From: Daniel Sabba < To: "Jeffrey E.'" <jeevacatio0;grnail.com> CC: Paul Morris < Stewart Oldfield < Stepanian > "Ariane Dwyer" Kahn"' Subject: brazil - is it close to a cycle reversal? [C] Date: Fri, 18 Sep 2015 15:29:17 +0000 Inline-Images: iinage001.jpg >, Vahe , "'Richard Classification: Confidential Jeffrey — we are working on some ideas on Brazil that might be relevant if you have the view Brazil is close to a cycle reversal. Do you have a moment to chat? 1. 10y credit linked note on Petrobras that pays 3mL+445bps and has the following redemption profile: • Credit event in first three years: Early Termination and Client receives 100% x Notional • Default after the first three years: Early Termination and Client receives Recovery x Notional (similar to bonds) This structure expresses a view that either Petrobras will default in the next 3 years (where there's protection) or will survive this cycle and not default. 30% of Petrobras' bond debt outstanding is maturing in the next 3 years (see below; $3.6bn out of $54bn). • o N°0 6'111:0 50:0>i 5 • 4030 o 3000 -§ • 2030 1000. 3020 2025 Pitatk, Pete Total Deaf Total MS! *Avg Fixed tin' TA,s13 -M C.? 3040 *Avg Mtyi 04/01/2027 WtAV9 Yr‘ 2. Local onshore Brazilian bonds — which are trading at —15% yields. These can be accessed through a total return swap or a local onshore account. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. EFTA01181873