EFTA02420811.pdf

To: Jeffrey Epstein[[email protected]] From: Jeffrey M Matusow Sent: Tue 6/1/2010 3:00:57 PM Subject: FW: Dividend hedge The Euro has rallied to 1.23 Let's use this to put on more short Euro exposure as a hedge for the dividends. I would buy 1.20 Euro puts and sell 1.25 Euro calls that knock in at 1.3150. If the Euro is back above 1.3150 the dividend trade will be much higher. Let me know. A good data point on the iTraxx Europe index vs the Dividend index: Friday close Tuesday open % chancre 2012 Dividends 94.50 90.50 4% iTraxx Europe 120 127 5.8% The iTraxx acted as a good hedge for the Dividends trade. What do you think? A lot of volatility in oil, but it is only up 50cents at $74.50. It rallied off the lows as economic data - construction spending, manufacturing - continue to come in stronger than expected. Jeff Jeffrey M. Malusow JPMorgan Private Bank 140 West 57th Street• 33rd Floor. New York. NY 10019 Work Fax Email IRS Circular 230 Disclosure. JPMorgan Chase & Co and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or wntten to be used. and cannot be used. in connection with the promotion. marketing or EFTA_R1_01486884 EFTA02420811 recommendation by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters addressed herein or for the purpose of avoiding U.S. tax-related penathes From: Jeffrey M Matusow Sent: Friday, May 28, 2010 12:09 PM To: 'Jeffrey Epstein' Subject: RE: Dividend hedge The iTraxx is meltdown insurance - for a 100% hedge you'd have to do multiples of the notional - probably 4-5x. But if you do that you risk giving up all the eventual profit on the trade - I'd rather just close the dividend position. I think weaker Euro helps the dividend position, so you could make money on both trades. Jeffrey M. Matusow JPMorgan Pnvate Bank 140 West 57th Street. 33rd Floor. New York. NY 10019 Work I Fax* Ema.i Jeffrey m matusow@rpmorgan cool IRS Circular 230 Disclosure. JPMorgan Chase & Co and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used. in connection with the promotion. marketing or recommendation by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters addressed herein or for the purpose of avoiding U.S. tax-related penalties. From: Jeffrey Epstein [mailto:[email protected]] Sent: Friday, May 28, 2010 11:37 AM To: Jeffrey M Matusow Subject: Re: Dividend hedge but how does that rcalte to the large swing /losses we have seen so far? On Fri, May 28, 2010 at 11:26 AM, Jeffrey M Matusow wrote: EFTA_R1_01486885 EFTA02420812 Your open dividend positions are: EUR 10MM 2011 EUR I5MM 2012 I would put on hedges as follows: I. Buy another 10MM Euro puts (you are already long IOMM) 2. Buy 20MM 5yr protection on the iTraxx Europe index (125 large Eur. companies) - currently trading at 120bps; hit a high of 216bps in Dec-08; low since 1/1/08 was 50bps - if it goes back to 50bps, you lose 630k - if it goes back to 216bps, you make 860k Jeffrey M. Matusow JPMorgan Private Bank 140 West 57th Street. 33rd Floor. New York. NY 10019 Work. I Fax 212.310 01081 Email. IRS Circular 230 Disclosure. JPMorgan Chase & Co and its affiliates do not provide tax advice Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used. and cannot be used. in connection with the promotion. marketing or recommendation by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters addressed herein or for the purpose of avoiding U.S. tax-related penalties. 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. *********************************************************** The information contained in this communication is EFTA_R1_01486886 EFTA02420813 confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of Jeffrey Epstein Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. EFTA_R1_01486887 EFTA02420814