EFTA01859735.pdf

To: Jeffrey Epsteinueevacation Mall.COM Cc: Giuffrida, David J From: Barrett Paul S Sent: Tue 9/27/2011 6:23:03 PM Subject: RE: Update Jeffrey I think we should take advantage of the recent rally to trim some positions that either have limited upside (like our Barclays Pfds and Citi Pfds) or are at risk for further downside if Europe does not ratify the expanded EFSF. Recommendation: - trim our CIT from 10MM to 5MM. Would sell $2.5MM of both the 2016 and the 2017 maturity. We are up on both positions - collar 'A our MS exposure for 1 month. This would entail buying a 14 put and selling a 17 call. Cost around 10c/share - collar 'A out Telefonica position for 1month. 13.50/15 collar. Cashless. I will call you to discuss. Paul Paul Barrett, CFA Managing Director Global Investment Opportunities Group JPMorgan Private Bank 4OW 57th Street, 33rd Floor, New York, NY 10019 EFTA_R1_00259115 EFTA01859735  From: Barrett, Paul S Sent: Wednesday, September 21, 2011 3:52 PM To: 'Jeffrey Epstein' 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 +$4.25MM YTD for 2011. This has been due to (changes since End of August): SGD 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. EFTA_R1_00259116 EFTA01859736 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 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 .IPM, 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 NIMorgan Private Bank 40W 57th Street, 33rd Floor, New York, NY 10019 EFTA_R1_00259117 EFTA01859737