From: Richard Kahn

From: Richard Kahn To: "Jeffrey E." <[email protected]> Subject: Fwd: Trade Recap - 01/27/2015 - Long TWTR on ly TRS, Short TWTR ly calls [C] Date: Thu, 30 Jul 2015 14:12:29 +0000 their pricing as usual seems off based on last night valuation it shows fair price of 1.55 and stock is basically flat this am (31.32 LH- 0.08) so i am unclear of how they are using 1.89 cost.. Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York, NY 10022 Begin forwarded message: From: Daniel Sabba Subject: RE: Trade Recap - 01/27/2015 - Long TWTR on 1y TRS, Short TWTR 1y calls [C] Date: July 30, 2015 at 10:00:31 AM EDT To: "'Jeffrey E."' <jeevacation mail.com> Cc: Paul Morris < "'Richard Kahn" Ste anian < >, "Ariane Dwyer" >. Stewart Oldfield , a >, Vahe 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] EFTA00709991 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 Type: Call Style: European Expiry: 1/27/2016 Strike $38.9662 Premium client receives: $728,278.28 (18.69%) Thank you, Vahe From: Daniel Sabba Sent: Tuesday, January 27, 2015 2:14 PM 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 1y TRS. Southern Financial went short TWTR US 1y 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 EFTA00709992 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. Email This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00709993