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28 results for “
"Window @ Base Case"
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EFTA01882859
Dataset 10
2012-05-01
3p
518w
Subject:
Re: $2.59mm of WAMU 04-AR3 B2 @ 62-16 (10% yield / 6.26 durn)
From:
Jeffrey
To:
Barrett, Paul S
…Current Face: 1$88,737 Bond Type: Prime 5/1 Sub Price @ 62.16 Stres Ratings (S&P/Moodys/Fitch): CCC/Ca/- Yield 4 Current Coupon: 2.586% Spread Yield @ Base Case 10.001% Duration WAL @ Base Case 9.58 WAL 9 Principal
Window @ Base Case
Jun12 to Apr34 Principal Window Jun12 EFTA_R1_00296632 EFTA01882859 Writedown % 11.39% Principal Writedown 52 Current Credit Enhancement: 2.30% Total Collet Loss 1. 60+ Delinquencies 5.38 Total Liquidation 10 60+ Delinquency Coverage …
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01882859.pdf
EFTA01765918
Dataset 10
2012-10-19
8p
1,009w
Subject:
Re: To Do - NEW HY RMBS - $7.521mm of SEMI 03-5 B1 @ $80-16 (6.15% yield /
From:
Jeffrey <
[email protected]
>
To:
Barrett, Paul S
…00074343 EFTA01765920 100 Rati=gs (S&P/Moodys/Fitch): BB+/B3/BBB/s- Optional Servicer Call N N 10/2015 Curr=nt Coupon: 1.119% ** Run to Fwd LIBOR<=span> Yiel= @ Base Case 6.149% WAL @=Base Case 7.11 Prin=ipal
Window @ Base Case
Nov12 to Aug33 Price @ 80-16 Stress Case Base Case Recovery Case Writ=down % Yield</=> 5.015 6.149 10.416 Curr=nt Credit Enhancement: 4 EFTA_R1_00074344 EFTA01765921 4.70% Spread over Tsy 357 481 996 60+ D=linquencies…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01765918.pdf
EFTA02362584
Dataset 11
2012-05-01
8p
813w
Subject:
RE: $2.59mm of WAMU 04-AR3 B2 @ 62-16 (10% yield / 6.26 durn)
From:
Barrett, Paul
To:
Epstein, Jeffrey (
[email protected]
)
…color:black">6.71 6.26 WAL @ Base Case 9.58 =OA =OAWAL=/o:p> 9.28 9.58<=p> Pr=ncipal
Window @ Base Case
Jun12 to Apr34 Principal Window Jun12 to Apr34 Jun12 to Apr34 atd> Jun12 to May34 Writedown % =/td> 11.39% Principal Writedown 52.29%</=:p> 11.39% =0A=.00% 2.30% 4 EFTA_R1_01355521 EFTA02362587 =0D Total Collat Loss=/o:p> 1.11% =0A=.80% 0.51% =OA 60+ Delinquencies 5.38 =OD Total…
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02362584.pdf
EFTA02393665
Dataset 11
2012-03-30
7p
772w
Subject:
$6mm of IMSA 03-3 M2 @ 78-00 (10.24% yield / 2.64 durn)
From:
Barrett, Paul S
To:
Epstein, Jeffrey (
[email protected]
)
…4.967% Men =OA Price @ 78-00 =oAStress=Case Re=overy Case 2 EFTA_R1_01422430 EFTA02393666 =OD Ratings (S&P/Moodys/Fitch): =OA Yield =OD 3.213=/p 11.558 Current Coupon: 4.967%<=:p> 921<=span> 1=60 Yield @ Base Case =OD Duration=/span> 2.74 2.64 2.49 =OA WAL @ Base Case=/span> =OD WAL 4.23 4.17</=> Princi=al
Window @ Base Case
May12 to May24 Pr=ncipal Window May12 to Mar21<=span> =OD <=pan style="font-size:8.0pt…
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02393665.pdf
EFTA01767795
Dataset 10
2012-10-10
7p
952w
Subject:
To Do - HY RMBS BWIC #2 - 3.85mm of WFMBS 04-C B1 (AA'-/Ba3) @ 85-00
From:
Barrett, Paul S
To:
Jeffrey Epstein
…font-size:8.0ptfont-family:"Arial","sans-s=rif";color:black">Optional Servicer Call <=td> Current Coupon: 4.949%<=:p> =OD =OD Yield @ Base Case =OA 6.952% =OD =rice @ 85-00 Stress Case=/b> Base Case Recovery Case=/b> W=L @ Base Case 6.=4 2.296 3 EFTA_R1_00077300 EFTA01767797 =OD 6.95= Principal
Window @ Base Case
