From: Daniel Sabba <

From: Daniel Sabba < To: "'Jeffrey E!" <[email protected]> CC: Paul Morris Stepanian Stevens Subject: Brazil CDS update... [C] Date: Tue, 01 Sep 2015 19:13:40 +0000 Inline-Images: image001.png Stewart Oldfield , Vahe "Ariane Dwyer" , Todd "'Richard Kahn"' 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 2014 2015 C3R21U5 Currcy (.3,tAZIL CDS USD SR SY D14) Daily 01SEP2014-01SEP2015 Copyright€ 2015 Bloomberg Finance Used with permission of Bloomberg LP. Mar Jun 01-Sep-2015 15 10 C,4 Recall you entered into the following transaction back in January 2015. It statement attached). BraSov default swap with SOUTHERN FINANCIAL LLC DB Sells default 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) was marked last night at +8930k (valuation protection on FEDERATIVE REPUBLIC OF 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 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. EFTA01184142