EFTA01457348.pdf

77172 n :CI WIC-77 -7111,, ,ri tr.:71: 1;77 1.77 IT 06 May2015 . . li Pays 2 Of 3 Deutsche Banc Sank AG SOUTHERN FINANCIAL, LLC erode - Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft. Date Maturity Date BuySell NotArnt 1 Not.Ccy1 Not.Arnt 2 Not.Ccy2 Rate Spread MTM(USD) C7970754M SOUTHERN CREDIT BRASOV 13-Jan-2015 14-Jan-2015 20-Mar-2020 SELL 10 000 000 00 LtSD 10030 COD 00 '..IS:.i I CCCC 225 FINANCIAL, LLC DERNAT NE- DEFSWAP Subtotal. OfItlitY • Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Ccy Quantity Strike Price Spot Pnce Implied Volatility Fair Price MTM(USD) LN618753 SOUTFERN 1)1_6187538u CALL ll .2Lc /L :L. :4.166.::0_!l•Q USD (4.166,0(Xii I C000 FINANCIAL LLC NY.618176 SOUTI-ERN CALL 27-Jan -2016 380662000 ...I.S0 100030 38 9662 37470' 12 ::, . i Li 8":,- FININCIAL.LLC Subtotal 5.-E... 2 ::,± '=' FX- Options Settlement Not.Ccy Not.Ccy DealGroupID Counterparty Trade Type Trade Date Maturity Date Date Not Amt 1 1 Not.Anit 2 2 Long/ Short Option Style Put/ Call Strike Price MTM(USD) 4188222432 SOUTHERN r rErtOnt 12Aug.2014 12-Aug.2015 14-Aug-2015 75,000,CCO 00 USD (if621A10.0(1:i al) CNN SHORT ELRCPEAN PUT 6.1600 f 41 704 &i) 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 MTM(USD) 612676 SOUTHERN -Vni. ', CI ) il,.2.". ',' ,. LSE:: 516600 1 424 804 39 FINANCIAL, LLC Subtotal: 1,424 804 39 Statement ID: 182298_20150505_20150506_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-0116861 CONFIDENTIAL SDNY_GM_00263045 EFTA01457348