From: Paul Morris To: "Jeffrey E.'" [email protected]> Subject: RE: (BN) Brazil Already Junk as Swaps Traders Front-Run Cut Amid Turmoil [C] Date: Tue, 11 Aug 2015 18:10:59 +0000 Inline-Images: image003jpg Yes They know to Original Message----- From: jeffrey E. [gagutiggfggingliSaffi] Sent: Tuesday, August II, 2015 12:17 PM Eastern Standard Time To: Vahe Stepanian Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: Re: FW: (BN) Brazil Already Junk as Swaps Traders Front-Run Cut Amid Turmoil [CJ in the future please always include a mark to markct on the position. always . thanks On Tue, Aug 11, 2015 at 10:06 AM, Vahe Stepanian c > wrote: Classification: Confidential Jeffrey — please find below the current Brazil 5y CDS chart (i.e. on the nm), 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 12.251 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 Sy Brazil CDS saw its high of -3900bps back in 2002. Please let us know how you would like to proceed. Thank you, Vahe EFTA01205640