From: Vahe Stepanian Sent: 12/7/2015 8:56:25 AM To: Richard Kahn CC: Daniel Sabba Stewart Oldfield I Subject: RE: Dispersion Call Option ICI Classification: Confidential ; Ariane Dwyer Good morning Rich - yes, I will request from traders and be back to you. Thank you, Vahe From: Richard Kahn [mailto Sent: Monday, December 07, 2015 8:52 AM To: Vahe Stepanian Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield Subject: Re: Dispersion Call Option [C] ; Paul Morris 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 < > wrote: Classification: Confidential I I 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: Underlyings Spots .HSCE 9.88639 N225 19.62816 .SPX 2081 58 STOXXSOE 3,346.93 33 79 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0089773 SDNY_GM_00235957 EFTA01387345