EFTA02467912.pdf

From: jeffrey E. <jeevacation@gmail.com> Sent: Thursday, March 24, 2016 7:26 PM To: Richard Kahn Subject: Fwd: BRL Trade Idea Forwarded messag= From: Barrett, Paul S <mailto: Date: Thu, Mar 24, 2=16 at 3:02 PM Subject: BRL Trade Idea To: Brad Wechsler Cc: "Jeffrey Epstein (jeevacation@gmail.com <mailto:jeevacation@gmail.co=> )" cjeevacation@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 S 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> EFTA_R1_01577231 EFTA02467912 Source: Bloomberg 31=3/16 Syr Petrobras & Syr Brazil CDS: Buy Buy CDS Protection Bond: PETBRA 5 4 01/27/21 Contract: Brazil Syr 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: 2 EFTA_R1_01577232 EFTA02467913 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 31=3/16 </=pan> =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=rir;coloril1f497d">Paul Barrett I Managing Director Global Investment Op=ortunities Group I J.P. Morgan Securities LLC I J.P. Morgan Private Bank I =.I.P. Morgan Chase Bank N.A.=/u> Mtel:%28212%29%20310-0108> I <mailto: </=pan> NOT =N OFFICIAL CONFIRMATION: For informational=purposes only. This report does not represent an official account of=the holdings, balances, or transactions made in your account and is being =rovided at your request. Please refer to your monthly account statement for the=official record of all of your account activities. For question, ple=se call your J.P. Morgan representative. 3 EFTA_R1_01577233 EFTA02467914 In discussion of options and other strategies, results and risks =re based solely on hypothetical examples cited; actual results and risks w=11 vary depending on specific circumstances. Investors are urged to consider caref=lly whether option or option-related products in general, as well as the p=oducts or strategies discussed herein are suitable to their needs. In actu=l transactions, the client's counterparty for OTC derivatives applications is JPMorgan Chase Bank, N.A., and affilia=es. For a copy of the "Characteristics and Risks of Standardized O=tions" booklet, please contact your JPMorgan Advisor. This email is confidential and subject to important disclaimers a=d conditions including on offers for the purchase or sale of securities, accuracy and completeness o= information, viruses, confidentiality, legal privilege, and legal entity =isclaimers, available at http://www.jpmorga=.com/pages/disdosures/email <http://www=jpmorgan.com/pages/disclosures/email> . qp> </=pan> </=pan> This email is confidential and subject to important disclaimers and conditi=ns including on offers for the purchase or sale of securities, accuracy a=d completeness of information, viruses, confidentiality, legal privilege, =nd legal entity disclaimers, available at http://www.jpmorgan.com/pages=disclosures/email <http://www.jpmorgan.c=m/pages/disclosures/email> =C2 please note The information containe= in this communication is confidential, may be attorney-client privileg=d, may constitute inside information, and is intended only for the u=e of the addressee. It is the property of JEE Unauthorized use, disc=osure or copying of this communication or any part thereof is strictly =rohibited and may be unlawful. If you have received this communicati=n in error, please notify us immediately by return e-mail or by e-mail =o jeevacation@g=ail.com <mailto:jeevacation@gmail.com> , and destroy this communication and all copies thereof, =ncluding all attachments. copyright -all rights reserved </=iv> 4 EFTA_R1_01577234 EFTA02467915