EFTA01458406.pdf

Deutsche Sank AG SOUTHERN FINANCIAL, LLC Credit • default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft. Date Maturity Date SuySell Not. Amt 1 Not.Ccyl Not Amt 2 Not.Ccy2 Rate Spread PNITM(U SD) 07970754M SOUTHERN CDSwapSov BRASOV I 1.Jaw2015 1443n-2015 20.Mat.2020 SELL I0 OOD 000 00 USD 'C. :(i:. 10:1:(1 IS:i I CO:C ...4:l FINANCIAL. LLC Subtotal Equity -Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date NotAmt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) LT4618753 SOUTHERN Ul_618753BU CALL 18 -Dec-2015 ;4 ter5.1.t 05) USD (4,166.0301 10000 (45 RC; 78) FINANCIAL LLC NV6l8176 SOUTHERN TIM N CALL 274an-2016 3,896,€2000 USD 100.000 389662 48 415 77 FINANCIAL, LLC Subtotal: 3.12699 FX • Opdons Settlement Not.Ccy Not.Ccy DealGroupID Counterparty Trade Type Trade Date Maturity Date Date NotAmt 1 1 Not.Amt 2 2 Long/ Shod Option Style Put/ Cali Strike Price MTM(USD) 497117498i SOUTHERN FiEuroOpt 02-Ju1.2015 04-Jan-2016 06-Jan-2016 50.OO0.000.O0 EUR (52.0),000 00) USD SHORT EVRCPEAN PUT 1.0400 .7.6.057 F5i 1037233558 FINANCIAL,L1C 49711749W SCUTHERN FtEuro0pl 0241-2015 04-Jan -2016 06dan-2016 50.000.000.00 EUR (58:2).0))) USD LONG ELRCPEAN CALL 1.1640 408,091 21 1037233559 FINANCAL,LLC 4971269937 SOUTHERN PeroOpt 02•AII•2015 04-Jan-2016 06-Jan-2016 25.000.000.00 EUR (26.250.CU 00) USD SHORT ELRCPEAN PVT 10500 (I 60.935 01) 1037255502 FINANCIAL, LLC 497126993/ SOUTHERN F)Euro0pt 0241-2015 04-Jan-2016 06-Jan-2016 25.000030.00 EUR (28.9 I2.5).00) USD LONG ELRCPEAN CALL 1.1565 248.414.69 1037255503 FINANCIAL. LLC Subtotal: 739,849 22 Statement ID: 1822,3820150922_201509231 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-0118302 CONFIDENTIAL SDNY_GM_00264486 EFTA01458406