Subject: RE: Southern Financial - IA Request [I] From: Vahe Stepanian Date: Wed, 29 Jun 2016 08:23:57 -0400 To: Stewart Oldfield Cc: Daniel Sabba Andrew King Classification: For internal use only Stew, Please see below from the Global Markets team - take a look and let us know if you have questions. We will send to Rich Kahn shortly. Thank you, Vahe Following a lot of analysis, we can't do this swap on the basket as it isn't operationally feasible, however, this can be done as a series of single name total returns swaps. For the client to purchase 1-year swaps with bilateral break rights at any time, we can offer: lmL+150bps (Yellow highlighted names) lmL+140bps (Green highlighted names) Given the bid/ask and liquidity profile of these names getting into and out of these is going to be a challenge, thus we would suggest that we trade into these at about 15-20% adv until complete, which could take several days. EFTA01431876