EFTA00847142.pdf

From: Daniel Sabba To: mjeffrey E."' <[email protected]> CC: Paul Morris , Todd Stevens , Stewart Oldfield , Vahe Stepanian , Ariane Dwyer , "'Richard Kahn"' Subject: Proxy hedge for jet fuel using heating oil options [C] Date: Thu, 03 Sep 2015 19:05:36 +0000 Infirm-Images: image004.png; image005.png; image002.jpg Classification: Confidential Jeffrey, We looked into correlation of Jet Fuel with Brent, WTI and heating oil. See the correlation of weekly returns since Jan- 2012 below: With WTI: 80% With Brent: 88% With Heating oil: 82% Jet Fuel, Heating Oil and Brent Time Series w, c,id:[email protected]:3430 Give these results, we priced alternatives in brent and heating oil. Heating oil vols are lower than brent, and therefore the option premiums below (as a percentage of swap price) are lower for the heating oil structures versus the brent structures. The prices below work for 1mm gallons/month of heating oil or 24k barrels/month of brent crude. tI igDA(ISI)Fit (September 2010 — September 2015) EFTA00847142 ,,cid:[email protected] Options on Heating Oil: Ca116 swap ref 165 cents/gallon Cal16 APO (Average Price Option) Calls: Strike / Premium (in cents per gallon) 165: 19.90 175: 15.95 185: 12.70 Premium Payment Date: Trade Date + 2 business days Transaction Economics: Terminal Payout for the K strike APO call above will be: Calculation Periods: 1-Jan-16 to 31-Jan-16; 1-Feb-16 to 29-Feb-16; ; 1-Dec-16 to 31-Dec-16 (12 periods) Payment Dates: 2 business days after last day of each Calculation Period For Calculation Period i, DB pays (in USD): Notional * max ( 0, Average Price of Heating Oil Spot Futures in Calculation Period i — K) Average Price of Heating Oil Spot Futures in Calculation Period i: Arithmetic average of settlement price of HO1 <comdty> on all commodity business days during Calculation Period i. Notional: in gallons / Calculation Period (e.g. 1,000,000 gallons per month) Premium to be paid by option buyer is the total number of gallons (across all months) * premium/gallon quoted above Single Asianed call, with Asianing period 1-Jan-16 to 31-Dec-16: Strike / Premium (in cents per gallon) 165: 18.10 175: 14.15 185: 10.95 Premium Payment Date: Trade Date + 2 business days Transaction Economics: Terminal payout for the K strike Asianed call above will be: Calculation Period: 1-Jan-16 to 31-Dec-16 Payment Date: 2 business days after last day of Calculation Period DB pays (in USD): Notional * max ( 0, Average Price of Heating Oil Spot Futures in Calculation Period — K) Average Price of Heating Oil Spot Futures in Calculation Period: Arithmetic average of settlement price of HO1 <comdty> on all commodity business days during Calculation Period. EFTA00847143 Notional: in gallons (e.g. 12,000,000 gallons) Brent (CO1) Historical Prices (September 2010 — September 2015) ,,:cid:[email protected] Options on Brent: Cal16 swap ref: 55.41 Cal16 APO (Average Price Option) Calls: Strike / Premium 55: $7.83/bbl 60: $5.72/bbl 65: $4.13/bbl Single Asianed call, with Asianing period 1-Jan-16 to 31-Dec-16: Strike / Premium 55: $7.15/bbl 60: $5.03/bbl 65: $3.47/bbl Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. 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 EFTA00847144 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. EFTA00847145