EFTA01458765.pdf

I e an roup on 02 licv 2015 SOUTHERN FINANCIAL, LLC Page 2 Of 3 Request 182288 . %, As of 30 Oct 15 -44,IIMINIMarae Deutsch* Bank AG SOUTHERN FINANCIAL, LLC Credk - Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eff. Date Maturity Date BuySell Not Amt 1 Not.Ccy1 Not Amt 2 Not.Scy2 Rate Spread P.ITM(USD) SOUTHERN CDSwapSov BRASOV I 1.Jan.2015 1443n-2015 20.Mar.2020 SELL 10 000 000 00 LSD 'C. :(i:. 10:1:(1 IS:i I (LC 414 FINANCIAL. LLC Subtotal (.1 217 04S 61! Nulty -Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date NotAmt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) SOUTF£RN Lt1_618753BU CALL 18-Dec.2015 :4 I e+3.1.t DU.) USD (4,106.0001 10000 p6,141.96) FINANCIAL LW SOUTHERN TWTRN CALL 274an-2016 3,866,62000 us0 700.000 389662 28.4600 501295 0.372 37200.76 ■ FiNANCIAL,LLC Subtotal: 2.05880 FX • 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 Cali Strike Price MTM(USI:) SCOTHERN FiEuroOpt 02-Ju1.2015 04-Jan-2016 06-Jan-2016 50000000.00 EUR (52.000,000 00) USD SHORT ELRCPEAN PUT 1.0400 : ..: /;r'; FHANCIAL,L1C SOUTIERN REuroOpt 02,14-2015 04-Jan.2016 064an-2016 5003000000 EUR (58:200.00000) USD LONG ELRCPEAN CALL 1.1640 133,11825 FINANCIAL, LLC SOUTHERN FiEuroOpt 02-Ail-2015 04-Jan-2016 06-Jan-2016 25,000,000.00 EuR (26.2KLCOO 00) USD SHORT ELRCPEAN PVT 1.050D (11950544) FINANCIAL, LW SOUTHERN FilEuroOpt 0241.2015 04-Jan-2016 06-Jan-2016 25.000030.00 EUR (26.912.51,0.W) USD LONG ELRCPEAN CALL 1.1565 90714.84 FINANCIAL. LW Subtotal: (78.374.06) Statement ID: 18229820151030201511021 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-0118835 CONFIDENTIAL SDNY_GM_00265019 EFTA01458765