EFTA Document EFTA01458086

From: Paul Morris Sent: 8/11/2015 2:10:59 PM To: jeffrey E.' ([email protected]) Subject: RE: (BN) Brazil Already Junk as Swaps Traders Front-Run Cut Amid Turmoil [C] Yes They know to ---Original Message---From: jeffrey E. rieevacationQumail.coml Sent: Tuesday, August 11, 2015 12:17 PM Eastern Standard Time To: Vahe Stepanian Cc: Daniel Sabba; Ariane Dwyer; Paul Moths; Stewart Oldfield; Richard Kahn Subject: Re: FW: (BN) Brazil Already Junk as Swaps Traders Front-Run Cut Amid Turmoil [C] in the future please always include a mark to market on the position. always . thanks On Tue, Aug 11, 2015 at 10:06 AM, Vahe Stepanian wrote: Classification: Confidential Jeffrey - please find below the current Brazil 5y 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 : 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 5y Brazil CDS saw its high of -3900bps back in 2002. Please let us know how you would like to proceed. Thank you, Vahe Min CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0117865 CONFIDENTIAL SDNY GM_00264049 EFTA01458086