EFTA01412845.pdf

Subject: RE: Trade Recap - 01/27/2015 - Long TWTR on ly TRS, Short TWTR ly calls [C] [I] From: Daniel Sabba < Date: Fri, 31 Jul 2015 11:55:19 -0400 To: Vahe Stepanian < Paul Morris Cc: Stewart Oldfield Ariane Dwyer Lesley told us a day or so ago he has been "under the radar" with her as well. He is in palm beach or Santa Fe Original Message From: Vahe Stepanian Sent: Friday, July 31, 2015 11:49 AM Eastern Standard Time To: Paul Morris; Daniel Sabba Cc: Stewart Oldfield; Ariane Dwyer Subject: RE: Trade Recap - 01/27/2015 - Long TWTR on ly TRS, Short TWTR ly calls [C] [I] Classification: For internal use only Paul — JEE has not come back to us RE: TWTR. We've followed up via phone call and email. Thank you, Vahe From: Paul Morris Sent: Friday, July 31, 2015 11:13 AM To: Daniel Sabba Cc: Vahe Stepanian; Stewart Oldfield Subject: RE: Trade Recap - 01/27/2015 - Long TWTR on ly TRS, Short TWTR ly calls [C] Hi what was decision here? Thx EFTA01412845  Original Message From: Daniel Sabba Sent: Thursday, July 30, 2015 10:00 AM Eastern Standard Time To: 'jeffrey E.' Cc: Paul Morris; 'Richard Kahn'; Vahe Stepanian; Ariane Dwyer; Stewart Oldfield Subject: RE: Trade Recap - 01/27/2015 - Long TWTR on ly TRS, Short TWTR ly calls [C] Classification: Confidential Jeffrey, please see below offers to unwind the short call position only: For TWTR reference of $31.60 the cost to unwind is $1.89/share with a delta of 32%. This assumes we work our execution and delta adjust price. There will be a change in IA for the TRS once the call is unwound, as the IA of long TRS + short calls is lower than simply long TRS. We are waiting to hear back from our credit team on what this change would be and will advise. Regards, Daniel From: Vahe Stepanian Sent: Tuesday, January 27, 2015 5:50 PM To: Daniel Sabba; jeffrey E. Cc: Paul Morris; Richard Kahn Subject: RE: Trade Recap - 01/27/2015 - Long TWTR on ly TRS, Short TWTR ly calls [C] Classification: Confidential Jeffrey — please find updated TWTR trade details below (inclusive of initial strike), along with attached termsheet. EFTA01412846 Total Return Swap: Swap Seller: DB Swap Buyer: Southern Financial LLC Ticker: TWTR Size: 100,000 shares Expiry: 1/27/2016 Spread: 1mL+ 75bps Resets: Monthly Optional Early Termination: Applicable, 3 days (two-way) Commissions: $0.03 per share in and out Initial Strike: $38.9662 (Gross) / $38.9962(Net) European Call options on TWTR: Option Seller: Southern Financial LLC Option Buyer: DB Shares: 100,000 Notional: $3,896,620.00 Type: Call Style: European Expiry: 1/27/2016 Strike $38.9662 Premium client receives: $728,278.28 (18.69%) Thank you, EFTA01412847 Vahe From: Daniel Sabba Sent: Tuesday, January 27, 2015 2:14 PM To: jeffrey E. Cc: Vahe Stepanian; Paul Morris; Richard Kahn Subject: Trade Recap - 01/27/2015 - Long TWTR on ly TRS, Short TWTR ly calls [C] Classification: Confidential Jeffrey, per our phone conversation, Southern Financial LLC entered into the following transactions with Deutsche Bank AG, acting through its London branch. Southern Financial went long TWTR US through ly TRS. Southern Financial went short TWTR US ly European Calls struck at 100%. Initial strike on both transactions to be commercially reasonable VWAP until today's close. The Initial Margin on these transactions is 30% of Notional. Termsheet and official confirm to follow. Total Return Swap: Swap Seller: DB Swap Buyer: Southern Financial LLC Ticker: TWTR Size: 100,000 shares Expiry: 1/27/2016 Spread: 1mL+ 75bps Resets: Monthly Optional Early Termination: Applicable, 3 days (two-way) Commissions: $0.03 per share in and out Initial Strike: commercially reasonable VWAP until today's close EFTA01412848 European Call options on TWTR: Option Seller: Southern Financial LLC Option Buyer: DB Notional: 100,000 OTC Call Expiry: 1/27/2016 Strike: 100% of TRS Initial Strike Bid: 18.69% Regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobil Email EFTA01412849