EFTA01384061

From: Andrew King Sent: 6/9/2016 11:38:57 AM To: Stewart 0ldfield Subject: FW: indication on WTI risk reversals [C) Classification: Confidential On Spectrum. max is 50% LTV or 1 turn of leverage (2x return function) From: Stewart Oldfield Sent: Wednesday, June 08, 2016 10:01 AM To: Vahe Stepanian; Richard Kahn Cc: Daniel Sabba; Joseph Dursi; Andrew King Subject: RE: indication on WE risk reversals [C] Classification: Confidential Please pass along any feedback on the pricing if you have it. We are also working on the preferred request you sent. We have a manager that runs SMAs of preferreds for our clients that can be levered in a margin account. I think it could make sense for you to pursue a more diversified and active strategy in that space given the unique characteristics of each issue. It's likely the most straightforward way to get exposure. We just need to sort out what the margin release will be. I don't see a good way for us to recommend specific preferred issues to you, but would happily look at leverage on a basket that you select. On the structured note front, I haven't seen preferreds put into a levered note structure. If you just want levered exposure, margin or swap will be the cleanest way to do that. If you are looking for yield and aren't wed to buying preferreds, the notes structures can be useful there. We will be back to you shortly. Thanks From: Vahe Stepanian Sent: Tuesday, June 07, 2016 11:23 AM To: Richard Kahn Cc: Daniel Sabba; Stewart Oldfield Subject: RE: indication on WE risk reversals [C] Classification: Confidential Rich, Please see below refreshed indications — these levels are not tradable. As previously mentioned, 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 1mm barrels of WTI). Notional: 1mm barrels of WTI WTI futures references: CLUE ref 50.90, option exp 17Aug16 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0084047 CONFIDENTIAL SDNY_GM_00230231 EFTA01384061