EFTA02401603.pdf

From: Barrett, Paul S Sent: Thursday, September 6, 2012 2:00 PM To: Epstein, Jeffrey ([email protected]) Cc: Giuffrida, David J; Schaffer, Susannah Subject: To Do Hi Jeffrey =/o:p> We like the =dea of receiving fixed in forward starting interest rate swaps in Europe=2E The deleveraging process in Europe will take years which will likely ke=p short dated rates low for an extended period of time. We would r=ceive fixed in a lyr interest rate swap starting in 3yrs at 1.33%. Wou=d do 100MM notional which gives you exposure of 10K per basis point. Pos=tive carry on this trade would be around 490K per year. Collateral =of 1%. =o:p> Let=me know <=:p> Paul=o:p> &nbs=; co:p> Paul Barrett, CFA Managing Director JPMorgan Private Bank NMLS ID# 853441 &nb=p; 1 EFTA_R1_01438320 EFTA02401603 This=email is confidential and subject to important disclaimers and conditions =ncluding on offers for the purchase or sale of securities, accuracy and co=pleteness of information, viruses, confidentiality, legal privilege, and l=gal entity disclaimers, available at http://www.jpmorgan.com/pages/dis=losures/email. 2 EFTA_R1_01438321 EFTA02401604