Cc: Vahe Stepanian; Stewart Oldfield
Subject: RE: Trade Recap - 01/27/2015 - Long TWTR on ly TRS, Short TWTR ly calls [C]
1-1i what was decision here? Thx
Original Message
From: Daniel Sabba
Sent: Thursday, July 30, 2015 10:00 AM Eastern Standard Time
To: jet-Trey E.'
Cc: Paul Morris; 'Richard Kahn; Vahe Stepanian; Mane Dwyer; Stewart Oldfield
Subject: RE: Trade Recap - 01/27/2015 - Long TWTR on I y 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.
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
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051270
CONFIDENTIAL SDNY_GM_00197454
EFTA01361982