From: Daniel Sabba

From: Daniel Sabba To: [email protected] Cc: Paul Monis Subject: Trade Recap - 01/13/2014 - DB Sells $l0mm FEDERATIVE REPUBLIC OF BRAZIL 20- Mar-2020 CDS @ 205 with SOUTHERN FINANCIAL LLC (live) [C] Date: Tue, 13 Jan 2015 18:42:16 +0000 Inline-Images: unnamed Classification: Confidential Jeffrey, per our phone conversation, Southern Financial LLC entered into the following credit default swap with Deutsche Bank AG, acting through its London branch. Southern Financial bought default protection from DB. The Initial Margin on this trade is 1% of Notional. Official confirm to follow. 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 I141 : 1 EFFECTIVE : 14-Jan-2015 TERMINATION : 20-Mar-2020 REF OB : BRAZIL 12.251 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' UPFRONT FEE : DB Receive USD 491,941 STANDARD TRADE : Yes HARDWIRING : Yes CLEARING HOUSE : No Trade details: EFTA00654057 Deal Information 'Spreads Reference: FEDERATIVE REPUBLIC OF BRAZIL Countorparty: SOUTHERN FINANCIAL LLC Business days: LDN,NYC Business days adj: Following Buy/Sell: Sell Notional: USD 10mm Effective date: 14-Jan-2015 Maturity date: 20-Mar-2020 Day count: A/360 Payment Iraq: Quarterly Pay accrued: True Curve recovery: True Recovery rate: 0.25 Deal rate: 100 Calculator Valuation date: Cash settled on: Price: Principal: Accrued: Market Val: Curve date: 13-Jan-2015 Benchmark: USD ID Use flat curve Date 20-Sop-2015 Spread (bps) 205.00 20-Mar-2016 205.00 204tas-2017 205.00 20 Mar-2018 205.00 2041w2019 205.00 20-Mar-2020 205.00 204in-2022 205.00 2041ar-2025 205.00 13-Jan-2015 16Jan-2015 95.01670000 Repl sprd: 205 498,330.00 Sprd DV01: -4,576.8268824283 Frequency: Q 4,389.00 Days: 23 Day count: A/360 491,941 IR DV01: -129.8125752157 Recovery rate: 0.4 Thank you for the trade. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. +1 212 454 0857 Mobile +1 917 374 4185 Email This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00654058