To: jeeyacation©gmail.com[jeevacation@gmail.com]; Jeffrey Epstein[jeeyacation@gmail.com]
From: Barrett, Paul S
Sent: Wed 9/21/2011 7:51:34 PM
Subject: Update
Hi Jeffrey
We are still doing some more credit work before we close the $5MM Harrah's note.
Since the end of August the account is down around $2.7MM (was flat at the end of Aug).This translates
into -$6.98MM for 2010 and +$4.2SMM YTD for 2011.
This has been due to (changes since End of August):
SGO down 5% ($500K)
INR down 5% ($500K
We switched both of these forwards into options so we have limited downside from here on out
CADJPY down 150K [We are long the 83.25 CAD Call and Short the 76.00 Put with a knock in at 71; spot
at 76.50; knock in 7% away)
Oil call down 140K
Corn down 600K
ING Pfds down 200K
MS Note knocked in down 140K
Telefonica note down 300K [Stock is trading below 2009 lows; only 35% of their revenue comes from
Spain; would HOLD]
I would like to reduce further downside.
I think the cheapest protection out there remains buying CDS on Asia. For example Indonesia CDS costs
220bps. It got as wide as 1200bps in 2008. It feels like Asian credit spreads remain one of the few
EFTA_R1_00550376
EFTA02037006
things that have not moved and could provide some cheaper tail risk if things deteriorate further.
Financial Pfds remain our largest notional exposure (around $20MM). I think we should reduce some
exposure here. Would involve selling some of WM, Barclays and Citigroup. BAC and WFC was
downgraded today and would also trim those positions.
Do you have time to discuss?
Paul
Paul Barrett, CFA
Managing Director
Global Investment Opportunities Group
IPMorgan Private Bank
40W 57th Street, 33rd Floor, New York, NY 10019
(W) 212-310-0108 (F)
EFTA_R1_00550377
EFTA02037007