EFTA Document EFTA01472080

Subject: Short Latam FX Ideas [I] From: Daniel Sabba cffi. Date: Tue, 03 Feb 2015 10:54:37 -0500 To: jeffrey E. <jeevacation@gmail.com> Cc: Paul Morris Vahe Stepanian Bcc: Classification: For internal use only Jeffrey, Carry in BRL is close to 11% and ly implied vols are around 14-15%. As we discussed, this obviously makes buying puts on these currencies very expensive. Other LatAm pairs offer lower vol and carry but could be negatively impacted in a distress scenario in the region.