From: Barrett, Paul S < Sent: Thursday, February 14, 2013 6:30 PM To: Epstein, Jeffrey ([email protected]) Cc: Weissend, Renee E; Ens, Amanda Subject: NEW HY RMBS - $12.98mm of SARM 040-4 B1 @ $59-16 (7.24% yield/ 7.55 durn) Jeffrey We should buy 51MM of this for Jeepers. 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 SARM 04-4 Ei1 is an Alt-A Seasoned Hybrid Sub bond backed by 107 months seasoned Hybrid ARM mortgages. The bond has 3.15% credit enhancement vs 12.99% 60+ delinquencies, for a 0.24x coverage ratio. THE COLLATERAL: The pool consists of 773 Alt-A loans that are 107 months seasoned with an average updated LTV of 69%. 71% of the borrowers have not missed a payment in the past 2 years. The average 6 month CDR and severity has been 2.28% and 36%, respectively. Our base case assumes 2.5% CDR ramping up to 6% CDR over 2 years and a 40% severity ramping down over 2years to 35%. At these assumptions, we are defaulting 18% of the pool when only 13% is in 60+ delinquency and project a 7.24% yield @ 559-16. THE STORY: For investors looking for a housing recovery play backed by seasoned collateral, this bond offers a great convexity story levered to prepayments and overall homeowner performance. Please call the desk with all bids/inquiries related to this bond. X32124 HIGHLIGHTS EFTA_R1_01731677 EFTA025664