Trade Recap - 01/27/2015 - Long TWTR on ly TRS, Short TWTR ly calls [C]
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.
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CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
CONFIDENTIAL
DB-SDNY-0060412
SDNY_GM_00206596
EFTA01368598