EFTA01368602.pdf

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 : 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 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: Deal Information S • reads Reference: FEDERATIVE REPUBLIC OF BRAZIL Curve date: 13-Jan.2015 Counterparty: SOUTHERN FINANCIAL LLC Benchmark: USD Business days: LDN,NYC Business days adj: Following Buy,SiffI: Sell 0 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: Af360 20-Mar-2016 205.00 Payment lreq: 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: O 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 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0060418 CONFIDENTIAL SDNY GM_00206602 EFTA01368602