From: Jeffrey Epstein [email protected]> To: 'Barrett, Paul S" caz• Subject: Re: NEW HY RMBS BWIC - S4.3mm of RFMSI 0444 IMI Qa 85-16 (6.51% yield/2.97 dum) Date: Mon, 11 Feb 2013 17:37:45 +0000 ok On Mon, Feb II, 2013 at 1:07 PM, Barrett, Paul S na. wrote: lehey We should buy SLIAM al this bond. US Onshore aents - Blue SAy (US. State securities taw): Please confirm Woe Sky eholbility before sandtMo to a US Onshore client by entering the CUSIP Into the web tool located or; Weliacopil.ometyparchase.net.SOSO/BloeSAyPoge.html anti review to see If your client's state of residence Is Akre . If you receive WO SIGNOR), FOLINO;110 STATES FOUND' or the :county DOES NOT HAVE A CUSIP arts not USadenominated, then please contact you 514 or local compliance officer and provide the requested sectrnIty anti them information. Please note that a sultablity review and other amitotic procedures must :la be/allowed. THE BOND' The RFMSI 04-541M1 is a Prime Seasoned Fix 5.25% Sub bond backed by 105 months seaszymi flunstagna. The bond has 2.38% credit enhancement vs 7.08% 604 delinquencies, for a 0 Mx coverage/alio. THE COI LATERAL. The pool consists of 145 Prime loans that are 105 months seasoned with an average updated LTV of 56%. The average balance of the loans Is $296k - this coupled with the low updated LTV should result in both low CDRs and Severities. In fact, there has been only 2 CDR prints over the last 12 months and the average severity of those 2 prints is 20.64%. Our base case assumes 35% severity ramping down to 30% over 3 years. What's more interesting is that the S foreclosure loans in the pipe have an updated LTV of 41%, which is even lower than the overall pool LTV of 56%. According to our model, this should translate to lower seventies at liquidation. THE STORY: for investors looking for a housing recovery play backed by seasoned Prime collateral, this bond offers a great convexity story levered to prepayments and overall homeowner performance