From: Wolf, Nicole Sent: Thursday, November 5, 2015 3:49 PM To: Barrett, Paul S; Brad Wechsler; Jeffrey Epstein ([email protected]) 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=terp