=ltd> Nov12 to Feb34 Sp=ead over Tsy 94 603 =td width="200" nowrap="" valign="bottom" style="width:150.0pt;bo=der:none…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01767795.pdf
EFTA01760144
Dataset 10
2013-04-15
8p
926w
Subject:
NEW SHORT DURN, HY RMBS BWIC - $6mm of CWHL 03-1 81 @ 95-16 (6.05%
From:
Barrett, Paul S
To:
Jeffrey Epstein (
[email protected]
)
…2016 Current Coupon: 5.750% Yield @ Base Case 6.051% Price @ 95.16 Stress Case 3 EFTA_R1_00064319 EFTA01760146 Base Case Recovery Case WAL @ Base Case 2.88 Yield 2.991 6.051 8.198 Principal
Window @ Base Case
May13 to Dec26 Spread over Tsy 250 559 783 Writedown % 5.76% Duration 2.36 2.24 1.74 Current Credit Enhancement: 5.58% WAL 3.12 2.88 2 4 EFTA_R1_00064320 EFTA01760147 60+ Delinquencies 13.04 Principal…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01760144.pdf
EFTA02005127
Dataset 10
2012-09-13
4p
645w
Subject:
New mortgage bond to buy
To:
jeevacation©gmail.con[
[email protected]
]; epstein, jeffrey
… Prime 5/1 Sub Ratings (S&PrMoodys/Fitch): Price @ 73-00 Current Coupon 2 712% Yield Yield @ Base Case 7.295% Spread over Tsy WAL @ Base Case 7.98 Duration Pnncipal
Window @ Base Case
Oct12 to Jun34 WAL Writedown % 12.27% Principal Window Current Credit Enhancement 2 08 Principal Writedown 60+ Delinquencies 4 34 Total Collet Loss 60+ Delinquency Coverage 0 48x Total Liquidation UNDERLYING COLLATERAL DESCRIPTION HISTORICAL PERFORMANCE Average Loan Balance (5.000s) Loan Count 812 CPR Mortgage Type…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA02005127.pdf
EFTA01765977
Dataset 10
7p
756w
Subject:
To Do
From:
Giuffrida, David J
To:
Jeffrey Epstein
…4pt;height:12.75pt"> =tr style="height:13.5pr> 5.250%=o:p> =OA =OA Yield @ Base Case =00 <=pan style="font-size:8.0ptfont-family:"Arial","sans-serif";color:#1F497D">8.213% Price @ 81-=0 Stress Case =OA Base Case Recovery Case =OD 6.03</=:p> Yield 8.213 11.891 Principal
Window @ Base Case
=0A=0A Dec12 to Aug32 =td width="43" nowrap="" valign="bottom" style="width:32.0pt;padd=ng:Oin 5.4pt Oin 5.4pt;height…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01765977.pdf
EFTA01963710
Dataset 10
2013-07-10
7p
1,644w
Subject:
RE: To Do - ALT-A HY RMBS OFFERING - $10mm of IMM 05-2 1M2 @ $69-00 (7.428%
From:
Ens, Amanda
To:
Jeffrey epstein (jeeyacation@gmaitcom)[Jeffrey epstein (jeevacation©gmaitcom)];
…BOND DESCRIPTION Prepay Rate Cusip: 45254NNC7 Default Rate Original Face: 10,000,000 Default Severity Current Face: 1.566.775 Delinq Rate Bond Type: Alt-A Men Floater (1ML 73.5bps) Delinq Advance (% of P8I) Ratings (S&P/MoodysiFitch): CC/Cat- Call Current Coupon: 0.928% Yield @ Base Case Price @ 69-00 WAL @ Base Case 7 11 Yield Pnncipal
Window @ Base Case
Jul13 to Nov28 DM Writedown % 23 20% Duration Current Credit Enhancement 6.01% WAL 60* Delinquencies ' 3 2…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01963710.pdf
EFTA01761184
Dataset 10
2013-04-30
7p
670w
Subject:
NEW PRIME HY RMBS - $2.726mm of SASC 03-10 B2 @ 100-00 (5.943%
From:
Barrett, Paul S •Sl=g
To:
Epstein, Jeffrey (
[email protected]
)
…Yes Current Coupon: 6.000% Yield @ Base Case 5.943% 3 EFTA_R1_00065862 EFTA01761186 Price @ 100-00 Stress Case Base Case Recovery Case WAL @ Base Case 3.65 Yield 4.325 5.943 5.286 Principal
Window @ Base Case
