From: Daniel Sabba

From: Daniel Sabba To: mjeevacation@gmail.conf" czjeevacation@gmail.com> Subject: Re: Date: Thu, 19 Mar 2015 01:51:24 +0000 Classification: Public Actually the ratio for cds shouldn't be this high. It should be (320-20S)x5/205=2.8x. Still higher than FX. From: Daniel Sabba Sent: Wednesday, March 18, 2015 09:33 PM To: jeffrey E. <jeevacation@gmail.com> Subject: RE: I did a bit of thinking on this. USDBRL moved from 2.64 to 3.27, a 24% move from the date we put the CDS trade on. At that date, USDBRL had a negative carry of about 12%, so the return on annualized carry was about 2x. Many drivers led us to the CDS expression, particularly the fact that the problems in brazil would cause deterioration of credit fundamentals. The key driver was the low carry... about 200bps per year... CDS moved from 205 to 320, a 56% move and the return on annualized carry was about 23x. So to look at CDS and the fact it moved 56% and BRL moved 24% isn't enough. We gotta factor in the cost of holding the trade versus the return, which should lead to a comparison of 23x versus 2x. From: jeffrey E. [jeevacation@gmail.com] Sent: Sunday, March 15, 2015 7:45 AM To: Daniel Sabba Subject: the brl trade would have made a great deal of money., again we screwd 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 jeevacation41)gmail.com and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 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 material in this EFTA00657401 communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00657402