EFTA00287193Set 9
2011-01-192p382w
walkthrough.
• Conducted interviews and met with representatives of the facility.
• Identified energy efficiency measures (EEM's) recently enacted by the facility.
• Identified additional EEM's that will conserve energy.
• Identified ... potential EEM's that cannot be financial justified.
Executive Summary:
SourceOne recommends the implementation of the following EEM' s:
1. SI-EEM-1: Motor upgrades
Annual Energy Savings ... kWhrs ($4,626)
Payback: 1.18 years
2. S1-EEM-2: Backroom lighting upgrades
Annual Energy Savings: 13,419 kWhrs ($2,544)
Payback: 3.34 years
3. S1-EEM-3: VFDs
https://www.justice.gov/epstein/files/DataSet%209/EFTA00287193.pdf
EFTA01472059Set 10
2015-01-306p752w
Subject: RE: Trade Recap - 01.30.2015 - Call options on dispersion - SPX,
EEM, SXSE, HSCEI, NKY [C]
From: Vahe Stepanian ‹ >
Date: Fri, 30 Jan 2015 18:13:55 -0500
To: jeffrey ... Kahn; Paul Morris; Vahe Stepanian
Subject: Trade Recap - 01.30.2015 - Call options on dispersion - SPX, EEM,
SX5E, HSCEI, NKY [C]
Classification: Confidential
Jeffrey,
Southern Financial LLC entered into the following transaction ... Option Buyer Southern Financial LLC
Notional Amount USD 4,166,000.00
Dispersion Basket SPX, EEM, SXSE, HSCEI, NKY
Strike Date 30 Jan 2015
Expiry 18 Dec 2015
Settlement Price Option
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01472059.pdf
EFTA00631131Set 9
2015-01-304p761w
Paul Morris < >, Daniel
Sabba
Subject: RE: Trade Recap - 01.30.2015 - Call options on dispersion - SPX, EEM, SXSE, HSCEI,
NKY [C]
Date: Fri, 30 Jan 2015 23:13:55 +0000
Attachments: Global ... Kahn; Paul Morris; Vahe Stepanian
Subject: Trade Recap - 01.30.2015 - Call options on dispersion - SPX, EEM, SXSE, HSCEI, NKY [C]
Classification: Confidential
Jeffrey,
Southern Financial LLC entered into the following transaction ... Option Buyer Southern Financial LLC
Notional Amount USD 4,166,000.00
Dispersion Basket SPX, EEM, SXSE, HSCEI, NKY
Strike Date 30 Jan 2015
Expiry 18 Dec 2015
Settlement Price Option
https://www.justice.gov/epstein/files/DataSet%209/EFTA00631131.pdf
EFTA02350300Set 11
2017-02-027p1,526w
terms and +81% in
premium terms.
Date
Trade
P/L (Notional)
P/L (Premium)
2/2/2017
Buy EEM June 39 calls for $1.03
- flat
—flat
2/2/2017
Buy FXI June 38 calls ... from 2014 to
the end-16 peak. (Hauner)
EEM has rallied 10% since Dec 22nd, yet evidence continues to point to light positioning.
--EEM Shares Outstanding have roughly flat-lined ... highs while HSCEI was trading around current levels (GEVI)
Interestingly, as EEM has rallied, fixed strike downside vol has been stable, while upside vol has come in substantially
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02350300.pdf
EFTA01055161Set 9
2017-02-022p1,089w
from 2014 to the
end-16 peak. (Hauner)
EEM has rallied 10% since Dec 22nd yet evidence continues to point to light positioning.
—EEM Shares Outstanding have roughly flat-lined ... highs while HSCEI was trading around current levels (GEVI)
Interestingly, as EEM has rallied fixed strike downside vol has been stable, while upside vol has come in
substantially ... strike down 110 bps
—Jun'17 41 strike down 200 bps
Technically, EEM faces strong resistance at 37.95/38.00. HSCEI and FXI face analogous resistance
https://www.justice.gov/epstein/files/DataSet%209/EFTA01055161.pdf
EFTA01055163Set 9
2017-02-024p1,226w
from
2014 to the end-16 peak. (Hauner)
EEM has rallied 10% since Dec 22nd yet evidence continues to point to light positioning.
