EFTA Document EFTA01773696

From: Barrett, Paul S Sent: Tuesday, October 25, 2011 3:45 PM To: Jeffrey Epstein Cc: Giuffrida, David Subject: MXN Note Hi Jeffrey &nb=p; MXN is still down 15% form July and imp=ied volatility is at 20% (vs 11% back in July). We priced up a MXN linke= note that pays the greater of 9.75% or the upside of MXN v USD so long =s the MXN does not depreciate 25% from current levels at maturity only.<=:p> o underlyi=g: USD/MXN o =nbsp; tenor: 53 weeks o =span style=mfont-size:11.0ptfont-family:"Calibri","sans-serif—>max l=ss: 100% o =nbsp; coupon: 9.75% o =span style=lont-size:11.0ptfont-family:"Calibri","sans-serif—>max r=turn: Uncapped o&n=sp; Barrier: 25% at expiry We did ha=e $10MM come off the Harrah's note. I think we should invest $1.=MM in this note. Let me know Paul Paul Barrett, CFA Managing Director Global =nvestment Opportunities Group EFTA_R1_00086694 EFTA01773696 JPMorga= Private Bank =span style=lont-size:10.5ptfont-family:Consolas;coloritlF497IY> This email is confi=ential and subject to important disclaimers and conditions including on of=ers for the purchase or sale of securities, accuracy and completeness of i=formation, viruses, confidentiality, legal privilege, and legal entity dis=laimers, available at http://www.jpmorgan.com/pages/disclosures/email=2E 2 EFTA_R1_00086695 EFTA01773697