EFTA Document EFTA01405683

Subject: Re: Twitter follow-up - TRS + short calls [C] From: Paul Morris ‹ > Date: Tue, 20 Jan 2015 14:43:36 -0500 To: Stewart Oldfield ‹ > Classification: Confidential I'll tell him again From: Stewart Oldfield Sent: Tuesday, January 20, 2015 01:10 PM To: Paul Morris Subject: Re: Twitter follow-up - TRS + short calls [C] 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. EFTA01405683 European Call options on TWTR: Option Seller: Southern Financial LLC Option Buyer: DB Notional: 250,000 OTC Call 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] EFTA01405684 Classification: Confidential Jeffrey, We could do this for 1mm shares of Twitter, indicatively. Twitter (TWTR) spot ref $37.31. 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% EFTA01405685 Vol: Delta: 48.60% 60% Expiry: 17-Jan-17 Strike: 100% of spot 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. +1 212 454 0857 Mobile +1 917 374 4185 Email EFTA01405686 EFTA01405687