Dispersion Call Option [C (Vahe Stepanian, 04 Dec 2015)

Subject: Dispersion Call Option [C] From: Vahe Stepanian Date: Fri, 04 Dec 2015 13:09:10 -0500 To: Richard Kahn Cc: Daniel Sabba Ariane Dwyer Paul Morris < Stewart Oldfield 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. Reali