EFTA Document EFTA01300921

From: To: Sent: Subject: Jeffrey Ideas: Barrett. Paul S < Jeffrey Epstein <jeevacationagmad.com>:Staley, Jes" 1/31/2011 5:48:40 PM RE: Israeli Shekel: % return since 15Jan11 = -5% return last 12 months = +0.50% Indicative Pricing: 3 month ATM ILS put = 1.90% 6 month ATM ILS put = 2.65% 12 month ATM ILS put = 3.85% Alternatively if you wanted disaster insurance I would recommend buying 10% out the money puts: 3 month 10% OTM ILS put = 0.30% 6 month 10% OTM ILS put = (167% 12 month 10% OTM ILS put = 1.33% Israel CDS 5yr CDS at 150bps Was at 115bps last week. Hit 290bps in Mar09. Stock Market Puts Market down 3% since last week Up 14% last 12 months Indicative: 23jun11 5% out of the money European Puts @ 3.13% 23jun11 100%/93% European Put Spreads @ 2.42% We have the oil call options in place so alternatively we should consider buying protection on Turkey. Their 5yr CDS is at 168bps (was 135bps in early December). We are also looking at Indonesia at 173bps. Pad Paul Barrett, CFA Managing Director Global Investment Opportunities Group From: Jeffrey Epstein [mailto:[email protected]] Sent: Sunday, January 30, 2011 6:53 AM SDNV_GM_00078255 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00001382 EFTA_001 88722 EFTA01300921 To: Barrett, Paul S; Staley, Jes Subject: I think we should prepare to short the israeli market.. lets find a good way to play the uncertainty in the area *********************************************************** 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 jeevacationewnail.com, and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved SONY_GM_00078256 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00001383 EFTA_00188723 EFTA01300922