From: Paul Morris
Sent: 12/21/2013 12:06:14 PM
To: Caroline Kitidis
Subject: Fw: Fwd: Japanese Equity Basket... IC1
Classification: Confidential
Hi fyi. talk next week.
From: Jeffrey Epstein ljeevacationtrgmail.comi
Sent: 12/20/2013 09:34 AM EST
To: Paul Morris
Subject: Fwd: Japanese Equity Basket... ICI
Forwarded messaue
From: Tazia Smith
Date: Wed, Dec 18, 2013 at 2:31 PM
Subject: Japanese Equity Basket... [C]
To: jeevacation gmalI corn
Cc: Paul Morris Vahe Stepanian
Classification: Confidential
Jeffrey -
Now that the FOMC decision is behind us (with the $10bn taper we just talked about), here is the
basket of single-name Japanese equities that we put together to build on your bullish view (presently
in DXJ).
To incorporate your bearish yen view, we could quanto this basket like we talked about...in note form,
we priced 13mos with HSBC, comes to a 95% participation eg. if the basket was up 18%, note would
be up 17.1%; if basket is down 10%, note is down 9.5%. max loss 95% of principal (indicative levels
only, subject to market movement, as of 12/18/13).
We can look to add to your yen short position opportunistically as an alpha overlay (USDJPY now at
103.40).
Let us know your thoughts,
Tazia
Indicative levels, subject to market movement. Source: Bloomberg and DB Global Markets Research
12/16/13.
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