To: epstein, jeffrey (jeevacationepgmail.com)lepstein, jeffrey (jeevacation©gmail.com)];
jeevacationekjmail.
Cc: Barrett P
From: Barrett, Pau
Sent Tue 7/16/2013 2:52:29 PM
Subject: Dual Directional Oil Note
Jeffrey
An Interesting idea from our oil desk. Dual directional note that works as follows:
WTI Dual Directional
CL1 is reference at maturity (front month WTI)
53 weeks
Uncapped upside
21.5% at expiry barrier (at expiry client receives absolute value of underlying return if
above the barrier/client receives underlying return if below the barrier)
100% max loss
If oil is up 20% you are up 20%
If it is flat you are flat
If it is down 20% you are up 20%
If it is down 22%, you are down 22%
Paul
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Paul Barrett I Managing Director I Global Investment Opportunities Group I J.P. Morgan Private Bank I
320 Park Avenue, 14"' Floor, New York, NY 10022 I T: (212) 622-2770 I F: (212) 310-0108 I
NMLS IDA
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