From: Paul Barrett
Sent: Wednesday, April 11, 2018 3:46 PM
To: Jeffrey E.
Cc: Richard Kahn
Subject: Egypt
2 options
1. Total Return Swap on a lyr T-Bill
a. You get the return and pay away $ 1 Month Libor +125bps (so rough=y 3.14%)
b. Yield - 16%
c. Withholding =115%
d. Govt entry tax of 1%
e. Exi= tax of 0.5%
f. Net lyr return assuming no FX movement - =.96% (after paying away the 3.14%)
g. Liquidity good to =20MM
2. Buy EGP through a forward lyr
a. Net return assuming no FX movement —8.65%
b. Liquid=ty good $2-5MM per clip
I prefer the forward. If we unwind the Swap in 3 mon=hs we still have to pay the 0.50 exit tax (no pro rata).
Paul Barrett
Alpha Group Capital LLC
142 W 57th Street, 11th Floor,=New York, NY 10019
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EFTA02474175
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EFTA02474176