EFTA01458388.pdf

97.77 • e an rots : 18 Sep 2015 SOUTHERN FINANCIAL, LLC Page 2 C 3 R . 1 - • ...• 4.1.1.B.Maiallase- --"IIMMENNYMIL Deutsche BankAG SOUTHERN FINANCIAL, LLC Credo • Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eff. Date Maturity Date BuySell Not. Amt 1 Not.Ccyl Not Amt 2 Not Ccy2 Rate Spread PNITNI(USD) 07970754)4 SOUTHERN CDSwapSav BRASOV 13,law2015 1443n-2015 20-Mar-2020 SELL I0 000 Ce0 00 LSD 'C, :CC, 10: 1 :( 1 IS:i I CO:C ?:I FINANCIAL, LLC Subtotal C37 032 071 Equity -Dolton db Ticket Counterparty Ref. Entity Put/ Call Expiry Date NotAmt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) LN6I8753 SOUTHERN Ul_618753BU CALL 18-Dec.2015 :4 I Er3.1t 02) USD (4,166.0201 10000 (56,3782) F tIANCIAL LLC NY-6I8176 SOUTHERN TWIR N CALL 27-Jan-2016 3,896,62000 USD 100.000 389662 27 4103 495386 0557 55.6591:8 FINANCIAL. LLC Subtotal: 280 83 F7( • Dodoes 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/ Call Strike Price MTM(USD) 497117498/ SOUTHERN FiEuroOpt 02-Jul-2015 04-Jan-2016 06-Jan-2016 50000000.00 EUR (52.000,000 00) USD SHORT EURCPEAN PUT 1.0400 (173.557 `.CI 1037233558 Flatlet/4,11C 49711749EO SOUTHERN FrEuroOpl 02-M-2015 04-Jan-2016 06•Jan•2016 50030.000 00 EUR (58:200.00000) USD LONG ELROPEAN CALL 1.1640 653.55892 1037233559 FINANCIAL, LLC 497126993/ SOUTHERN FiEuroOpt 02Ju1.2015 04-Jan-2016 06-Jan-2016 2500000000 EUR 126.2571.000 00) USD SHORT EURCPEAN PVT 1.0500 110ITZI7 74) 1037255502 FINANCIAL, LW 497126993/ SOUTHERN FfieroOpt 0241-2015 04-Jan-2016 06-Ian -2016 25800,030.00 EUR (28.9 I2,5C0.00) USD LONG ELRCPEAN CALL 1.1565 389.878 53 1037255503 FNANCIAL,LLC Subtotal: 760,602 21 Statement ID : 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-0118280 CONFIDENTIAL SDNY_GM_00264464 EFTA01458388