Subject: Re: Dispersion Call Option [C] From: Richard Kahn ‹ > Date: Mon, 07 Dec 2015 08:51:58 -0500 To: Vahe Stepanian Cc: Daniel Sabba Ariane Dwyer Paul Morris < Stewart Oldfield Can you please have traders provide me with a bid I can present to mr Epstein. Thank you. Sent from my iPhone On Dec 4, 2015, at 1:56 PM, Vahe Stepanian Classification: Confidential wrote: One more point worth mentioning — the realized dispersion when we spoke on Wednesday was —9.95%. This decline from 9.95% to 9.41% would also affect the indicative bid of the option. From: Vahe Stepanian Sent: Friday, December 04, 2015 1:09 PM To: Richard Kahn Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield Subject: Dispersion Call Option [C] Classification: Confidential Rich - please note that Southern Financial did not unwind the dispersion option today as we were away from the 2.00% limit per my conversation with you and Darren. The indicative bid is currently 0.90% since there is little time left to expiry and the time decay is significant. Realized dispersion is —9.41% given the following spot references: EFTA01405922