EFTA02605144.pdf

From: jeffrey E. <[email protected]> Sent: Thursday, August 23, 2018 2:23 PM To: Richard Kahn Subject: Fwd: EM Update and he wantd to buy br denomiated bonds Best Option — Brazil 12.5% 2022 @rA YTM denom in BRL (vs lyr=FX forward implying 6.9%) ask him how much we woudl have lost alread= Forwarded message - - From: Paul Barrett mailto Date: Thu, Aug 23, 2018 at 10:18 AM Subject= EM Update To: "jeffrey E." <[email protected] <mailto:jeevacation=gmail.com» Cc: Richard Kahn =br> Brazil Update: BRL continues to weaken. Elections are October 7: El=ction Day (first-round) and then October 28: Second-round vote. Further we=kness going into the election could give us a very interesting entry point= Recall we saw big relief rallies in ZAR and MXN post-elections. TRY Update: Quiet week given EID. Spot at 6.0900. No new increme=tal news. RUB Update: Central Bank intervening to support RUB. Spot at 68.=0. Down about 2% on the week. "Russia's =entral bank said it will suspend sales of rubles to purchase foreign excha=ge through the end of September in an effort to steady the currency, helping pull it back from the lowest level in two years. =80 EFTA_R1_01795428 EFTA02605144 Paul Barrett Alpha Group Capital LLC 142 W 57 <https://maps.google.com/?q=142+W+57&=entry=gmail&source=g> th Street, llth<=sup> Floor, New York, NY 10019 646.876-5277 (o) (c) </=> a> <mailto =/span> From: Paul Barrett Sent: Friday, August 17, 2018 2:30 PM To: 'jeffrey E.' «mailto:[email protected]= target=> <=span> FX Spot Changes 1 Week<=span> 1 month 3 month 6 month 1 yr BRL -2% -2.58% -6.18% -18.02% -19% 2 EFTA_R1_01795429 EFTA02605145 RUB 0.45% -7.11% -7.75% -16% -12% TRY 6.08% -21% -26.44% -38.21% -42.00% • TRY hit a high (strong) level of 5.7100 yesterday during a conference c=ll with the finance minister • Down 6% today at 6.0600=u> • lyr Implied interest rate still around 28-29%=u> • Turkey open half day on Monday and then closed for the rest=of the week (EID) • RUB and BRL bond prices remain ver= stable Here is an interesting RUB Cashless Risk Reversal: • Buy 6 month 65 RUB Call (cost 2.00% if you wanted to just buy the RUB c=ll) • Sell 6 month 73.50 RUB Put with an at-expiry kno=k in at 78 • Red Line is the RUB put strike<=u> • White line is the knock in level (we need to be weaker/above th= white line at expiry for the short RUB put to knock-in — so down =6% from here) • BIGGEST RISK: Another round of US s=nctions in the coming months targeting state controlled banks which would =reeze their USD transactions or a hawkish speech by Powell at Jackson Hole next week. 3 EFTA_R1_01795430 EFTA02605146 Paul Barrett Alpha Group Capital LLC 142 W 57 <https://maps.google.com/?q=142+W+57&=entry=gmail&source=g> th Street, llthasup> Floor, New York, NY 10019 646.876-5277 (o) c) </=> mailto =/span> From: Paul Barrett Sent: Tuesday, August 14, 2018 5:19 PM To: 'jeffrey E.' <[email protected] <mailto:jeevacation@ mail.com= tar et=» Cc: 'Richard Kahn' mailt Subject: FW: EM Decent recovery today in Turkey. TRY up 8%...still down 23% MTD BRL up 50bps RUB up 2% Turkey rally driven by: =AO massively oversold conditions in the short term=u> =AO finally hints of more conventional solutions to=the current problems in Turkey - =AO FIN Minister: "FISCAL POLICY TO BE AN E=EN STRONGER ANCHOR. PRIORITY IS TO FIGHT AGAINST INFLATION, C/A DEFI=IT" =AO Finance minister holding a conference call on T=ursday morning 4 EFTA_R1_01795431 EFTA02605147 I still think it is still too early to get involved.