EFTA01357556.pdf

From: Paul Morris Sent: 1/13/2015 4:54:27 PM To: Stewart Oldfield Subject: Fw: Trade Recap - 01/13/2015 - 06 Commodity WTI Short Volatility II Index IC] Classification: Confidential original Message From: Daniel sabba sent: 01/13/2015 03:12 Pm EST To: 'eevacatio nail.com Cc: Paul Morris; Vahe Stepanian Subject: Trade Recap - 01/13/2015 - DB Commodity WTI Short Volatility II Index [C] Classification: Confidential Jeffrey, per our phone conversation, Southern Financial LLC entered into the following commodity swap with Deutsche Bank AG, acting through its London branch. Southern Financial went long DB Commodity WTI Short Volatility II Index. Initial strike to be set at close today. The Initial Margin on this trade is 5% of Notional. Official termsheet and confirm to follow. Trade recap: OTC index swap Buyer: SOFL Seller: DBAG London Underlying: DB Commodity WTI Short Volatility II Index Bloomberg Ticker: DBCMWSV2 Index Trade Date: 13 Jan 2015 Effective Date: 13 Jan 2015 Expiry Date: 13 Jan 2016 Resets at end of each calendar quarter. For clarity reset dates are: 31-Mar-15, 30-Jun-15, 30-sep-15, 31-Dec-15, 13-Jan-16 settlements: T+2 Notional: IA: 5500,000 paid by SOFL on 14-Jan-2015. up to 1.5% fees charged on exit under normal circumstances, irrespective of whether the exit is on scheduled Expiry Date or earlier strike: underlying closing level on Effective Date Cash flows: on each reset date: Buyer receives: Notional / strike * (Index closing level on reset date - Index closing level on previous reset date) For the first reset date, Index closing level on previous reset date = Strike Thank you for the trade, Daniel Daniel sabba Key Client Partners Deutsche Bank Securities Inc. fl CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0044176 CONFIDENTIAL SDNY_GM_00190360 EFTA01357556