To: Barrett, Paul From: Jeffrey Epstein Sent Tue 10/25/2011 3:55:03 PM Subject: Re: MXN Note ok 1 .44 AM, Barrett, Paul S < wrote: > Hi Jeffreys*** > * * * * • > MXN is still down 15% form July and implied volatility is at 20% (vs 11% > back in July). We priced up a MXN linked note that pays the greater of 9.75% > or the upside of MXN v USD so long as the MXN does not depreciate 25% from > current levels at maturity only.**** > * * * * • > **o **underlying: USD/MXN**** • > **o **tenor: 53 weeks**** • > **o **max loss: 100%**** • > **o **coupon: 9.75%**** • > **o "max return: Uncapped**** > **o **Barrier: 25% at expiry**** > • • • * • > We did have SlOMM come off the Harrah's note. I think we should invest > $1.0MM in this note.**** > ** ** • > Let me know**** > *It ** • > Paul**** > * * * * > • > Paul Barrett, CFA**** > Managing Director**** • > Global Investment Opportunities Group**** > JPMorgan Private Bank**** • > 40W 57th Street, 33rd Floor, New York, NY 10019**** EFTA_R1_00534925 EFTA02026846 ** ** • > 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 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 jeevacation@gmail.com, and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA_R1_00534926 EFTA02026847