE COLLATERAL:
The pool consists of 145 Prime loans =hat are 105 months seasoned with an average updated LTV of 56%. Th= average
balance of the loans is $296k — this coupled with the low u=dated LTV should result in both low CORs and Severities. In
fact, =here has been only 2 CDR prints over the last 12 months and the aver=ge severity of those 2 prints is 20.64%. Our
base case assumes 3=.% severity ramping down to 30% over 3 years. What's more interesti=g is that the 5 foreclosure
loans in the pipe have an updated LTV of =41%, which is even lower than the overall pool LTV of 56%. Accordi=g to our
model, this should translate to lower severities at liquidation=2E
THE STORY:
For investors=looking for a housing recovery play backed by seasoned Prime collateral, t=is bond offers a great convexity
story levered to prepayments and overall =omeowner performance.
Please call the desk with all bids/inquir=es related to this bond. X32124
HIGHLIGHTS
= HPI Updated LTV = 56%
=nbsp; 87% of the b=rrowers have not missed a payment in the past 2 years
&nb=p; 105 months seasoned<=b>
&n=sp; 735 FICO
=nbsp; $296k averag= balance
"Source: Bloomberg
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=OD
RFNISI 20=4-S4 1M1 Offered @ 85-16
=OA
Prepay Rate=/p> apan style="font-size:8.0pt;font-family:"Arial","sans-se=if"">20 CPR
24 CPR
=OA 28 CPR
Cusip:ao:p>
76111XHZ9
2 ramp 20 4 3 ramp 36 1.75 CDR
2 ramp 20 4 3 ramp 12 1.5 CDR
=OA
<=pan style="font-size:8.0pt;font-family:"Arial","sans-se=if—>Original Face:
4,314,300
=OD Default Severity</=> 35 ramp 36 30=/o:p>
=OD 30
Delinq Rate
7.5 Percent
7.5 Percent
=td width="193" nowrap="" valign="bottom" style="width:144.75pt;b=ckground:#IF2F2F2;padding:0in 5.4pt 0in
5.4pt;min-height:13.35pt"> =OA
7.5 Perc=nt
Prime =ix 5.25% Men
100=lp <=pan style="font-size:8.0ptfont-family:"Arial","sans-se=if"">100
100
<=td>
Ratings (S&P/Moodys/Fitch):
=OA =CC/-/NR
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=OD
Current Coupon:
=OD =OD =1td> =OD
Yield @ Base Case
=OA 6.509%
Price @ 85-16
=p class="MsoNormal" align="center" style="mso-margin-top-alt:auto;ms=-margin-bottom-alt:auto;text-align:center">
WAL @ Base Case
2.124=o:p>
6.50=
9.838
=00
Principal Window @ Base Case
<Ad>
Spread ov=r Tsy
136
575
912
<=td>
Writedown %
=OA 14.66%
=OA
Duration
=0A3.18</=>
Current Credit Enhanc=ment:
=OD 2.38%
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=OA WAL
4.03
=OA 3.84
=OA
=OD <= class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-al=:auto">Principal Window
=td width="169" nowrap="" valign="bottom" style="width:126.45pt;p=dding:0in 5.4pt 0in 5.4pt;min-height:13.35pt">
Mar13 to Mar36
Mar13 =o Oct37
60+ Delinquency Coverage
=p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-a=t:auto">Principal Writedown
=OD 29.22%<=o:p>
14=2E66%
=OD 3.28%
=tr style="min-height:11.8pt"> <= class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-
bottom-al=:auto">Total Collat Loss
=0A0.54%</=>
UNDERLYING COLLATERAL DESCRIPTIO=
Total Liquidation
=OD =OA
7.59%
5.55%
=OD
=OD <=td> =OD =td width="193" nowrap="" valign="bottom" style="width:144.75pt;p=dding:0in 5.4pt
0in 5.4pt;min-height:13.35pt">
=OD
145
=OA HISTORICAL PERFORMANCE
<=td>
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=OA
=OA
=OD
Mortgage Type
=0ASeasoned Prime 30yr Fix
1 MOS
3 MOS
6 MOS
Wtd Avg Mort=age Coupon
5.655%
=td width="178" nowrap="" valign="bottom" style="width:1.85in;pad=ing:0in 5.4pt 0in 5.4pt;min-
height:13.35pt">
CPR
=OD 27.23
=0A31.87
27.45
=tr style="min-height:13.35pt"> Wtd=Avg FICO Score
4.64
2.20
Wtd A=g Orig Loan-to-Value
54.81%
=OD </=d>
NA
=OA =0.01
=OD 30.01
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=OA
<=pan style="font-size:8.0pt;font-family:"Arial","sans-serif"">HPI Adj LTV
</=d> =OD =OA
=OA
=OD <=d width="169" nowrap="" valign="bottom" style="width:126.45pt;pa=ding:0in 5.4pt 0in 5.4pt;min-
height:13.35pt">
Owner Occ=pied
Top 1 Geo Concent=ation
=OD CA 49%
=OA
=span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">TX 7%
=OA
=span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:$11F497D">NY 5%
=OA
=span style="font-size:8.0pt;font-family:"Arial","sans-s=rif";color:#1F497D">86.81%
&nbs=;
This commen=ary is a product of JPMorgan Global Wealth Managements Taxable Fixed Incom= Trading Desk and not
JPMorgan's Research Department. =he views expressed in this trading desk commentary may differ from those o=
JPMorgan's Research Department. Any opinions expressed in t=is trading desk commentary are subject to change
without notice and JPMorg=n is under no obligation to update or keep this information current=2E
&nb=p;
I Vice Pre=ident I J.P. Morgan Global Wealth Management
=OA
270 Park Avenue, Floor 5, New =ork, New York 10017
T: 2=2 464 0608 <tel:212%20464%200608> I F: =0A212 464 1129 <tel:212%20464%201129>
<mailto:email@jpmorgan.com>
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=OA
This email =s confidential and subject to important disclaimers and conditions includi=g on offers for the purchase or
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disclaimers, available at http://www.jpmorgan.c=m/pages/disclosures/email
<http://www.jpmorgan.com=pages/disclosures/email> .
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=he information contained in this communication is confidential, m=y be attorney-client privileged, may constitute
inside informatio=, and is intended only for the use of the addressee. It is the =roperty of Jeffrey Epstein Unauthorized
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This email is confidential and subject to important=disclaimers and conditions including on offers for the purchase or
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