To: Jeffrey Epsteir l
Cc: Giuffrida, David J
From: Barren, Paul S
Sent: Mon 7/16/2012 7:58:09 PM
Subject: RE:
Jeffrey
Here is a sample portfolio per your request. The below portfolio has the following characteristic:
Unlevered yield: 8.83%
Leverage Used: 16% (borrowed at 3M Libor + 100bps)
Leveraged Yield: 10.00%
Leveraged Notional: 116% ($116,000,000)
• Returns for DoubleLine and Blackstone GSO are purely estimates
Proposed Portfolio
Leveraged
Weight
1-ligh Yield 29 00% Yield
JPM High Yield Bond Fund
29.00% 6.36%
Bank Preferreds/Lower Tier II Bonds
RBS 7.25% Pfds 3.48% 8.50%
Ally B Pfds 3.48% 7.95%
Rabobank 8.40% 3.48% 7.85%
Pfds
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Bank of America 8.125% Pfd
3.48% 6.60%
GE 7.125% Pfd 3.48% 5.90%
Emerging Markets
PDVSA 5% 2015 (USD Denominated)
5.80% 11.75%
BRL Linked Market Plus Note (8% coupon / 25% At
expiry Buffer)
5.80% 8.00%
Equity Linked Not
23.20% Coupon
SP500 Linked CBEN (10% Coupon / 10% cap / 23%
buffer)
11.60% 10.00%
Apple Linked CBEN (10% coupon / 20% Cap / 20%
At expiry Buffer)
5.80% 10.00%
Starbucks Linked CBEN (11% coupon/15% cap/20%
At expiry Buffer)
5.80% 8.00%
Commodities
5.80% Coupon
Oil (Brent) Linked CBEN Note (13% coup/20% buff)
5.80% 13.00%
Alternatives
29.00% Estimate
DoubleLine Mortgage Fund
17.40% 12.00%
Blackstone GSO Rescue Lending Fund
11.60% 8.00%
Unleveraged Return
8.83%
Leveraged Gross Return
10.24%
Leverage Borrow using a line of credit at a rate of
Borrowed
1.50% Amount 16%
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Leveraged Net Return
10.00%
Paul Barrett, CFA
Managing Director
Global Investment Opportunities Group
JPMorgan Private Bank
From: Jeffrey Epstein [mailtc
Sent: Sunday, July 15, 2012 7:58 PM
To: Barrett, Paul S
Subject:
I would arpeciate it if someone in your shop put together a sample portfolio of funds and
products for a 100 million dollar. structured to yield about 10%
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