EFTA01421828

Subject: RE: indication on WTI From: Andrew King Date: Thu, 09 Jun 2016 To: Stewart Oldfield Vahe Stepanian Richard Kahn Cc: Daniel Sabba Joseph Dursi <[email protected]> Rich, risk reversals 14:14:06 -0400 First, as a quick introduction, I'm an investment specialist on Stew Oldfield's team. I look forward to working with you. I've attached a factsheet for Spectrum, the SMA manager of preferred equities Stew referenced. We took a look at the loan-to-value available on a portfolio of preferreds (including the SMA portfolio) and unfortunately, due to Reg-T, we'd be limited to a 50% LTV (2x leverage) using a traditional margin facility. We're exploring solutions using a total return swap to provide potentially greater leverage and will be back to you as soon as possible with some ideas. Please let us know if you have any questions. My contact info. is listed below. Best regards, Andrew King fcid:[email protected] Andrew King, CFA Vice President I Investment Solutions Group Deutsche Bank Securities Inc. Deutsche Asset & Wealth Management 345 Park Avenue, New York, NY 10154 EFTA01421828 Tel. Fax Mobile Email fcid:[email protected] 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 WTI 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. EFTA01421829 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 WTI 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 CLZ6 ref 51.75, option exp 16Nov16 CLH7 ref 52.15, option exp 15Feb17 Risk reversals on WTI - Indications Southern financial buys calls and sells puts. Indications below are bid/ask per barrel on structure. These are listed look-alike structures to be executed through Southern EFTA01421830 Financial's ISDA. option exp 17Aug16 Future reference: CLU6 Call strike: 55 Put strike: 45 CLU6 55/45 fence 0.24/0.54 option exp 16Nov16 Future reference: CLZ6 Call strike: 55 Put strike: 45 CLZ6 55/45 fence 1.00/1.36 option exp 15Feb17 Future reference: CLH7 Call strike: 55 Put strike: 45 CLH7 55/45 fence 1.58/1.94 Thank you, Vahe EFTA01421831 From: Richard Kahn [mailto: Sent: Tuesday, June 07, 2016 8:32 AM To: Vahe Stepanian Cc: Daniel Sabba; Stewart Oldfield Subject: Re: indication on WTI risk reversals [C] Yes Thank you From: Vahe Stepanian Date: Tuesday, June 7, 2016 at 8:28 AM To: Richard Kahn Cc: Daniel Sabba , Stewart Oldfield Subject: RE: indication on WTI risk reversals [C] Classification: Confidential Hi Rich — following up on the below. To make sure we're on the same page, please confirm he would like to see pricing on WTI risk reversals with a 55 strike call and 45 strike put out to expiries listed below? Thank you, Vahe From: Richard Kahn [mailto: Sent: Monday, June 06, 2016 5:10 PM To: Vahe Stepanian EFTA01421832 Cc: Daniel Sabba; Stewart Oldfield Subject: Re: indication on WTI risk reversals [C] tomorrow morning can you price 45 / 55 WTI reversals i understand it may not be cashless however Jeffrey would like to see that level of pricing thank you Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York, NY 10022 On May 31, 2016, at 11:01 AM, Vahe Stepanian e > wrote: 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, EFTA01421833 we heard back from our Credit Risk Management team and they would require4096 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: 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 EFTA01421834 option exp 15Feb17 Future reference: CLH7 Call strike: 55 Put strike: 49.85 Thank you, Vahe From: Richard Kahn [mailto: 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 EFTA01421835 On May 20, 2016, at 11:06 AM, Daniel Sabba ca:- 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 EFTA01421836 Call strike: 50 Put strike: 49.75 option exp 16Nov16 Future reference: CLZ6 Call strike: 55 Put strike: 45.90 Call strike: 50 Put strike: 50.4 option exp 15Feb17 Future reference: CLH7 Call strike: 55 Put strike: 46.50 Call strike: 50 Put strike: 51 Daniel Sabba Deutsche Bank Securities Inc. Tel. Email EFTA01421837 This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. 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