Subject: brazil - is it close to a cycle reversal? [C]
From: Daniel Sabba < M>
Date: Fri, 18 Sep 2015 11:29:17 -0400
To: jeffrey E. <jeevacation@gmail.com>
Cc: Paul Morris <
Stewart Oldfield
Vahe Stepanian <
Ariane Dwyer
Richard Kahn
Classification: Confidential
Jeffrey — we are working on some ideas on Brazil that might be relevant if
you have the view Brazil is close to a cycle reversal. Do you have a moment
to chat?
1. lOy credit linked note on Petrobras that pays 3mL+445bps and has
the following redemption profile:
Credit event in first three years: Early Termination and Client
receives 100% x Notional
Default after the first three years: Early Termination and Client
receives Recovery x Notional (similar to bonds)
This structure expresses a view that either Petrobras will default in the
next 3 years (where there's protection) or will survive this cycle and not
default. 30% of Petrobras' bond debt outstanding is maturing in the next 3
years (see below; $16bn out of $54bn).
{cid:image006.jpg@OlD0F15E.OF6261B0}
2. Local onshore Brazilian bonds — which are trading at —15% yields.
These can be accessed through a total return swap or a local onshore account.
Daniel
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
EFTA01412974
Tel. +
Mobile
Email
EFTA01412975