From: Barrett, Paul S
Sent: Tuesday, October 25, 2011 3:45 PM
To: Jeffrey Epstein
Cc: Giuffrida, David
Subject: MXN Note
Hi Jeffrey
&nb=p;
MXN is still down 15% form July and imp=ied volatility is at 20% (vs 11% back in July). We priced up a MXN linke= note
that pays the greater of 9.75% or the upside of MXN v USD so long =s the MXN does not depreciate 25% from current
levels at maturity only.<=:p>
o underlyi=g: USD/MXN
o =nbsp; tenor: 53 weeks
o =span style=mfont-size:11.0ptfont-family:"Calibri","sans-serif—>max l=ss: 100%
o =nbsp; coupon: 9.75%
o =span style=lont-size:11.0ptfont-family:"Calibri","sans-serif—>max r=turn: Uncapped
o&n=sp; Barrier: 25% at expiry
We did ha=e $10MM come off the Harrah's note. I think we should invest $1.=MM in this note.
Let me know
Paul
Paul Barrett, CFA
Managing Director
Global =nvestment Opportunities Group
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JPMorga= Private Bank
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