=They still have a massive amount of $ denominated corporate debt that need= to be rolled over this year and the market will want to see a more viable=central bank plan to contain the situation. Paul Paul Barrett Alpha Group Capital LLC 142 W 57 <https://maps.google.com/?q=142+W+57&=entry=gmail&source=g> th Street, llth<=sup> Floor, New York, NY 10019 646-876-5277 (o) c) </=> mailto =/span> From: Paul Barrett Sent: Monday, August 13, 2018 4:10 PM To: 'jeffrey E.' <[email protected] <mailto:jeevacation@ mail.com= tar et=» Cc: 'Richard Kahn' mailt Subject: EM Jeffrey Summary of some options when ready:=/b> • Brazil local currency bond prices have been very stable. Most of the mo=e has been in USDBRL. Best Option — Brazil 12.5% 2022 @7% YTM denom in BRL (vs lyr=FX forward implying 6.9%) • Russian RUB govt bonds dow= 2 points. Mainly a RUB move. Best Option - Russia 6.4% 5/27/2020 @ 7.45% YTM denom in RUB (vs lyr=FX forward implying 7.06%) 5 EFTA_R1_01795432 EFTA02605148  Turkey TRY denominated go=t bonds down 10 points since last week and 36 points since April (63 price=. Yielding 21%. I prefer using a lyr TRY forward which equates to a 27% yi=ld and not worry about illiquidity in their bond market. FX Spot Changes 1 month 3 month 6 month 1 yr BRL -1.33% -7.80% -15.44% -18% RUB -7.93% -8.85% -15% -12% TRY -31% -38.27% -45.50% -49.40% Implied Interest Rate=based on FX Forwards 6 EFTA_R1_01795433 EFTA02605149 Spot 3 month 6 month 1 yr BRL =3.9000 3.34% 4.30% 6.91% RUB =C2 68.03 3.43% 4.71% 7.06% TRY 6.9800 8.33% 14.69% 27.88% FX vol has also exploded. Do you want to see some option prices?=The risk reversals are also pricing very well given how USD call vol has e=ploded vs USD puts. • BRL 3 month vol has gone from 12% to 20% • RUB 3 mo=th vol has gone from 10% to 16% * TRY 3 month vol has =one from 20% to 47% 7 EFTA_R1_01795434 EFTA02605150 Below is a list of the most liquid bonds:<=u> Brazil Petrobras 5.299% 1/27/2025 @ 6.35% YTM — USD=Denominated 'tau 6.2% 12/21/2021 @ 4.73% YTM — USD Denom=nated Brazil 12.5% 1/5/2022 @ 7.00% YTM — BRL Deno=inated Russia RFLB 6.7% 5/15/2019 @ 6.58% YTM — RUB Denomi=ated RFLB 6.80% 12/11/2019 @ 7.01% YTM — RUB Deno=inated RFLB 6.4% 5/27/2020 @ 7.45% YTM — RUB Denomi=ated Turkey Garanti 6.25% 4/20/2021 @ 10.74% YTM — USD D=nominated — Turkish Bank Turkey Sovereign 7% 6/5/2020 @ 8.44% YTM— US= Denominated Turkey Sovereign 12.4% 03/08/28 @ 21 YTM— TR= Denominated Paul Barrett Alpha Group Capital LLC 142 W 57 <https://maps.google.com/?q=142+W+57&=entry=gmail&source=g> th Street, 1 lth<=sup> Floor, New York, NY 10019 646-876-5277 (o) c) </=> ailto =/span> 8 EFTA_R1_01795435 EFTA02605151  =AO please note The information contained in this commu=ication is confidential, may be attorney-client privileged, may cons=itute inside information, and is intended only for the use of the addre=see. It is the property of JEE Unauthorized use, disclosure or copyi=g of this communication or any part thereof is strictly prohibited a=d may be unlawful. If you have received this communication in error, pl=ase notify us immediately by return e-mail or by e-mail to [email protected], a=d destroy this communication and all copies thereof, including all a=tachments. copyright -all rights reserved 9 EFTA_R1_01795436 EFTA02605152