--EEM Shares Outstanding have roughly flat-lined ... highs while HSCEI was trading around current levels (GEVI)
Interestingly, as EEM has rallied fixed strike downside vol has been stable, while upside vol has come in
substantially ... strike down 110 bps
--Jun'17 41 strike down 200 bps
Technically, EEM faces strong resistance at 37.95/38.00. HSCEI and FXI face analogous resistance
https://www.justice.gov/epstein/files/DataSet%209/EFTA01055163.pdf
EFTA01139516Set 9
2015-01-292p363w
have plotted the historical 1y average realized dispersion between S&P500, EuroStoxx50, Nikkei, EEM and
HSCEI to illustrate.
Historical Average Realized Dispersion ... Strike Price of Dec15 Calls on Dispersion
—ly Average Realized Dispersion (SX5E,HSCEI, NKY, EEM, SPX)
Indicative Transaction Terms:
Client buys: European Call on Dispersion, quanta USD
Dispersion Basket ... EEM, SXSE, HSCEI, NKY
Expiry: 18 Dec 2015
Strike: ATMF (11.2%)
Offer: 2.4%
where
Final Payout = Notional * max(Average Realized Dispersion — Strike,0)
Average Realized Dispersion = Average(absolute value
https://www.justice.gov/epstein/files/DataSet%209/EFTA01139516.pdf
EFTA01432580Set 10
2015-01-304p476w
initial strikes for the
structure at market on close today for all markets (SPX, EEM, SXSE, HSCEI,
NKY), even though Asia has already closed. Attached is a draft term sheet ... have
plotted the historical ly average realized dispersion between S&P500,
EuroStoxx50, Nikkei, EEM and HSCEI to illustrate.
{cid:image001.jpg@OlD03BE6.7A4FEE80}
Indicative Transaction Terms:
Client buys: European Call on Dispersion ... quanto USD
Dispersion Basket: SPX, EEM, SX5E, HSCEI, NKY
EFTA01432581
Expiry: 18 Dec 2015
Strike: ATMF (11.2%)
Offer: 2.4%
where
Final Payout = Notional * max(Average Realized Dispersion — Strike,0)
Average
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01432580.pdf
EFTA01361917Set 10
2015-01-291p296w
have plotted the historical ly average realized dispersion between S&P500,
EuroStoxx50, Nikkei, EEM and HSCEI to illustrate.
Historical Average Realized Dispersion ... Price of Dec15 Calls on Dispersion
ly Average Realized Dispersion (SXSE. FIS(El. NKY, EEM. SPxi
Indicative Transaction Terms:
Client buys: European Call on Dispersion, quanto USD
Dispersion Basket ... EEM, SXSE, HSCEI, NKY
Expiry: 18 Dec 2015
Strike: ATMF (11.2%)
Offer: 2.4%
where
Final Payout = Notional' max(Average Realized Dispersion — Strike,0)
Average Realized Dispersion = Average(absolute value
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01361917.pdf
EFTA01357454Set 10
2015-01-291p247w
have plotted the historical ly average realized dispersion between S&P500,
EuroStoxx50, Nikkei, EEM and HSCEI to illustrate.
Historical Average Realized Dispersion ... Strike Prk e of EleciS Calls onDispersion
—1v Average Realized Dispersion (SX5E. HSCEI, NKY„ EEM, SPX)
Indicative Transaction Terms:
Client buys: European Call on Dispersion, quanto USD
Dispersion Basket ... EEM, SXSE, HSCEI, NKY
Expiry: 18 Dec 2015
Strike: ATMF (11.2%)
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0044033
CONFIDENTIAL SDNY_GM_00190217
EFTA01357454
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01357454.pdf
have plotted the historical ly average realized dispersion between S&P500,
EuroStoxx50, Nikkei, EEM and HSCEI to illustrate.
