From: Jeffrey Epstein leevacationfirtmail.com> 'lb: "Barrett. Paul S" Subject: Re: To Do - a switch Date: Mon. 13 Aug 2012 17:42:58 +0000 ok On Mon. Aug 13. 2012 at 11:40 AM. Barrett. Paul S wrote: Jeffrey We are up 10% ($100K) on our SEMI Mortgage bond we bought back in April. I think we should sell it and switch the proceeds into the bond below. Let me know. Paul Paul Barrett, CFA Managing Director Global Investment Opportunities Group 1PMorgan Private Bank New York, NY 10022 MILS IDR Frain: Lynn, Kevin X Sent Monday, August 13, 2012 12:57 PM Subject NEW HY RM85 • $3.4nvn of MALT 03.4 8344. $63.00 (9.35% yield/2.07 dm) •'•AIL OFFERS ARE SUOJECE US Onshore °Vents - Sloe Sky MS Stott SCCOMICS low*: Please confirm Slue Sty eugroomy before soliciting too US Mullett ['keit by enterffig the CULP Mto the web tool located at: httpAwgpv.I.omer,Ipmcherse.rwt.80230/BlueSkauelsml and review to see Ovw dimes state of residence Is Nsted. IS you receive 'NO SECURITY FOUND; 'NO STATES FOUND' or the security DOES NOT NAVE A CUSIP °Mao< LISO-denomlhated, then please comoct your Strt or local compliance officer andprovide the requested security and dent InfonerrtIon. %COM note that a sunobINty review and other pre-Dade procedures must sell be felbawed. Why we think this bond is compelling: - Assuming.bjgber losses than current experience: The 66 class which is the most subordinate bond in the deal is currently taking losses around $13k/month (3 month average) to $26k/month (12 month average). in our base case scenario, we are projecting about $85k/month for the next 6 months. In fact we have over $110k/month for the first 4 months. Across all scenarios, we see this as a shirt duration bond - in our stress case scenario, we see slight negative yield slowing down cpr assumption from 6 CPR to 4cpa over 1.5 years (about 38% of current 6mos CPR print of 16.7) and ramping CDR and Severity assumptions for the first 3 years. - Please call the desk with all b