EFTA Document EFTA01477485

Subject: FW: Brazil CDS Unwind Recap - 1/15/2016 [C] From: Paul Morris ‹ > Date: Tue, 01 Mar 2016 10:37:17 -0500 To: Vahe Stepanian Cc: Ariane Dwyer Classification: Confidential Hi was there p& l on the unwind? Paul Morris Managing Director Deutsche Bank Private Bank Office: Cell: From: Vahe Stepanian Sent: Friday, January 15, 2016 3:18 PM To: jeffrey E. Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: Brazil CDS Unwind Recap - 1/15/2016 [C] Classification: Confidential Jeffrey — Brazil CDS recap: BraSov default swap with SOUTHERN FINANCIAL LLC DB Buys default protection on FEDERATIVE REPUBLIC OF BRAZIL NOTIONAL TRADE DATE : USD 10,000,000 : 15-Jan-2016 EFTA01477485 IM% : None (unwind) EFFECTIVE : 16-Jan-2016 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 SPREAD : 462 bps per annum (COUPON: 100 bps per annum) UPFRONT FEE : DB Pays USD 1,311,509.00 STANDARD TRADE : Yes HARDWIRING : Yes CLEARING HOUSE : No Official trade confirm to follow. Thank you, Vahe From: Vahe Stepanian Sent: Friday, January 15, 2016 1:04 PM To: 'jeffrey E.' Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: RE: Indicative Brazil CDS Unwind Level [C] Classification: Confidential Jeffrey — you're done on the Brazil CDS unwind at 462. We will be back shortly with the trade recap. EFTA01477486 Thank you, Vahe From: Vahe Stepanian Sent: Friday, January 15, 2016 8:34 AM To: 'jeffrey E.' Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: RE: Indicative Brazil CDS Unwind Level [C] Classification: Confidential Jeffrey — received. We will leave an order with the trader to unwind at 462, good for the day. Thank you, Vahe From: jeffrey E. [mailto:[email protected]] Sent: Friday, January 15, 2016 8:30 AM To: Vahe Stepanian; Richard Kahn Subject: Re: Indicative Brazil CDS Unwind Level [C] unwind at 462 bp On Fri, Jan 15, 2016 at 8:25 AM, Vahe Stepanian wrote: Classification: Confidential Jeffrey — Rich requested refreshed unwind levels this morning for (1) Brazil CDS, (2) GE preferred and (3) JPYKRW forward. <S> EFTA01477487 Indicatively, this morning DB's bid for your Brazil CDS protection is 452bps p.a. (Offer is 467bps p.a.) Bid equals an unwind fee payment by DB of $1,278,512. Recall you paid 491,941 to enter the trade. Original unofficial details are included below. I will be back to you on items (2) and (3). Thank you, Vahe From: Vahe Stepanian Sent: Thursday, January 14, 2016 12:50 PM To: 'jeffrey E.' Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: Indicative Brazil CDS Unwind Level [C] Classification: Confidential Jeffrey — per Rich's request, please find an indicative level below to unwind your Brazil CDS protection. We will follow up with separate emails for (1) GE Bond and (2) JPYKRW. DB's bid for your Brazil CDS protection is 445bps p.a. This equals an unwind fee payment by DB of $1,256,044. Recall you paid 491,941 to enter the trade. Original unofficial trade details: 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 IMF : 1 EFFECTIVE : 14-Jan-2015 TERMINATION : 20-Mar-2020 EFTA01477488 REF OB CREDIT EVENTS ISDA Definition PRICE UPFRONT FEE STANDARD TRADE HARDWIRING CLEARING HOUSE : BRAZIL 12.25% OF 03/30 ISIN: U5105756AL40 : Failure to Pay, R, Repudiation/Moratorium : 2014 : 205 bps per annum (COUPON: 100 bps per annum) : DB Receive USD 491,941 : Yes : Yes : No Trade details: {cid:_l_13F3526C13F34CB40066BF2885257DCC} Thank you, Vahe Vahe Stepanian Assistant Vice Deut Tel. Mobile Email President I Key Client Partners es Inc. All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. 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 EFTA01477489 material in this communication is strictly forbidden. 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