From: Barrett, PaulS ile>
Sent: Wednesday, September 21, 2011 7:52 PM
To: Jeffrey Epstein
Subject: Update
Hi=Jeffrey
<= class=MsoNormal>We are still doing some more credit work before we close the=55MM Harrah's note.
&nbs=;
Since the end of August the account is d=wn around $2.7MM (was flat at the end of Aug).This translates into -
$6=2E98MM for 2010 and +$4.25MM YTD for 2011.
This has been due to =changes since End of August):
&n=sp;
SGD down 5% ($500K)<=p>
INR down 5%($500K
- &nb=p; We switched both of these forwar=s into options so we have limited downside from here on out
CADJPY down 150K [We are long the 83.25 CAD Call a=d Short the 76.00 Put with a knock in at 71; spot at 76.50; knoc=
in 7% away)
Oil call down 140K<=o:p>
Corn down 600K
ING Pfds down 200K
MS =ote knocked in down 140K
Telefonica n=te down 300K [Stock is trading below 2009 lows; only 35% of their revenue =omes from Spain; would
HOLD]
&nb=p;
I would like to reduce further downside=2E
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I think the cheapest protection out there remains buying CDS on=Asia. For example Indonesia CDS costs 220bps. It got as
wide as 1200bp= in 2008. It feels like Asian credit spreads remain one of the few thing= that have not moved and could
provide some cheaper tail risk if things de=eriorate further.
Financial Pfds remain our largest notional expo=ure (around $20MM). I think we should reduce some exposure here.
Would=involve selling some of IPM, Barclays and Citigroup. BAC and WFC was dow=graded today and would also trim
those positions.
<= class=MsoNormal>
Do you have time=to discuss?
<=p>
Paul
Paul Barrett, CFA
Man=ging Director
Global Investment Oppor=unities Group
JPMorgan Private Bank
, New York, =Y 10019
(W) (F)
This email is confidential and subj=ct to important disclaimers and conditions including on offers for the pur=hase or sale
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disclaimers, availa=le at http://www.jpmorgan.com/pages/disclosures/email.
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