From: jeffrey E. <jeevacation@gmail.com>
Sent: Thursday, March 24, 2016 7:26 PM
To: Richard Kahn
Subject: Fwd: BRL Trade Idea

Forwarded message
From: Barrett, Paul S <mailto: >
Date: Thu, Mar 24, 2=16 at 3:02 PM
Subject: BRL Trade Idea
To: Brad Wechsler <mailto: >
Cc: "Jeffrey Epstein (jeevacation@gmail.com <mailto: jeevacation@gmail.com>)" <jeevacation@gmail.com>, Ba=rett Team <mailto: >

Brad

=C2

The spread between Brazilian Government yields and P=trobras has blown out from 100bps in June '15 to around 500bps =AO today for their USD bonds. Our view is that the government will backsto= Petrobras and will not allow it to default on its debt (Govt net reserves = $200bIn ; Petrobras debt notional = $105=In). We think it makes sense to play for the spread to compress back to 30=-400bps.

We can execute this through a long PETBRA position a=d buying protection on 5 yr BRL CDS to reduce risk. Details
below.<=>

=C2

=C2

1.Spread Trade - CDS leg reduces risk in first=option

Buy Petrobras bonds are =ielding ~10%

Buy Brazil CDS costs 3.9=%

The bet is that spreads =ighten (see green chart below).

</=pan>

5yr Petrobras & 5yr Brazil CDS:

Buy
Buy CDS Protection

Bond: PETBRA 5 1/4 01/27/21
Contract: Brazil 5yr CDS
Issuer: PETROBRAS GLOBAL FINANCE
Underlying Issuer: Federative Republic of Brazil
ISIN: US71645WAR25
Maturity: 06/20/21
Ratings: B3/B+/BB+
Coupon: 100 bps
Ranking: Sr Unsecured
Spread:

396 bps

Price:

$83.00

Upfront Pmt (per $10mm):

- 1,329,935 USD

YTW:

9.88%

Initial DV01 (per $10mm):

4,051 USD

Z-spread:

861 bps

Duration:

3.37

</=pan>

Source: Bloomberg 3/=3/16

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=span style="font-size:8.0pt;font-family:"Verdana","sans-

s=rif";color:#5f5f5f">_

=span style="font-size:8.0pt;font-family:"Verdana","sans-s=rif";color:#1f497d">Paul Barrett | Managing Director | Global Investment Op=ortunities Group | J.P. Morgan Securities LLC | J.P. Morgan Private Bank |=J.P. Morgan Chase Bank N.A.=/u>

The image contains a phone number (212-203-1008) and email. Other details were redacted.

</=pan>

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