EFTA01457142

From: Ariane Dwyer Sent: 4/8/2015 2:53:29 PM To: Richard Kahn I CC: Jeanne Brennan I ; Darren Indyke Paul Morris I I; Daniel Sabha I I; Vahe Stepanian I Subject: RE: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index ICI Classification: Confidential Hi Rich, I'm following up on the below. Can you please confirm its okay to make the payment and we will call Darren for verbal confirmation. Best, Ari From: Daniel Sabba Sent: Tuesday, April 07, 2015 5:38 PM To: Vahe Stepanian; Richard Kahn Cc: Jeanne Brennan; Ariane Dwyer; Darren Indyke; Paul Morris Subject: RE: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] Classification: Confidential Richard and Jeanne, Thank you for the call. Per our conversation, the $124,704.68 bid/offer cost referenced in the previous email can be broken down as follows: • Net vega (for the three WTI straddles the index references): $58,209 • Implied volatility (for the three listed WTI straddles the index references): -470% • Bid to mid: formulaically (per page 4 of attached index guide • excerpt below): 4% • vol = 4% • 47% = 1.88% a,Ac is the after cost Implied volatility of the raven! option and it is obtained from the implied volatility of the relevant exchange traded option as =a, — mat 4% cr(-0.75%) Where, Cr is the yolatitty of the call option which has strike K, and is calculated using standard Black's model. • Bid to mid: 1.88458,209= $109,432.92 • Mid to offer: $15,271.76 (per our chat, this is really competitive, as it represents a mid to offer of 0.26%). • Bid to mid + mid to offer = $109,432.92 + $15,271.76 = $124,704.68 Please let me know if you have any questions - happy to have another call to discuss. Regards, Daniel From: Vahe Stepanian Sent: Tuesday, April 07, 2015 9:47 AM To: Richard Kahn Cc: Jeanne Brennan; Daniel Sabba; Ariane Dwyer; Darren Indyke Subject: RE: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 116556 CONFIDENTIAL SDNY_GM_00262740 EFTA01457142