EFTA01458410.pdf

LI „..„,:,wen,. q. 24 Sep 2015 Page 2 Of 3 litaiiiinaanillbs- - "MillananaiLlk Deutsche Sank AG SOUTHERN FINANCIAL, LLC Credit • Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eff. Date Maturity Date BuySell NotAmt 1 Not.Ccyl Not Amt 2 Not.Ccy2 Rate Spread LITM(USD) C7970754M SOUTHERN CDSwapSov BRASOV 13-Jan-2015 14,bn-2015 20-Mal-2020 SELL la 000 000 00 USD 'C. :CI:. 10:1:(1 IS:i I CO:C 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(USO) 04618753 SOUTHERN Lt1_618753BU CALL 18 -Dec-2015 ;4 i&6. ' 35) USD (4,166.0W; 10000 (`.725' Coi FINANCIAL LLC NY-6I8176 SOUTHERN TWIR N CALL 27-,lan-2016 3896,620 00 USD 100.000 389662 26.7900 50 4397 0.461 4589417 FINANCIAL. LLC Subtotal: i 11.3V2 48; FX • Options 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) 497117498i SOUTHERN FiEuroOpt 0241.2015 04-Jan-2016 06-4an-2016 50000000.00 EUR (52.000,000 00) LSO SNORT EUFICREAN PUT 1.0400 (246 '4' 3 .•: i 1037233558 FINANCIAL, the 497117496E SOUTHERN Moat 0241-2015 04-Jan-2016 064an-2016 50.000.000.00 EUR (58:200.00000) USD LONG EUtOPEAN CALL 1.1640 415.489.05 10372335:0 FINANCIAL, LLC 497126993i SOUTHERN FieroOpt 0241.2015 04-Jan-2016 05-Jan-2016 25.03003000 EVR (76.2KP.000 00) USD SHORT EURCPEAN PVT 1.0500 1155.0240m 10372555(0 FINANCIAL, LW 497126993/ SOUTHERN F)Eurocpt 0241.2015 04-Jan-2016 06,Ian-2016 25.000030.00 EUR (26.912,5C0.0J) USD LONG ELRCPEAN CALL 1.1565 252.92721 1037255503 FINANCIAL, LLC Subtotal. al; 475 35 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-0118308 CONFIDENTIAL SDNY_GM_00264492 EFTA01458410