EFTA Document EFTA01422016

Subject: Re: indication on WTI risk reversals [C] From: Richard Kahn < ~> Date: Mon, 06 Jun 2016 17:10:24 -0400 To: Vahe Stepanian Cc: Daniel Sabba Stewart Oldfield tomorrow morning can you price 45 / 55 WTI reversalsi 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 fax cell On May 31, 2016, at 11:01 AM, Vahe Stepanian <~l > 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 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 50.75, option exp 17Aug16 CLZ6 ref 51.65, option exp 16Nov16 EFTA01422016 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: CLUE 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 Call strike: 55 Put strike: 49.85 Thank you, EFTA01422017 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 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. EFTA01422018 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 EFTA01422019 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 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. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01422020 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. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01422021