EFTA01138459.pdf

From: Vahe Stepanian To: "jeffrey E." <jeevacation®gmail.com> CC: Daniel Sabba ,Ariane D er , Paul Morris Stewart Oldfield , Richard Kahn Subject: Brazil CDS Unwind Recap - 1/15/2016 [C] Date: Fri, 15 Jan 2016 20:18:21 +0000 Inline-Images: image001.gif Classification: Confidential Jeffrey — Brazil CDS recap: BraSov default swap with SOUTHERN FINANCIAL LLC DB Buys default protection on FEDERATIVE REPUBLIC OF BRAZIL NOTIONAL USD 10,000,000 TRADE DATE 1S-Jan-2016 IM% None (unwind) EFFECTIVE 16-Jan-2016 TERMINATION 20-Mar-2020 REF OB BRAZIL 12.25% OF 03/30 ISIN: U5105756AL40 CREDIT EVENTS Failure to Pay, R, Repudiation/Moratorium ISDA Definition 2014 SPREAD 462 bps per annum (COUPON: 100 bps per annum) UPFRONT FEE DB Pays USD 1,311,509.00 STANDARD TRADE Yes HARDWIRING Yes CLEARING HOUSE No Official trade confirm to follow. Thank you, Vahe From: Vahe Stepanian Sent: Friday, January 15, 2016 1:04 PM To: 'Jeffrey E.' Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: RE: Indicative Brazil CDS Unwind Level [C] Classification: Confidential Jeffrey — you're done on the Brazil CDS unwind at 462. We will be back shortly with the trade recap. Thank you, Vahe From: Vahe Stepanian Sent: Friday, January 15, 2016 8:34 AM To: 'Jeffrey E.' EFTA01138459 Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: RE: Indicative Brazil CDS Unwind Level [C] Classification: Confidential Jeffrey - received. We will leave an order with the trader to unwind at 462, good for the day. Thank you, Vahe From: Jeffrey E. fmailtolgeacarkaagmaiLcom] Sent: Friday, January 15, 2016 8:30 AM To: Vahe Stepanian; Richard Kahn Subject: Re: Indicative Brazil CDS Unwind Level [C] unwind at 462 bp On Fri, Jan 15, 2016 at 8:25 AM, Vahe Stepanian > wrote: Classification: Confidential Jeffrey — Rich requested refreshed unwind levels this morning for (1) Brazil CDS, (2) GE preferred and (3) JPYKRW forward. Indicatively, this morning DB's bid for your Brazil CDS protection is 452bps p.a. (Offer is 467bps p.a.) Bid equals an unwind fee payment by DB of $1,278,512. Recall you paid 491,941 to enter the trade. Original unofficial details are included below. I will be back to you on items (2) and (3). Thank you, Vahe From: Vahe Stepanian Sent: Thursday, January 14, 2016 12:S0 PM To: 'Jeffrey E.' Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: Indicative Brazil CDS Unwind Level [C] Classification: Confidential Jeffrey — per Rich's request, please find an indicative level below to unwind your Brazil CDS protection. We will follow up with separate emails for (1) GE Bond and (2) JPYKRW. DB's bid for your Brazil CDS protection is 445bps p.a. This equals an unwind fee payment by DB of $1,256,044. Recall you paid 491,941 to enter the trade. Original unofficial trade details: BraSov default swap with SOUTHERN FINANCIAL LLC DB Sells default protection on FEDERATIVE REPUBLIC OF BRAZIL NOTIONAL : USD 10,000,000 TRADE DATE : 13-Jan-2015 IM% : 1 EFFECTIVE : 14-Jan-2015 TERMINATION : 20-Mar-2020 REF OB : BRAZIL 12.25% OF 03/30 ISIN: US105756AL40 CREDIT EVENTS : Failure to Pay, R, Repudiation/Moratorium ISDA Definition : 2014 EFTA01138460 PRICE : 205 bps per annum (COUPON: 100 bps per annum) UPFRONT FEE : DB Receive USD 491,941 STANDARD TRADE : Yes HARDWIRING : Yes CLEARING HOUSE : No Trade details: i Deal Information Spreads Reference: FEDERATIVE REPUBLIC OF BRAZIL Curve date: 13-Jan-2015 Countorparty: SOUTHERN FINANCIAL LLC Benchmark: USD Business days: LDN,NYC Business days adj: Following Buy/Sell: Sell 17 Use flat curve Notional: USD 10mm Date Spread (bps) Effective date: 14-Jan-2015 20-Sep-2015 205.00 Maturity date: 20-Mar-2020 Day count: A1360 20-Mar-2016 205.00 Payment freq: Quarterly 20-Mar-2017 205.00 Pay accrued: True 20-Mar-2018 205.00 Curve recovery: True 20-Mar-2019 205.00 Recovery rate: 0.25 20-Mar-2020 205.00 Deal rate: 100 20-Mar-2022 205.00 20-Mar-2025 205.00 Calculator Valuation date: 13-Jan-2015 Cash settled on: 16-Jan-2015 Price: 95.01670000 Repl sprd: 205 Principal: 498,330.00 Sprd DV01 -4,576.8268824283 Frequency: 0 Accrued: -6,389.00 Days: 23 Day count: A/360 Market Val: 491,941 IR DV01: -129.8125752157 Recovery rate: 0.4 Thank you, Vahe Vahe Stepanian Assistant Vice President I Key Client Partners Deutsche Bank Securities Inc. 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