EFTA02602776.pdf

From: Paul Barrett < > Sent: Monday, August 13, 2018 8:10 PM To: Jeffrey E. 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 1yr TRY forward which equates to a 27% yie=d and not worry about illiquidity in their bond market. FX Spot Changes<=0:p> =/p> 1 month 3 month 6 month 1 yr BRL -1.33% -7.80% -15.44% -18% RUB -7.93% 1 EFTA_R1_01791417 EFTA02602776 -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 3.43% 4.71% 7.06% TRY 2 EFTA_R1_01791418 EFTA02602777  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 Itau 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 Turkey Garanti 6.25% 4/20/2021 @ 10.74% YTM — 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 3 EFTA_R1_01791419 EFTA02602778 Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11th Floor,=New York, NY 10019 <mailto > 4 EFTA_R1_01791420 EFTA02602779