EFTA01432676.pdf

Subject: Fw: Trade Recap - 01/27/2015 - Long TWTR on ly TRS, Short TWTR ly calls [C] From: Paul Morris ‹ > Date: Tue, 27 Jan 2015 14:26:14 -0500 To: Stewart Oldfield <a> Classification: Confidential From: Daniel Sabba Sent: Tuesday, January 27, 2015 02:13 PM To: jeffrey E. <[email protected]> Cc: Vahe Stepanian; Paul Morris; Richard Kahn S> 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 EFTA01432676 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. Mobile Email EFTA01432677