From: Richard Kahn

From: Richard Kahn Sent: Thursday, August 23, 2018 2:38 PM To: Alpha Group Capital Cc: Jeffrey E. Subject: Fwd: EM Update paul =n your email on August 13th you said best option for Brazil was: =nbsp;Brazil 12.5% 2022 @ YTM in BRL if we bought that on August 13th what =ould mark to market be? are you still recommending =his same position? please advise thank you Richard Kahn HBRK Associates Inc. 575 =exington Avenue 4th Floor New York, NY 10022 tel 212-971-1306 fax 212-320-0381 cell Begin forwarded message: From: =/b>Paul Barrett Subject: =/b>EM Update Date: =/b>August 23, 2018 at 10:18:43 AM =DT To: =/b>jeffrey E. <[email protected]> Cc: Richard Kah Brazil =pdate: EFTA_R1_01795620 EFTA02605272 BRL continues to =eaken. Elections are October 7: Election Day (first-round) and then =ctober 28: Second-round vote. Further weakness going into the election =ould give us a very interesting entry point. Recall we saw big relief =allies in ZAR and MXN post-elections. TRY =pdate: Quiet week given EID. =pot at 6.0900. No new incremental news. RUB Update: Central Bank =ntervening to support RUB. Spot at 68.00. Down about 2% on the week. =E2$4Russia's central bank said =t will suspend sales of rubles to purchase foreign exchange through the =nd of September in an effort to steady the currency, helping pull it back from the lowest level in two =ears." Paul Barrett Alpha Group Capital =LC 142 W 57th Street, 11th Floor, New York, =Y 10019 646-876-5277 =o)(c) mailto From: =aul Barrett Sent: Friday, August 17, 2018 2:30 PM To: 'jeffrey E.' <jeevacation@ mail.com> Cc: 'Richard Kahn' 2 EFTA_R1_01795621 EFTA02605273 Subject: RE: EM Jeffrey EM Update FX Spot Changes 1 Week 1 =onth 3 =onth 6 =onth 1 =r BRL -2% -2.58% -6.18% -18.02% -19% RUB 0.45% -7.11% -7.75% -16% -12% TRY 3 EFTA_R1_01795622 EFTA02605274 6.08% -21% -26.44% -38.21% -42.00% * TRY hit a high (strong) level of 5.7100 yesterday during a =onference call with the finance minister * Down 6% today at 6.0600 • lyr Implied interest rate still around 28-29% • Turkey open half day =n Monday and then closed for the rest of the week (EID) • RUB and BRL bond =rices remain very stable Here is an interesting RUB Cashless Risk =eversal: • Buy 6 month 65 RUB Call (cost 2.00% if you wanted to just =uy the RUB call) • Sell 6 month 73.50 =UB Put with an at-expiry knock in at 78 • Red line is the RUB put strike • White line is the knock in level (we need to be weaker/above the =hite line at expiry for the short RUB put to knock-in — so down =6% from here) • BIGGEST =ISK: Another round of US sanctions in the coming months targeting state =ontrolled banks which would freeze their USD transactions or a hawkish =peech by Powell at Jackson Hole next week. Paul Barrett Alpha Group Capital =LC 142 W 57th Street, 11th Floor, New York, =Y 10019 646-876-5277 =o) c) <mailto 4 EFTA_R1_01795623 EFTA02605275 From: =aul Barrett Sent: Tuesday, August 14, 2018 5:19 PM To: 'jeffrey E.' <jeevacation@ mail.com> Cc: 'Richard Kahn' Subject: FW: EM Decent recovery today in Turkey. TRY up 8%...still down =3% MTD BRL up 50bps RUB up 2% Turkey rally driven =y: = massively oversold conditions in the short =erm = finally hints of more conventional solutions =o the current problems in Turkey - = FIN Minister: "FISCAL POLICY TO BE AN =VEN STRONGER ANCHOR. PRIORITY IS TO FIGHT AGAINST INFLATION, C/A =EFICIT" = Finance minister holding a conference call on =hursday morning I still think it is =till too early to get involved. They still have a massive amount of $ =enominated corporate debt that needs to be rolled over this year and =he market will want to see a more viable central bank plan to contain =he situation. Paul 5 EFTA_R1_01795624 EFTA02605276 Paul Barrett Alpha Group Capital =LC 142 W 57th Street, 11th Floor, New York, =Y 10019 646-876-5277 =o) c) mailto From: =aul Barrett Sent: Monday, August 13, 2018 4:10 PM To: 'jeffrey E.' <jeevacation mail.com> Cc: 'Richard Kahn' Subject: EM Jeffrey Summary of some options when =eady: • Brazil local currency bond prices have been very stable. =ost of the move has been in USDBRL. Best Option — Brazil 12.5% 2022 @7% YTM denom =n BRL (vs lyr FX forward implying 6.9%) • Russian RUB govt bonds down 2 points. Mainly a RUB move. Best Option - Russia 6.4% 5/27/2020 @ 7.45% YTM denom =n RUB (vs lyr FX forward implying 7.06%) • Turkey TRY denominated govt bonds down 10 points since last week =nd 36 points since April (63 price). Yielding 21%. I prefer using a lyr =RY forward which equates to a 27% yield and not worry about illiquidity in their bond market. FX Spot Changes 1 =onth 3 =onth 6 =onth 6 EFTA_R1_01795625 EFTA02605277 1 =r BRL -1.33% -7.80% -15.44% -18% RUB -7.93% -8.85% -15% -12% TRY -31% -38.27% -45.50% -49.40% Implied Interest Rate based on FX Forwards Spot 3 =onth 6 =onth 1 =r BRL =.9000 7 EFTA_R1_01795626 EFTA02605278 3.34% 4.30% 6.91% RUB 68.03 3.43% 4.71% 7.06% TRY 6.9800 8.33% 14.69% 27.88% FX vol has also exploded. Do you want to =ee some option prices? The risk reversals are also pricing very well =iven how USD call vol has exploded vs USD puts. • BRL 3 month vol has gone from 12% to 20% • RUB 3 month vol has =one from 10% to 16% • TRY 3 month vol has gone from 20% to 47% Below is a list of the most liquid bonds: Brazil Petrobras 5.299% 1/27/2025 @ 6.35% YTM — USD =enominated 'tau 6.2% =2/21/2021 @ 4.73% YTM — USD Denominated Brazil 12.5% 1/5/2022 @ =.00% YTM — BRL Denominated Russia =o:p class=""> 8 EFTA_R1_01795627 EFTA02605279 RFLB 6.7%=/15/2019 @ 6.58% YTM — RUB Denominated RFLB 6.80% 12/11/2019 @ =.01% YTM — RUB Denominated RFLB 6.4% 5/27/2020 @ 7.45% YTM — RUB =enominated Turkey Garanti 6.25% 4/20/2021 @ 10.74% YTM — USD =enominated — Turkish Bank Turkey Sovereign 7% =/5/2020 @ 8.44% YTM— USD Denominated Turkey Sovereign 12.4% 03/08/28 @ 21 YTM— =RY Denominated Paul =arrett Alpha Group =apital LLC 142 W 57th Street, 11th Floor, New York, =Y 10019 646-876-5277 =o) c) mailto 9 EFTA_R1_01795628 EFTA02605280