741110re Page
15Ape 2015
2 Of 3
Deutsche Sank AG
SOUTHERN FINANCIAL, LLC
erode - Default Swap
Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft. Date Maturity Date BuySell NotArnt 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 10 000 000 00 USD 10020003 00 '.153i I CCCC 221 ''. :'
FINANCIAL, LLC DERIVAT WE-
DEFSWAP
Subtotal
,,..
EclidtY • Option
db Ticket Counterparty Ref. Entity PO Call Expiry Date Not.Amt Not.Ccy Quantity Strike Price Spot Pnce Implied Volatility Fair Price MTM(USD)
Lba618753 SOUTFERN L14_618753Bu CALL ll .•_:,c /3:5 :4.166.03.!l•Cs USD (4.1fil,CO3) 1 0000 (100,900 97)
EMMA!. LLC
fW1.618176 SOUTFERN CALL 27.Jan.2016 389682000 _SD 100.000 38 9662 51 2003 435177 14.732 1.473 18986
FNANCIAL. LLC
Subtotal: • ', 28: e'r,
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 F ..EroCot 12Aug.2014 12Aug.2015 14-Aug-2015 75,000,030 00 USD (462,c J.003 03) CNN SHORT ELRCPEAN PUT 6.1600 (883 l',
834462396 FINANCIAL LLC
Subtotal
Equity -Swap Hybrid
db Ticket Counterparty Ref Entity Pug CaU Expiry Date NotAmt Not Ccy Not Amt 2 Not Ccy2 Strike Price MTM(USD)
612676 SOUTHERN - v,:-:: '. 01-Feb-2016 15/3010X 001 t sr 531 ICC
FINANCIAL, LLC
Subtotal
Statement ID: 182298_20150414_20150415_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-0116684
CONFIDENTIAL SDNY_GM_00262868
EFTA01457227