Brazil CDS update... [C]

Just wanted to update you on your Brazil CDS position. The current on the run Brazil 5y CDS is at its five year historical high (up —20bps today).

The chart displays the daily movement of Brazil 5-year CDS (Credit Default Swap) from September 2014 to September 2015. The last price recorded is 368.500, which is also the high for September 1, 2015. The average for the period is 227.406, and the low was 125.000 on February 9, 2014. The chart indicates a significant upward trend in the CDS value leading up to September 2015, reaching a five-year historical high.

Used with permission of Bloomberg LP.

Recall you entered into the following transaction back in January 2015. It was marked last night at +8930k (valuation statement attached).

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)

Note that 5y Brazil CDS saw its high of -3900bps back in 2002. Please let us know how you would like to proceed.

Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
Tel. +1 212 454 0857
Mobile +1 917 543 6280

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