EFTA01472736.pdf

Subject: RE: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] From: Ariane Dwyer < Date: Wed, 08 Apr 2015 14:53:29 -0400 To: Richard Kahn Cc: Jeanne Brennan Darren Indyke Paul Morris < Daniel Sabba Vahe Stepanian Classification: Confidential Hi Rich, I'm following up on the below. Can you please confirm its okay to make the payment and we will call Darren for verbal confirmation. Best, Ari From: Daniel Sabba Sent: Tuesday, April 07, 2015 5:38 PM 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] 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 EFTA01472736  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% fcid:image005.png@OlD07159.8CF886701 Bid to mid: 1.88x$58,209= $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, 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. EFTA01472737 With that said, the inputs (summarized from e-mails below) are as follows: fcid:image001.png@OlD07117.188944601 Bloomberg screenshot* below shows index closing levels and I've re-attached the executed confirm for your convenience. Thank you, Vahe fcid:image002.gif@OlD07117.D5A633501 *Used with Permission of Bloomberg Finance LP From: Richard Kahn [mailto: Sent: Tuesday, April 07, 2015 9:15 AM To: Vahe Stepanian Cc: Jeanne Brennan; Daniel Sabba; Ariane 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 EFTA01472738 HBRK Associates Inc. On Apr 7, 2015, at 8:58 AM, Vahe Stepanian a 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] EFTA01472739 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: EFTA01472740 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. 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: 'eevacation@ mail.com Cc: ; Paul Morris; Vahe Stepanian Subject: Trade Recap - 01/13/2015 - DB Commodity WTI Short Volatility II Index [C] EFTA01472741 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: 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. 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 EFTA01472742 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. <Executed Crude Confirm 1.26.15.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. EFTA01472743