EFTA02028723

To: j v in " [email protected]]; Jeffrey [email protected]]; Staley, Jes From: Barrett, Paul S Sent: Mon 1/31/2011 5:48:40 PM Subject: RE: Jeffrey Ideas: Israeli Shekel: % return since 15.lanll = -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 = 0.67% 12 month 10% OTM ILS put = 1.33% Israel CDS 5yr COS at 150bps Was at 115bps last week. Hit 290bps in Mar09. EFTA_R1_00537445 EFTA02028723