EFTA02481054.pdf

From: Wolf, Nicole Sent: Thursday, November 5, 2015 3:49 PM To: Barrett, Paul S; Brad Wechsler; Jeffrey Epstein (jeevacation@gmail.com) Cc: Barrett Team Subject: RE: Saudi rates and CDS S&P cut Saudi Arabi= from A+ to AA- earlier this week as they expect the fiscal deficit wil= increase to 16% of GDP in 2015, from 1.5% in 2014, primarily reflecting th= sharp drop in oil prices As a follow-up to the below, it is also interesting to look at playin= the idea through FX. USD/SAR is currently pe=ged. While our base case is that the government will defend the peg, if hea=lines get worse, revenues collapse from depressed oil prices and the govern=ent has to address fiscal spending, we believe forward points and volatility will continue to increase. Althoug=, it may be a low probability event that the government breaks the peg, if=we look at Kazakhstan's actions in August (see chart below), we see b=ying USD call/ SAR put options as an interesting risk reward. USD/KZT lyr<=o:p> </=pan> Source: Bloomberg 11/05=2015 Nicole Wolf I J.P. Morgan Securitie= LLC I J.P. Morgan Private Bank I JP Morgan Chase Bank, N.A. I 320 Park Ave,=Floor 14, New York, NY 10022 I T: &nb=p; NOT AN OFFICIAL CONFIRMATION: For informational=purposes only. This report does not represent an official account of=the holdings, balances, or transactions made in your account and is being p=ovided at your request. Please refer to your monthly account statement for the official record of all of your ac=ount activities. For question, please call your J.P. Morgan represent=tive. In discussion of options and other strategies, results and risks=are based solely on hypothetical examples cited; actual results and risks w=ll vary depending on specific circumstances. Investors are urged to consider carefully whether option or option-related=products in general, as well as the products or strategies discussed herein=are suitable to their needs. In actual transactions, the client's cou=terparty for OTC derivatives applications is JPMorgan Chase Bank, N.A., and affiliates. For a copy of the "Char=cteristics and Risks of Standardized Options" booklet, please contact=your JPMorgan Advisor. EFTA_R1_01597304 EFTA02481054 This e=ail is confidential and subject to important disclaimers and conditions inc=uding on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, conf=dentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosu=es/email <http://www.=pmorgan.com/pages/disclosures/email> . The mat=rial on this page was prepared by an Associated Person with responsibilitie= for the marketing and sale of swaps and OTC financial derivatives. All que=tions related to swaps and OTC financial derivatives referenced in these materials must be directed to Nicole Wolf &n=sp; These i=dicative prices are provided for information purposes only, do not represen= a commitment from JPMorgan to transact at those prices, or at any price, i= the future, and are intended solely for your use. These indicative prices were created as of a specific t=me and market condition and do not represent (i) the actual terms at which=new transactions could be entered into, (ii) the actual terms at which exis=ing transactions could be liquidated or unwound, or (iii) the calculation or estimate of an amount that would be=payable following the early termination of transactions pursuant to any mas=er trading agreement to which we are parties. JPMorgan expressly disc=aims any responsibility for (i) the accuracy of the models or estimates used in deriving the prices, =(ii) any errors or omissions in computing or disseminating the prices, and&=bsp; (iii) any uses to which the prices are put. The indicative price= do not take into account any specific ISDA credit terms, client credit ratings or credit reserves or charges that migh= be relevant to a dealer negotiating a firm pricing level. Note that=the transaction that is the subject of these indicative prices does not hav= JPMorganChase credit approval. This document is not intended as investment or other advice or as a recommendati=n that you, any of your affiliates or any other person participate in any t=ansaction. It does not generally constitute an offer to buy or sell,=or a solicitation of an offer to buy or sell any security or financial instrument. From: Barrett, Pa=l S Sent: Tuesday, October 27, 2015 11:50 AM To: Brad Wechsler; Jeffrey Epstein (jeevacation@gmail.com) Cc: Barrett Team Subject: Saudi rates and CDS Saudi Rates and CDS Chart 1 below shows=the spread between Syr Saudi and Syr US swap rates. As the country begins t= face a budget shortfall, it's possible the government will have to s=art issuing more debt and therefore putting pressure on rates. The spread has already widened 50bps to 92bps. Chart 2 below shows=Saudi CDS 2 EFTA_R1_01597305 EFTA02481055 Syr Saudi CDS <=pan style="font-size:8.0pt;font-family:"Verdana","sans- ser=1";color:#5FSFSF"> <=pan style="font-size:8.0pt;font-family:"Verdana","sans-ser=f"">Paul Barrett I Managing Director I Global Investment Opportunities Group I J.P. Morgan Securities LLC 1 1.P. Morgan Private Bank I =1.P. Morgan Chase Bank N.A. 320 Park Avenue, 14th Floor, New York, NY 10022 I T: F: </=> <mailto NOT AN OFFICIAL CONFIRMATION: For informational purposes only.=nbsp; This report does not represent an official account of the holdings, b=lances, or transactions made in your account and is being provided at your=request. Please refer to your monthly account statement for the official record of all of your account activities= For question, please call your J.P. Morgan representative.</=:p> In discussion of options and other strategies, results and risks ar= based solely on hypothetical examples cited; actual results and risks will=vary depending on specific circumstances. Investors are urged to consider carefully whether option or option-related=products in general, as well as the products or strategies discussed herein=are suitable to their needs. In actual transactions, the client's cou=terparty for OTC derivatives applications is JPMorgan Chase Bank, N.A., and affiliates. For a copy of the "Char=cteristics and Risks of Standardized Options" booklet, please contact=your JPMorgan Advisor. This e=ail is confidential and subject to important disclaimers and conditions inc=uding on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, conf=dentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email <http://www.jpmorgan.com/p=ges/disclosures/email> <=pan style="color:black;background:white">. This email is confidential and subject to important disclaimers and conditio=s 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 <http://www.jpmorgan.com/p=ges/disclosures/email> <=span> 3 EFTA_R1_01597306 EFTA02481056