EFTA01193232.pdf

From: Daniel Sabba To: [email protected] Subject: Re: [C] Date: Mon, 12 Jan 2015 22:49:20 +0000 Inline-Images: unnamed; unnamed(1) Classification: Confidential Jeffrey, per our chat: Brazil CDS Markets: 1y 93 / 111 2y 130 / 148 3y 147 /165 5y 210 / 214 - this means you would purchase protection for 214bps per year for 5 years (payment streams below). Brazil CDS history: GRAB BRAZIL CDS USD SR 99 Save As... 90 Actions- 97) Edit - 90 Table hilstoncartine Chart 07/31/2001 01/12/2015 Last Price Line I I IN° Lower Chart ..,USD I 1D 3D IH 6H YID lY Sr Max HOAdlly • gtf Security/Study Event 0 •4000 1 • Last Price 212.000 T High on 09/30/02 3900.000 11. 3500 -+. Average 424.084 / Low on 05/31/07 63.000 -3000 2.2500 -2000 D. 1500 -1000 -500 ! '02 '03 I '04 ! '05 '06 I '07 I '08 I '09 I '10 '11 I '12 I '13 '14 '1 Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe 44 20 7330 7503 Germany 49 69 9204 1210 Hong Kong 852 2977 6000 Japan 81 3 3201 8900 Singapore 65 6212 1000 U.S. 1 212 318 2000 Copyright 2015 Bloomberg Finance SH 839901 H653-1285-2 12-Jan-15 17.42:52 EST GMT-5:00 CDS Valuation: Let's walk through this CDS valuation when you have a second. EFTA01193232  GRAB 9W Actions 9i) Products 9h View Credit Default Swap Valuation CDS CNTRPARTY OTC BRAZI r7IIIIMMIPIn7r7 4- ) Ticket i T9Wnlir IgEnfir oVCON/W, Deal Market Notional 10 Co7.1rac: 2014 SIAS Curve Date 01/12/15 REF Entity Federative Republic of erazit Swap Curve 260 M Mid Debt Type REF Obligation Senior US 105756AL40 Fm Restructuring RED Pair Code CRI4 5) Kew USD ISDA Standard Curve 115CCBACZ CDS Curve In • CMAN Ask Rw M 6) View BRAZIL USD Senior Curve (CDSD) Trade Date 11 212.9400 1st Accr Start Backstop Date 11/13/14 Recovery Rate 0.25 1st Coupon 03/20/15 Coupon (bp) 100.000 1.00001111111r Pts up?! pread Prob Pen Coupon 12/20/19 Day Cnt ACT/360 Frog Q 03/20/205.342065 212.9400 Maturity Li a Use Curve Recovery Rate 03/20/20 11 True Pay Al True Business Days SD Date Gen I View Term Structure Fir • Recovery Rate 0.25 gi.s Day Ant N • eithIlL a50 SOIIICH • Ollik SY 212 NO "250 ISDA Standard Upfront Model (l • • *111LI Cash Settled On 01/15/15 Valuation Date 01/12/F Cash Calculated On 01/15/15 • .15o • Price ,44.o570:;4v, Spread DV01 4,548.97 '10 Principal 534,206 IR DV01 -139.01 Accrued (22 Days) -6,111 Rec Risk (1%) -509.66 3? 4Y SY 72 in; Cash Amount 528,095 Def Exposure 6,965,793 *This application is based on the ISDA SW Model v1, developed and supported in collaboration with Marldt Group Ltd. Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe442073307500 Germany 49 69 9204 1210 Hong Kong 852 2977 cnn0 Japan 81 3 3201 8900 Singapore6562121000 U.S. 1 212 318 2000 Copyright 2015 Bloomberg Finance SH 839901 H653-1285-2 12-Jan-15 17:46:42 EST GMT-5:00 Thank you. Daniel From: "affray E. leevecation©gmail.com> To: Daniel Sebbaldb/dbcormigOBAMERICAS, Date: 01/1212015 05:26 PM Subject: short latin america? please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by EFTA01193233 return e-mail or by e-mail to jmacAthal gmail.com, and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01193234