From: Daniel Sabba
To: mjeevacation@gmail.comm <jeevacation@gmail.com>
Subject: Re: FW: Twitter follow-up - TRS + short calls [CJ
Date: Sun, 18 Jan 2015 15:58:34 +0000
Classification: Confidential
Jeffrey, I hope all is well. Please let me know when and number to call you. Daniel
From: jeffrey E. [mailto:jeevacation@gmail.com]
Sent: Friday, January 16, 2015 05:44 PM
To: Daniel Sabba
Subject: Re: FW: Twitter follow-up - TRS + short calls [C]
sunday ok
On Fri, Jan 16, 2015 at 5:50 PM, Daniel Sabba > wrote:
Classification: Confidential
just tried to call 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)
EFTA00638407
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.
When can we chat? Shabbat is starting here so I will be out of pocket until sunset tomorrow night.
Daniel
EFTA00638408
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
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