EFTA01457109.pdf

'777 n :CI IC777110, ,r1 '7il:71377.7.:717. " IT C6Ape 2015 -k . li - . . Pays 2 Of 3 ANIL.- Deutsche Sank AG SOUTHERN FINANCIAL, LLC erode - 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-X20 SELL 10 003 000 00 USD 10020003 00 '..1S:t I CCCC 255 (702,48204 FINANCIAL, LLC DERNAT NE- DEFSWAP Subtotal. Eat*/ • 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 LI1_618753Bu CALL ll .'_:,c /3:L. ;4.166::(Xl.Q: USD (4166,0(Xii 1C000 (55.29161: FrIANCLAL LLC flY.618176 SOUTFERN CALL 27.Jan.2016 389662000 ...1SD 100 000 38 9662 50 471) .11 Siic ' 1.422.507 16 FINANCIAL. LLC Subtotal 1,377,215.55 FX- Options ,. ail. Settlement Not.Ccy Not.Ccy Trade ID Counterparty Trade Type Trade Date Maturity Date Date Not Amt 1 1 NotAnit 2 2 Long/ Short Option Style Put/ Call Strike Price MTM(USD) 418822243f SOUTHERN ri.p.cOpt 12aug.2014 12-Aug.201S 14-Aug-2015 75,000,03000 USD (462.rATJCO:i DI) CNN SHORT ELRCPEAN PUT 6.1600 (14,71808) 834462395 FINANCIAL LLC Subtotal __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __ __. .._ __. .._ __. .._ __. .._ __. .._ __ __ __ __ __ __. Equtly-Swap Hybrid db Ticket Counterparty Ref Entity Pug Cab Expiry Date Not.Amt Not Ccy Not Amt 2 Not Ccy2 Strike Price MTM(USD) 612676 SOUTHERN - Ye :: ... 01-Feb-2016 15.001020 00i I. ttr CC C,1C0 HI: 22'2.1it FINANCIAL, LLC Subtotal .:40,22547) Statement ID : 182298.20150403.20150406_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-0116506 CONFIDENTIAL SDNY_GM_00262690 EFTA01457109