From: Paul Barrett <

EFTA02607779 Dataset 11 7 pages Download original PDF Download as text
From: Paul Barrett < Sent: Friday, August 17, 2018 6:30 PM To: jeffrey E. Cc: Richard Kahn Subject: RE: EM Jeffrey EM Update FX Spot Changes<=o:p> =/p> 1 Week 1 month 3 month 6 month 1 yr BRL -2% -2.58% -6.18% -18.02% -19% RUB 0.45% -7.11% -7.75% -16% 1 EFTA_R1_01799820 EFTA02607779 -12% TRY 6.08% -21% -26.44% -38.21% -42.00% " TRY hit a high (strong) level of 5.7100 yesterday during a conference=call with the finance minister " Down 6% today at 6.060= • lyr Implied interest rate still around 28-29%</=:p> • Turkey open half day on Monday and then closed for the rest =f the week (EID) • RUB and BRL bond prices remain very =table Here is an interesting RUB Cashless Risk Reversal: • Buy 6 month 65 RUB Call (cost 2.00% if you wanted to just buy the RUB=call) ▪ Sell 6 month 73.50 RUB Put with an at-expiry kn=ck in at 78 • Red Line is the RUB put strike=/li> • White line is the knock in level (we need to be weaker/above the=white line at expiry for the short RUB put to knock-in — so down 16%=from here) • BIGGEST RISK: Another round of US sanct=ons in the coming months targeting state controlled banks which would free=e their USD transactions or a hawkish speech by Powell at Jackson Hole next week. Paul Barrett Alpha Group Capital LLC New York, NY 10019 2 EFTA_R1_01799821 EFTA02607780 (o) (c) <=p> From: Paul Barrett Sent: Tuesday, August 14, 2018 5:19 PM To: 'jeffrey E? <[email protected]> Cc: 'Richard Kahn' <MMIM M> Subject: FW: EM Decent recovery today in Turkey. TRY up 8%...still down 23% MTD BRL up 50bps RUB up 2% Turkey rally driven by: &nb=p; massively oversold conditions in the short term=o:p> &nb=p; finally hints of more conventional solutions to=the current problems in Turkey - &nb=p; FIN Minister: "FISCAL POLICY TO BE AN EVE= STRONGER ANCHOR. PRIORITY IS TO FIGHT AGAINST INFLATION, C/A DEFICI=" - &nb=p; Finance minister holding a conference call on T=ursday morning I still think it is still too early to get involved.=They still have a massive amount of $ denominated corporate debt that need= to be rolled over this year and the market will want to see a more viable=central bank plan to contain the situation. Paul 3 EFTA_R1_01799822 EFTA02607781 Paul Barrett Alpha Group Capital LLC =New York, NY 10019 (o) (c) <=p> From: Paul Barrett Sent: Monday, August 13, 2018 4:10 PM To: 'jeffrey E.' <[email protected] <mailto:[email protected]> > Cc: 'Richard Kahn' Subject: EM Jeffrey Summary of some options when ready: • Brazil local currency bond prices have been very stable. Most of the =ove has been in USDBRL. Best Option — Brazil 12.5% 2022 @7% YTM denom in BRL (vs lyr F= 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 in RUB (vs lyr=FX forward implying 7.06%) • Turkey TRY denominated gov= bonds down 10 points since last week and 36 points since April (63 price)= Yielding 21%. I prefer using a lyr TRY forward which equates to a 27% yie=d and not worry about illiquidity in their bond market. FX Spot Changes<=o:p> =/p> 1 month 3 month 4 EFTA_R1_01799823 EFTA02607782 6 month 1 yr BRL -1.33% -7.80% -15.44% -18% RUB -7.93% -8.85% -15% -12% TRY -31% -38.27% -4550% -49.40% Implied Interest Rate=based on FX Forwards =/p> Spot 3 month 6 month 1 yr BRL =3.9000 5 EFTA_R1_01799824 EFTA02607783 3.34% 4.30% 6.91% RUB =nbsp; 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 see some option price=? The risk reversals are also pricing very well given how USD call vol has=exploded vs USD puts. • BRL 3 month vol has gone from 12% to 20% • RUB 3 m=nth vol has gone from 10% to 16% ▪ TRY 3 month vol has =one from 20% to 47% Below is a list of the most liquid bonds:=/p> Brazil Petrobras 5.299% 1/27/2025 @ 6.35% YTM — USD D=nominated 'tau 6.2% 12/21/2021 @ 4.73% YTM — USD Denomin=ted Brazil 12.5% 1/5/2022 @ 7.00% YTM - BRL Denominated Russia 6 EFTA_R1_01799825 EFTA02607784 RFLB 6.7% 5/15/2019 @ 6.58% YTM — RUB Denomina=ed RFLB 6.80% 12/11/2019 @ 7.01% YTM — RUB Denomi=ated RFLB 6.4% 5/27/2020 @ 7.45% YTM — RUB Denomina=ed Turkey Garanti 6.25% 4/20/2021 @ 10.74% YTM — USD Den=minated — Turkish Bank Turkey Sovereign 7% 6/5/2020 @ 8.44% YTM— USD =enominated Turkey Sovereign 12.4% 03/08/28 @ 21 YTM— TRY =enominated Paul Barrett Alpha Group Capital LIC New York, NY 10019 (o) (c) <=p> 7 EFTA_R1_01799826 EFTA02607785

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[Image 1] The image shows a document with text, which appears to be a list or a set of instructions. The text is too small to read clearly, but it seems to be a formal or professional document, possibly related to business or legal matters. There are no visible names, dates, places, or logos that can be discerned from this image. The document is not a photograph, but rather a scan or a photograph of a physi [Image 2] The image shows a document that appears to be a letter or an email. The document is addressed to someone named "Barry" and is from "AIG Capital Markets, LLC." The text in the document discusses various topics, including a reference to a "Brazil Risk Retention" and a "Turkey Risk Retention." There are also mentions of "Russia," "India," "China," and "Japan." The document includes a section titled " [Image 3] The image shows a document with text, which appears to be a letter or a report. The document is titled "REPORT" and includes sections such as "Subject," "Date," "To," "From," "Cc," "Bcc," and "Attachments." The visible text includes a date, a recipient's name, and a subject line. The body of the text is not fully visible, but it mentions a "Turkey" and a "Turkey" in the context of a report or lett [Image 4] The image shows a document with a table and text. The table appears to be a list of items or data points, with columns that include "Item," "Price," and "Quantity." The text at the top of the document seems to be a heading or title, but it is not fully visible. The document appears to be a financial or inventory record, possibly from a business or organization. The text at the bottom of the docume [Image 5] The image shows a document with text, which appears to be a financial or accounting report. The document includes a header with the date and a title, followed by a table with numerical data and a footer with a date. The text is too small to read in detail, but it seems to be a list of figures or numbers, possibly related to financial transactions or account balances. The document is a scan or a ph [Image 6] The image appears to be a photograph of a printed document, specifically a table or spreadsheet with various numerical data. The document contains columns with headings such as "Subject," "Date," "Time," "Status," and "Comments." There are rows with numerical data under these headings, but the specific details of the data are not clearly visible due to the resolution and angle of the photograph. T