EFTA01458381.pdf

taliv7n, Vale- 77-Th 17 Sep 2015 Page 2 Of 3 alkVe Deutsche Sank AG SOUTHERN FINANCIAL, LLC Credit • Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft. Date Maturity Date SuySell NotAmt 1 Not.Ccyt Not Amt 2 Not.Ccy2 Rate Spread MTM(USD) C79707544 SOUTHERN CDSwapSoty BRASOV 13.Jan.2015 14.43n-2015 20.Mat.2020 sal 10 009 000 00 USD 'C. :Ci:. 10:1:(1 IS:i I CO:C 35- FINANCIAL LLC Subtotal Equity -Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date NotArnt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) LI4618753 SOUTHERN Lt1_618753BU CALL 18 -Dec-2015 ;4 166.M; 35) USD (4,166.030; 10000 i":.4 2C€4i FINANCIAL LLC NY-618176 SOUTHERN TWTRN CALL 27-Jan-2016 3896,62000 USD 100.000 389662 58378 75 FINANCIAL, LLC Subtotal: 4.17002 EX • Options Settlement Not.Ccy Not.Ccy DealGroupiD Counterparty Trade Type Trade Date Maturity Date Date NotAmt 1 1 Not.Amt 2 2 Long/ Shod Option Style Put/ Call Strike Price MTM(USD) 497117498i SOUTHERN MuroOpt 0241.2015 04-Jan-2016 06-Jan-2016 50000600.00 EUR (52.000,000 00) USD SHORT ELRCPEAN PUT 1.0400 . • l...1 323 4ii 1037233558 FINANCIAL,L1C 49711749W SOUTHERN REuroOpl 0241-2015 04-Jan-2016 OSJan•2016 50.000.000.00 EUR (58:200.00000) USD LONG ELRCPEAN CALL 1.1640 639083.03 1037233559 FINANCIAL, LLC 497126993/ SOUTHERN FxEuroOpt 02•AII•2015 04-Jan-2016 06-Jan•2016 25.030.E00.00 EUR (28.71400 - 00) USD SHORT ELRCPEAN PVT 1.0500 (1ld.cta64) 1037255502 FINANCIAL, LW 497126993/ SOUTHERN MuroOpt 024u1-2015 04-Jan-2016 06,1are2016 25.000030.00 EUR (28.312.5C0.00) USD LONG ELRCPEAN CALL 1.1565 381.38044 1037255503 FINANCIAL. LW Subtotal: 725081 36 Statement ID: 1822,3820150916_201509171 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-0118271 CONFIDENTIAL SDNY_GM_00264455 EFTA01458381