EFTA01857022.pdf

To: Jeffrey Epsteinfieeyacation©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_00254519 EFTA01857022 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 1PMorgan Private Bank 40W 57th Street, 33rd Floor, New York, NY 10019 (W) (F) EFTA_R1_00254520 EFTA01857023