Jun13 to Jun21 Spread over Tsy 274 539 484 Writedown % 0.00% Duration 6.45 3.14 0.51 Current Credit Enhancement: 5.08% WAL 8.58 4 EFTA_R1_00065863 EFTA01761187 3.65 0.53 60+ Delinquencies 10.04…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01761184.pdf
EFTA01790117
Dataset 10
2013-05-16
8p
865w
Subject:
To Do - PRIME HY RMBS #4 - $2.992mm of BOAMS 04-D B1 px talked @ $85-16
From:
Barrett, Paul S
To:
Jeffrey Epstein
…Caa3/B Call No No May-2016 Current Coupon: 2.930% Yield @ Base Case 5.958% Price @ 85.16 Stress Case Base Case Recovery Case WAL @ Base Case 8.95 Yield 0.979 5.958 8.698 Principal
Window @ Base Case
Jun13 to Dec43 Spread over Tsy -99 402 3 EFTA_R1_00117622 EFTA01790119 818 Writedown % 6.30% Duration 7.73 6.80 2.62 Current Credit Enhancement: 4.34% WAL 9.12 8.95 2.87 60+ Delinquencies 7…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01790117.pdf
EFTA01784950
Dataset 10
2013-02-06
9p
1,080w
Subject:
FW: HY PRIME RMBS #1 - $5.70mm of SEMT 11 61 @ $74-16 (6.51% yield/ 6.20 durn)
From:
Barrett, Paul S <
To:
Jeffrey Epstein
…Moodys/Fitch): B-/Caal/B Current Coupon: 1.660% Yield @ Base Case 6.510% Price @ 74-16 Stress Case Base Case Recovery Case WAL @ Base Case 8.19 Yield 3.520 6.510 7.639 Principal
Window @ Base Case
Feb13 to Nov32 Spread over Tsy 191 473 584 Writedown % 10.89% Duration 4 EFTA_R1_00106684 EFTA01784953 5.80 6.20 6.28 Current Credit Enhancement: 4.03% WAL 7.32 8.19 8.25 60+ Delinquencies 12.03 Principal…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01784950.pdf
EFTA01789939
Dataset 10
2013-05-16
8p
865w
Subject:
PRIME HY RMBS #2 - $2.669mm of BOAMS 03-1 B2 px talked @ 859-00 (5.885%
From:
Barrett, Paul S
To:
Jeffrey Epstein
…B Call No No May-2017 Current Coupon: 3.153% Yield @ Base Case 5.885% Price @ 59.00 Stress Case Base Case Recovery Case WAL @ Base Case 5.05 Yield -0.382 5.885 20.084 Principal
Window @ Base Case
Jun13 to Dec23 Spread over Tsy 3 EFTA_R1_00117086 EFTA01789941 •175 485 1942 Writedown % 44.69% Duration 4.91 3.55 2.88 Current Credit Enhancement: 2.38% WAL 6.34 5.05 3.55 60+ Delinquencies 8.27…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01789939.pdf
EFTA01768810
Dataset 10
2012-04-12
7p
667w
Subject:
HY RMBS FOCUS BOND- 58.65mm of BAFC 06-G 2A5 @ 65-00 (11.05% yield / 3.96
From:
Barrett, Paul S
To:
Epstein, Jeffrey (
[email protected]
)
…> Current Coupon: <=d width="144" nowrap="" valign="bottom" style="width:108.2pt;pad=ing:Oin 5.4pt Din 5.4ptheight:13.35pt"> 0=2E522% Spread =OA 296 1100 Duration=o:p> 4.04 <=td> 3.43 =OA WAL @ Base Ca=e 6.36=/span> 2 EFTA_R1_00078962 EFTA01768811 =OD WAL 6.36=/o:p> 5.38 Principal
Window @ Base Case
=0A=0A Apr12 to Jan35 =td width="39" nowrap="" valign="bottom" style="width:28.9pt;padd=ng:Oin 5.4pt Oin 5.4pt…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01768810.pdf
EFTA01758172
Dataset 10
2013-05-02
7p
851w
Subject:
11:30AM BWIC - PRIME HY RMBS #9 - $5.704mm of MASTR 03-8 B2 px talked @
From:
Barrett, Paul S
To:
Epstein, Jeffrey (
[email protected]
)
…00060921 EFTA01758173 Call No No Yes Current Coupon: 5.245% Yield @ Base Case 7.595% Price @ 84-00 Stress Case Base Case Recovery Case WAL @ Base Case 3.02 Yield -2.756 7.595 22.612 Principal
Window @ Base Case
Jun13 to Oct40 Spread over Tsy -318 715 2194 Writedown % 3 EFTA_R1_00060922 EFTA01758174 15.50% Duration 1.96 2.14 0.94 Current Credit Enhancement: 1.84% WAL 2.78 3.02 1.1 60+ Delinquencies 6.29…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01758172.pdf
