Case File
efta-01456381DOJ Data Set 10OtherEFTA01456381
Date
Unknown
Source
DOJ Data Set 10
Reference
efta-01456381
Pages
1
Persons
0
Integrity
Extracted Text (OCR)
EFTA DisclosureText extracted via OCR from the original document. May contain errors from the scanning process.
Deal Information
Reference:
Counterparty:
Business days:
Business days adj:
Notional:
Effective date:
Maturity date:
Payment treq:
Pay accrued:
Curve recovery:
Recovery rate:
Deal rate:
Calculator
Valuation date:
Cash settled on:
Price:
Principal:
Accrued:
Market Val:
FEDERATIVE REPUBLIC OF BRAZIL
SOUTHERN FINANCIAL LLC
LCIN,NYC
Following
Buy/Sell:
Sell
USD 10mm
14-Jan-2015
20-Mar-2020
Day count:
A/360
Quarterly
True
True
0.25
100
13-Jan-2015
16-Jan-2015
95.01670000
498.330.00
-6,389.00
491,941
Repl sprd:
Sprd DV01:
Days:
IR DV01:
!Spreads
205
-4,576.8268824283
23
-129.8125752157
Curve date:
13-Jan-2015
Benchmark:
USD
Use flat curve
Date
Spread (bps)
20-Sep-2015
205.00
20-Mar-2016
205.00
20-Mar•2017
205.00
20-Mar-2018
205.00
20-Mar-2019
205.00
20-Mar•2020
205.00
20-Mar-2022
205.00
20-Mar-2025
205.00
Frequency:
Day count:
A/360
Recovery rate:
0.4
Q
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
CONFIDENTIAL
DB-SDNY-0 115549
SDNY_GM_00261733
EFTA01456381
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