EFTA Document EFTA01456758

From: Paul Morris I Sent: 2/13/2015 5:48:18 PM To: Daniel Sabba I I; Vahe Stepanian Subject: Re: Follow-up stock screen for Twitter-style trade IC] Classification: Confidential Any follow-up. On this? From: Daniel Sabba Sent: Tuesday, February 10, 2015 04:32 PM To: jeffrey E. <[email protected]> Cc: Vahe Stepanian; Jay 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: 'I. ill i , iiiii I qii pipets oisTer Ford F $ 15.92 $ 59.00 3.77% Hoid $ 16.00 Bank of Ame rica BAC $ 16 35 5 168.00 1 25% Buy $ 18.50 Fre eport- McMo Ran FCX $ 19.51 $ 20.00 6 41% Buy $ 36.00 Fifth Th ird Bancorp Frr6 $ 18.79 $ 15.00 2.77% Hoid $ 20.00 Boston 5c ie nt 4 i c Corp BSX $ 1445 S 19.00 - Hoid $ 16.00 (Note: Pricing as of close 02/09/2015) As demonstrated below, all 5 names remained in a narrow band for the earlier 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). CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0116045 CONFIDENTIAL SDNY_GM_00262229 EFTA01456758