Subject: brazil - is it close to a cycle reversal? [C] From: Daniel Sabba < M> Date: Fri, 18 Sep 2015 11:29:17 -0400 To: jeffrey E. <jeevacation@gmail.com> Cc: Paul Morris < Stewart Oldfield Vahe Stepanian < Ariane Dwyer Richard Kahn 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. lOy 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; $16bn out of $54bn). {cid:image006.jpg@OlD0F15E.OF6261B0} 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. EFTA01412974 Tel. + Mobile Email EFTA01412975