From: Barrett, Paul S < Sent: Friday, February la 2012 8:01 PM To: Epstein, Jeffrey ([email protected]) Cc: Giuffrida, David J; Ens, Amanda Subject: SP500 Notes Hi Jeffrey We have 2 S&P500 notes. =OD &n=sp; $5mm of a note expiring 20Jun12 with a buffer from 1=56 down to 930. This pays the greater of the upside or a 0% coupon. $2mm of a note expiring 07Feb13 w=th a buffer from 1260 down to 945. This pays the greater of the upside o= a 6.25% coupon. I think we should consider unwinding the $5MM structure, locking i= the profits and resetting into a new note with either:<=p> A.&n=sp; 15 month market plus that pays the greater of 0% or the upside of the =tock with a 75% (so protected from 1340 down 1005) buffer with daily barri=r observations OR B. =0AA dual directional note th=t has upside exposure between 1340 and 1535 and upside exposure from 1340 =own to 1072 (so if the market is down 15% from here, you make 15%)=2E If 1072 trades in the next 12 months you are long at 1340 and would be =own 20%. C. Optimal entry note which gives you 2x l=verage capped at 6.5% but your starting point is the lowest closing poin= of the S&P over the next 2 months. 15 months maturity.=/span> Paul<=p> =OD =OA EFTA_R1_00084763 EFTA01772531