RE: Indicative Brazil CDS Unwind Level [C]
Jeffrey — per Rich's request, please find an indicative level below to unwind your Brazil CDS protection. We will follow up with separate emails for (1) GE Bond and (2) JPYKRW.
DB's bid for your Brazil CDS protection is 445bps p.a. This equals an unwind fee payment by DB of $1,256,044. Recall you paid 491,941 to enter the trade. Original unofficial trade details:
EFTA01138440
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
IM : 1
EFFECTIVE 14-Jan-2015
TERMINATION : 20-Mar-2020
REF OB : BRAZIL 12.25 % 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)
UPFRONT FEE : DB Receive USD 491,941
STANDARD TRADE : Yes
HARDWIRING : Yes
CLEARING HOUSE : No
Trade details:
| Deal Information | Spreads |
|---|---|
| Reference: | FEDERATIVE REPUBLIC OF BRAZIL |
| Counterparty: | SOUTHERN FINANCIAL LLC |
| Business days: | LDN, NYC |
| Business days adj: | Following |
| Buy/Sell: | Sell |
| Notional: | USD 10mm |
| Effective date: | 14-Jan-2015 |
| Maturity date: | 20-Mar-2020 |
| Payment freq: | Quarterly |
| Pay accrued: | True |
| Curve recovery: | True |
| Recovery rate: | 0.25 |
| Deal rate: | 100 |
| Valuation date: | 13-Jan-2015 |
| Cash settled on: | 16-Jan-2015 |
| Price: | 95.01670000 |
| Principal: | 498,330.00 |
| Accrued: | -6,389.00 |
| Market Val: | 491,941 |
Thank you,
Vahe
Vahe Stepanian
Assistant Vice President I Key Client Partners Deutsche Bank Securities Inc.
unwind at 462 bp
Jeffrey — received. We will leave an order with the trader to unwind at 462, good for the day.
Thank you,
Vahe