EFTA01458727.pdf

e an roue 26 Oct 2015 SOUTHERN FINANCIAL, LLC Page 2 Of 3 Request 182298 f, • As of 23 Oct 15 Deutsche Bank AG SOUTHERN FINANCIAL, LLC Credt • Defeet Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eff. Date Maturity Date BuySell Not. Amt 1 NoLCcy1 Not Amt 2 Not.Ccy2 Rate Spread HTM(USD) SOUTHERN CDSwapSov BRASOV I 1.Jan.2015 1443n-2015 20.Mat.2020 SELL lO OOD 000 00 USD 'C. :i.i.. 10:1:(1 IS:i I :C .13: Mil FINANCIAL LLC Subtotal EquIty -Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date NotAmt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) SOUTHERN '11_618753BU CALL 18-Dec.2015 :4 let3.1.t D.5) USD (4,106.0601 10000 (16.845.61) F tiANCIAL LW ■ SOUTHERN TWIR N CALL 27-Jan-2016 3896,620 CO USD 100.000 38 9662 30.2803 51.4686 0.783 78263.01 FINANCIAL, LLC Subtotal 61.417 40 FX • Opdons 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) SCOTHERN FiEuroOpt 02-Ju1.2015 04-Jan-2016 06-Jan-2016 50000000.00 EUR (52.000,000 00) USD SHORT ELRCPEAN PUT 1.0403 (226 I.. ' .-! FHANCIAL,L1C SOUTIERN REuroOpt 024I-2015 04-Jan-2016 064an-2016 50030.000 00 EUR (58:200.00000) USD LONG EUROPEAN CALL 1.1640 147.407.58 FINANCAL,LLC SOUTIERN FxEuroOpt 02Ju1.2015 04-Jan-2016 06-Jan-2016 25.000.000.03 EUR (26.2Ki000 00) USD SHORT ELIRCPEAN PVT 1.0500 (1450,B67) FIANCAL, LLC SOUTHERN MuroOpt 02-Jul-2015 04-Jan-2016 06,Iwi-2016 25.000030.00 EUR (26.9 l2,5C0.60) USD LONG ELRCPEAN CALL 1.1565 99.797 74 FILANCUL,LLC Subtotal. I 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-0118778 CONFIDENTIAL SDNY_GM_00264962 EFTA01458727