From: Barrett, Paul S < Sent: Wednesday, November 14, 2012 8:25 PM To: Epstein, Jeffrey ([email protected]) Cc: Giuffrida, David J; Schaffer, Susannah Subject: NEW HY PRIME RMBS (3:30pm BWIC) - $10mm of IMM 05-2 1M1 @ 71-00 (6.44% yield/5.69 durn) Jeffrey Here is a good replacement for the bonds we sold last week. Spend around $1.2MM. Let me know. Paul "• ALL OFFERS ARE SUBJECT US Onshore Clients — Blue Sky (U.S. State Securities Law): Please confirm Blue Sky eligibility before soliciting to a US Onshore client by entering the CUSIP into the web tool located at: http://pscppvl.amer.jpmchase.net:8080/BlueSkyPage.html and review to see if your client's state of residence is listed. If you receive 'NO SECURITY FOUND', 'NO STATES FOUND' or the security DOES NOT HAVE A CUSIP or is not USD- denominated, then please contact your SM or local compliance officer and provide the requested security and client information. Please note that a suitability review and other pre-trade procedures must still be followed. THE BOND: The IMM 05-2 1M1 is an Alt-A Men floater (1ML + 43bps) that has 11.1% Credit support vs 15.3% in 60+ delinquency. That's 0.72x coverage assuming 100% severities. In our stress case scenario where we default 39% of the collateral (bear in mind only 15% is currently in 60+ delinquency), this bond @ 71-00 yields 3.12%. In our base case were we default 36% of the collateral, it is a 6.44% yield; to recovery, it's a 7.52% yield. The yield delta between scenarios demonstrates the resilience of the bond to different home price stresses. THE COLLATERAL The mortgage pool is backed by 93 months seasoned Alt-A borrowers with an average updated LTV of 88% and 704 FICO. THE STORY: EFTA_R1_01725351 EFTA02562930