From: Barrett, Paul S
Sent: Tuesday, September 27, 2011 6:23 PM
To: Jeffrey Epstein
Cc: Giuffrida, David
Subject: RE: Update
Jeffrey
=/o:p>
I think we should take advan=age of the recent rally to trim some positions that either have limited up=ide (like our
Barclays Pfds and Citi Pfds) or are at risk for further down=ide if Europe does not ratify the expanded EFSF.
<= class=MsoNormal>
Recommendation:
- trim our CIT from 10MM to 5MM. Would sell $2.5mm of =oth the 2016 and the 2017 maturity. We are up on both
positions
- =ollar 14 our MS exposure for 1 month. This would entail buying a 14 put=and selling a 17 call. Cost around 10c/share
- collar YI out Telef=nica position for 1month. 13.50/15 collar. Cashless.</=pan>
&n=sp;
I will call you to discu=s.
aspan>
Paul
Paul Barrett
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From: =arrett, Paul S
Sent: Wednesday, September 21, 2011 3:52 PM
<=>To: 'Jeffrey Epstein'
Subject: Update
=/cliv>
=span style=lont-size:11.0pt;font-family:"Calibri","sans-serif—>Hi Je=frey
We are still doing some more credit work before we close the $5=M Harrah's note.
<=0:p>
Since the end of August the account is down=around $2.7MM (was flat at the end of Aug).This translates into -$6.=8MM
for 2010 and +$4.25MM YTD for 2011.
This has been due to (c=anges since End of August):
&nbs=;
SGD down 5% ($500K)
INR down 5% ($500K
=nbsp; We switched both of these forwards i=to options so we have limited downside from here on out<=p>
CADJPY down 150K [We are long the 83.25 CAD Call and S=ort the 76.00 Put with a knock in at 71; spot at 76.50; knock
in=7% away)
Oil call down 14OK
Corn down 600K
ING Pfds down 200K
MS Note=knocked in down 140K
Telefonica note =own 300K [Stock is trading below 2009 lows; only 35% of their revenue come= from Spain; would
HOLD]
<=o:p>
I would like to reduce further downside.<=:p>
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I think the cheapest protection out there remains buying CDS on Asi=. For example Indonesia CDS costs 220bps. It got as
wide as 1200bps in=2008. It feels like Asian credit spreads remain one of the few things th=t have not moved and could
provide some cheaper tail risk if things deteri=rate further.
Financial Pfds remain our largest notional exposure =around $20MM). I think we should reduce some exposure here.
Would invo=ve selling some of IPM, Barclays and Citigroup. BAC and WFC was downgrad=d today and would also trim
those positions.
Do you have time to d=scuss?
Paul
</=pan>
c=pan stylernifont-size:11.0ptfont-family:"Calibri","sans-serif">&=bsp;
Paul Barrett
=OD This email is confidential and subject to important disclaimers and c=nditions including on offers for the purchase or
sale of securities, accur=cy and completeness of information, viruses, confidentiality, legal privil=ge, and legal entity
disclaimers, available at http://www.jpmorgan.com=pages/disclosures/email.
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