DATE: June 18, 2009 TO: Citadel Equity Fund Ltd. (“CEFL”) FROM: Wingate Capital Ltd. (“WING”) RE: CONFIRMATION OF PERFORMANCE COLLAR TRANSACTION
EXHIBIT
99.28
|
DATE:
|
June
18, 2009
|
|
TO:
|
Citadel
Equity Fund Ltd. (“CEFL”)
|
|
FROM:
|
Xxxxxxx
Capital Ltd. (“WING”)
|
Dear Sir
or Madam:
The
purpose of this letter agreement (this “Confirmation”) is to confirm the terms
and conditions of the Transaction entered into between WING and CEFL on the
Trade Date specified below (the “Transaction”). This communication
constitutes a “Confirmation” as referred to in the ISDA Master Agreement
specified below.
This
Confirmation hereby incorporates by reference the 2006 ISDA Definitions (the
“Swap Definitions”), and in the
2002 ISDA Equity Derivatives Definitions (the “Equity Definitions”, and together with
the Swap Definitions, the “Definitions”), in each case as
published by the International Swaps and Derivatives Association, Inc., are
incorporated into this Confirmation. In the event of any inconsistency between
the Swap Definitions and the Equity Definitions, the Equity Definitions will
govern. In the event of any inconsistency between either set of Definitions and
this Confirmation, this Confirmation will govern.
This
Confirmation evidences a complete and binding agreement between you and us as to
the terms of the Transaction to which this Confirmation relates. Except as
otherwise provided herein, this Confirmation (together with all other documents
confirming transactions between them which contemplate that the parties will
enter into an ISDA Master Agreement) shall be subject to and form a part of an
agreement in the form of a 1992 ISDA Master Agreement together with the 1994
ISDA Credit Support Annex (Bilateral Form, subject to New York law) with the
Paragraph 13 elections set forth in “Additional Provisions” below (the “CSA”) as if CEFL and WING had executed
an agreement in such form (but without any Schedule) on the Effective Date of
this Transaction, with the election of the following terms: (1) the laws of the
State of New York as the governing law: (2) U.S. Dollars as the Termination
Currency; and (3) for purposes of Section 6(e) of the Agreement, Market
Quotation and Second Method will apply, (4) the following Additional Termination
Event will apply with WING as the sole Affected Party: the NAV of WING’s Credit
Support Provider as of any NAV Determination Date shall be less than USD
500,000,000, (5) the following Additional Termination Event will apply with CEFL
as the sole Affected Party: the NAV of CEFL as of any NAV Determination Date
shall be less than USD 2,000,000,000, (6) the CSA shall be a Credit Support
Document with respect to CEFL and WING, and (7) the Guaranty of WING by Citadel
Wellington LLC shall be a Credit Support Document with respect to WING
(hereinafter the “Agreement”).
The “NAV of CEFL” means an
amount equal to the NAV of CEFL as of the applicable NAV Determination Date as
determined by the Calculation Agent. The “NAV of WING’s Credit Support Provider”
means an amount equal to the NAV of Citadel Wellington LLC as of the applicable
NAV Determination Date as determined by the Calculation Agent. “NAV Determination Date” means the last
calendar day of each month. “NAV” means total assets minus total liabilities
(measured according to generally accepted accounting principles consistently
applied).
In the
event of any inconsistency between the provisions of the Agreement and this
Confirmation, this Confirmation will prevail for the purposes of this
Transaction.
The terms
of the particular Transaction to which this Confirmation relates are as
follows:
General
Terms:
|
Trade
Date:
|
June
18, 2009.
|
|
Effective
Date:
|
June
18, 2009.
|
|
Scheduled
Termination Date:
|
June
17, 2010.
|
|
Termination
Date:
|
The
earlier of (i) the Scheduled Termination Date, and (ii) the Optional
Termination Date as of which the Notional Amount is zero
(0).
|
|
Optional
Early Termination:
|
This
Transaction may be terminated in whole or in part by mutual agreement of
the parties as of any Optional Termination
Date.
|
|
Optional
Termination Date:
|
The
penultimate Business Day of each calendar month during the
Term.
|
|
Calculation
Agent:
|
Citadel
Advisors LLC.
|
|
Business
Days:
|
New
York.
|
|
Reference
Shares:
|
45,454,545
common shares of E*Trade Financial Corporation
(ETFC).
|
Initial
Exchange:
|
Initial
Exchange Amount:
|
USD
475,312 (the “Preliminary Initial
Exchange Amount”). The Preliminary Initial Exchange Amount was
calculated by the Calculation Agent utilizing a fair market value with
respect to the Reference Security of USD
1.10.
|
The
Preliminary Initial Exchange Amount shall be subject to adjustment as
follows:
As soon
as reasonable practicable following the Trade Date the Calculation Agent shall
solicit a fairness opinion as to the Preliminary Initial Exchange Amount from an
internationally recognized expert in the valuation of the Reference Shares. The
fairness opinion shall specify a range (the “Fairness Exchange Amount
Range”) within which the
Initial Exchange Amount must fall in order to be subject to such fairness
opinion.
