EFTA02401562.pdf

From: Barrett, Paul S Sent: Thursday, July 26, 2012 4:10 PM To: Jeffrey Epstein Cc: Giuffrida, David Subject: FW: Revised Portfolio <=iv class="WordSectionl"> Hi Jeffrey I left a message with Do you need any additional follow up regarding the portfolio?=o:p> Paul Paul Barrett, CFA Managing =irector Global Investment Opp=rtunities Group JPMorgan Priv=te Bank From:</=pan> Barrett, Paul S Sent: Tuesday= July 17, 2012 3:55 PM To: 'Jeffrey Epstein' C=: Giuffrida, David Subject: Revised Portfolic4=:p> EFTA_R1_01438201 EFTA02401562 &n=sp; Hi Jeffrey</=:p> Here is a revised p=rtfolio sample that does not employ leverage. We added some gold exposur= and increased the oil weighting. Remember that the coupons on a structu=ed note will knock out if we hit the buffer level (continuous) or fi=ish below the buffer (at expiry). =p class="MsoNormal"> =OA =/span> =OD =OD =OA=span style="font-size:10.0pt;font-family:"Arial","sans-=erif";color:black"> &n=sp; =/o:p> <=tr> =OA =OA =o:p> High Yield =OD =OD Leveraged Weigh= 2 EFTA_R1_01438202 EFTA02401563 =0:p> =span style="font-size:10.0pt;font-family:"Arial","sans-=erif";colorblack"> <=td> 20.00%<=0:p> =OD <=pan style="font-size:10.0pt;font-family:"Arial","sans-s=rif";color:black">Yield =OD =OA 20.00% <=td> &n=sp; =/td> =OA =OA =OD <=pan style="font-size:10.0pt;font-family:"Arial","sans-s=rif";color:black"> </=d> Bank Preferreds/lower Tier II Bonds =OD <=o:p> =OD Yield =OARBS 7.25% Pfds <=td> =td width="78" nowrap="" valign="bottom" style="width:58.15pt;pad=ing:Oin 5.4pt Oin 5.4pt;height:12.75pt"> 4=2E00% 8.50% 3 EFTA_R1_01438203 EFTA02401564 =0AAlly B Pfds =OD <=pan style="font-size:10.0pt;font-family:"Arial","sans-s=rif;colorblack">Rabobank 8.40% Pfds </=d> =td width="78" nowrap="" valign="bottom" style="width:58.15pt;pad=ing:Oin 5.4pt Din 5.4ptheight:12.75pt"> 3.00% 7.85% =0ABank of America 8.125% Pfd=OD =OA 2.00%=/span> 6.60% =OA GE 7.125% Pfd 2.00% =OA =OA =OA </=> Emerging Markets =OD =OA =/p> <=:p> =span style="font-size:10.0ptfont-family:"Arial","sans-=erif";colorblack"> 10.00% =0D Yield PDVSA 5% 2015 (USD Denominated)=/span> =OD =OD 5.00% =OD 11.75% 4 EFTA_R1_01438204 EFTA02401565 =o:p> BBL Linked Market Plus Note (8% coupon / 25% At expiry Buffer)</=:p> 5.00% =OA =OA =OA </=> Equity Linked Notes </=d> &n=sp; ad width="87" nowrap="" valign="bottom" style="width:65.0pt;borde=-top:none;border-left:solid windowtext 1.0pt;border-bottom:none;border-r=ght:solid windowtext 1.0ptbackground:#A5A5A5;padding:Oin 5.4pt Oin 5=2E4ptheight:12.75pt"> 22.50%=/p> Coupon =0ASP500 Linked CBEN (10% Coupon = 10% cap / 23% buffer) 12.50% =OD <=pan style="font-size:10.0ptfont-family:"Arial","sans-s=rif";color:black">10.00% =OA <=d width="87" nowrap="" valign="bottom" style="width:65.0pt;borde=:solid windowtext 1.0pt;border- top:none;padding:Oin 5.4pt Oin 5.4pt;=eight:12.75pt"> 5.00% =OA 10.00% =OD 8.00% 5 EFTA_R1_01438205 EFTA02401566 =OA =OA =OA </=> Commodities =0A=p class="MsoNormal"> <=0:p> 7.50% =/td> =oupon Oil (Brent) Linked CBEN Note (13% coup/20% at =xpiry buffer) 7.50= 13.00% Gold Linked CBEN (5% coup/15% at e=piry buffer) 5.00% =OA =OA =OA </=> Alternatives =0A=p class="MsoNormal"> ao:p> 25.00% 6 EFTA_R1_01438206 EFTA02401567 =OA Estimate DoubleLine Mortgage Fund =OA 15.00% 14.00% =OA =OA </=d> Blacksto=e GSO Rescue Lending Fund 10.00% 12.00% style="height:12.75pt"> =OD aspan> =OA =/span> =OD =0A10.08%<=:p> Leveraged Gross Return =OD atd> =0Aapan style="font-size:10.0pt;font-family:"Arial","sans-s=rif";color:black"> =/p> Leverage Borrow =sing a line of credit at a rate of width="78" nowrap="" valign="bottom" style="width:58.15pt;bord=rnone;border-bottom:solid windowtext 1.0ptpadding:0in 5.4pt 0in 5.=pt;height:12.75pt"> 7 EFTA_R1_01438207 EFTA02401568 0•%o<=span> <=span> =td width"249" nowrap="" colspan="2" valign="bottom" style="widt=:186.9pt;border-top:none;border-left:solid windowtext 1.0pt;border-bot=om:solid windowtext 1.0ptborder-right:none;background:#B6DDE8;padding:0=n 5.4pt 0in S.4pt;height:12.75pt"> Leveraged Net Return =/td> </=d> </=d> </=d> 10.08% =OD c=o:p> <= class="MsoNormal"> <=pan style="font-size:10.5pt;font-family:Consolas;color:#1F497D">Paul B=rrett, CFA Managing Directo= Global Investment Opportunit=es Group WMorgan Private Ban= 320 Park Avenue, 14th Floor,=New York, NY 10022 212-622-27=0 (W) 212-310-0108 (F) NMLS lD# 853441 pauI.s.barrett@jpmor=an.com <mailto:paul.s.barrett@jpmorgan.com> =span STYLE="color :#000000; font-size: 8pt; background-color :#FFFFFF">=0D This email is confidential and subject to important disclaimers and c=nditions including on offers for the purchase or sale of securities, accur=cy and completeness of information, viruses, confidentiality, legal privil=ge, and legal entity disclaimers, available at http://www.jpmorgan.com=pages/disclosures/email. 8 EFTA_R1_01438208 EFTA02401569