From: Daniel Sabba To: "Jeffrey E." <[email protected]> Subject: RE: LNKD Structure [C] Date: Wed, 28 Jan 2015 19:20:48 +0000 Inline-Images: image001.png Classification: Confidential Jeffrey, I called you back per your request. I am at Regards, Daniel From: Daniel Sabba Sent: Wednesday, January 28, 2015 9:54 AM To: 'jeffrey E.' Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: LNKD Structure [C] Classification: Confidential Jeffrey, Please see below LNKD 1y Vols. Would you like to explore the same structure for this stock? IA would be 25% of Notional. The indications below work for $10mm notional. LNKD 1y 100% vols Jul Aug Sep Oct 2014 Copyright® 2015 Bloomberg Finance . Nov Dec 42.00 41.00 40.00 39.00 38.00 37.00 Jan 2015 28-Jan-2015 09:18:56 Southern Financial longs LNKD through 1y TRS: • SF pays 1mL+75bps to receive total return • $0.03 commission in and out, optional early termination applicable, monthly resets Southern Financial shorts LNKD 1y 100% European calls: • DB bids 14.6% • Vol: 36.36% • Delta: 57% Best regards, Daniel EFTA01191281