EFTA01456723.pdf

From: Daniel Sabba Sent: 2/10/2015 7:32:02 PM To: jeffrey E. ([email protected]) CC: Vahe Stepanian Jay Lipman Paul Morris Richard Kah Subject: Follow-up stock screen for Twitter-style trade [CI 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 ($10-520 range) Market Cap (>510bn) Covered by DB Research The following 5 names fit the criteria: dampBrtlf itNteit Ptdae, iiiiitaiiiiiiii) DfrVddl Derail* Ford F $ 15.92 $ 59.00 377% Hold $ 16.00 Bank of Ame rice BAC $ 16.35 S 168.00 1.25% buy $ 18.50 Freeport-Mc Mo Ran FCX $ 19.51 $ 20.00 5.41% Buy $ 36.00 FifthThird Bancorp FITS S 18 79 S 15.CO 2 77% Hold $ 20.00 Boston Scientific Corp BSX 5 14.45 $ 19.00 - Hold S 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). 51 12M ATM Call Implied Volatility 45 —F —BAC 85X 2/10/2014 5/10/2014 8/10/2014 11/10/2014 As a result of these fluctuations, listed premiums are now as follows: CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0115996 CONFIDENTIAL SONY GM_00262180 EFTA01456723