EFTA Document EFTA01387035

From: Stewart Oldfield Sent: 8/11/2015 12:09: To: Vahe Stepania CC: Paul Morris Subject: RE: (BN) Brazil Already Junk as Swaps Traders Front-Run Cut Amid Turmoil (C) Classification: Confidential So what's the MTM gain on this position right now? Thanks From: Vahe Stepanian Sent: Tuesday, August 11, 2015 12:06 PM To: Jeffrey E. Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: FW: (BN) Brazil Already Junk as Swaps Traders Front-Run Cut Amid Turmoil [C] Classification: Confidential Jeffrey — please find below the current Brazil Sy CDS chart (i.e. on the run), which is currently near its five year historical high. Recall you entered into the following transaction back in January 2015: 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 IM4, : 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) Note that Sy Brazil CDS saw its high of - 3900bps back in 2002. Please let us know how you would like to proceed. Thank you, Vahe CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0089066 CONFIDENTIAL SDNY_GM_00235250 EFTA01387035