EFTA01457061.pdf

77172 n :CI WIC-777111,Tritr.:71:7137:717.7 IT 26 Mar 2015 . .. . Pays 2 Of 3 Deutsche Bank Sank AG SOUTHERN FINANCIAL, LLC erode- 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 144an.2015 20.14ar-3322 SELL 10060000 00 USD 10 020 003 00 '.1S:) I CCCC 251 FINANCIAL, LLC DERNAT NE- DEFSWAP Subtotal. E4FAY • Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Coy Quantity Strike Price Spot Pnce Implied Volatility Fair Price MTM(USD) LN618753 SOUTI-ERN U4_6187536/ CALL ll .'_:,c //:L. :4.166.::0_!l'ia:: USD (4.166,0(X1 1 CO00 (6105939) FNANCIAL LLC M'-616176 SOUTHERN CALL 27-Jan-2016 389662000 ..I.SD 100020 38 9662 49 5002 439773 13610 1.361017 45 FINANCIAL. LLC Subtotal: 1.132 Ut4.04 ..i.. FX- Options AllEalle Settlement Not.Ccy Not.Ccy Trade ID Counterparty Trade Type Trade Date Maturity Date Date Not Amt 1 1 Not.Arnt 2 2 Long/ Short Option Style Put/ Call Strike Price MTM(USD) 418822243/ SOUTHERN ri.p.cOpt 12.Aug.2014 12-Aug-2015 14-Aug-2015 75,000,CCO 00 USD (4621A-D.0O3 DI) CNN SHORT EtPCPEAN PUT 6.1600 132 an R.) 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 Strike Price NI TM(USD) 612676 SOUTHERN C,I;, er,;2.". '" ,. i_51'. .1k :;?/.:0 . l:ig 286 %TI FINANCIAL, LLC Subtotal ; 1 .,:z 2,3r3 93: Statement ID: 182298_20150325_20150326_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-0116443 CONFIDENTIAL SDNY_GM_00262627 EFTA01457061