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 Tel. +1 212 454 0857 Mobile +1 917 543 6280 Email 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. EFTA01181874