EFTA02605063.pdf

From: Paul Barrett Sent: Thursday, August 23, 2018 2:19 PM To: Jeffrey E. Cc: Richard Kahn Subject: EM Update 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 cent=al bank said it will suspend sales of rubles to purchase foreign exchange =hrough the end of September in an effort to steady the currency, helping pull it back from the lowest level in two years.R=1; Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11th Floor,=New York, NY 10019 EFTA_R1_01795323 EFTA02605063 From: Paul Barrett Sent: Friday, August 17, 2018 2:30 PM To: 'jeffrey E.' cjeevacation@gmailcom> Cc: 'Richard Kahn' Subject: RE: EM Jeffrey EM Update FX Spot Changesao:p> =/p> 1 Week 1 month 3 month 6 month 1 yr BRL -2% -2.58% -6.18% -18.02% -19% RUB 2 EFTA_R1_01795324 EFTA02605064 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=call with the finance minister • Down 6% today at 6.060= • lyr Implied interest rate still around 28-29%</=:p> • Turkey open half day on Monday and then closed for the rest =f the week (EID) • RUB and BRL bond prices remain very =table 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=call) • Sell 6 month 73.50 RUB Put with an at-expiry kn=ck in at 78 • Red Line is the RUB put strike=/li> • White line is the knock in level (we need to be weaker/above the=white line at expiry for the short RUB put to knock-in — so down 16%=from here) • BIGGEST RISK: Another round of US sanct=ons in the coming months targeting state controlled banks which would free=e their USD transactions or a hawkish speech by Powell at Jackson Hole next week. 3 EFTA_R1_01795325 EFTA02605065 Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11th Floor,=New York, NY 1O019 From: Paul Barrett Sent: Tuesday, August 14, 2018 5:19 PM To: 'jeffrey E.' <jeevac=tion@•mail.com <mailto:jeevacation@ maiLcom> > 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 4 EFTA_R1_01795326 EFTA02605066 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 From: Paul Barrett Sent: Monday, August 13, 2018 4:10 PM To: 'jeffrey E.' <[email protected] <mailto:[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 1yr TRY forward which equates to a 27% yie=d and not worry about illiquidity in their bond market. 5 EFTA_R1_01795327 EFTA02605067 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% -8.85% -15% -12% TRY -31% -38.27% -45.50% -49A0% Implied Interest Rate=based on FX Forwards =/p> Spot 3 month 6 EFTA_R1_01795328 EFTA02605068 6 month 1 yr BRL =3.9000 3.34% 4.30% 6.91% RUB =nbsp; 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 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 7 EFTA_R1_01795329 EFTA02605069 '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 Denominared 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 Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11th Floor,=New York, NY 10019 8 EFTA_R1_01795330 EFTA02605070