EFTA01459176.pdf

CM" S• . ... 77,,fiila.:, i7—r--.1.,lotimpripr 25 Dec 2015 N FINING Page 2 of 3 . , , a Anan Dead's Bank AG Credit • Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft. Date Maturity Date BuySell NotAmt 1 Not.Ccyl Not Amt 2 Not.Ccy2 Rate Spread m TM(USD) 07970754M SOUTHERN CDSwapSov BRASOV 13.Jan.2015 1443n.2015 20-Mat-2020 SELL 10 000 000 00 USD 'C. :(i:. 10:1:(1 is:.' 1 CO:; 4';.I FINANCIAL LLC Subtotal Equity -Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date NotAmt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) NY.618176 SOUTHERN TIMM N CALL 27.,lan.2016 389662000 usn 100 003 385662 229700 651517 0005 487 30 FINANCIAL LLC Subtotal: 4E:7 K FX • Options Settlement Not.Ccy Not.Ccy DealGrouND Counterparty Trade Type Trade Date Maturity Date Date NotAmt 1 1 Not.Amt 2 2 Long) Short Option Style Put/ Call Strike Price MTM(USD) 4971174981 SOUTI£PN FaEuroOpt 02-ad.2015 04-Jan-2016 06-Jan-2016 50,000.00080 EUR (52.001000 XI) LSD SHORT EUROPEAN PUT 1.0400 (36 91) 1037233558 FINANCIAL, LLC 4971174981 SCUTHERN FiEuroOpt 02Jul-2015 04-Jan-2016 06Jan-2016 500:0030.00 EUR (58200.000 00) USD LONG ELROPEAN CALL 1.1840 0.00 1037233559 FINANCIAL, LLC 497126993/ SOUTHERN FxEuroOpt 02-M.2015 04-Jan-2016 06-Jan-2016 25.000.000.OD EUR (25.258,000.00) USD SHDRT ELR0PEAN PUT 1.0500 1130.72) 1037255502 FNANCIAl.. LLC 4971261)93/ SOUTHERN FkuroOpt 0241-2015 04-Jan-2016 06-Jan-2016 25.00900003 EUR (28.912.50) 03) USD LONG EUROPEAN CALL 1.1565 3.57 1037255%13 FNANCIAI., 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 MTM(USD) 612676 SOUTHERN TWTR N 01.Feb-2016 (254000000i USD 25.4000 244 82298 FINAtCIAL.LLC Statement ID: 182298_20151224_20151228_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-0119443 CONFIDENTIAL SDNY_GM_00265627 EFTA01459176