EFTA01426775

Subject: RE: indication on WTI risk reversals [C] From: Vahe Stepanian <E > Date: Tue, 07 Jun 2016 10:57:44 -0400 To: Stewart Oldfield Cc: Daniel Sabba Brianna Fowler Classification: Confidential Haven't gotten it back yet. I'll follow up. From: Stewart Oldfield Sent: Tuesday, June 07, 2016 10:50 AM To: Vahe Stepanian Cc: Daniel Sabba; Brianna Fowler Subject: RE: indication on WTI risk reversals [C] Classification: Confidential Did you send pricing? From: Vahe Stepanian Sent: Tuesday, June 07, 2016 8:38 AM To: Richard Kahn Cc: Daniel Sabba; Stewart Oldfield Subject: RE: indication on WTI risk reversals [C] Classification: Confidential Ok, will be back to you. 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] EFTA01426775 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 Cc: Daniel Sabba; Stewart Oldfield Subject: Re: indication on WTI risk reversals [C] EFTA01426776 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 tel 212-971-1306 fax 646-350-0954 cell 917-414-7584 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, we heard back from our Credit Risk Management team and they would require40% IA for the below transactions in cash or treasures (i.e. approx. $20mm on 1mm barrels of WTI). EFTA01426777 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 EFTA01426778 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 tel 212-971-1306 fax 646-350-0954 cell 917-414-7584 On May 20, 2016, at 11:06 AM, Daniel Sabba c > wrote: EFTA01426779 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 EFTA01426780 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. +1 212 454 0857 Email This communication may contain confidential and/or privileged information. 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