<table><tr><th>From:</th><th>Barrett, Paul S</th></tr><tr><td>Sent:</td><td>Wednesday, June 27, 2012 6:50 PM</td></tr><tr><td>To:</td><td>Jeffrey</td></tr><tr><td>Cc:</td><td>Giuffrida, David J; Ens, Amanda</td></tr><tr><td>Subject:</td><td>EUR CHF</td></tr></table>

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:11.0pt;font-family:"Calibri","san=-serif""">1.18/1.11 put spread costs 0.80% EUR (6.88x max net =eturn).

So=spend $200,000 you controls 20MM EUR notional.

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=p class="MsoNormal">Paul

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Paul Barrett, CFA

Managing Director</=>

Global Investment Opportunities Group<=span>

JPMorgan Private Bank<=>

320 Park Avenue, 14th Floor, New York, NY 10022

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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.