7717n:7571,77:70, , ,ritir:71n37:717 .7 IT 01 Ape 2015
4-k . .
Pays 2 Of 3
Deutsche Bahr
Sank 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-2320 SELL 10 000 000 00 USD 10030 000 00 '.13:t I COX: 273
FINANCIAL, LLC DERNAT NE-
DEFSWAP
Subtotal.
Oaf*/ -Orton
db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Coy Quantity Strike Price Spot Pnce Implied Volatility Fair Price MTM(USD)
114618753 SOUTI-ERN 1,4_519753RJ CALL ii .2,c ,il):: :4.168.::0_!l'ia:: USD (4.165,OM 1 0000 (54.553.42)
FNMA!. LLC
NY-618176 SOUTHERN CALL 27-Jan-2016 389682000 _SD 100030 38 9662 5000.'f) 44.7395 14.110 1.410.978 40
FINANCIAL. LLC
Subtotal: ; ..gio 424 53
FX- Options IIIIIIIIL
Settlement Not.Ccy Not.Ccy
Trade ID Counterparty Trade Type Trade Date Maturity Date Date Not Amt 1 1 NotAmt 2 2 Long/ Short Option Style Put/ Call Strike Pk:* MTM(USD)
4188222437 SOUTHERN Fi.p.c0pt 12-Aupg-2014 12-Aug-2015 14-Aug-2015 75,000,00000 USD (462.OtC00 al) CM4 SHORT ELRCKAN PUT 6.1600 676301
834462396 FINANCIAL LLC
Subtotal
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ __ ___ _ _ _ __ __ __.
Equity -Swap Hybrid
db Ticket Counterparty Ref. Entity Put/ Call Expiry Date NotAmt Not Ccy Not Amt 2 Not Ccy2 Strike Price MTM(USD)
612676 SOUTHERN TWTR N 01-Feb-2016 15.(01.000 00i t ttr 53 5 !al
FINAICIAL, LLC
Subtotal
Statement ID : 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-0116487
CONFIDENTIAL SDNY_GM_00262671
EFTA01457094