From: Barrett, Paul S Sent: Wednesday, August 15, 2012 6:03 PM To: Jeffrey Epstein Cc: Giuffrida, David Subject: To Do - : NEW HY RMBS - $12.5mm of BSABS 04-AC6 M1 @ $49-16 (7.03% yield/2.81 dum) Why we think this bond is compelling: =OD </=pan>Deal still has ove=collateralization: There :=17;s currently 51.3mm overcollateralization in the deal.&=bsp; Overcollateralization (CC), which is essentially excess mortgages ove= the amount of bonds issued, has been increasing since April 2012<=u>. This is a function of the underlying mortgages bearing fixed coupons=while the issued bonds are low margin 1ML floaters. The excess int=rest generated from this is used to pay down the senior classes in the dea= thus reducing the relative amount of bonds outstanding vs mortgages=outstanding. Thus OC is the first line of defense against credit l=sses. That's why the most junior class in the deal, the B3s,=have not taken a principal write-down to date. =OD </=pan>Relatively short d=ration across all scenarios- &n=sp; HPI Updated LTV = 85%<=pan style="font- size:10.0pt;font-family:"Calibri","sans=serif";color:e1F497D"> -<=pan style="font:7.0pt "Times New Roman""> &=bsp; =span style="font-size:10.0pt;font-family:"Calibri","san=- serif";color:e1F497D">94 months seasoned - = 681 FICO =0A••Source: Bloomberg =OA BSABS 20O4-AC6 Ml Offered @ 49-164p atd> <=d width="168" nowrap="" valign="bottom" style="width:126.05pt;pa=ding:0in 5.4pt 0in 5.4ptheight:16.5pt"> width="50" nowrap="" valign="bottom" style="width:37.5pt;paddi=g:0in 5.4pt 0in 5.4pt;height:7.05pt"> BOND DESCRIPTION 3.5 =amp 20 5 CPR 6 CPR Default Rate EFTA_R1_01718249 EFTA02558517