From: Daniel Sabba < To: Jeffrey Epstein <jecvacationggmail.com> Subject: FW: Twitter follow-up - TRS + short calls [C] Date: Fri, 16 Jan 2015 21:50:15 +0000 Classification: Confidential I just tried to call 340 775 2525 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) 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. EFTA00642278