To: Barrett, Paul
From: Jeffrey Epstein
Sent Tue 10/25/2011 3:55:03 PM
Subject: Re: MXN Note
ok
1 .44 AM, Barrett, Paul S <
wrote:
> Hi Jeffreys***
> * * * *
•
> MXN is still down 15% form July and implied volatility is at 20% (vs 11%
> back in July). We priced up a MXN linked note that pays the greater of 9.75%
> or the upside of MXN v USD so long as the MXN does not depreciate 25% from
> current levels at maturity only.****
> * * * *
•
> **o **underlying: USD/MXN****
> **o
• **tenor: 53 weeks****
•
> **o **max loss: 100%****
•
> **o **coupon: 9.75%****
•
> **o "max return: Uncapped****
> **o **Barrier: 25% at expiry****
> • • • *
•
> We did have SlOMM come off the Harrah's note. I think we should invest
> $1.0MM in this note.****
> ** **
•
> Let me know****
> *It **
> Paul****
•
> * * * *
>
> Paul Barrett, CFA****
•
> Managing Director****
•
> Global Investment Opportunities Group****
> JPMorgan Private Bank****
•
> 40W 57th Street, 33rd Floor, New York, NY 10019****
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•
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