EFTA02353931.pdf

From: Barrett, Paul S Sent: Wednesday, June To: Jeffrey Cc: Giuffrida, David J; Ens, Amanda Subject: EUR CHF Pricing on buying a EUR put sp=ead/CHF call spread Bet is that the peg breaks when the Swiss National Bank reaches a l=mit on how much intervention they can afford. Their balance sheet is alr=ady at 70% of Swiss GDP. =span style="font-size:11.0ptiont-family:"Calibri","sana.-serir">1.18/1.11 put spread costs 0.80% EUR (6.88x max net =eturn). So=spend $200,000 you controls 20MM EUR notional. =OA =p class="MsoNormal">Paul =OA Paul Barrett, CFA Managing Director4=> Global Investment Opportunities Groupaspan> JPMorgan Private Bank</=> 320 Park Avenue, 14th Floor, New York, NY 10022 EFTA_R1_01334908 EFTA02353931 NMLS ID# =53441 =OD This email is confidential and subject to important dis=laimers and conditions including on offers for the purchase or sale of sec=rities, accuracy and completeness of information, viruses, confidentiality= legal privilege, and legal entity disclaimers, available at http://www.=pmorgan.com/pages/disclosures/email. 2 EFTA_R1_01334909 EFTA02353932