To: Jeeyacation[jeeyacation@gmail.com] From: Jeffrey M Matusow Sent: Tue 5/25/2010 2:27:45 PM Subject: Protection You are effectively long the 30y swap rate at 4.35%. It is now at 3.83%. Our fundamental view remains that global growth (led by the US and Asia) will continue to rebound, and rates will rise. However right now rates have been depressed by safe haven buying, and if the turmoil continues could stay low for longer than we expected. Your long postion is $40MM notional. As a hedge against further meltdown, we should buy put options on the swap rate: lmonth options on the 30y swap rate at 3.50%; cost is 1% 2month options on the 30y swap rate at 3.40%; cost is 1% 3month options on the 30y swap rate at 3.25%; cost is 1.25% I suggest buying $10MM of 1 month, 10MM of 2 month and 10MM of 3 month. Total cost is around $325k. Jeff Jeffrey M. Matusow JPMorgan Private Bank 40 West 57th Street, 33rd Floor. New York, NY 10019 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 EFTA_R1_01490120 EFTA02423189