EFTA02378612
Dataset 11
2013-05-16
8p
1,053w
Subject:
RE: PRIME HY RMBS #2 - $2.669mm of BOAMS 03-1 B2 px talked @ $59-00 (5.885%
From:
Barrett, Paul S
To:
'Jeffrey Epstein'
…2017 Current Coupon: 3.153% Yield @ Base Case 5.885% Price @ 59-00 Stress Case Base Case Recovery Case 3 EFTA_R1_01390772 EFTA02378614 WAL @ Base Case 5.05 Yield -0.382 5.885 20.084 Principal
Window @ Base Case
Jun13 to Dec23 Spread over Tsy -175 485 1942 Writedown % 44.69% Duration 4.91 3.55 2.88 Current Credit Enhancement: 2.38% WAL 6.34 5.05 3.55 60+ Delinquencies 8.27 4 EFTA_R1_01390773 EFTA02378615…
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02378612.pdf
EFTA02522065
Dataset 11
2012-09-11
7p
830w
Subject:
NEW HY RMBS on 10am BWIC - $8.13mm of MHL 05-2 1M1 (BBB+•) @ $70-00
From:
Barrett, Paul S <
To:
Epstein, Jeffrey (
[email protected]
)
…bac=ground:gD7E4BC;padding:Oin 5.4pt Oin 5.4ptheight:13.35pt"> W=L @ Base Case 8.=2 5.310 =OD 6.5=5 7=2E924 Principal
Window @ Base Case
<=td> Sp=ead over Tsy 381</=> 671 =OD 10.45% =OD =OD Duration 6.53</=pan> 6.25 =OA Current Credi= Enhancement: 11.24% =OA WAL =OD <=pan style="font-size:9.0ptfont-family:"Arial","sans-serif";color:black">9.12 8.82 7.74=/o:p> 3 EFTA_R1_01659906 EFTA02522067 60…
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02522065.pdf
EFTA02370477
Dataset 11
2012-08-23
6p
543w
Subject:
Rplacement for the mortgage we sold last week - NEW PRIME RMBS SUB - $3.325mm
From:
Barrett, Paul S
To:
Epstein, Jeffrey (
[email protected]
)
…Arial","sans-s=rif";color:black">-149 684 2 EFTA_R1_01372424 EFTA02370478 =OD <=pan style="font-size:8.0ptfont-family:"Arial","sans-serif";color:black">1137 =0A Yield @ Base Case 7.562% =OA =OADuration 3.52 3.16 2.97 WA= @ Base Case 4.09=o:p> WAL 4.62 =OD 4=2E18 Principal
Window @ Base Case
<=td> Principal Window =td width="196" nowrap="" valign="bottom" style="width:147.1pt;pa=ding:Oin 5.4pt 0in 5.4pt;height:12.75pt">…
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02370477.pdf
EFTA02357573
Dataset 11
2013-03-07
8p
930w
Subject:
To Do - NEW HY RMBS - $5.982mm of CMSI 2005-7 1M @ $98-00 ( 6.033% yield/ +
From:
Barrett, Paul S
To:
Jeffrey Epstein
…No No Current Coupon: 5.500% Yield @ Base Case 6.033% Price @ 98-00 Stress Case Base Case Recovery Case WAL @ Base Case 4.39 3 EFTA_R1_01343586 EFTA02357575 Yield 0.811 6.033 6.101 Principal
Window @ Base Case
Apr13 to Oct34 Spread over Tsy 6 522 543 Writedown % 0.00 (0.00%) Duration 3.12 3.49 3.05 Current Credit Enhancement: 5.53% WAL 4.14 4.39 3.73 60+ Delinquencies 8.39 Principal Window…
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02357573.pdf
EFTA02385948
Dataset 11
2013-05-10
7p
714w
Subject:
NEW PRIME HY RMBS - 51.5mm of GSR 05-5F B1 @ 97-16 (6.132% yield/7.23dum)
From:
Barrett, Paul S <
To:
Epstein, Jeffrey (
[email protected]
)
…NR/- Current Coupon: 5.759% Yield @ Base Case 6.132% Price @ 97.16 Stress Case Base Case Recovery Case WAL @ Base Case 10.34 Yield 6.113 6.132 3 EFTA_R1_01405306 EFTA02385950 6.157 Principal
Window @ Base Case
Jun13 to May35 Spread over Tsy 392 412 436 Writedown % 0.00% Duration 7.82 7.23 6.59 Current Credit Enhancement: 4.81% WAL 11.71 10.34 9.05 60+ Delinquencies 9.99 Principal Window Jun13 to May35…
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02385948.pdf
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