Jimmy took Nelson's phone, "Their number."
Nelson directly reported the middleman Sullivan's mobile number, and Jimmy looked it up in the call log. The last call was five days ago. Considering that Nelson wouldn't expect to be caught by him now, he probably hadn't deleted the call log for the past couple of days.
Jimmy used Nelson's phone to call his own unregistered mobile, recording the number, then looked at Nelson.
After considering for a while, Jimmy decided to let Nelson go; he was just an investigator and hadn't done anything harmful. Of course, the investigation itself was a dangerous sign. Jimmy wasn't such a cruel person; there was no need to kill Nelson for getting this far.
Jimmy, "Roy Nelson, can I trust you?"
Nelson, "Trust me, you already know my identity, my information. I won't take any risks. I know you, Butcher Jimmy. Believe me; no one wants to be on your radar."