Historical Average Realized Dispersion ... Strike Price of Dec15 Calls on Dispersion
— 1y Average Realized Dispersion (SXSE. NSW. NEV. EEM. SPX)
Indicative Transaction Terms:
Client buys: European Call on Dispersion, quanto USD
Dispersion Basket ... EEM, SXSE, HSCEI, NKY
Expiry: 18 Dec 2015
Strike: ATMF (11.2%)
Offer: 2.4%
where
Final Payout = Notional • max(Average Realized Dispersion — Strike,0)
Average Realized Dispersion = Average(absolute value
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01460936.pdf
EFTA01140073Set 9
2015-01-293p455w
options. I have plotted the historical ly average realized dispersion between 584P500, EuroStoxx50, Nikkei, EEM and
HSCEI to illustrate.
EFTA01140073
Historical Average Realized Dispersion ... Strike Price of Dec15 Calls on Dispersion
-ly Average Realized Dispersion (SX5E, HSCEI, NKY, EEM, SPX)
Indicative Transaction Terms:
Client buys: European Call on Dispersion, quanto USD
Dispersion Basket ... EEM, SXSE, HSCEI, NKY
Expiry: 18 Dec 2015
Strike: ATMF (11.2%)
Offer: 2.4%
where
Final Payout = Notional * max(Average Realized Dispersion — Strike,0)
Average Realized Dispersion = Average(absolute value
https://www.justice.gov/epstein/files/DataSet%209/EFTA01140073.pdf
EFTA01421812Set 10
2015-01-304p533w
initial strikes for the
structure at market on close today for all markets (SPX, EEM, SXSE, HSCEI,
NKY), even though Asia has already closed. Attached is a draft term sheet ... have
plotted the historical ly average realized dispersion between S&P500,
EuroStoxx50, Nikkei, EEM and HSCEI to illustrate.
{cid:image001.jpg@OlD03BE6.7A4FEE80}
Indicative Transaction Terms:
Client buys: European Call on Dispersion ... quanto USD
Dispersion Basket: SPX, EEM, SX5E, HSCEI, NKY
Expiry: 18 Dec 2015
Strike: ATMF (11.2%)
Offer: 2.4%
where
Final Payout = Notional * max(Average Realized Dispersion — Strike,0)
Average Realized
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01421812.pdf
EFTA01375534Set 10
2015-01-291p285w
have plotted the historical ly average realized dispersion between S&P500,
EuroStoxx50, Nikkei, EEM and HSCEI to illustrate.
Historical Average Realized Dispersion ... Price of Dec15 Calls on Dispersion
. ..11; Average Realized Dispersion (SKS'. EIS(EI, NKY. EEM. SPX)
Indicative Transaction Terms:
Client buys: European Call on Dispersion, quanto USD
Dispersion Basket ... EEM, SXSE, HSCEI, NKY
Expiry: 18 Dec 2015
Strike: ADM (11.2%)
Offer: 2.4%
where
Final Payout = Notional • max(Average Realized Dispersion — Strike,0)
Average Realized Dispersion = Average(absolute value
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01375534.pdf
EFTA00811666Set 9
2018-01-319p3,168w
Bought 1,000 EWY 79 Calls @ 1.0213 (102,130)
IB - Bought 2,400 EEM 55 Calls @ 0.44 (105,606)
Enhanced - Joscha Boch (125,000)
IB - Bought 675 SPY 295 Calls ... Puts - exp March 16 2018 1/19/18 (250) (45,543) - (49.750) 4207
Long EEM 55 Calls @ 0.44 1/17/18 2,400 105,606 0 220800 115194
Long XU 80 Calls
https://www.justice.gov/epstein/files/DataSet%209/EFTA00811666.pdf