EFTA01203659.pdf

From: Richard Kahn • To: "Jeffrey E." <[email protected]> Subject: Fwd: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] Date: Tue, 07 Apr 2015 21:45:56 +0000 Attachments: Short_WTI_Vol_II_Guide_Final_22Aug.pdf Inline-Images: image005.png; image001.png; image002.gif attached is explanation per Daniel on WTI straddle trade unwind it appears from explanation attached and conversation that Bid to Mid portion (109,432.92) was not a payment to DB as a commission but rather transaction cost to unwind hedge i gave both Daniel and Vahe a hard time about another bad trade on their behalf total final payment 152,705.94 please advise if ok to pay from SFL tomorrow thank you Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York, NY 10022 tel 212-971-1306 fax 646-350-0954 cel Begin forwarded message: From: Daniel Sabba > 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] Date: April 7, 2015 at 5:37:51 PM EDT 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): —47% • Bid to mid: formulaically (per page 4 of attached index guide - excerpt below): 4% * vol = 4% * 47% = 1.88% EFTA01203659 cr7 is the after cost implied volatility of the relevant option and it is obtained from the implied volatility of the relevant exchange traded option as of = Ma,(4% * cr, .0.75%) Where, a r m the volatility of the call option which has strike K,.arKI is calculated using standard Black's model. Notional $ 10,000,000 Strike 255.8709 Index Closing Level (unwind date; 4/2/15) 242.8579 Index Closing Level (reset date; 3/31/15) 243.5748 Discount Factor 0.9994011 Bid/offer Cost $ 124,704.68 Final Payment $ 152,705.94 DBCMWSV2 717 . 049 3 4/6 Op 242 . 0493 242.0493 Lo 242.0493 Prey 242.8579 Vol 0 DBaIWSV2 Index rt to Exce age 1/6 HistoricalPrice1abTe db Ccctocity WTI Slott Volatility II Index High 298.3815 on 07/08/14 Range 04/08/2014 n 04/06/2015 O Perto:. Daily CI Low 226.1317 0n 02/05/15 Market Last Price Mid Line 0 Currency USD Aver age 274.2436 274.2436 view Price Table rt Net Chg -40.3578 -14.29% -F Date Last Price Mid Line r- Date Las nceMl lidLirlerrnrirMnrrt I —me F 04/10/15 F 03/20/15 249.4478 249.4478 F 02/27/15 236.4424 236.4424 T 04/09/15 T 03/19/15 247.1353 247.1353 T 02/26/15, 237.3560 237.3560 W 04/08/15 v; 03/18/15 246.3388 246.3388 td 02/25/15 238.99631 238.9963 T 04/07/15 T 03/17/15 244.5317 244,5317 T 02/24/151 238.6746 238.6746 M 04/06/15 242.0493 242.0493 M 03/16/15 244.5564 244.5564 M 02/23/15 236.8645 236.8645 F 04/03/15 F 03/13/15 244.0326 244.0326 F 02/20/15 239.5116 239.5116 T 04/02/15 242.8579 242.8579 T 03/12/15 248.1542 248.1542 T 02/19/15 237.9376 237.9376 w 04/01/15 242.6625 242.6625 W 03/11/15 247.2000 247.2000 hf 02/18/15 239.0979 239.0979 TI 03/31/15 243.5748 243.5748 T 03/10/15 244.3136 244.3136 T 02/17/15 MI 03/30/15 243.6486 243.6486 M 03/09/15 248.1189 248.1189 NI 02/16/15 F 03/27/15 243.9423 243,9423F 03/06/15 246.5216 246.5216 F 02/13/15 232.6301 232.6301 T 03/26/15 246.3612 246.3612 T 03/05/15 247.1434 247.1434 T 02/12/15 230.6760 230.6760 w 03/25/15 251.4470 251.4470 W 03/04/15 244.1153 244.1153 rnr 02/11/15 232.1317 232.1317 TI 03/24/15 253.5129 253.5129 T 03/03/15 241.4693 241.4693 T 02/10/15 232.9251 232.9251 M 03/23/15 251.7034 251.7034m 03/02/1s 239.6651 239.6651 ri 02/09/15 235.6331 235.6331 Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 K000 Japan 81 3 3201 8900 Singapore 65 6212 1000 U.S. 1 212 318 2000 Copyright 2015 Bloomberg Finance SN 834224 EDT GMT-4.00 H703-5975-3 07-Apr-2015 09:43:11 • 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, EFTA01203660 