EFTA01374678.pdf

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 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 tsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0069490 CONFIDENTIAL SDNY_GM_00215674 EFTA01374678