(a) If
the Preliminary Initial Exchange Amount is within the Fairness Exchange Amount
Range, the Preliminary Initial Exchange Amount shall be the Initial Exchange
Amount with respect to this Transaction.
(b) If
the Preliminary Initial Exchange Amount is not within the Fairness Exchange
Amount Range, the Calculation Agent shall adjust the Preliminary Initial
Exchange Amount by an amount (which may be a positive or negative amount) (the
“Exchange Adjustment
Amount”) equal to the amount required such that the aggregate of the
Preliminary Initial Exchange Amount and the Exchange Adjustment
Amount (the “Adjusted
Preliminary Initial Exchange Amount”) is an
amount equal to the median of the Fairness Exchange Amount Range, and the
Adjusted Preliminary Initial Exchange Amount shall be the Initial Exchange
Amount with respect to this Transaction.
|
Initial
Exchange Amount Payer:
|
WING.
|
|
Initial
Exchange Date:
|
June
18, 2009.
|
Performance
Collar Payment Amounts:
|
Final
Price:
|
With
respect to a Valuation Date, the closing price of the Reference Shares on
the Relevant Exchange.
|
|
Relevant
Exchange:
|
NASDAQ.
|
|
WING
Payment Amount:
|
With
respect to a Payment Date, if as of the
Valuation Date related to such Payment Date, (1) the Final Price is
greater than the WING Reference Price, the WING Payment Amount shall be
the product of (i) the Notional Amount, and (ii) the difference between
(a) the Final Price, and (b) the WING Reference Price, or (2) the Final
Price is less than or equal to the WING Reference Price, the WING Payment
Amount shall be zero (0).
|
|
WING
Reference Price:
|
USD
1.32.
|
|
WING
Notional Amount:
|
USD
60,000,000.
|
|
CEFL
Payment Amount:
|
With
respect to a Payment Date, if as of the Valuation Date related to such
Payment Date, (1) the Final Price is less than the CEFL Reference Price,
the CEFL Payment Amount shall be the product of (i) the Notional Amount,
and (ii) the difference between (a) the CEFL Reference Price, and (b) the
Final Price, or (2) the Final Price is greater than or equal to the CEFL
Reference Price, the CEFL Payment Amount shall be zero
(0).
|
|
CEFL
Reference Price:
|
USD
1.045.
|
|
CEFL
Notional Amount:
|
USD
47,500,000.
|
|
Valuation
Dates:
|
The
penultimate Business Day of each calendar month during the Term, and the
Termination Date.
|
|
Payment
Dates:
|
Three
Business Days following each Valuation
Date.
|
Additional
Provisions:
Share
Adjustments:
|
Method
of Adjustment:
|
Calculation
Agent Adjustment
|
Extraordinary
Events:
Consequences
of Merger Events:
|
Share-for-Share:
|
Calculation
Agent Adjustment
|
|
Share-for-Other:
|
Calculation
Agent Adjustment
|
|
Share-for-Combined:
|
Calculation
Agent Adjustment
|
|
|
Tender
Offer:
|
Applicable
|
Consequences
of Tender Offers:
|
Share-for-Share:
|
Calculation
Agent Adjustment
|
|
Share-for-Other:
|
Calculation
Agent Adjustment
|
|
Share-for-Combined:
|
Calculation
Agent Adjustment
|
|
Tender
Offers:
|
Applicable;
provided
that Section 12.1(d) of the Equity Definitions is hereby amended by (a)
replacing “10%” with “or equal to 50%” in the third line thereof and (b)
adding “, or of the outstanding Shares,” before “of the Issuer” in the
fourth line thereof. Sections 12.1(e) and 12.1(1)(ii) of the Equity
Definitions are hereby amended by adding “or Shares, as applicable,” after
“voting shares”
|
|
Calculation
Agent Adjustment:
|
(a)
The definition of “Calculation Agent Adjustment” in Sections 12.2 and 12.3
of the Equity Definitions shall be amended by deleting clause (ii) thereof
and replacing it with “(ii) if the Calculation Agent determines that no
adjustment that it could make under (i) will produce a commercially
reasonable result, notify the parties that the relevant consequence shall
be the cancellation of the portion of the Transaction represented by
Affected Shares, in which case “Partial Cancellation and Payment” will be
deemed to apply and any payment to be made by one party to the other shall
be calculated in accordance with Section
12.7.
