From: Daniel Sabba <
To: "'Jeffrey E!" <jeevacation@gmail.com>
CC: Paul Morris Stewart Oldfield , Vahe
Stepanian "Ariane Dwyer" , Todd
Stevens "'Richard Kahn"'
Subject: Brazil CDS update... [C]
Date: Tue, 01 Sep 2015 19:13:40 +0000
Inline-Images: image001.png
Classification: Confidential
Just wanted to update you on your Brazil CDS position. The current on the run Brazil 5y CDS is at its five year historical
high (up —20bps today).
368.500
• Last Price 368.500 350
T High on 09/01/15 368.500
-9- Average 227.406
1 Low on 09/02/14 125.000 300
250
200
150
Sep Dec Mar Jun
2014 2015
C3R21U5 Currcy (.3,tAZIL CDS USD SR SY D14) Daily 01SEP2014-01SEP2015 Copyright€ 2015 Bloomberg Finance 01-Sep-2015 15 10 C,4
Used with permission of Bloomberg LP.
Recall you entered into the following transaction back in January 2015. It was marked last night at +8930k (valuation
statement attached).
BraSov default swap with SOUTHERN FINANCIAL LLC DB Sells default protection on FEDERATIVE REPUBLIC OF
BRAZIL
NOTIONAL : USD 10,000,000
TRADE DATE : 13-Jan-2015
IM% :1
EFFECTIVE : 14-Jan-2015
TERMINATION : 20-Mar-2020
REF OB : BRAZIL 12.25% OF 03/30 ISIN: US105756AL40
CREDIT EVENTS : Failure to Pay, R, Repudiation/Moratorium
ISDA Definition : 2014
PRICE : 205 bps per annum (COUPON: 100 bps per annum)
Note that 5y Brazil CDS saw its high of -3900bps back in 2002. Please let us know how you would like to proceed.
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
Tel. +1 212 454 0857
Mobile +1 917 543 6280
EFTA01184141
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