EFTA01473938.pdf

Deutsche Bank Group Valuation Statement Request 182298 13 Jul 2015 SOUTHERN FINANCIAL, LLC As of 10 Jul 15 Deutsche Bank AG For Sales Inquiries Daniel Sabba (Tel) (Email) For questions relating to this statement contact: Valuations NY (Tel) 1-212-250-2600 (Email) [email protected] SOUTHERN FINANCIAL, LLC To: Jabwcpa Gmail (Email) ,Richard Kahn12 (Email) ,Hnw Clientservices (Email [email protected],Gedeon Pinedo (Email) ,Vahe Stepanian (Email) ,Mark Whyman (Email) anda Kirby (Email) ,Paul Morris (Email) ,Daniel Sabba (Email) ,Ariane Dwyer (Email) Fx Rates: USD/EUR = .8950147677 Page 1 Of 3 Note:-All Values are shown from the DB Group's point of view. A negative Value therefore expresses an amount which is in your favour, while a positive amount is one which is in DB Group favour. The terms and conditions of each transaction are specified in the relevant trade Confirmation. Deutsche Bank Group ("DB") is providing the valuations set forth above as an accommodation to you solely for your own internal use. Unless expressly stated otherwise, valuations represent DB's current economic assessment of the transaction or instrument as of the date specified. DB's economic assessment is typically derived all or in part from model prices, external sources, market prices and/or DB's internal books and records prices. Valuations may be adjusted to take into account market, liquidity, credit, operational or other risks, and/or to reflect adjustments based upon our willingness to unwind all or part of your position or revenue that has been generated but not yet recognized by DB ("Premium Adjustments"). Such Premium Adjustments will generally always decline over time, as DB's appetite to unwind at a premium will generally decline over time, which will lead to lower valuations in the absence of changes in market conditions. Valuations, including those containing Premium Adjustments, may not represent the terms at which new transactions or instruments could be entered into with DB or the terms at which existing transactions or instruments could be liquidated or unwound with DB. DB may change its valuation methodology and the related adjustments and assumptions at any time, so that future valuations may be less favourable than the current ones, even in the absence of an adverse development in market conditions. Valuations based on different assumptions EFTA01473938 or calculated using other methodologies may also yield different results and any adjustments may not apply for the duration of the transaction or instrument. Any subsequent valuations provided to you will almost certainly differ from this valuation. This difference can be less favourable to you, and due to the volatility of market conditions, the size or notional amount of the decrease or increase and other factors, the differential could be substantial. DB shall not be liable for any errors or omissions made in calculating or disseminating valuations, or for any inaccuracies or flaws in the methodologies, adjustments or assumptions. DB specifically disclaims liability for any losses or damages (incidental, consequential or otherwise) that may arise from valuations that are either used or relied upon by you or any other party for any reason including, without limitation, your use of valuations in preparation of your own financial books and records. Statement ID : 182298 20150710 20150713 1 EFTA01473939 Deutsche Bank Group Valuation Statement Request 182298 13 Jul 2015 SOUTHERN FINANCIAL, LLC As of 10 Jul 15 Deutsche Bank AG SOUTHERN FINANCIAL, LLC Credit - Default Swap Trade ID C7970754M Counterparty SOUTHERN FINANCIAL, LLC Trade Type CREDIT DERIVATIVEDEFSWAP Equity - Option db Ticket LN-618753 NY-618176 Counterparty SOUTHERN FINANCIAL LLC SOUTHERN FINANCIAL, LLC FX - Options DealGrouplD 418822243/ 834462396 497117498/ 1037233558 497117498/ 1037233559 497126993/ 1037255502 497126993/ 1037255503 Counterparty SOUTHERN FINANCIAL, LLC SOUTHERN FINANCIAL, LLC SOUTHERN FINANCIAL, LLC SOUTHERN FINANCIAL, LLC SOUTHERN FINANCIAL, LLC Trade Type FxEuroOpt EFTA01473940 FxEuroOpt FxEuroOpt FxEuroOpt FxEuroOpt Trade Date Maturity Date 12-Aug-2015 12-Aug-2014 02-Jul-2015 02-Jul-2015 02-Jul-2015 02-Jul-2015 04-Jan-2016 04-Jan-2016 04-Jan-2016 04-Jan-2016 Settlement Date 14-Aug-2015 06-Jan-2016 06-Jan-2016 06-Jan-2016 06-Jan-2016 Not.Amt 1 75,000,000.00 50,000,000.00 50,000,000.00 25,000,000.00 25,000,000.00 Not.Ccy 1 USD EUR EUR EUR EUR Not.Amt 2 (462,000,000.00) (52,000,000.00) (58,200,000.00) (26,250,000.00) (28,912,500.00) Not.Ccy 2 CNH USD USD USD USD Long/ Short SHORT SHORT EFTA01473941 LONG SHORT LONG Option Style EUROPEAN EUROPEAN EUROPEAN EUROPEAN EUROPEAN Put/ Call PUT PUT CALL PUT CALL Subtotal: Statement ID : 182298_20150710_20150713_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 Strike Price 6.1600 1.0400 1.1640 1.0500 1.1565 MTM(USD) (22.63) (505,027.12) 758,474.31 (293,750.01) 439,910.23 399,584.78 0.00 Ref. Entity LN 618753BU TWTR.N Put/ Call CALL CALL Expiry Date 18-Dec-2015 27-Jan-2016 Not.Amt (4,166,000.00) 3,896,620.00 Not.Ccy USD USD Quantity (4,166,000) 100,000 EFTA01473942 Strike Price 1.0000 38.9662 Spot Price 34.9100 Implied Volatility 43.9494 Subtotal: Fair Price 3.035 MTM(USD) (47,544.51) 303,469.19 255,924.68 0.00 Ref. Entity BRASOV Trade Date 13-Jan-2015 Eff. Date 14-Jan-2015 Maturity Date 20-Mar-2020 BuySell SELL Not.Amt 1 10,000,000.00 Not.Ccyl USD Not.Amt 2 10,000,000.00 Not.Ccy2 USD Rate 1.0000 Subtotal: Spread 240 MTM(USD) (605,286.17) (605,286.17) 0.00 Page 2 Of 3 EFTA01473943 Deutsche Bank Group Valuation Statement Request 182298 13 Jul 2015 SOUTHERN FINANCIAL, LLC As of 10 Jul 15 Deutsche Bank AG SOUTHERN FINANCIAL, LLC Equity - Swap Hybrid db Ticket 612676 Page 3 Of 3 Counterparty SOUTHERN FINANCIAL, LLC Ref. Entity TWTR.N Put/ Call Expiry Date 01-Feb-2016 Not.Amt (3,421,000.00) Not.Ccy USD Not.Amt 2 Not.Ccy2 Strike Price 34.2100 Subtotal: Total: Statement ID : 182298_20150710_20150713_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 MTM(USD) 153,907.30 153,907.30 204,130.59 0.00 EFTA01473944