From: Jeffrey Epstein [email protected]> To: "Barrett, Paul S" c > Subject: Re: To Do - : NEW HY RMBS - 512.5mm of BSABS 04-AC6 MI € 549-16 (7.03% yield/2.81 dun.) Date: Wed, 15 Aug 2012 19:42:41 +0000 ok On Wed, Aug 15, 2012 at 12:02 PM, Barrett, Paul S wrote: ]effrey This is another interesting mortgage bond. Spend around $1.37MM. I think we should take it. USOnshore °king- Blot SAy (US Store Securities low): Please confirm Blue Sty diglbary before soliciting too US Onshore client by entering the LUMP So the web tool located at: atfelksisopw, eme.cfamcisme.actmatzlecuraseclucei and terk-w to seed your scent's store of residence Is listed.? you receive 'NO SECURITY FOUND; 'NO STATES FOUND' or the security DOES NOT HAVE A custvor Isnot MD-denominated, then please contact your SM or local compAionce officer and provide the requested secumy and client int annetion. Please note that a sunobiNey revkw and other pre.trode procedures aunt still be followed. Why we think this bond Is compelling: • peal still ha< nvercallateralitation: There's currently $1 3mm nverC011aterallzailm in the deal. OvercollateralizatIon (OC), which Is essentially excess mortgages over the amount of bonds issued, has been Increasing sincemiriT20)2. This is a function of the underlying mortgages bearing fixed coupons while the issued bonds are low margin 1ML floaters. The excess Interest generated from this is used to pay down the senior classes In the deal thus reducing the relative amount of bonds outstanding vs mortgages outstanding. Thus OC Is the first line of defense against credit losses. That's why the most Junior class In the deal, the B3s, have not taken a principal write-down to date. Relatively short duration across all <renal:jos Base case is relatively conservative:6 month CDR prints are around 2.05% vs our base case assumption of 6 for 3 years then 5 for a year and finally 4.5 tall. Please call the desk with all bids/inquiries related to this bond. X32124 mi