EFTA00866675.pdf

From: "jeffrey E." <[email protected]> To: Daniel Sabba < Subject: Re: Trade Recap - 01/13/2015 - DB Commodity WTI Short Volatility II Index [C] Date: Wed, 14 Jan 2015 15:09:13 +0000 ok On Wed, Jan 14, 2015 at 11:07 AM, Daniel Sabba < > wrote: Classification: Confidential Jeffrey, The initial index strike was set last night at 255.8709. Please see attached the term sheet for this transaction. Official confirm to follow. Thank you, Daniel From: Daniel Sabba/db/dbcom To: jeevacation am n. Cc: Paul Morris. Date: 01/13/2015 03:12 PM 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: $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: EFTA00866675  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 Deu ee Inc. Tel. Mobil 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. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA00866676