From: Vahe Stepanian

From: Vahe Stepanian To: "jeffrey E." <jeevacation®gmail.com> Stewart Oldfield , Richard Kahn ,Ariane D er , Paul Morris CC: Daniel Sabba Subject: Brazil CDS Unwind Recap - 1/15/2016 [C] Date: Fri, 15 Jan 2016 20:18:21 +0000 Inline-Images: image001.gif Classification: Confidential Jeffrey — Brazil CDS recap: BraSov default swap with SOUTHERN FINANCIAL LLC DB Buys default protection on FEDERATIVE REPUBLIC OF BRAZIL NOTIONAL TRADE DATE IM% EFFECTIVE TERMINATION REF OB CREDIT EVENTS ISDA Definition SPREAD UPFRONT FEE STANDARD TRADE HARDWIRING CLEARING HOUSE USD 10,000,000 1S-Jan-2016 None (unwind) 16-Jan-2016 20-Mar-2020 BRAZIL 12.25% OF 03/30 ISIN: U5105756AL40 Failure to Pay, R, Repudiation/Moratorium 2014 462 bps per annum (COUPON: 100 bps per annum) DB Pays USD 1,311,509.00 Yes Yes No Official trade confirm to follow. Thank you, Vahe From: Vahe Stepanian Sent: Friday, January 15, 2016 1:04 PM To: 'Jeffrey E.' Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: RE: Indicative Brazil CDS Unwind Level [C] Classification: Confidential Jeffrey — you're done on the Brazil CDS unwind at 462. We will be back shortly with the trade recap. Thank you, Vahe From: Vahe Stepanian Sent: Friday, January 15, 2016 8:34 AM To: 'Jeffrey E.' EFTA01138459 Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: RE: Indicative Brazil CDS Unwind Level [C] Classification: Confidential Jeffrey - received. We will leave an order with the trader to unwind at 462, good for the day. Thank you, Vahe From: Jeffrey E. fmailtolgeacarkaagmaiLcom] Sent: Friday, January 15, 2016 8:30 AM To: Vahe Stepanian; Richard Kahn Subject: Re: Indicative Brazil CDS Unwind Level [C] unwind at 462 bp On Fri, Jan 15, 2016 at 8:25 AM, Vahe Stepanian > wrote: Classification: Confidential Jeffrey — Rich requested refreshed unwind levels this morning for (1) Brazil CDS, (2) GE preferred and (3) JPYKRW forward. Indicatively, this morning DB's bid for your Brazil CDS protection is 452bps p.a. (Offer is 467bps p.a.) Bid equals an unwind fee payment by DB of $1,278,512. Recall you paid 491,941 to enter the trade. Original unofficial details are included below. I will be back to you on items (2) and (3). Thank you, Vahe From: Vahe Stepanian Sent: Thursday, January 14, 2016 12:S0 PM To: 'Jeffrey E.' Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: Indicative Brazil CDS Unwind Level [C] Classification: Confidential Jeffrey — per Rich's request, please find an indicative level below to unwind your Brazil CDS protection. We will follow up with separate emails for (1) GE Bond and (2) JPYKRW. DB's bid for your Brazil CDS protection is 445bps p.a. This equals an unwind fee payment by DB of $1,256,044. Recall you paid 491,941 to enter the trade. Original unofficial trade details: 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 EFTA01138460 PRICE : 205 bps per annum (COUPON: 100 UPFRONT FEE : DB Receive USD 491,941 STANDARD TRADE : Yes HARDWIRING : Yes CLEARING HOUSE : No Trade details: bps per annum) i 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: A1360 Payment freq: Quarterly Pay accrued: True Curve recovery: True Recovery rate: 0.25 Deal rate: 100 Calculator Valuation date: 13-Jan-2015 Cash settled on: 16-Jan-2015 Price: 95.01670000 Repl sprd: 205 Principal: 498,330.00 Sprd DV01 -4,576.8268824283 Accrued: -6,389.00 Days: 23 Market Val: 491,941 IR DV01: -129.8125752157 Curve date: 13-Jan-2015 Benchmark: USD 17 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: 0 Day count: A/360 Recovery rate: 0.4 Thank you, Vahe Vahe Stepanian Assistant Vice President I Key Client Partners Deutsche Bank Securities Inc. Tel. I Mobile Email All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govem. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. EFTA01138461 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. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to jeevacationggrnail corn, and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 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. EFTA01138462