Subject: RE: indication on WTI risk reversals [C] From: Vahe Stepanian <E > Date: Tue, 31 May 2016 11:01:09 -0400 To: Richard Kahn Cc: Daniel Sabba Stewart Oldfield 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 require 40% 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 EFTA01424086