EFTA01457921.pdf

2.7 I. 2: a Page 2 C4 3 LINIIIShawl' I II SSW I I III Deutsche Bank AG SOUTHERN FINANCIAL, LLC erode • Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft Date Maturity Date BuySell Not. Amt 1 Not.Ccyl Not.Arnt 2 Not.Ccy2 Rate Spread MTM(USD) C7970754M SOUTHERN CREDIT BRASOV 13,1an-2015 144an-2015 20-Mar-2un1 SELL 10 000 000 00 USD 10 030 000 00 .111.:) I CCCC 753 FINANCIAL. LLC DERNAT WE- DEFSWAP Subtotal Equity - Option db Ticket Counterparty Ref. Enbty Put/ Call E>pay Date Not.Amt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) L14.618753 SOUTHERN LN_6187538u CALL 18-Dec2015 :4.166003:) USD (4.166,0CC) 10000 i.52240:c.; FtlANCTALLLC NY-618176 SOUTFERN CALL 27-Jan-2016 389652000 .3s0 100.000 38 9662 35420' 465209 3.347 334.74411 FNANCIAL. LLC Subtotal' 282.503 88 FX • Options Settlement Not.Ccy Not.Ccy DealGroupID Counterparty Trade Type Trade Date Maturity Date Date Not.Amt 1 1 Not.Amt 2 2 Long/ Short Option Style Putt Call Strike Price MTM(USD) 412822243/ SOUTHERN FkuroOpl 12-Aug-2014 12-Aug-2015 14-Aug-2015 75,000000.00 USD (452903.000 03) CliN SHORT EUROPEAN PUT 6.1600 (66 97) 834462396 FINANCIAL, LLC 497117498/ SOUTHERN RiEuroOpt 0240015 04-Jan-2016 OS-Jan-2016 59000900.00 EUR (52.000,000 00) USD SHORT EUROPEAN PUT 1.0400 (50950297) 1037233558 FiNANCLN..LLC 497117498/ SOUTHERN FzEurcOpt 02-Jul-2015 04-Jan-2016 06-Jat-2016 50,000,000.00 EUR (58.203,000 00) USD LONG EUROPEAN CALL 1.1640 413.15237 1037233528 FINANCIAL, LLC 497128993/ SOUTHERN F)EuroOpt 02-JoI-2015 04-Jan-2016 064ari-2016 25,000,000.00 EUR (26.250.000 00) USD SHDRT EUROPEAN PUT 1.0500 (308,197.11) 1037255502 FINANCIAL, LLC 497126993/ SOUTHERN FxEuroOpt 024i-2015 04Ja42016 06Jan.2016 25.000.030 00 EUR (213,912.500 00) USD LONG EUROPEAN CALL 1.1565 243.873 41 1037255503 FNANCLAL, LLC Subtotal: t l6O 141 2)D Statement ID The valuation information set forth in this statement is provided subject b the kerns and conditions set forth in the notes on the cover sheet CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0117642 CONFIDENTIAL SDNY_GM_00263826 EFTA01457921