EFTA01457166.pdf

7.1 :7 /4 tarnYr. 37,77_7.1.77 'Dept 2015 Page 2 Of 3 Deutsche Sank AG SOUTHERN FINANCIAL, LLC erode - Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft. Date Maturity Date BuySell NotAmt 1 Not.Ccy1 Not.Arnt 2 Not.Ccy2 Rate Spread MTM(USD) C7970754M SOUTHERN CREDIT BRASOV 13-Jan-2015 144an-2015 20-Mar-K20 SELL 10 000 000 00 USD 10030 003 DO ifiiii I CCCC 233 5- ,- .., FINANCIAL, LLC DERNATIVE- DEFSWAP Subtotal „.. EetlitY - 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) UNIS18753 SOUTI-ERN 1,4_6187538u CALL ll .•_.,c /l).,. ;4.166.lr.0:. l'ia:: USD (4.166,0(X1 1 C000 (84.649A FINANCIAL LLC NY-618176 SOUTHERN CALL 27-Jan-2016 389662000 ..ISD 100000 38 9662 521703 1.1 cA7 15.694 I .569.389 ED FINANCIAL. LLC Subtotal: 1.484.740 42 FX- Options Settlement Not.Ccy Not.Ccy Trade ID Counterparty Trade Type Trade Date Maturity Date Date Not Amt 1 1 Not.Arnt 2 2 Long/ Short Option Style Put/ Call Strike Pete MTM(USD) 418622243/ SOUTHERN ri.E.I.cOut 12-Aug-2014 12-Aug-2015 14-Aug-2015 75,000,000 00 USD (462.rAD.0O3 DI) CNN SHORT EtPCPEAN PUT 6.1600 (3.C£4 iiciii 834462396 FINANCIAL LLC Subtotal Equity -Swap Hybrid db Ticket Counterparty Ref Entity Pug CaU Expiry Date NotAmt Not Ccy Not Amt 2 Not Ccy2 Strike Price MTM(USD) 612676 SOUTHERN - i-::'.. 01-Feb-2016 15.0 060 00i t sii CO il ICO FINANCIAL, LLC Subtotal Statement ID: 182298_20150409_20150410_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-0116582 CONFIDENTIAL SDNY_GM_00262766 EFTA01457166