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] Classification: Confidential Good Morning Rich — calculation is as follows: Final Payment = Notional / Strike * [ Index closing level on Unwind Date — Index closing level on Last Reset Date ] * Discount Factor — Bid/Offer Cost If this number is negative, then SOFL will pay the absolute value of this number. With that said, the inputs (summarized from e-mails below) are as follows: Bloomberg screenshot* below shows index closing levels and I've re-attached the executed confirm for your convenience. Thank you, Vahe *Used with Permission of Bloomberg Finance LP From: Richard Kahn finailto: Sent: Tuesday, April 07, 2015 9:15 AM To: Vahe Stepanian Cc: Jeanne Brennan; Daniel Sabba; Arlane Dwyer; Darren Indyke Subject: Re: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] can you please send backup for your calculation thank you Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York, NY 10022 tel 212-971-1306 fax 646-350-0954 cel EFTA01203661 On Apr 7, 2015, at 8:58 AM, Vahe Stepanian > wrote: Classification: Confidential Good Morning Rich / Jeanne — Southern Financial needs to make a payment of USD 152,705.94 to DB today to settle the WTI short vol. trade. Please confirm its okay to make the payment and I will call Darren for verbal confirmation. Thank you, Vahe From: Vahe Stepanian Sent: Monday, April 06, 2015 9:49 AM To: Jeffrey Epstein Cc: Daniel Sabba; Richard Kahn; Paul Morris; Ariane Dwyer Subject: RE: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] Classification: Confidential Jeffrey — please find WTI short vol. settlement details: Index strike for 2Apr is 242.8579 Discount factor is 0.9994011 Southern Financial pays USD 152,705.94 to DB Settlement date: 7 Apr 2015 Thank you, Vahe From: Vahe Stepanian Sent: Thursday, April 02, 2015 3:00 PM To: Jeffrey Epstein Cc: Daniel Sabba; 'Richard Kahn'; Paul Morris; Ariane Dwyer Subject: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] Classification: Confidential Jeffrey - today we unwound your DB Commodity WTI Short Volatility II Index position per your instructions. Trade recap: SOFL unwinds the REFERENCE trade noted below at the close today. Unwind Date: 2 Apr 2015 Final payment will be computed as: DB pays: Notional / Strike * Index closing level on Unwind Date — Index closing level on Last Reset Date ] Discount Factor — Bid/Offer Cost If this number is negative, then SOFL will pay the absolute value of this number. Notional: $10,000,000 Strike: 255.8709 Last Reset Date: 31 Mar 2015 Index closing level on Last Reset Date: 243.5748 Discount Factor: Discount factor between Unwind Date and next scheduled reset date (6/30/15), per LIBOR flat curve Bid/Offer Cost: Latest Reset Notional * 1.31% ($124,704.68) Index level is known only late in the evening. Tomorrow is a commodities holiday, so payment will be computed on Mon morning. EFTA01203662 Settlement Date: 7-Apr-15 I've attached the original trade confirm for your reference. Thank you, Vahe From: Daniel Sabba Sent: Tuesday, January 13, 2015 3:13 PM To: jeevacationegmail.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: DRAG London Underlying: DB Commodity WTI Short Volatility II Index Bloomberg Ticker: DBCMNSV2 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: $10,000,000 IA: $500,000 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. Tel. +1 212 454 0857 Mobile 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. EFTA01203663 Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. <Executed Crude Confirm I.26.15.pdf> 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. EFTA01203664