From: "Barrett. Paul S" To: mjcemeation(4gmail.com"' [email protected]> Subject: Re: To Do - BALTA 03-1 B1 @ 555-16 (11.64% yield / 6.71 dum) Date: Thu. 19 Apr 2012 00:59:52 +0000 It traded away. The continue to look for similar paper. Paul Paul Barrett, CFA Managing Director Global Investment Opportunities Group .IPMorgan Private Bank 320 Park Avenue, 14th Floor, New York, NY 10022212-622-2770 (W) (F) NMLSIDe 853441 From: Jeffrey (mailtojeevacationegmail.com] Sent Wednesday, Apri 18, 2012 07:36 PM To: Barrett, Paul Subject: Re: To Do • SALTA 03.3 81 0) $55.16 (11.64% yield / 6.71 dum) Ok Sony for all the typos Sent from my iPhonc On Apr 18, 2012, at 4:28 PM, "Barrett, Paul S" wrote: fB Jeffrey We should buy this bond. Spending $770,000. Base case yield 11.64%. Paul WFMDS 04'U 81 is a Prime 5/1 subordinate bond backed by 97month seasoned 5/1 hybrids. HIGHLIGHTS 707 FICO DPI Updated LTV o 649E 82% of the borrowers have not missed a payment in the past 2 years 104 months seasoned SALTA 2003-3 61 Offered 55-16 Prepay Rob Debut Role Oeta Seventy 3CPR 1 Sramp 24 55 ramp 12 3 CDR 55 ramp 24 50 5 CPR 7 CPR t5 WM. 2444 rs-rp 122 COR 1 5 rano 2444 romp 12 1 5 COR 30 ramp 3645 45 ramp 24 40 sore DESCRIPTION Cusp ctonto Face tweet Fos, Bons Typ, Ratings to), Curpem Capon 07386/1CIA1 4500.0)3 1.399.744 SeeeOned Sete AAACaa3... 2917% Stress Case Base Case Wad Case Yield Spread Maranon WS/ 2 261 46 4,98 8.73 11644 9)3 6.71 1225 12m 1060 6.14 1029 Yield # Base Case WPL to Bass Case 11.644% 1226 Rives' tVa y51 Bann Cane Piley12 le Se033 Precis*. IMMoor May12 to Mar21 raey12 IoSep33 Msy12 io See33 Vinksdaan % LIM Proceed Writedown 75,40% 413% 000% Current Crate Erisasxmot 9/36% Total Cate Loss 1.68% 1.19% 0.501E 60* Drineuenc., 00. Delinguanc -Cenerage 1025 0.93x Total LicNiditien 25.51% 17.41% 1344% UNDERLYING COLLATERAL DESCRIPnON I MOS 35106 EWE Onera00 Loan Ontsn