From: Daniel Sabba

From: Daniel Sabba To: [email protected] <[email protected]> Subject: Re: FW: Twitter follow-up - TRS + short calls [CJ Date: Sun, 18 Jan 2015 15:58:34 +0000 Classification: Confidential Jeffrey, I hope all is well. Please let me know when and number to call you. Daniel From: jeffrey E. [mailto:[email protected]] Sent: Friday, January 16, 2015 05:44 PM To: Daniel Sabba Subject: Re: FW: Twitter follow-up - TRS + short calls [C] sunday ok On Fri, Jan 16, 2015 at 5:50 PM, Daniel Sabba > wrote: Classification: Confidential just tried to call but got voice mail. Shabbat is starting here in NY in a couple of minutes, could we follow-up during the weekend? 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. Total Return Swap: Swap Seller: DB Swap Buyer: Southern Financial LLC Ticker: TWTR Size: 1mm shares Tenor: 1yr / 2yr (same price) EFTA00638407 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 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 1y 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 1y 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 EFTA00638408 Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to jeevacationqigmail.com and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00638409