EFTA01456836.pdf

IrtarnYr.:T r:lki: 7,7 7177 24 Fib 2015 Page 2 Of 3 Deutsche Rank AG SOUTHERN FINANCIAL, LLC Crud* - 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 20Mar.2020 SELL 10 000 000 00 USD 10030 C00 00 '.1r,:) I CCCC iC FINANCIAL, LLC DERIVAT NE- DEFSWAP Subtotal. EetdtY • Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Ccy Quantity Strike Price Spot Pnce Implied Volatility Fair Price MTM(USD) LN618753 SOVTFERN 1_0_6187539u CALL 6 2' ,c ).0:: :4.166.00103.:. USD (4.166,0(k1 1 C000 (22.65543) FINANCIAL LLC NY618176 SOUTFERN CALL 27,lan.2016 3896.62000 ...ISD 100 WO 38 9662 48 4700 45 4877 13.338 1.333.82080 FININ4CIAL.LLC Subtotal: I a7 Iza:Lal FX- Options allilear Settlement Not.Ccy Not.Ccy Trade ID Counterparty Trade Type Trade Date Maturity Date Date Not Amt 1 1 Not.Amt 2 2 Long/ Short Option Style Put/ Call Strike Price MTM(USD) 418822243/ SOUTHERN r ..Ea.cCea 12Aug.2014 12-Aug.2015 14-Aug-2015 75,000,000 00 USD (462.00UO3 al) Cla4 SHORT EtPCM/4 PUT 6.1600 t5 344 27) 834462396 FINANCIAL LLC Subtotal _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ __ __ __. _ _ _ __cc.. Equity -Swap Hybrid db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Ccy Not.Amt 2 Not.Ccy2 Stnke Price MTM(USD) 612676 SOUTHERN T1NTR N 01-Feb-2016 l3.8I-8 ,r;1) 001 USD 38 9662 1044 3e..9 141 FliakiCIAL, LLC Subtotal , .2.4 nc, 4: Statement ID: 182298_20150223_20150224_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-0116151 CONFIDENTIAL SDNY_GM_00262335 EFTA01456836