|
|
Composition
of Combined Consideration:
|
Not
Applicable
|
|
Nationalization,
Insolvency or Delisting:
|
Negotiated
Close-out
|
Additional
Disruption Events:
|
Change
in Law:
|
Applicable
|
Section
12.9(a)(ii) of the Equity Definitions is replaced in its entirety by the
words:
“‘Change
in Law’ means that, on or after the Trade Date of this Transaction (A) due to
the adoption of or any change in any applicable law or regulation (including,
without limitation, any tax law), or (B) due to the promulgation of or any
change in the interpretation by any court, tribunal or regulatory authority with
competent jurisdiction of any applicable law or regulation (including any action
taken by a taxing authority), the Calculation Agent determines in good faith
that it has become illegal for a party to this Transaction to hold, acquire or
dispose of Hedge Positions relating to such Transaction, provided that this
Section 12.9(a)(ii) shall not apply if the Calculation Agent determines that
such party could have taken reasonable steps to avoid such
illegality
Section
12.9(b)(i) of the Equity Definitions is hereby amended by (i) inserting the
words “or partially terminate the portion of the Transaction represented by
Shares affected by the Change in Law” after the word “terminate” in the third
line thereof, (ii) inserting the words “or partial termination” following the
word ‘‘termination” in the fourth line thereof, (iii) the insertion of the words
“or relevant portion thereof after the word “Transaction” in the fifth line
thereof.
|
Insolvency
Filing:
|
Not
Applicable
|
|
Hedging
Disruption:
|
Not
Applicable
|
|
Increased
Cost of Hedging:
|
Not
Applicable
|
|
Loss
of Stock Borrow:
|
Not
Applicable
|
|
Increased
Cost of Stock Borrow:
|
Not
Applicable
|
|
Determining
Party:
|
Calculation
Agent
|
|
Non-Reliance:
|
Applicable
|
|
Agreements
and Acknowledgments
Regarding
Hedging
Activities:
|
Applicable
|
|
Additional
Acknowledgments:
|
Applicable
|
Additional
Provisions:
CSA -
Paragraph 13 Elections
|
(i)
|
The
parties intend that each party secure its obligations to the other
pursuant to the Agreement and this Confirmation (the “Obligations”).
The Pledgor hereby pledges to the Secured Party as security for its
Obligations and grants the Secured Party a first priority continuing
security interest in, lien on and right of set-off against all collateral,
margin or other property transferred or delivered to Secured Party
hereunder (subject to the provisions of the Communications Act and the
rules and regulations of the Federal Communications Commission). For
purposes of the Agreement and this Transaction, the following elections
shall be deemed to constitute a Paragraph 13 - Elections and Variables for
purposes of the CSA:
|
|
(ii)
|
Valuation Agent shall mean the Calculation
Agent;
|
|
(iii)
|
Eligible Collateral and
Valuation
Percentage:
|
Cash @
100%
|
(iv)
|
Threshold shall mean,
with respect to each of the parties,
zero;
|
|
(v)
|
Minimum Transfer Amount
shall mean: USD
250,000;
|
|
(vi)
|
Independent Amount shall
mean, with respect to CEFL zero; and with respect to WING
zero;
|
|
(vii)
|
Delivery Amount and
Return Amount will
be rounded up and down to the nearest integral multiple of U.S.$10,000,
respectively, or to the nearest multiple of USD 1, if no Transactions are
outstanding;
|
|
(viii)
|
Valuation Date shall
mean the penultimate Business Day of each calendar month during the
Term;
|
|
(ix)
|
Valuation Time means the
close of business on the Local Business Day before the Valuation
Date;
|
|
(x)
|
Notification Time means
11:00 a.m., New York time, on a Local Business Day;
|
|
(xi)
|
Eligibility to Hold and
Use Posted Collateral: CEFL
and WING will be entitled to hold Posted Collateral itself or through a
Custodian pursuant to Paragraph
6(b), and the provisions of Paragraph 6(c) will apply to CEFL and
WING;
|
|
(xii)
|
Interest Rate means the
rate per annum equal to the overnight Federal Funds Rate as reported in
the Federal Reserve’s weekly statistical release designated H.15(519) (or
any successor publication).
|
Please
confirm that the foregoing correctly sets forth the terms of our agreement by
executing this Confirmation and returning it to us by facsimile
transmission.
Yours
sincerely,
Xxxxxxx
Capital Ltd.
By:
Citadel Advisors LLC, its Portfolio Manager
By: /s/ Xxxx
Xxxxx
Name:
Xxxx Xxxxx
Title:
Authorized Signatory
Accepted
and confirmed as
of the
Trade Date written above:
Citadel
Equity Fund Ltd.
By:
Citadel Advisors LLC, its Portfolio Manager
By:
/s/
Xxxx
Xxxxx
Name:
Xxxx Xxxxx
Title:
Authorized Signatory
