From: Daniel Sabba (I - To: jeevacation@gmail.com Subject: Re: [C] Date: Mon, 12 Jan 2015 22:49:20 +0000 Inline-Images: unnamed; unnamed(1) Classification: Confidential Jeffrey, per our chat: Brazil CDS Markets: ty 93/111 2y 130 / 148 3y 147 / 165 5y 210 / 214 - this means you would purchase protection for 214bps per year for 5 years (payment streams below). Brazil CDS histo: 07/31/2001 SIE DBLA _|Line 1D 3D 1M 6M YTD 1Y SY Max |Monthly ¥ WB Last Price 212.000 T High on 09/30/02 3900.000 > Average 424,084 a L Low on 05/31/07. 63.000 3000 > 2500 > 2000 > 1500 > 1000 ~S00 i 212.000 -() CDS Valuation: Let's walk through this CDS valuation when you have a second. EFTA00674122

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39 Ticket) Refresh 39 Settings 139) Send to VCON/T™ S$ 105756aL40 o1/ 12/15 ef 212.5400] 12/22/14) : t Recovery Rate 03/20/15 100.000 |} Term Pts Upt Spread Prob 12/20/19 Q Were. 342065} 212.9400] very True 03/20/20 bam] ‘ ue 2 Term Structure | Model (1) 01 Thank you, Daniel Fre "jeffrey E.” <jeevacati Daniel Sabbe 01/12/2015 05:26 PM @gmail.com> short latin america? please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by EFTA00674123

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