EFTA02620335.pdf

From: Paul Barrett < Sent: Monday, October 15, 2018 7:03 PM To: Cc: Richard Kahn Subject: RE: EM TRY Spot 5.7799. lyr Forward at - 7.2900. Saudi or Turkey Index — will get pricing but I assume you get the total return of the Index and pay L+ 50-100bps. SAUDI TURKEY Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11th Floor, New York, NY 10019 <mailto > From: J <[email protected]> Sent: Monday, October 15, 2018 2:57 PM To: Paul Barrett < > Subject: Re: EM 1 EFTA_R1_01826064 EFTA02620335 Prices? On Mon, Oct 15, 2018 at 2:56 PM Paul Barrett < <mailto >> wrote: Jeffrey Rich mentioned you are looking at Turkey and Saudi. 1 year Turkish Lira forwards are implying local interest rates around 29.30%. Could be a good way to play it. Also we could do total return swaps on Saudi or Turkish indices. Better liquidity than the ETFs. Paul Barrett Alpha Group Capital LLC 142 W 57 <https://maps.google.com/?q=142+W+57&entry=gmail&source=g> th Street, 11th Floor, New York, NY 10019 <mailto From: Paul Barrett Sent: Monday, August 13, 2018 4:10 PM To: 'jeffrey E.' <[email protected] <[email protected]» Cc: 'Richard Kahn' < <mailto >> Subject: EM 2 EFTA_R1_01826065 EFTA02620336  Jeffrey Summary of some options when ready: • Brazil local currency bond prices have been very stable. Most of the move has been in USDBRL. Best Option — Brazil 12.5% 2022 @7% YTM denom in BRL (vs lyr FX 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 govt 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% yield and not worry about illiquidity in their bond market. FX Spot Changes 1 month 3 month 6 month 1 yr BRL -1.33% -7.80% -15.44% -18% RUB -7.93% -8.85% -15% 3 EFTA_R1_01826066 EFTA02620337 -12% TRY -31% -38.27% -45.50% -49.40% Implied Interest Rate based on FX Forwards Spot 3 month 6 month 1 yr BRL 3.9000 3.34% 4.30% 6.91% RUB 68.03 3.43% 4.71% 7.06% TRY 6.9800 8.33% 4 EFTA_R1_01826067 EFTA02620338 14.69% 27.88% FX vol has also exploded. Do you want to see some option prices? 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 month vol has gone from 10% to 16% • TRY 3 month vol has gone from 20% to 47% Below is a list of the most liquid bonds: Brazil Petrobras 5.299% 1/27/2025 @ 6.35% YTM — USD Denominated 'tau 6.2% 12/21/2021 @ 4.73% YTM — USD Denominated Brazil 12.5% 1/5/2022 @ 7.00% YTM — BRL Denominated Russia RFLB 6.7% 5/15/2019 @ 6.58% YTM — RUB Denominated RFLB 6.80% 12/11/2019 @ 7.01% YTM — RUB Denominated RFLB 6.4% 5/27/2020 @ 7.45% YTM — RUB Denominated Turkey Garanti 6.25% 4/20/2021 @ 10.74% YTM — USD Denominated — Turkish Bank Turkey Sovereign 7% 6/5/2020 @ 8.44% YTM— USD Denominated Turkey Sovereign 12.4% 03/08/28 @ 21 YTM—TRY Denominated 5 EFTA_R1_01826068 EFTA02620339  Paul Barrett Alpha Group Capital LLC 142 W 57 <https://maps.google.com/?q=142+W+57&entry=gmail&source=g> th Street, 11th Floor, New York, NY 10019 <mailto 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 return e-mail or by e-mail to [email protected] <mailto:[email protected]> , and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 6 EFTA_R1_01826069 EFTA02620340