EFTA01380848

From: Stewart Oldfield Sent: 5/31/2016 11:02:16 AM To: Vahe Stepanian CC: Daniel Sabba Subject: RE: indication on WTI risk reversals (C) Classification: Confidential Thanks for following up. I had a good meeting with Rich last week. Can share some color whenever you guys like From: Vahe Stepanian Sent: Tuesday, May 31, 2016 11:01 AM To: Richard Kahn Cc: Daniel Sabba; Stewart Oldfield Subject: RE: indication on WTI risk reversals [C] Classification: Confidential Rich, Please see below refreshed indications — these levels are not tradable. We did not refresh the $50 strikes as they are well in the money now. Further, we heard back from our Credit Risk Management team and they would require 40% IA for the below transactions in cash or treasures (i.e. approx. $20mm on lmm barrels of WTI). Notional: 1mm barrels of WTI WTI futures references: CLU6 ref 50.75, option exp 17Aug16 CLZ6 ref 51.65, option exp 16Nov16 CLH7 ref 52.00, option exp 15Feb17 Premium neutral risk reversals on WTI - Indications Southern financial buys calls and sells puts for zero net premium. These are listed look-alike structures to be executed through Southern Financial's ISDA. option exp 17Aug16 Future reference: CLU6 Call strike: 55 Put strike: 47.00 option exp 16Nov16 Future reference: CLZ6 Call strike: 55 Put strike: 48.90 option exp 15Feb17 Future reference: CLH7 Call strike: 55 Put strike: 49.85 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0079410 CONFIDENTIAL SDNY_GM_00225594 EFTA01380848