EFTA01459116.pdf

enT a a r irr 7177:5': 717.7. 16 Dec 2015 SOUTHERN FINANC Page 2 Of 3 Doubts Bailin) Ore& • Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eff. Date Maturity Date BuySell Not.Amt 1 Not.Ccy1 Not.Arnt 2 Not.Ccy2 Rate Spread MTM(USD) SOUTHERN CDSwapSav BRASOV I 3,lan.2015 14.1an-2015 20-Mar-2D20 SELL IC 000030 00 USD 10 COD 003 03 USD 10000 120 ll.St.56952. FINANCIAL. LLC Subtotal (1 1ST 55952, Equity -Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USO) SOUTHERN TIMM N CALL 27..bn.2016 389662000 USD 100 000 389662 23 95(0 64 7472 0.028 2 75840 FINANICAL.LLC Subtotal: 2 758 40 FX• Option Settlement Not.Ccy NotCcy DealGrouplD Counterparty Trade Type Trade Date Maturity Date Date Not.Amt 1 1 Not.Amt 2 2 Longf Short Option Style Put/ Call Strike Price MTM(USD) SOUTHERN FaEuroOpl 02-JA-2015 04-Jan-2016 06-Jan-2016 50.000.000 CO EUR l52.003000 XI) LSD SHORT EUROPEAN PUT 1.0400 l'id.:3! P311 FINANCLAL, LLC SOUTHERN FiiEuroOpt 024ul-2015 04-Jan-2018 OSJan-2018 50,001,000.00 EUR (58.200.000 00) LED LONG ELROPEAN CALL 1.1640 226895 FINANCY1 4/1..LLC SOUTHERN FxEuroOpt 02-Jul-2015 04-Jan-2016 06-Jan-2016 25.000.0301:0 EUR (26.250.000.00? USD SHDRT ELROPEAN PUT 1.0500 (l 505065) FINANCIAL. LLC SOUTHERN F,EuroCpl 02•Jul-2015 04-Jan-2016 06-Jan-2016 25.000.000.03 EUR (28.912.50100) LED LONG EUROPEAN CALL 1.1565 2.288 15 FNANCIAL.LLC Subtotal f.':i4 035 161 Equity -Swap Hybrid db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Ccy Not Amt 2 Not Ccy2 Strike Price MTM(USD) SOUTHERN TWTR N 01-Feb-2016 t 2.540CCO 00i USD 25 4000 145 T..' I TT FINANCIAL, LW Statement ID : 182298 20151215 20151216 1 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-0119355 CONFIDENTIAL SDNY_GM_00265539 EFTA01459116