EFTA01191046.pdf

eu sc e =an roup 'a ua ion a amen 25 Aug 2015 SOUTHERN FINANCIAL, LLC Page 1 Of 3 Request 182298 As of 24 Aug 15 Deutsche Bank AG For Sales Inquiries Contact: Daniel Sabba For questions relating to this statement contact Valuations NY (Tel) SOUTHERN FINANCIAL LLC To: Jabwcpa Gam!' (Email) Richard Kahn12 (Email) ,Hnw Clientservices (Email) Gedeon Pinedo (Email) Vahe Stepanian (Email) Mark Whyman (Email) -Aman a irby ( mail aul Morris (Email) Daniel Sabba (Email) fuiane Dwyer (Email) Fx Rates: USD/EUR = .8640428565 Note:-All Values are shown from the DB Group's point of view. A negative Value therefore expresses an amount wNch 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 pan 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 pan 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 lime. 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 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 your own financial books and records. Statement ID : 182298_20150824_20150825_1 EFTA01191046  i eu e an roup a ua on a amen kg S 25 Aug 2015 I SOUTHERN FINANCIAL, LLC Page 2 Of 3 ' Request 182298 As of 24 Aug 15 Deutsche Bank AG SOUTHERN FINANCIAL, LLC Cred1• Trade ID Counterpany Trade Type Ref. Entity Trade Date Eft Date Maturity Date BuySell NotAmt 1 Not.Ccy1 Not.Amt 2 Not.Ccy2 Rate Spread MTM(USD) C7970754M SOUTHERN CREDIT BRASOV IlJan2015 14.Jan.2015 20•Mar•2020 SELL 16006000.00 USD 10.000.000.00 USD 1.0000 344 (993,167.24) FINANCIAL LW DERIVATIVE. DEFSWAP Subtotal: (993,167.24) WRY' 01111011 db Ticket Counterpaity Ref. Entity Put/ Call Expiry Date Not.Amt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) LN 618753 SOUTHERN LN_6187538U CALL 18•Doc-2015 (4.166.000.00) USD (4.166.000) I.00CO (103.726.20) FINANClid. LW NY618176 SOUTHERN CALL 274an.2016 3.896.620.00 USD 100.000 38.9662 25.1700 609636 0.848 84,809.70 FINANCIAL. LLC Subtotal: (18,916.50) FX • Opdons Settlement Not.Ccy NoLC,cy DealGrouplD Counterparty Trade Type Trade Date Maturity Date Date Not.Amt 1 1 NotAmt 2 2 Long/ Short Option Style Put/ Cal Strike Price MTM(USD) 497117498! SOUTHERN FxElro0pt 02442015 04.Jan-2016 06Jan2016 50.000.000.00 EUR (52.000.000.00) USD SHORT EUROPEAN PUT 1.0400 0 13.32524j 1037233558 FINANCIAL, LW 497117498! SOUTHERN FxEuro0pt 02442015 04.Jan-2016 06...lan2016 50.000.000.00 EUR (58.200.000.00) USD LONG EUROPEAN CALL 1.1640 1.295.278.39 1037233559 FINANCIAL, LW 497126993/ SOUTHERN FxEuroOpt 02.,42015 04.Jan-2016 06Jan•2016 25.000.000.00 EUR (26.250.000.00) USD SHORT EUROPEAN PUT 1.0500 (81.587.81) 1037255502 FINANCIAL, LW 497126993/ SOUTHERN FxEwoOpt 02..42015 04-Jan-2016 06...lan2016 25.000.000.00 EUR (28,912,500.00) USD LONG EUROPEAN CALL 1.1565 744,077.83 1037255503 FINANCIAL, LW Subtotal: 1,824,443.17 Statement ID: 182298_20150824_20150825_1 The valuation information set forth in this statement is provided subject to the tens and conditions set forth in the notes on the cover sheet EFTA01191047  feu sc e an roup a ua ion a emen 25 Aug 20!5 SOUTHERN FINANCIAL, LLC Page 3 Of 3 Request 182298 li As of 24 Aug 15 A Deutsche Bank AG SOUTHERN FINANCIAL, LLC SPAY -Swap IlYbild db Ticket Counterparry Ref. Entity Put/ Call Expiry Date NotAmt NoLCcy NotAmt 2 Not.Ccy2 Strike Pete MTM(USD) 612676 SOUTHERN 01•Feb20I6 (3,470,030.03) USD 34.7000 955,357.75 FINANCIAL. LLC Subtotal: 955.357.75 Total: 1,767,717.18 Statement ID: 182298_20150824_20150825_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 EFTA01191048