EFTA01193204.pdf

From: Daniel Sabba To: "Jeffrey E." <[email protected]> CC: Vahe Ste anian , Ja Li man , Paul Morris , Richard Kahn Subject: Follow-up stock screen for Twitter-style trade [C] Date: Wed, 11 Feb 2015 00:32:02 +0000 Attachments: oledata.mso Inline-Images: image007.png; image014.png; image002.png; image004.png 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 (>$10bn) - Covered by DB Research The following 5 names fit the criteria: Company Ticker Price Mkt Cap (bn) Div lid DB Rating DB Target Ford F S 15.92 5 59.00 3.77% Hod S 16.0C Bank of America BAC $ 16.35 $ 168.00 1.25% Buy $ 18.50 Freeport-McMoRan FCX $ 19.51 $ 20.00 6.41% Buy $ 36.00 Fifth Third Bancorp FITS $ 18.79 $ 15.00 2.77% Hold $ 20.00 Boston Scientific Corp 8SX $ 14.45 $ 19.00 - Hold $ 16.00 Note: Pricing as of close 02/09/2015) As demonstrated below, all S names remained in a narrow band for the earlier part of 2014. In the latter months of the year, FCX, MC and FITS saw a significant increase in implied volatility, most notably Freeport-McMoRan (FCX). 50 12M ATM Call Implied Volatility 45 40 — F 35 —BAC —FCX 30 - Furl 25 — BSX 20 15 2A0/2014 5/10/2014 0/10/2014 11/10/2014 As a result of these fluctuations, listed premiums are now as follows: EFTA01193204  Premium (%) 16.00% 14.00% - 12.00% - 10.00% - 8.00% - 6.00% - 4.00% - 2.00% - 0.00% F BAC FCX FITB BSX V American Call Option Structure e Company Price (Sh.) Strike Expiry Premium Bid *Premium (%) F $ 15.92 $ 151)0 1/1.5tt2016 $ 182 M43% BAC $ 16.35 $ 17.00 1/15/2O16 $ 120 7.34% FCX $ 19.51 $ 20.00 1/15/2O16 $ zoo 14.35% FHB $ 1879 $ 20.00 1/15/2016 $ 0.37 4.636 BSX $ 14.45 $ 15.00 1/15/2016 $ 133 are Note: Pric ng as of close 02/09/2015) •Premium (%) = Bid/Pri e (Sh.)) Regards, Daniel This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01193205