EFTA01193412.pdf

tag Deutsche Bank AG eu sc e =an SOUTHERN FINANCIAL, LLC Request 182298 As of 21 Sep 15 roup 'a ua ion a emen Page 22 Sep 2015 , Of 3 For Sales Inquiries Contact: Daniel Sabba (Tel) Email) For questions relating to this statement contact: Valuations NY (Tel) (Einar]) SOUTHERN FINANCIAL LLC To: Jabwcpa Gmail (Email) ... Richard Kahn12 (Email) Hnw Clientservices (Email) Gedeon Pinedo (Email) Vahe Stepanian (Email) Mark Whyman (Email) Amanda Kirby (Email) Paul Morris (Email) Daniel Sabba (Email) Mane Dwyer (Email) Fx Rates: USD/EUR = .8934155276 Note:-All Values are shown from the DB Group's point of view. A negative Value therefore expresses an amount which is In your favour, while a positive amount is one which Is in DB Group favour. The terms and conditions of each transaction are specified in the relevant trade Confirmation. Deutsche Bank Group (-DB") is providing the valuations set forth above as an accommodation to you solely for your own internal use. Unless expressly stated otherwise, valuations represent DB's current economic assessment of the transaction or instrument as of the date specified. DB's economic assessment is typically derived all or in pan from model prices, external sources, market prices and/or DB's Internal books and records prices. Valuations may be adjusted to take into account market, liquidity, credit, operational or other risks, and/or to reflect adjustments based upon our willingness to unwind all or pan of your position or revenue that has been generated but not yet recognized by DB ("Premium Adjustments"). Such Premium Adjustments will generally always decline over time, as DB's appetite to unwind at a premium will generally decline over time. which will lead to lower valuations in the absence of changes in market conditions. Valuations, including those containing Premium Adjustments, may not represent the terms at which new transactions or instruments could be entered into with DB or the terms at which existing transactions or instruments could be liquidated or unwound with DB. DB may change its valuation methodology and the related adjustments and assumptions at any time, so that future valuations may be less favourable than the current ones, even in the absence of an adverse development in market conditions. Valuations based on different assumptions or calculated using other methodologies may also yield different results and any adjustments may not apply for the duration of the transaction or instrument Any subsequent valuations provided to you will almost certainly differ from this valuation. This difference can be less favourable to you, and due to the volatility of market conditions, the size or notional amount of the decrease or increase and other factors, the differential could be substantial. DB shall not be liable for any errors or omissions made in calculating or disseminating valuations, or for any inaccuracies or flaws in the methodologies, adjustments or assumptions. DB specifically disclaims liability for any losses or damages (incidental, consequential or otherwise) that may arise from valuations that are either used or relied upon by you or any other party for any reason including, without limitation, your use of valuations in preparation of your own financial books and records. Statement ID: 182298_20150921_20150922_1 EFTA01193412  lag 1 • eu sc e an SOUTHERN FINANCIAL, LLC Request 182298 roup a ua ion a amen 22 Sep 2015 Page 2 of 3 As of 21 Sep 15 Deutsche Bank AG SOUTHERN FINANCIAL, LLC Credit • Default Swap Trade ID Counterpany Trade Type Ref. Entity Trade Date Eff. Date Maturity Date BuySell NotAmt 1 Not.Ccy1 Not.Amt 2 Not.Ccy2 Rate Spread MTM(USD) C7970754M SOUTHERN CDSwapSov BRASOV 13-Jan-2015 14-Jan-2015 20•Mar2020 SELL 10.000.000.00 USD 10.000.000.00 USD 1.0000 402 (1,212,129.72) FINANCIAL LLC Subtotal: (1,212,129.72) Equity - Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date NotAant Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) LN618753 SOUTHERN LN_618753BU CALL 18-Doc-20t5 (4.166.000.00) USD 0.166.000) 1.0000 (44,965.06 FINANCIAL LLC NY618176 SOUTHERN 1V/TRN CALL 274an-2016 3.896.620.00 USD 100.000 38.9662 27.3800 49.7519 0.539 53,87713 FINANCIAL LLC Subtotal. 8,912.77 FX • Opdons Settlement Not.Ccy Nolecy DealGroupiD Counterparty Trade Type Trade Date Maturity Date Date NotArnt 1 1 NotAmt 2 2 Long/ Short Option Style Put/ Cal Strike Price MTM(USD) 497117498/ SOUTHERN FxEuroOpt 02-Jul-2015 04Jan2016 06Jan•2016 50.000.000.00 EUR (52.000.000.00) USD SHORT EUROPEAN PUT 1.0400 (212.478.89) 1037233558 FINANCIAL, LLC 497117498, SOUTHERN FxEwoOpt 02442015 04.1an2016 06.1an2016 50.000.000.00 EUR (58.200.000.00) USD LONG EUROPEAN CALL 1.1640 452.13207 1037233559 FINANCIAL, LLC 497126993/ SOUTHERN FxEuroOpi 02442015 04.1an2016 06.1an2016 25.000.000.1:0 EUR (26,250.000.00) USD SHORT EUROPEAN PUT 1.0500 (133.604.691 1037255502 FINANCIAL, LLC 497126993/ SOUTHERN FxEuroOpt 02•Jul-2015 04Jan2016 06.1an2016 25.000.000.1:0 EUR (28,912.500.00) USD LONG EUROPEAN CALL 1.1565 275.562.92 1037255503 FINANCIAL. LLC Subtotal: 381.611.41 Statement ID : 182298_20150921_20150922_1 The valuation information set forth in this statement is provided subject to the terms and conditions set forth in the notes on the cover sheet EFTA01193413  eu sc e =an roup 'a ua ion a emen 22 Sep 2015 SOUTHERN FINANCIAL, LLC Page 3 Of 3 Request 182298 As of 21 Sep 15 Deutsche Bank AG SOUTHERN FINANCIAL, LLC Equity- Swap Hybrid db Ticket Counterparty Ref. Entity Put/ Call Expiry Date NotAmt Not_Ccy NotAmt 2 Not.Ccy2 Strike Price MTM(USD) 612676 SOUTHERN TWTR.N 01•Feb20I6 (2.646.000.00) USD 26.4600 (93.53.5.9l) FINANCIAL. LLC Subtotal: (90.535.91) Total: (912.141.45) Statement ID: 182298_20150921_20150922_1 The valuation information set forth in this statement is provided subject to the terms and conditions set forth in the notes on the cover sheet EFTA01193414