brazil - is it close to a cycle reversal? [C]

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).

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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.

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