EFTA01457926.pdf

28 J_ 2:"b SOU ERN Fl Page 2 Of 3 Request 182298 A As of 27 Jul 15 ""' IIIbrale Deutsche BenkAG SOUTHERN FINANCIAL, LLC Dredit - Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft. Date Maturity Date BuySell Not.Amt 1 Not.Ccy1 Not.Arnt 2 Not.Ccy2 Rate Spread MTM(USD) C7970754M SOUTHERN CREDIT BRASOV 13.Jan-2015 1443n-2015 20-Mar.2u SELL 10,000.000 00 USD 10033003 00 USD I CCCC 753 FINANCIAL, LLC DERNAT NE- DEFSWAP Subtotal 'teeny - Option db Ticket Counterparty Ref. Entity Put/ Call E>pay Date Not.Amt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) 111.618753 SOVTFERN 1)1_6187536u CALL 180ec-2015 :4.1661.07 33) usD (4.166,IXC) 1 C000 (56,1'8 ai.i FelANCLAL LLC NY-618176 SOUTFERN CALL 27.Jan-2016 3896620CD jSD 100.000 38 9662 34 7003 468976 3048 304 786 49 FNANCIAL. LLC Subtotal FX • Options Settlement Not.Ccy Not.Ccy DealGrouplD Counterparty Trade Type Trade Date Maturity Date Date Not.Amt 1 1 Not.Amt 2 2 Long/ Short Option Style Putt Call Strike Price MTM(USD) 412822243/ SOUTHERN FkuroOpl 12-Mg-2014 12-Aug-2015 14-Aug-2015 75,000,000.00 USD (452993.060 03) CM-I SHORT ELRCPEAN PUT 6.1600 0.00 834462395 FINANCIAL, LLC 497117498/ SOUTHERN RiEuroOpt 02-10015 04-Jan-2016 05-Jan2016 5000090090 EUR (52.000960 00) USD SHORT EUROPEAN PUT 1.00 ;397,451.ta) 1037233558 FINANCIAL. LLC 497117498/ SOUTHERN F,Euro0pt 02-Jul-2015 04-Jan-2016 06-Jat-2016 50.000.000.03 EUR (58.260900 00) USD LONG EUROPEAN CALL 1.1640 560.069.04 1037233528 FINANCIAL, LLC 497126993/ SOUTHERN F)EuroOpt 02-Jol-2015 04-Jan-2016 064art-2016 25000900.00 EUR (26.250.00D 00) LSD SHORT EUROPEAN PUT 1.0500 (241256 t2) 1037255502 FINANCIAL, LLC 497126993r SOUTHERN FrEuro0pt 02-ad-2015 04-Jan-2016 06-Jan-2016 250i:003000 EUR (28.912.500 00) us0 LONG EUROPEAN CALL 1.1565 32832984 1037255503 FNANCLAL, LLC Subbtal: 249.651.28 Statement ID: The valuation information set forth in this statement is provided subject b the terns and conditions set forth in the notes on the cover sheet CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0117649 CONFIDENTIAL SDNY_GM_00263833 EFTA01457926