Paul Barrett Alpha Group Capital LLC 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 move has been in USDBRL. Best Option — Brazil 12.5% 2022 @7% YTM denom in 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% litTM denom in RUB (vs lyr FX forward implying 7.06%) • Turkey TRY denominated govt bonds down 10 points since last week and 36 points since April (63 price). Yielding 21%. I prefer using a 1yr TRY forward which equates to a 27% yield and not worry about illiquidity in their bond market. FX Spot Changes 1 month 3 month 7 EFTA_R1_01796254 EFTA02605656

6 month 1 yr 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 month 6 month 1 yr BRL 3.9000 8 EFTA_R1_01796255 EFTA02605657

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 see some option prices? 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 month vol has gone 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 Denominated 'tau 6.2% 12/21/2021 @ 4.73% YTM — USD Denominated Brazil 12.5% 1/5/2022 @ 7.00% YTM — BRL Denominated 9 EFTA_R1_01796256 EFTA02605658

Russia RFLB 6.7% 5/15/2019 @ 6.58% YTM — RUB Denominated RFLB 6.80% 12/11/2019 @ 7.01% YTM — RUB Denominated RFLB 6.4% 5/27/2020 @ 7.45% YTM — RUB Denominated Turkey Garanti 6.25% 4/20/2021 @ 10.74% VT M — USD Denominated — Turkish Bank Turkey Sovereign 7% 6/5/2020 @ 8.44% YTM— USD Denominated Turkey Sovereign 12.4% 03/08/28 @ 21 YTM— TRY Denominated Paul Barrett Alpha Group Capital LLC 10 EFTA_R1_01796257 EFTA02605659