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. With that said, the inputs (summarized from e-mails below) are as follows: Bloomberg screenshot* below shows index closing levels and I've re-attached the executed confirm for your convenience. Thank you, Vahe *Used with Permission of Bloomberg Finance LP From: Richard Kahn fmailto: Sent: Tuesday, April 07, 2015 9:15 AM To: Vahe Stepanian Cc: Jeanne Brennan; Daniel Sabba; Arlene 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 HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York NY 10022 tel fax cell EFTA00696291