73v7.70177:rgte -77174
•_ 23 Mar 2015
Page 2 Of 3
Mike'
Deutsche Rank AG
SOUTHERN FINANCIAL, LLC
erode- 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 14-Jan-2015 20-Mar-K20 SELL 10 000 000 00 USD 10030 COD DO •JS:) I CCCC 263
FINANCIAL, LLC DERNAT NE-
DEFSWAP
Subtotal.
E4lidtY • 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)
LF4618253 SOUTI-ERN U4_6182536/ CALL ll :_l,c /l):: :4.166.Ob10j:'. USD (4.166,OLGi 1 C000 (59,t16 I.5)
FraNCIAL LLC
11.1618176 SOUTHERN CALL 27-Jan-2016 389662000 CSD 100 OCO 38 9662 48 4400 43734 12.795 127951936
FINANCIAL. LLC
Subtotal: 1.220.40221
FX- Options
Settlement Not.Ccy Not.Ccy
Trade ID Counterparty Trade Type Trade Date Maturity Date Date Not Amt 1 1 Not.Anit 2 2 Long/ Short Option Style Put/ Call Strike Price MTM(USD)
418822243/ SOUTHERN FrErcOpt 12.Aug.2014 12-Aug-2015 14-Aug-2016 75,000,00000 USD f4621A0.000 al) ON SHORT ELRCPFAN PUT 6.1600 c/0.t&5266
834462396 FINANCIAL LLC
,.: . ..
Subtotal
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ ___.
Equity -Swap Hybdd
db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not Amt Not Ccy Not Amt 2 Not Ccy2 Strike Price MTM(USD)
612676 SOUTHERN TWTR N CI) (1,2. 'iC ,. i_51'. 48 ; ,C.:Ci i -i.-CJi ,i )
FINANCIAL, LLC
Subtotal . -`^5R`'.
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
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0116425
CONFIDENTIAL SDNY_GM_00262609
EFTA01457047