EFTA01472342.pdf

Deutsche Bank Group Valuation Statement Request 13 Feb 2015 SOUTHERN FINANCIAL, LLC As of 12 Feb 15 Deutsche Bank AG For Sales Inquiries Contact: Daniel Sabba (Tel) (Email) For questions relatin to this statement contact: Valuations NY (Tel) (Email) SOUTHERN FINANCIAL, LLC To: Jabwcpa Gmail (Email) ,Richard Kahn12 (Email) ,Hnw Clientservices (Email) ,Gedeon Pinedo (Email) ,Vahe Stepanian (Email) ,Mark Whyman (Email) ,Amanda Kirby (Email) ,Paul Morris (Email) ,Jay Lipman (Email) ,Daniel Sabba (Email) Fx Rates: USD/EUR = .879314135 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 or calculated using other EFTA01472342 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 our own financial books and records. Statement ID : EFTA01472343 Deutsche Bank Group Valuation Statement Request 13 Feb 2015 SOUTHERN FINANCIAL, LLC As of 12 Feb 15 Deutsche Bank AG SOUTHERN FINANCIAL, LLC Credit - Default Swap Trade ID Counterparty SOUTHERN FINANCIAL, LLC Trade Type CREDIT DERIVATIVEDEFSWAP Equity - Option db Ticket Counterparty SOUTHERN FINANCIAL LLC SOUTHERN FINANCIAL GROUP INC FX - Options Trade ID Counterparty SOUTHERN FINANCIAL, LLC Equity - Swap Hybrid db Ticket Trade Type FxEuroOpt Trade Date Maturity Date 12-Aug-2015 12-Aug-2014 Settlement Date 14-Aug-2015 Not.Amt 1 75,000,000.00 Not.Ccy 1 USD Not.Amt 2 EFTA01472344 (462,000,000.00) Not.Ccy 2 CNH Long/ Short SHORT Option Style EUROPEAN Put/ Call PUT Strike Price 6.1600 Subtotal: MTM(USD) (17,245.71) (17,245.71) 0.00 Ref. Entity 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 Strike Price 1.0000 38.9662 Spot Price 47.9500 Implied Volatility 45.7295 Subtotal: Fair Price 13.066 MTM(USD) (24,409.72) 1,306,633.29 1,282,223.57 0.00 Ref. Entity EFTA01472345 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 236 MTM(USD) (621,709.43) (621,709.43) 0.00 Page 2 Of 3 Counterparty SOUTHERN FINANCIAL GROUP INC 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 Ref. Entity TWTR.N Put/ Call Expiry Date 01-Feb-2016 Not.Amt (3,896,620.00) Not.Ccy USD Not.Amt 2 Not.Ccy2 Strike Price 38.9662 Subtotal: MTM(USD) (893,985.12) (893,985.12) EFTA01472346 0.00 EFTA01472347 Deutsche Bank Group Valuation Statement Request 13 Feb 2015 SOUTHERN FINANCIAL, LLC As of 12 Feb 15 Deutsche Bank AG SOUTHERN FINANCIAL, LLC Commodities - Index Derivatives Trade ID 454197689/ 926017511 Counterparty SOUTHERN FINANCIAL, LLC Trade Type CommoditySwapldx Trade Date 13-Jan-2015 Maturity Date 13-Jan-2016 Settlement Date 15-Jan-2016 Long/ Short Option Style SHORT Put/ Call Ref. Entity VOLSS_CL_USD Not.Amt 1 (10,000,000.00) Not.Ccy 1 USD Strike Price 255.8709 MTM(USD) 984,430.06 Subtotal: Total: 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 984,430.06 733,713.37 0.00 Page 3 Of 3 EFTA01472348