EFTA Document EFTA01420695

Subject: FW: Twitter follow-up - TRS + short calls [C] From: Paul Morris ‹ > Date: Thu, 22 Jan 2015 17:26:27 -0500 To: Stewart Oldfield ‹ > Classification: Confidential Paul Morris Managing Director Deutsche Bank Private Bank Office: Cell: From: Daniel Sabba Sent: Thursday, January 22, 2015 5:21 PM To: Jeffrey Epstein Cc: Vahe Stepanian; Richard Kahn; Paul Morris; Subject: RE: Twitter follow-up - TRS + short calls [C] Classification: Confidential Jeffrey, I wanted to share with you a draft confirmation on the TRS (attached). It addresses the dividend/reset/optional early termination points we discussed and clarifies any other potential issues. Additionally, we priced long TRSs for GE and ConEd (without the sale of a call option). We could provide the same financing terms on a $20mm notional equivalent (1mL+75bps, with $0.03 commissions in and out). The IA for these names would be 20%. As discussed, you could use equities at a 50% haircut as EFTA01420695 this IA. GE and ED have had high dividend history (GE has a 12m yield of 3.67% and ED, 3.60%). Looking forward to discussing further. Best regards, Daniel From: Daniel Sabba Sent: Wednesday, January 21, 2015 3:22 PM To: Jeffrey Epstein Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: RE: Twitter follow-up - TRS + short calls [C] Classification: Confidential Jeffrey, Per our chat yesterday, we wanted to follow-up on margin account rates for Southern Financial. They are 3mL+100bps on the borrowed amount. We did a comparative analysis between doing the trade using TRS construct or margin account financing and would like to connect to discuss it with you. Regards, Daniel EFTA01420696 From: Daniel Sabba Sent: Tuesday, January 20, 2015 10:44 AM To: Jeffrey Epstein 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 Expiry: 20-Jan-16 Strike: 100% of spot Bid: 19.30% (Mid 19.50%) Vol: 48.46% Delta: 60% Expiry: Strike: 20-Jan-16 $40 EFTA01420697 Bid: Vol: $5.67 (Mid $5.74) 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. 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 EFTA01420698 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 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 EFTA01420699 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. Mobil Email EFTA01420700