EFTA01456787.pdf

-71:7 /4 Ter rIn wr i.:171' 7,71 7.1.7.7 19Feb 2015 Page 2 Of 3 Deutsche Sank AG SOUTHERN FINANCIAL, LLC 0coda- Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft. Date Maturity Date BuySell NotAmt 1 Not.Ccy1 Not.Arnt 2 Not.Ccy2 Rate Spread MTM(USD) C7970754M SOUTHERN CREDIT BRASOV 13-Jan-2015 14-..Mi.2015 20-Mar-77.70 SELL 10 000 000 00 USD 10030 003 00 IJSI) I CCCC ?2,5 FINANCIAL, LLC DERIVAT WE- DEFSWAP Subtotal. EtedtY • Option db Ticket Counterparty Ref. Entity PO Call Expiry Date Not.Amt Not.Ccy Quantity Strike Price Spot Pnce Implied Volatility Fair Price MTM(USD) LN618753 SOUTI-ERN 111_6187538u CALL ii .2,c 23 ' i',. ii1.166.7Xl40:: USD 0.1660(k1 I C000 (23.074 83) FINANCIAL LLC NY-618176 SOUTHERN CALL 27,lan-2016 3896.67000 .1SD 100000 38 9662 47870' 454497 12880 128804230 FINANCIAL. LLC Subtotal: 1.264.967.47 FX- Options allit. Settlement Not.Ccy Not.Ccy Trade ID Counterparty Trade Type Trade Date Maturity Date Date Not Amt 1 1 Not.Amt 2 2 Long/ Short Option Style Put/ Call Strike Price MTM(USD) 4I8872243i SOUTHERN ri.EireOet 17Aug.2014 12-Aug-2015 14-Aug-2015 75,000X000 USD (462.9.11600 al) ON SHORT ELRCPEAN PUT 6.1600 0229073) 834462396 FINANCIAL LLC Subtotal _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ ___. Equity -Swap Hybrid db Ticket Counterparty Ref. Entity Put, Call Expiry Date Not.Amt Not.Ccy Not.Amt 2 Not.Ccy2 Stnke Price MTM(USD) 612676 SOUTHERN T1NTR II 01-Feb-2016 I3.8:4; 62C;001 USD 38 9662 18!Q is '1' . FINANCIAL, LLC Subtotal i;i- Statement ID: 182298_20150218.20150219_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 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0116083 CONFIDENTIAL SDNY_GM_00262267 EFTA01456787