EFTA Document EFTA01471966

Subject: Re: Twitter follow-up - TRS + short calls [C] From: Paul Morris a> Date: Tue, 20 Jan 2015 18:19:33 -0500 To: Daniel Sabba Classification: Confidential Ok Yes me and chip Let's go through other names friday From: Daniel Sabba Sent: Tuesday, January 20, 2015 05:16 PM To: Paul Morris Subject: Re: Twitter follow-up - TRS + short calls [C] Classification: Confidential We spoke when he landed in florida. Haven't traded yet. Following up tomorrow. Can chip make on friday? From: Paul Morris Sent: Tuesday, January 20, 2015 06:12 PM To: Daniel Sabba Subject: Re: Twitter follow-up - TRS + short calls [C] Classification: Confidential Did he trade today Seeing him friday From: Daniel Sabba Sent: Tuesday, January 20, 2015 09:44 AM To: Jeffrey Epstein <[email protected]> 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: EFTA01471966 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: 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 EFTA01471967 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 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 EFTA01471968 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 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 EFTA01471969 Deutsche Bank Securities Inc. Tel. Mobile Email EFTA01471970