EFTA Document EFTA01472349

Subject: Re: Follow-up stock screen for Twitter-style trade [C] From: Paul Morris ‹ > Date: Fri, 13 Feb 2015 17:48:18 -0500 To: Daniel Sabba Vahe Stepanian Classification: Confidential Any follow-up. On this? From: Daniel Sabba Sent: Tuesday, February 10, 2015 04:32 PM To: jeffrey E. <jeevacation@gmail.com> Cc: Vahe Ste anian; Ja Lipman; Paul Morris; Richard Kahn Subject: Follow-up stock screen for Twitter-style trade [C] Classification: Confidential Jeffrey, Jay and Vahe from my team put this together to follow-up on lower priced equities for which we can implement the TWTR equity structure in either a listed or OTC structure. To start, we screened the S&P 500 with the following criteria: Share Price ($10-$20 range) Market Cap (>$10bn) Covered by DB Research The following 5 names fit the criteria: {cid:image007.png@OlD04554.C14EA2F0} (Note: Pricing as of close 02/09/2015) As demonstrated below, all 5 names remained in a narrow band for the earlier EFTA01472349 part of 2014. In the latter months of the year, FCX, BAC and FITB saw a significant increase in implied volatility, most notably Freeport-McMoRan (FCX). fcid:image002.png@OlD04591.3FE28A501 As a result of these fluctuations, listed premiums are now as follows: fcid:image014.png@OlD04554.C14EA2FOlv fcid:image004.png@OlD04591.3FE28A501 (Note: Pricing as of close 02/09/2015) (*Premium (%) = Bid/Price (Sh.)) Regards, Daniel EFTA01472350