From: Daniel Sabba

From: Daniel Sabba To: [email protected] Subject: Re: [C] Date: Mon, 12 Jan 2015 22:49:20 +0000 Inline-Images: unnamed; unnamed(1) Classification: Confidential Jeffrey, per our chat: Brazil CDS Markets: 1y 93 / 111 2y 130 / 148 3y 147 /165 5y 210 / 214 - this means you would purchase protection for 214bps per year for 5 years (payment streams below). Brazil CDS history: GRAB BRAZIL CDS USD SR 07/31/2001 1D 3D IH 6H YID lY Sr Max HOAdlly • 99 Save As... 90 Actions- 97) Edit - 90 Table 01/12/2015 Last Price Line hilstoncartine Chart I I IN° Lower Chart ..,USD I gtf Security/Study Event 0 1 • Last Price 212.000 T High on 09/30/02 3900.000 -+. Average 424.084 / Low on 05/31/07 63.000 •4000 11. 3500 -3000 2.2500 -2000 D. 1500 -1000 -500 ! '02 '03 I '04 ! '05 '06 I '07 I '08 I '09 I '10 '11 I '12 I '13 '14 '1 Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe 44 20 7330 7503 Germany 49 69 9204 1210 Hong Kong 852 2977 6000 Japan 81 3 3201 8900 Singapore 65 6212 1000 U.S. 1 212 318 2000 Copyright 2015 Bloomberg Finance SH 839901 H653-1285-2 12-Jan-15 17.42:52 EST GMT-5:00 CDS Valuation: Let's walk through this CDS valuation when you have a second. EFTA01193232 GRAB 9W Actions CDS CNTRPARTY 9i) Products 9h View OTC r7IIIIMMIPIn7r7 -4) Ticket i Deal Notional REF Entity Debt Type REF Obligation Trade Date 1st Accr Start 1st Coupon Pen Coupon Maturity Li Use Curve Recovery Rate Recovery Rate 10 Federative Republic of erazit Senior US 105756AL40 Fm 11 03/20/15 12/20/19 a 03/20/20 Cash Settled On Cash Calculated On Price Principal Accrued (22 Days) Cash Amount *This application is based on the ISDA SW Model v1, developed and supported in collaboration with Marldt Group Ltd. Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe442073307500 Germany 49 69 9204 1210 Hong Kong 852 2977 cnn0 Japan 81 3 3201 8900 Singapore6562121000 U.S. 1 212 318 2000 Copyright 2015 Bloomberg Finance SH 839901 H653-1285-2 12-Jan-15 17:46:42 EST GMT-5:00 11 True 0.25 Co7.1rac: 2014 Credit Default Swap Valuation BRAZI T9Wnlir IgEnfir oVCON/W, Market Curve Date Swap Curve SIAS 01/12/15 M 260 Mid Restructuring RED Pair Code Backstop Date Coupon (bp) CRI4 5) Kew USD ISDA Standard Curve CDS Curve In • CMAN M Ask 6) View BRAZIL USD Senior Curve (CDSD) Recovery Rate 0.25 Rw Prob 115CCBACZ 212.9400 11/13/14 100.000 1.00001111111r Pts up?! pread Day Cnt ACT/360 Frog Q 03/20/205.342065 212.9400 Pay Al True Date Gen I View Term Structure Fir Business Days SD • gi.s Day Ant N • eithIlL a50 SOIIICH • Ollik SY 212 NO 01/15/15 01/15/15 ,44.o570:;4v, ISDA Standard Upfront Model (l • Valuation Date Spread DV01 534,206 IR DV01 -6,111 Rec Risk (1%) 528,095 Def Exposure 01/12/F 4,548.97 -139.01 -509.66 6,965,793 • • • 3? 4Y SY "250 *111LI .15o '10 72 in; Thank you. Daniel From: "affray E. leevecation©gmail.com> To: Daniel Sebbaldb/dbcormigOBAMERICAS, Date: 01/1212015 05:26 PM Subject: short latin america? 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 EFTA01193233 return e-mail or by e-mail to jmacAthal gmail.com, 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. EFTA01193234