EFTA02604683.pdf

From: Paul Barrett Sent: Tuesday, August 14, 2018 9:19 PM To: Jeffrey E. Cc: Richard Kahn 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: &nb=p; massively oversold conditions in the short term=o:p> &nb=p; finally hints of more conventional solutions to=the current problems in Turkey &nb=p; FIN Minister: "FISCAL POLICY TO BE AN EVE= STRONGER ANCHOR. PRIORITY IS TO FIGHT AGAINST INFLATION, C/A DEFICI=" &nb=p; Finance minister holding a conference call on T=ursday morning 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 57th Street, 11th Floor,=New York, NY 10019 EFTA_R1_01794725 EFTA02604683 From: Paul Barrett Sent: Monday, August 13, 2018 4:10 PM To: 'jeffrey E.' <[email protected]> Cc: 'Richard Kahn' Subject: EM Jeffrey Summary of some options when ready: • Brazil local currency bond prices have been very stable. Most of the =ove has been in USDBRL. Best Option — Brazil 12.5% 2022 @7% YTM denom in BRL (vs lyr F= forward implying 6.9%) • Russian RUB govt bonds down 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%) • Turkey TRY denominated gov= 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% yie=d and not worry about illiquidity in their bond market. FX Spot Changes<=o:p> =/p> 1 month 3 month 6 month 1 yr BRL -1.33% 2 EFTA_R1_01794726 EFTA02604684 -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 =/p> Spot 3 month 6 month 1 yr BRL =3.9000 3.34% 4.30% 6.91% RUB =nbsp; 68.03 3 EFTA_R1_01794727 EFTA02604685 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 price=? The risk reversals are also pricing very well given how USD call vol has=exploded vs USD puts. • BRL 3 month vol has gone from 12% to 20% • RUB 3 m=nth vol has gone from 10% to 16% * TRY 3 month vol has =one from 20% to 47% Below is a list of the most liquid bonds:=/p> Brazil Petrobras 5.299% 1/27/2025 @ 6.35% YTM — USD D=nominated 'tau 6.2% 12/21/2021 @ 4.73% YTM — USD Denomin=ted Brazil 12.5% 1/5/2022 @ 7.00% YTM — BRL Denomi=ated Russia RFLB 6.7% 5/15/2019 @ 6.58% YTM — RUB Denomina=ed RFLB 6.80% 12/11/2019 @ 7.01% YTM — RUB Denomi=ated RFLB 6.4% 5/27/2020 @ 7.45% YTM — RUB Denomina=ed 4 EFTA_R1_01794728 EFTA02604686 Turkey Garanti 6.25% 4/20/2021 @ 10.74% rum - USD Den=minated — Turkish Bank Turkey Sovereign 7% 6/5/2020 @ 8.44% YTM— USD =enominated Turkey Sovereign 12.4% 03/08/28 @ 21 YTM— TRY =enominated Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11th Floor,=New York, NY 10019 5 EFTA_R1_01794729 EFTA02604687