EFTA01457416.pdf

7 7072 . n :7 ,1 177:7111,Tri 7 f17,1:17:71 7. 3 77 IT 20 May 2015 4-k 11--: . . 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 NotAmt 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 USD 10030 CO3 DO •JS:.i I CCCC 222 FINANCIAL, LLC DERNAT NE- DEFSWAP Subtotal. NeultY • Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Coy Quantity Strike Price Spot Pnce Implied Volatility Fair Pnce MTM(USD) LN618753 SOUTI-ERN 114_6187538u CALL ll .•_:,c ::::: :4.166.::0_!l./3:: USD (4.166,0D1 1 C000 FNMA!. LLC M'-616176 SOUTHERN CALL 27-Jan-2016 389662000 is0 100030 38 9662 li. Cc.3 • 4 423 442 289 16 FINANCIAL. LLC Subtotal: 3/2 2r13 95 FX- Options Settlement Not.Ccy Not.Ccy DealGroupID 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.c0ot 12-Aug-2014 12-Aug-2016 14-Aug-2015 75,000,030 00 USD (462,000.00000) CNN SHORT ELRCPEAN PUT 6.1600 {28 354 76) 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 -v;- ): . . C,1) (s.2". '"i ,. I. it 516600 1 418681 30 FINANCIAL, LLC Subtotal: 1,418681 33 Statement ID: 182298_20150519_20150520_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 r CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0116952 CONFIDENTIAL SDNY_GM_00263136 EFTA01457416