From: Daniel Sabba

From: Daniel Sabba To: jeevacation@gmail.com Subject: Re: [C] Date: Mon, 12 Jan 2015 22:49:20 +0000 Inline-Images: unnamed; unnamed(1) Classification: Confidential Jeffrey, per our chat: Brazil CDS Markets: 1y 93 / 111 2y 130 / 148 3y 147 /165 5y 210 / 214 - this means you would purchase protection for 214bps per year for 5 years (payment streams below). Brazil CDS history: GRAB BRAZIL CDS USD SR 07/31/2001 1D 3D IH 6H YID lY Sr Max HOAdlly • 99 Save As... 90 Actions- 97) Edit - 90 Table 01/12/2015 Last Price Line hilstoncartine Chart I I IN° Lower Chart ..,USD I gtf Security/Study Event 0 1 • Last Price 212.000 T High on 09/30/02 3900.000 -+. Average 424.084 / Low on 05/31/07 63.000 •4000 11. 3500 -3000 2.2500 -2000 D. 1500 -1000 -500 ! '02 '03 I '04 ! '05 '06 I '07 I '08 I '09 I '10 '11 I '12 I '13 '14 '1 Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe 44 20 7330 7503 Germany 49 69 9204 1210 Hong Kong 852 2977 6000 Japan 81 3 3201 8900 Singapore 65 6212 1000 U.S. 1 212 318 2000 Copyright 2015 Bloomberg Finance SH 839901 H653-1285-2 12-Jan-15 17.42:52 EST GMT-5:00 CDS Valuation: Let's walk through this CDS valuation when you have a second. EFTA00674122 GRAB Cpty 9W Actions CDS CNTRPARTY Bay Notional REF Entity Debt Type REF Obligation Trade Date 1st Accr Start 1st Coupon Pen Coupon Maturity ej Use Curve Recovery Rate Recovery Rate 10 91) Products OTC 9h View PI Credit Default Swap Valuation .n..eres Ui settings 1359 Sena 1. th" 391/1-7, Market rt BRAZI LUSO Federative Republic of Brazil Senior US 105756AL40 IR 11 03/20/15 12/20/19 03/20/20 Cash Settled On Cash Calculated On Price Principal Accrued (22 Days) Cash Amount •This application is based on Australia 61 2 9777 8600 Japan 01 3 DZOI 000 rl True 0.25 2014 Restructuring RED Pair Code Trd Spill I hp .r Backstop Date Coupon (bp) Day Cnt ACT/360 3 R SUS CR14 115CCSAC2 212.9400 11/13/14 100.000 Free, Q Pay Al True Date Gen I Business Days SD BLS Day As; 1 err! N ISDP. Standard Upfront Model (I)m 21/15/15 Valuation Date C.1115/15 94.65793466 Spread DV01 534,206 IR DV01 -6,111 Rec Risk (1%) 528,095 Def Exposure 01/12/15 01/12/15 Swap Curve 51 View USD ISDA Standard Curve CDS Curve 260 Mid Ask ri° 6) View BRAZIL USD Senior Curve (CDSD) Recovery Rate 7 arm 03/20: View Pts Upf 5.342065 0.25 Spread 212.9400 Term Structure k;4AZIL OW Cruet Curve • ocAM SY 211.10 • 4,548.97 -139.01 -509.66 24 rif 4Y 614 4 9 .793 • 5? IP! Prob l n:c. * 100 • 15U iv ICY/ 100 the ISDA SW Model vl, developed and supported in ccilaborabon with Harlot Group Ltd. Brazil 5511 2395 9000 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 cnn0 Singapore C5 0212 1000 V.S. 1 212 310 2000 Copyright 2015 Dloomberg rinanc• OH 05001 I11.33 1205 2 12 Jan 15 Oriel:lea: CST GMT 5'00 Thank you, Daniel From: To: Date: Subject: "affray E. leevacalion@gmail.com> Daniel Sabb 01/12/2015 05:26 PM short latin america? 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 EFTA00674123 return e-mail or by e-mail to jmacAthal 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 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. EFTA00674124