From: "Barrett, Paul S"
To: Jeffrey Epstein <jeevacation@gmail.com>
CC: "Ens, Amanda" , "Giuffrida, David J"
Subject: Update
Date: Mon, 19 Sep 2011 14:08:30 +0000
Hi Jeffrey
We are long $1OMM worth of Indian Rupee and Singapore Dollar. Both currencies have sold off recently (SGD 5% and INR
3%) since Sept 1st on liquidation and position squaring. I am worried that things will get worse in the near term before
recovering. So I think we switch from outright forwards into options.
Our recommendation is:
Unwind SGD forward and enter into a 1 month SGD call option. We are back to breakeven on this position and I
do not want to go into a loss. A 1 month SGD call will cost 1.2%. If it snaps back then we are long but if the unwind
continues we have no more downside exposure
Unwind INR Forward. We are now down $150K on the position since inception. INR has sold off 8% since early
Aug. I do think INR is cheap but remains vulnerable to worse macro news. We would recommend unwinding the
forward and buying a 47.00 Call on $20MM (twice what we have on via the forward) notional. Cost around 50bps.
Are you free to discuss?
Paul
Paul Barrett, CFA
Managing Director
Global Investment Opportunities Group
JPMorgan Private Bank
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