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
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
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0060412
CONFIDENTIAL SDNY_GM_00206596
EFTA01368598