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. <jeevacation@gmail.com>
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