EFTA Document EFTA01792264

From: Sent: To: Subject: Monday, March 28, 2016 8:32 PM Jeffrey E. Fwd: BRL Trade Idea when sent to brad pricing was 83 and spread 396 currently via vahe below price is 82 and spread 380 x =85 please advise thank =ou Richard Kahn HBRK Associates Inc. 575 Lexington =venue 4th Floor New York, NY 10022 tel =12-971-1306 fax 646-350.0954 cell =17-414-7584 Begin forwarded message: From: > Subject: RE: Brazil trade idea [C] Date: March 28, 2016 at 1:20:14 PM EDT To: Classification: Confidential indicatively, Southern Financial can purchase 5mm PETBRA 5 =9C 01/27/21 @ - 82 Brazil Sy =DS (6/20/21 maturity) is currently @ 380 x 385. We =ill need to refresh before trading. Please let us know if you have =uestions. EFTA_R1_00122965 EFTA01792264 From Sent: Monday, March 28, 2016 1:08 PM To: Cc: Subject: Brazil trade idea can you please provide pricing on the =ollowing: Buy Buy=CDS Protection Bond: PETBRA 5 %=01/27/21 Contract: Brazil Syr CDS Issuer: PETROBRAS GLOBAL FINANCE Underlying Issuer: Federative =epublic of Brazil ISIN: US7164SWAR25 Maturity: 06/20/21 Ratings: 83/B+/BB+ Coupon: 100 bps Ranking: Sr Unsecured Spread: 396 bps 2 EFTA_R1_00122966 EFTA01792265 Begin forwarded message: From: =/b>"jeffrey E." <[email protected]> Subject: =/b>Fwd: BRL Trade =dea Date: =/b>March 24, 2016 at 3:25:33 PM =DT To: =/b Forwarded messa e From Date: u, ar , at : Subject: =RL Trade Idea To: Cc: - . Itojeevacation @gmai Icon> )" <jeevacation @gmai Icom>, The spread between Brazilian Government yields and =etrobras has blown out from 100bps in June '15 to around =00bps today for their USD bonds. Our view is that the government =ill backstop Petrobras and will not allow it to default on its debt (Govt net reserves = $200bIn ; Petrobras debt notional = =105Bln). We think it makes sense to play for the spread to compress =ack to 300-400bps. We can execute this through a long PETBRA position =nd buying protection on 5 yr BRL CDS to reduce risk. Details below. 1. Spread =rade - CDS leg reduces risk in first option Buy Petrobras bonds are yielding —10% Buy Brazil CDS costs 3.96% 3 EFTA_R1_00122967 EFTA01792266 The =et is that spreads tighten (see green chart below). Source: Bloomberg 3/23/16 Syr Petrobras & Syr Brazil CDS: Buy =nbsp; Buy CDS =rotection Bond: PETBRA 5%e =1/27/21 Contract: Brazil Syr CDS Issuer: PETROBRAS GLOBAL =INANCE Underlying =ssuer: Federative Republic of =razil ISIN: US71645WAR25 Maturity: 06/20/21 Ratings: B3/B+/BB+ Coupon: 4 EFTA_R1_00122968 EFTA01792267 100 bps Ranking: Sr Unsecured Spread: 396 bps Price: $83.00 Upfront =mt (per $10mm): - 1,329,935 USD YTW: 9.88% Initial =V01 (per $10mm): 4,051 USD Z-spread: 861 bps Duration: 3.37 Source: =loomberg 3/23/16 5 EFTA_R1_00122969 EFTA01792268 NOT AN OFFICIAL =ONFIRMATION: For =nformational purposes only. This report does not represent an =fficial account of the holdings, balances, or transactions made in your =ccount and is being provided at your request. Please refer to your monthly account statement for =he official record of all of your account activities. For =uestion, please call your J.P. Morgan representative. In discussion of options and other strategies, results and risks are based solely on hypothetical examples cited; =ctual results and risks will vary depending on specific circumstances. Investors are urged to consider =arefully whether option or option-related products in general, as well =s the products or strategies discussed herein are suitable to their reeds. In actual transactions, the client's counterparty for OTC derivatives applications is JPMorgan Chase Bank, N.A., and =ffiliates. For a copy of the "Characteristics and Risks of =tandardized Options" booklet, please contact your JPMorgan =dvisor. This email is confidential and subject to important =isclaimers and conditions including on offers for the purchase or sale of securities, accuracy and =ompleteness of information, viruses, confidentiality, legal privilege, =nd legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email. This email is confidential and subject to important disclaimers and =onditions including on offers for the purchase or sale of securities, =ccuracy and completeness of information, viruses, confidentiality, regal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email please note The information contained in this =ommunication is confidential, may be attorney-client =rivileged, may constitute inside information, and is =ntended only for the use of the addressee. It is the =roperty of JEE Unauthorized use, disclosure =r copying of this communication or any part thereof is =trictly prohibited and may be unlawful. If you have =eceived this communication in error, please notify us =mmediately by return e-mail or by e-mail to [email protected], and destroy this =ommunication and all copies thereof, including all =ttachments. copyright -all rights reserved 6 EFTA_R1_001 22970 EFTA01792269