EFTA01380849

Thank you, Vahe From: Richard Kahn [mailt0 ] Sent: Tuesday, May 31, 2016 10:17 AM To: Daniel Sabba; Vahe Stepanian Subject: Re: indication on WTI risk reversals can you please refresh attached quote thank you Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York, NY 10022 tel fax cell On May 20, 2016, at 11:06 AM, Daniel Sabba < > wrote: Please note these are indications — these levels are not tradable. We need Credit Risk sign off, assessment of any potential credit charges and initial amounts before trading. Any credit charges would impact these indications. Notional: 1mm barrels of WTI WTI futures references: CLU6 ref 49.55, option exp 17Aug16 CLZ6 ref 50.00, option exp 16Nov16 CLH7 ref 50.20, 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: 45 Call strike: 50 Put strike: 49.75 option exp 16Nov16 Future reference: CLZ6 Call strike: 55 Put strike: 45.90 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0079411 CONFIDENTIAL SDNY_GM_00225595 EFTA01380849