EFTA01457272.pdf

7172 n :CI 71,777110,77771:71:77-1717. 77' 24Apc 2015 c-k 11-c . 1::.. . Pays 2 Of 3 li Mike' Deutsche Bank AG SOUTHERN FINANCIAL, LLC 0roda- 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 14-Jan-2015 20-Mar-2320 SELL 10 COO 000 00 USD 10020003 00 c1S:) I CCCC 214 (511,517%] FINANCIAL, LLC DERIVAT WE- DEFSWAP Subtotal fnl 5111 if, Eet4tY • Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Coy Quantity Strike Price Spot Pnce Implied Volatility Fair Price MTM(USD) LN618753 SOUTFERN Lf1_618753Bti CALL ' il .'_:,c ,. ',. :4.166.0.! 33::. USD (4.166,OLGi 10000 (107,393.54) ENANCLAL LLC NY-618176 SOUTFERN CALL 27-Jan-2016 3896.62000 _CD 100000 38 9662 51 4100 4 241 14178 1.477138001 FINANCIAL. LLC Subtotal: • ':t^7- FX- Options Settlement Not.Ccy Not.Ccy Trade ID Counterparty Trade Type Trade Date Maturity Date Date Not Amt 1 1 Not.And 2 2 Long/ Short Option Style Put/ Call Strike Price MTM(USD) 41882224.3/ SOUTHERN riircOrt 12aug.2014 12-Aug.2015 14-Aug-2015 75,000.CCO 00 USD (a62.0M00 al) CAN SHORT ELRCREAN PUT 6.1600 ;34 41643) 43) 834462396 FINANCIAL LLC Subtotal _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ __ __ __. Equity -Swap Hybdd db Ticket Counterparty Ref. Entity PuU Call Expiry Date NotAmt Not Ccy Not Amt 2 Not Ccy2 Strike Price MTM(USD) 612676 SOUTHERN TWIR N 01-Feb-2016 (5.COIC00 00i LSE 50 C.,c CO FINANCIAL, LLC Subtotal Statement ID: 182298.20150423.20150424_1 The valuation information set forth in this statement Is proAded subject to the terms and conditions set forth in the notes on the cover sheet r CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0116743 CONFIDENTIAL SDNY_GM_00262927 EFTA01457272