EFTA02361695.pdf

From: Daniel Sabba Sent: Thursday, March 19, 2015 1:33 AM To: Jeffrey E. Subject: RE: I did a bit of thinking on this. USDBRL moved from 2.64 to 3.27, a 2=% move from the date we put the CDS trade on. At that date, USDBRL had a n=gative carry of about 12%, so the return on annualized carry was about 2x. Many drivers led us to the CDS expression, particularly the fact that the p=oblems in brazil would cause deterioration of credit fundamentals. The key=driver was the low carry... about 200bps per year... CDS moved from 205 to 320, a 56% move and the return on annualized carry wa= about 23x. So to look at CDS and the fact it moved 56% and BRL moved 24% isn't enough.=We gotta factor in the cost of holding the trade versus the return, which =hould lead to a comparison of 23x versus 2x. From: jeffrey E. [email protected]<=r> Sent: Sunday, March 15, 2015 7:45 AM To: Daniel Sabba Subject: the brl trade would have made a great deal of money., = again we screwd 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 return e-mail or by e-mail to [email protected] <mailto:[email protected]> , and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. =f you are not the intended recipient (or have received this communication =n error) please notify the sender immediately and destroy this communicati=n. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidde=. Deutsche Bank does not render legal or tax advice, and the information cont=ined in this communication should not be regarded as such. EFTA_R1_01353673 EFTA02361695