EFTA00674122.pdf

From: Daniel Sabba To: [email protected] Subject: Re: [C] Date: Mon, 12 Jan 2015 22:49:20 +0000 Inline-Images: unnamed; unnamed(1) Classification: Confidential Jeffrey, per our chat: Brazil CDS Markets: 1y 93 / 111 2y 130 / 148 3y 147 /165 5y 210 / 214 - this means you would purchase protection for 214bps per year for 5 years (payment streams below). Brazil CDS history: GRAB BRAZIL CDS USD SR 99 Save As... 90 Actions- 97) Edit - 90 Table hilstoncartine Chart 07/31/2001 01/12/2015 Last Price Line I I IN° Lower Chart ..,USD I 1D 3D IH 6H YID lY Sr Max HOAdlly • gtf Security/Study Event 0 •4000 1 • Last Price 212.000 T High on 09/30/02 3900.000 11. 3500 -+. Average 424.084 / Low on 05/31/07 63.000 -3000 2.2500 -2000 D. 1500 -1000 -500 ! '02 '03 I '04 ! '05 '06 I '07 I '08 I '09 I '10 '11 I '12 I '13 '14 '1 Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe 44 20 7330 7503 Germany 49 69 9204 1210 Hong Kong 852 2977 6000 Japan 81 3 3201 8900 Singapore 65 6212 1000 U.S. 1 212 318 2000 Copyright 2015 Bloomberg Finance SH 839901 H653-1285-2 12-Jan-15 17.42:52 EST GMT-5:00 CDS Valuation: Let's walk through this CDS valuation when you have a second. EFTA00674122  GRAB 9W Actions 91) Products 9h View Credit Default Swap Valuation Cpty CDS CNTRPARTY OTC PI BRAZI n. ..eres 3 R Ui settings 1359 Sena th" 1. 391/1-7, Market Bay Notional 10 LUSO 2014 SUS 01/12/15 rt REF Entity Federative Republic of Brazil Swap Curve 260 Mid Debt Type Senior Restructuring CR14 51 View USD ISDA Standard Curve REF Obligation US 105756AL40 IR RED Pair Code 115CCSAC2 CDS Curve Ask ri° 6) View BRAZIL USD Senior Curve (CDSD) Trade Date 11 Trd Spill I hp .r 212.9400 1st Accr Start Backstop Date 11/13/14 Recovery Rate 0.25 1st Coupon Pen Coupon 03/20/15 12/20/19 Coupon (bp) Day Cnt ACT/360 Free, 100.000 Q 7 arm 03/20: Pts Upf 5.342065 Spread 212.9400 Prob l n:c. Maturity ej 03/20/20 rl Pay Al True Date Gen I View Term Structure IP! Use Curve Recovery Rate True Business Days SD Recovery Rate 0.25 BLS Day As; 1 err! N k;4AZIL OW Cruet Curve • ocAM SY 211.10 ISDP. Standard Upfront Model (I)m • * 100 Cash Settled On 21/15/15 Valuation Date 01/12/15 Cash Calculated On C.1115/15 • • 15U Price 94.65793466 Spread DV01 4,548.97 100 Principal 534,206 IR DV01 -139.01 Accrued (22 Days) -6,111 Rec Risk (1%) -509.66 614 24 rif 4Y 5? iv ICY/ Cash Amount 528,095 Def Exposure 4 9 .793 •This application is based on the ISDA SW Model vl, developed and supported in ccilaborabon with Harlot Group Ltd. Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 cnn0 Japan 01 3 DZOI 000 Singapore C5 0212 1000 V.S. 1 212 310 2000 Copyright 2015 Dloomberg rinanc• OH 05001 I11.33 1205 2 12 Jan 15 Oriel:lea: CST GMT 5'00 Thank you, Daniel From: "affray E. [email protected]> To: Daniel Sabb Date: 01/12/2015 05:26 PM Subject: short latin america? please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by EFTA00674123 return e-mail or by e-mail to jmacAthal gmail.com, and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00674124