EFTA Document EFTA01424858

Subject: RE: [I] From: Vahe Stepanian <a> Date: Tue, 17 Nov 2015 17:43:01 -0500 To: Paul Morris Cc: Stewart Oldfield Daniel Sabba Ariane Dwyer Classification: For internal use only Paul — as discussed, please find a list of relevant ideas for Southern Financial on the back of the client's ask below. The CB&S desk analyst looking at CoCos will be sending us a few specific issues in the morning, which we will send along to you once available. In addition to Petrobras, I've attached a piece with top AWM Fixed Income ideas — pgs. 33-44 are specific to top HY ideas. We can highlight the most relevant ideas — planning on speaking to the desk tomorrow. Give us a call if you have questions. Thank you, Vahe 1) Buy Petrobras '17s. Rationale: Since May 2015, Petrobras 10yr spreads have widened by —400bps and in September S&P downgraded Petrobras to BB In October, domestic fuel prices increased and Petrobras announced significant capex and opex cuts for 2015 and 2016. These can be seen as positive signs for the company's future, but may not mitigate its large long term funding gap: Petrobras will need to roll $60bn and $104bn of debt maturities in the next four and nine years respectively and sovereign support is not guaranteed DB's Brazil credit analyst believes that the company can meet its short term debt maturities through 2017 without resorting to direct support EFTA01424858 from the government. DB has revised its forecasts and has upgraded the 3.25% and 3.5% '17s to a Buy rating (please find attached DB Research report). The bonds are currently yielding 7.06% and 7.10% respectively Petrobras is one of the largest integrated oil companies worldwide and aims to be one of top 5 globally by 2030 Indicative Terms (as of 11/17/2015): Client buys PETBRA 3.250% Notes '17 Maturity 03/17/2017 Amount 0/S $1.6bn Rating Ba2 / BB / BBB- (Mdy/S&P/Fitch) Price 95.25 Mid Yield 7.06% Client buys PETBRA 3.500% Notes '17 Maturity 02/06/2017 Amount 0/S $1.75bn Rating Ba2 / BB / BBB- (Mdy/S&P/Fitch) Price 95.875 Mid Yield 7.10% 2) As you already know, Och Ziff is coming to market with a new issue CLO, OZLM XIV. The desk is hoping to price ahead of the Thanksgiving holiday, for settlement in December. I've attached the manager pitchbook, but please also find a few high-level bullet points: Och Ziff is a leading institutional asset manager with $46.1bn in EFTA01424859 AUM, established investment capability in all major markets and strong international presence with eight global offices Launched in May 2012, Institutional Credit Strategies (ICS), is Och-Ziff's asset management platform that investments in performing credit via CLOs and other customized solutions for clients The ICS team is lead by the US portfolio manager, Donald Young, and the European portfolio manager, Adeel Shafiqullah. Together they source and execute investment ideas across a broad range of sectors, industries, and regions This group has successfully closed 13 U.S. CLOs with a total transaction value of —$7bn OZLM XIV is anticipated to close mid/late December Indicative pricing table: Class Rating (Moody's /Fitch) Par amount WAL Coupon DM Price A-1 Notes [Aaa]/[AAA] [318,750,000] [6.1] L + [1.57]% L + [1.57]% Par EFTA01424860 A-2 Notes [Aa2]/[AA] [61,500,000] [7.8] L + [2.30]% L + [2.30]% Par B Notes [A2]/[A] [25,750,000] [8.5] L + [3.15]% L + [3.20]% Par C Notes [Baa3]/[888] [30,250,000] [9.1] L + [4.35]% L + [4.85]% Mid 90s D Notes [Ba3]/[BB] [23,750,000] EFTA01424861 [9.7] L + [6.35]% L + [7.85]% High 90s Equity NR [47,670,000] N/A N/A L + mid teens 3) Per your request, please find a run of bank $1000 bank preferreds: Nxt Call AXP 5.20 AXP 4.90 B Px A Px 11/15/19 03/15/20 B YTC 987g-991 96-963/4 B CUR 5.518 5.962 Floats 5.259 5.104 Notes + 342.8 S 2MM + 328.5 S 5MM BAC 5.20 06/01/23 937g-941 6.231 5.539 +313.5 S 2MM BAC 5.125 06/17/19 963/4-971/4 6.150 5.297 +338.7 S 5MM BAC 6.25 09/05/24 1007t-101I 6.118 6.196 +370.5 BAC 6.50 10/23/24 1043/4-1053/4 5.810 6.205 +417.4 BAC 8.00 01/30/18 1033/4-104 6.382 7.748 + 363 BAC 8.125 05/15/18 1033/4-1043/4 6.467 7.831 + 364 S 2MM EFTA01424862 BAC BK BK C 6.10 4.95 4.50 6.30 03/17/25 06/20/20 06/20/23 05/15/24 1003/4-1003/4 98;-993 /4 921/2-931/2 971/2-98 6.063 5.227 5.692 6.691 6.085 5.006 4.865 6.462 +3.898 + 342 S 3MM + 246 Q + 342 Nxt Call B Px A Px B YTC B CUR Floats Notes C 6.125 11/15/20 10011-1003/4 6.007 6.095 + 447.8 MKt 5x2 C 5.95 N 08/15/20 9811-99 6.318 6.041 + 409.5 C 5.95 01/30/23 9A-983 /4 6.365 6.095 + 407 C 5.95 05/15/25 951/2-95g 6.651 6.255 + 390.5 Mkt 3x2 C 5.90 02/15/23 9A-981 6.312 6.044 + 423 C 5.875 03/27/20 981/2-981/2 6.372 5.987 + 405.9 Mkt 3MM C 5.80 11/15/19 973/4-981/2 6.449 5.934 + 409.3 C 5.35 05/15/23 9311-941/2 6.459 5.722 + 347 COF 5.55 06/01/20 993/4-10011 5.613 5.564 + 380 FITB 4.90 09/30/19 933/4-943/4 6.764 5.227 +313 Q FITB 5.10 06/30/23 903/4-913/4 6.668 5.620 + 303 GS 0 12/18/15 73A-721 582.643 5.585 + 76.75 Nxt Call B Px A Px B YTC B CUR Floats Notes GS 5.375 05/10/20 993/4-993/4 5.566 5.416 + 392 GS 5.70 05/10/19 1003/4-101 5.619 5.686 + 388 3PM 7.90 04/30/18 102;-10A 6.604 7.679 + 347 5 3MM EFTA01424863 3PM 3PM 3PM 3PM 3PM 6.75 5.00 6.10 6.125 5.15 02/01/24 07/01/19 10/01/24 04/30/24 05/01/23 1071/2-1081/2 961/2-971/2 1003/4-1013/4 1003/4-101 953/4-96 5.595 6.092 5.988 6.010 5.948 6.279 5.181 6.055 6.079 5.407 + 378 + 332 + 333 + 333 + 325 3PM 6.00 08/01/23 100-1013/4 5.916 5.970 + 330 3PM 5.30 05/01/20 99 -100 5.427 5.327 + 380 MS 5.55 07/15/20 993g-99; 5.703 5.585 + 381 S 2MM MS 5.45 07/15/19 971A-981/4 6.302 5.604 + 361 S 3MM Nxt Call B Px A Px B YTC B CUR Floats Notes PNC 4.85 06/01/23 94-95 5.846 5.160 + 304 Q PNC 6.75 08/01/21 108-109 5.112 6.250 + 368 STI 5.625 12/15/19 1001-100; 5.589 5.618 + 386 STT 5.25 09/15/20 1001g-100; 5.218 5.243 + 359.7 WFC 5.875 06/15/25 1041-10511 5.237 5.609 +399 WFC 7.98 03/15/18 106-1061 5.195 7.528 + 377 WFC 0.00 12/18/15 971-97; 44.251 5.720 + 93 WFC 5.90 06/15/24 10114-1011 5.713 5.827 + 311 From: Daniel Sabba Sent: Tuesday, November 17, 2015 3:16 PM To: Paul Morris; Vahe Stepanian Cc: Stewart Oldfield Subject: RE: [I] EFTA01424864 As discussed, we will socialize between us some HY bonds in addition to Petrobras. We will also send cocos from credit desk, bank preferred run from STG, and CLO mezz and equity from Och Ziff. From: Paul Morris Sent: Tuesday, November 17, 2015 1:08 PM To: Daniel Sabba; Vahe Stepanian Cc: Stewart Oldfield Subject: FW: [I] Classification: For internal use only Can you think about a list, perhaps getting 10 million to work Paul Morris Managing Director Deutsche Bank Private Bank Office: 212-454-0701 Cell: 917-971-2507 From: jeffrey E. [mailto:jeevacation@gmail.com] Sent: Tuesday, November 17, 2015 12:43 PM To: Paul Morris Subject: lets look at leveraged preferred or leveraged bonds. EFTA01424865 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 jeevacation@gmail.com, and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA01424866