EFTA01770142.pdf

From: jeffrey epstein <[email protected]> Sent: Friday, February 10, 2012 8:32 PM To: Barrett, Paul S Subject: Re: SP500 Notes Talk to monday Sorry for all the typos .Sent from my iPhone On Feb 10, 2012, at 4:00 PM, "Barrett, Paul 5" .: > wrote: Hi Jeffrey We have 2 S&P500 notes. $5mm of a note expiring 20Jun12 with a buffer from 1256 down to 930. This pays the greater of the upside or a 0% coupon. $2mm of a note expiring 07Feb13 with a buffer from 1260 down to 945. This pays the greater of the upside or a 6.25% coupon. I think we should consider unwinding the $5MM structure, locking in the profits and resetting into a new note with either: A. 15 month market plus that pays the greater of 0% or the upside of the stock with a 75% (so protected from 1340 down 1005) buffer with daily barrier observations OR B. A dual directional note that has upside exposure between 1340 and 1535 and upside exposure from 1340 down to 1072 (so if the market is down 15% from here, you make 15%). If 1072 trades in the next 12 months you are long at 1340 and would be down 20%. C. Optimal entry note which gives you 2x leverage capped at 6.5% but your starting point is the lowest closing point of the S&P over the next 2 months. 15 months maturity. Paul EFTA_R1_00081034 EFTA01770142  Paul Barrett, CFA Managing Director Global Investment Opportunities Group JPMorgan Private Bank NMLS ID# 853441 This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, confidentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email. 2 EFTA_R1_00081035 EFTA01770143