EFTA01414362.pdf

Subject: Re: indication on WTI risk reversals [C] From: Stewart Oldfield Date: Thu, 09 Jun 2016 11:51:19 -0400 To: Andrew King <[email protected]> Classification: Confidential Seems low. Where would be on a static basket of the top few positions? Can we swap to a managed account? With dynamic margin, maybe initial advance is higher. You should see if vahe has any ideas. Stewart Oldfield, CFA, CAIA Director Deutsche Bank Trust Company Americas Deutsche Bank Wealth Management 345 Park Avenue, New York, NY 10154 Email: Securities offered through Deutsche Bank Securities Inc. From: Andrew King Sent: Thursday, June 09, 2016 11:38 AM To: Stewart Oldfield 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 WTI risk reversals [C] Classification: Confidential Please pass along any feedback on the pricing if you have it. EFTA01414362 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 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). EFTA01414363 Notional: 1mm barrels of WTI WTI futures references: CLU6 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 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 EFTA01414364 option exp 15Feb17 Future reference: CLH7 Call strike: 55 Put strike: 45 CLH7 55/45 fence 1.58/1.94 Thank you, Vahe 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 e > 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] EFTA01414365 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] 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 EFTA01414366 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). Notional: 1mm barrels of WTI WTI futures references: CLUE 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. EFTA01414367 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, 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 EFTA01414368 can you please refresh attached quote thank you Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York, NY 10022 On May 20, 2016, at 11:06 AM, Daniel Sabba •c > 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: CLUE ref 49.55, option exp 17Aug16 CLZ6 ref 50.00, option exp 16Nov16 CLH7 ref 50.20, option exp 15Feb17 EFTA01414369 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: 45 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 EFTA01414370 Call strike: 55 Put strike: 46.50 Call strike: 50 Put strike: 51 Daniel Sabba Deutsche Bank Securities Inc. 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. 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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. EFTA01414372