EFTA Document EFTA01405097

Subject: Re: Twitter follow-up - TRS + short calls [C] From: Stewart Oldfield ‹ > Date: Tue, 20 Jan 2015 14:10:48 -0500 To: Paul Morris ‹ > Classification: Confidential Thanks. Would be easier if he would just copy me From: Paul Morris Sent: Tuesday, January 20, 2015 12:18 PM To: Stewart Oldfield Subject: Fw: Twitter follow-up - TRS + short calls [C] Classification: Confidential From: Daniel Sabba Sent: Tuesday, January 20, 2015 09:44 AM To: Jeffrey Epstein <jeevacation@gmail.com> Cc: Vahe Stepanian; Richard Kahn < >; Paul Morris Subject: RE: Twitter follow-up - TRS + short calls [C] Classification: Confidential Jeffrey, Wanted to follow-up with refreshed pricings for ly options. TWTR Spot Ref: 36.56. TRS: Previous levels still apply. European Call options on TWTR: Option Seller: Southern Financial LLC Option Buyer: DB Notional: 250,000 OTC Call EFTA01405097 Expiry: 20-Jan-16 Strike: 100% of spot Bid: 19.30% (Mid 19.50%) Vol: 48.46% Delta: 60% Expiry: 20-Jan-16 Strike: $40 Bid: $5.67 (Mid $5.74) Vol: 47.68% Delta: 53% Note: The IA for long TRS and selling a $40 call would be 38% instead of the 30% of the at the money call. Best regards, Daniel From: Daniel Sabba Sent: Friday, January 16, 2015 4:48 PM To: Jeffrey Epstein Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: Twitter follow-up - TRS + short calls [C] Classification: Confidential Jeffrey, We could do this for 1mm shares of Twitter, indicatively. Twitter (TWTR) spot ref $37.31. EFTA01405098 Total Return Swap: Swap Seller: DB Swap Buyer: Southern Financial LLC Ticker: TWTR Size: 1mm shares Tenor: lyr / 2yr (same price) Spread: 1mL+ 75bps (this spread is slightly worse than last time given DB expects to internalize less of the risk, so there would be more balance sheet consumption) Resets: Monthly Optional Early Termination: Applicable, 3 days (two-way) European Call options on TWTR: Option Seller: Southern Financial LLC Option Buyer: DB Notional: 1,000,000 OTC Call Expiry: 19-Jan-16 Strike: 100% of spot Bid: 19.35% Vol: 48.60% Delta: 60% Expiry: 17-Jan-17 Strike: 100% of spot EFTA01405099 Bid: 25.65% Vol: 45.36% Delta: 64% Credit terms - IA: If you did both the TRS + short call as a package, IM would be 30% for either ly or 2y expiries. Ignoring the difference of settlement dates for IA and premium, the premium received could make up for the IA paid. Settlement of IA is on trade date while settlement of premium is T+3. If you did the TRS by itself without selling calls, IA would be 40% for ly and 50% for 2y. Looking forward to discussing this in further details. When can we chat? Shabbat is starting here so I will be out of pocket until sunset tomorrow night. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email EFTA01405100