EFTA00654166.pdf

From: Daniel Sabba To: jeevacation@gmail.com Subject: [C] Date: Tue, 13 Jan 2015 18:02:13 +0000 Inline-Images: unnamed Classification: Confidential GRAB 911 Actions 9D Products 9h View Credit Default—Swap Valuation CDS CNTRPARTY M CCP fC F. --cher / Series Dealt 31)Loacl I 34 - Refres erx Deal Market Ina Notional Contract 2014 Curve Date 01/13/15 n REF Entity Swap Curve 260 Mid Debt Type Restructuring 5)View USD ISDA Standard Curve REF Obligation RED Pair Code 115CCBAC2 CDS Curve Ask 6) View BRAZIL USD Senior Curve (CDSD) Trade Date 01/13/15 Trd Sprd (bp) 210.0000 1st Accr Start 12/22/14 Backstop Date 11/14/14 Recovery Rate 0.25 1st Coupon 03/20/15 Coupon (bp) 100.000 erml Pts UpfI Spread , Prob Pen Coupon 12/20/19 Day Cnt ACT/360 Freq Q 1- 1:140120 5.211831 210.0000 0.1367 Maturity Ell 03/20/20 El Pay AI True Date Gen I View Term Structure Use Curve Recovery Rate True Business Days 5) Recovery Rate 0.25 Bus Day Adj 1 Amrt N ISDA. Standard Upfront Model (I)• L. • -100 Cash Settled On 01/16/15 Valuation 01/13/15 Cash Calculated On 01/16/15 • ISO Price 94.78816854 Spread DV01 45,61278 , *100 Principal 5,211,832 IR DV01 -1,356.76 Accrued (23 Days) -63,889 Rec Risk (1%) -4,906.28 414 r( WOW 7T Inn Cash Amount 5,147,943 Def Exposure 69,78%169 *This application is based on the ISDA Std Model v1, developed and supported in collaboration with Markit Group Ltd. Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 c^^0 Japan 81 3 3201 8900 Singapore 65 6212 1000 U.S. 1 212 318 2000 Copyright 2015 Bloomberg Finance SN 839901 H329-48-3 13-Jan-15 13:01:23 EST GMT-5:00 Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mo Email This communication may contain confidentlai and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00654166