From: Richard Kahn <I To: "Jeffrey E." <I Subject: Fwd: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] Date: Thu, 09 Apr 2015 13:16:37 +0000 Attachments: Short_WTI_Vol_II_Guide_Final_22Aug.pdf Inline-Images: image005.png; image001.png; image002.gif attached is explanation per Daniel on WTI straddle trade unwind it appears from explanation attached and conversation that Bid to Mid portion (109,432.92) was not a payment to DB as a commission but rather transaction cost to unwind hedge i gave both Daniel and Vahe a hard time about another bad trade on their behalf total final payment 152,705.94 please advise if ok to pay from SFL thank you Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York NY 10022 tel fax cell Begin forwarded message: From: Daniel Sabba < To: Vahe Stepanian <I Cc: Jeanne Brennan < Indyke <->, Paul Morris < Subject: RE: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] Date: April 7, 2015 at 5:37:51 PM EDT >, Richard Kahn < Ariane Dw er , Darren 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 • 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% EFTA00696289

cr7 is the after cost implied volatility of the relevant option and it is obtained from the implied volatility of the relevant exchange traded option as of = Ma,(4% a cr, .0.75%) Where, a r m the volatility of the call option which has strike K,.arKI is calculated using standard Black's model. Notional $ 10,000,000 Strike 255.8709 Index Closing Level (unwind date; 4/2/15) 242.8579 Index Closing Level (reset date; 3/31/15) 243.5748 Discount Factor 0.9994011 Bid/offer Cost $ 124,704.68 Final Payment $ 152,705.94 DBCMWSV2 4/6 717 . 049 Op 242. 3 0493 242.0493 Lo 242.0493 Prey 242.8579 Vol 0 DECIAWSV2 Index rt to Exce age1/8 Historical Price 1abTe db Ccctocity WTI Slott Volatility II Index High 298.3815 on 07/08/14 Range 04/08/2014 n 04/06/2015 ID Perto:. Daily CI Low 226.1317 on 02/05/15 Line 0 Currency Average 274.2436 274.2436 Market Last Price Mid USD View Price Table rt Net Chg -40.3578 -14.29% -Tr —Date Last Price Mid Line r- Date Las ncerndLinernrnrrirMfliTEST F 04/10/15 F 03/20/15 249.4478 249.4478 F 02/27/15 236.4424 236.4424 T 04/09/15 T 03/19/15 247.1353 247.1353 T 02/26/15, 237.3560 237.3560 W 04/08/15 kv 03/18/15 246.3388 246.3388 id 02/25/15 238.99631 238.9963 T 04/07/15 T 03/17/15 244.5317 244,5317 T 02/24/151 238.6746 238.6746 M 04/06/15 242.0493 242.0493 M 03/16/15 244.5564 244.5564 M 02/23/15 236.8645 236.8645 F 04/03/15 F 03/13/15 244.0326 244.0326 F 02/20/15 239.5116 239.5116 T 04/02/15 242.8579 242.8579 T 03/12/15 248.1542 248.1542 T 02/19/15 237.9376 237.9376 w 04/01/15 242.6625 242.6625 W 03/11/15 247.2000 247.2000 td 02/18/15 239.0979 239.0979 TI 03/31/15 243.5748 243.5748 T 03/10/15 244.3136 244.3136 T 02/17/15 MI 03/30/15 243.6486 243.6486M 03/09/15 248.1189 248.1189M 02/16/15 F 03/27/15 243.9423 243,9423F 03/06/15 246.5216 246.5216 F 02/13/15 232.6301 232.6301 T 03/26/15 246.3612 246.3612 T 03/05/15 247.1434 247.1434 T 02/12/15 230.6760 230.6760 w 03/25/15 251.4470 251.4470W 03/04/15 244.1153 244.1153'!i 02/11/15 232.1317 232.1317 TI 03/24/15 253.5129 253.5129 T 03/03/15 241.4693 241.4693 T 02/10/15 232.9251 232.9251 M 03/23/15 251.7034 251.7034m 03/02/is 239.6651 239.6651 rl 02/09/15 235.6331 235.6331 Australia 61 2 9777 8600 Brazil 5511 2395 9000 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 Km0 Japan 81 3 3201 8900 Singapore 65 6212 1000 U.S. 1 212 318 2000 Copyright 2015 Bloomberg Finance SN 834224 EDT GMT-4.00 H703-5975-3 07-Apr-2015 09.43:11 • • • Bid to mid: 1.88458,209= $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, EFTA00696290