EFTA01416360.pdf

ly EURZAR-USDZAR Correlation Swap Indicative termsheet, subject to legal revision 6 December 2017 Trade Details Counterparty A Deutsche Bank AG, London Counterparty B Southern Financial LLC Notional [ USD 500,000 / 1,000,000 I Trade Date [ 6 ] December 2017 Expiry Date [ 6 ] December 2018 Expiry Settlement Date Two business days after Expiry Date First Fixing Date [ 7 ] December 2017 Last Fixing Date [ 6 ] December 2018 USD Settlement Amount On Expiry Settlement Date, Counterparty A pays to (receives from if negative) Counterparty B the following USD Settlement Amount : USD Notional x [ Strike — ly EURZAR-USDZAR Realised Correlation ] Strike [ 82.50% ] ly EURZAR-USDZAR Realised Correlation The prevailing ly EURZAR-USDZAR Realised Correlation, observed over the Observation Period, calculated as per the formula shown below Observation Period From First Fixing Date to Last Fixing Date Observation Dates Daily / Business Days, according to the relevant calendar of the Fixing Reference EFTA01416360 EURZAR Fixing The EURZAR exchange rate, quoted as the number of ZAR per unit of EUR, determined at London 4pm, according to the Fixing Reference USDZAR Fixing The USDZAR exchange rate, quoted as the number of ZAR per unit of USD, determined at London 4pm, according to the Fixing Reference Fixing Reference WM Company Fixing Reference Page Bloomberg Page <WMCO> Go Business Day Calendar for Settlement Any day, excluding Saturday and Sunday, on which commercial banks and Foreign Exchange markets settle payments and are open for general business (including dealings in FX and foreign currency deposits) in New York, Frankfurt and London. Day Convention Modified Following Calculation Agent Deutsche Bank AG, London The Calculation Agent shall have no responsibility for good faith errors or omissions in respect of any calculations or determinations contemplated herein, and its calculations and determinations shall, in the absence of manifest error, be final, conclusive and binding on Note holders and/or Deutsche Bank AG. Definition of Realised Correlation Realised Correlation will be determined by taking the spot fixings on each business day on the FIxing Reference Page as determined by the Calculation Agent during the Observation Period. The following formulae will then be applied to the fixings: EFTA01416361 Important Notice We are sending you this term sheet on the basis that you are a potential counterparty acting at arm's length. This term sheet is for discussion purposes only and is not intended to create any legally binding obligations between us. 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Global Foreign Exchange Global Foreign Exchange Global Foreign Exchange Global Foreign Exchange Global Foreign Exchange Global Foreign Exchange 2 2 EFTA01416363 fixings spot of No. / In / In EURZAR rate spot of fixing th USDZAR rate spot of fixing th 1 1 EFTA01416364  I-L Z r r Z II X X II II II NI NI NI I-I. I-I. I-I. Y. Y. Y. Y. Y. X -C Y. X X X -CZ I I II I II I EFTA01416365  EFTA01416366 a) cM CO a) •.-1 2 •.-1 •.-1 •rl TX TX ri N ri CV I-I