From: Vahe Stepanian To: "jeffrey E." <[email protected]> CC: Richard rK , Paul Morris < Sabba Subject: RE: Trade Recap - 01.30.2015 - Call options on dispersion - SPX, EEM, SXSE, HSCEI, NKY [C] Date: Fri, 30 Jan 2015 23:13:55 +0000 Attachments: Global_Basket_Vanilla_Dispersion_Termsheet_-_SF_-_01_30_2015.pdf Inline-Images: image002.png; image003.png; image004.png; image005.png; image006.jpg >, Daniel Classification: Confidential Jeffrey- please find attached final termsheet for the dispersion trade. Note that the premium settlement date is Feb. 4th, 2015 instead of Feb. 3 as noted below. Have a great weekend. Thank you, Vahe From: Daniel Sabba Sent: Friday, January 30, 2015 11:00 AM To: Jeffrey E. Cc: Richard Kahn; Paul Morris; Vahe Stepanian Subject: Trade Recap - 01.30.2015 - Call options on dispersion - SPX, EEM, SXSE, HSCEI, NKY [C] Classification: Confidential Jeffrey, Southern Financial LLC entered into the following transaction with Deutsche Bank AG, acting through its London branch. Southern Financial purchased calls on dispersion with the following terms. Initial strike to be set at close of each market today. Final termsheet and official confirm to follow. Transaction terms - European Call on Dispersion, quanto USD Option Seller Option Buyer Notional Amount Dispersion Basket Strike Date Expiry Settlement Price Strike Offer Deutsche Bank AG, London Branch Southern Financial LLC USD 4,166,000.00 SPX, EEM, SXSE, HSCEI, NKY 30 Jan 2015 18 Dec 2015 Option payout calculated with Official Close of each Dispersion Basket component at expiry date 11.15% (ATMF) 2.4% Premium Payment Date 3 Feb 2015 Option Payout cid:image002.png©01D03CA9.04BA4440 citimage003.png®01D03CA9.04BA4440 EFTA00631131