EFTA01375545.pdf

On May 31, 2016, at 11:01 AM, Vahe Stepanian 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: CLU6 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. option exp 17Aug16 Future reference: CLU6 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 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 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0071056 CONFIDENTIAL SDNY_GM_00217240 EFTA01375545