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SOUTHERN FINANC - Page 2 of 3
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Request 182298 . •
A As of 03 Jul 15
AIINIMNIIIIIIIIIIIIIIIIIIW .
Deutsche Bask AO
soUTHERN FINANCIAL, LLC
Credo - Default Swap
Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft. Date Maturity Date BuySell Not.Amt 1 Not.Ccy1 Not.Arnt 2 Not.Ccy2 Rate Spread MTM(USD)
SOUTHERN CREDIT BRASOV 13-Jan-2015 14,bn-2015 20-Mat-2un1 SELL 10,000.000 00 USD 1000000 D0 USD I CCCC 231
FINANCIAL, LLC DERNATIVE-
DEFSWAR
Subtotal.
Equity • Option
db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Ccy Quantity Strike Price Spot Pnce Implied Volatility Fair Price tATM(uSD)
SOUTHERN 1t 6'c -.H1: CALL .c. .CC..(J.:: : 4.I&6JAX'DO) USD (4.1fil,CGC) I C000
FINANCIAL LLC
SOUTHERN CALL 27,lan-2016 3.888.62000 Lisp 100.000 38 9662 35 7203 4:, :i:: 3369
FNANCIAL.LLC
Subtotal: 4'5 i I1
Settlement Not.Ccy Not.Ccy
DealGroupID Counterparty Trade Type Trade Date Maturity Date Date Not.Amt 1 1 Not.Amt 2 2 Long/ Short Option Style Putt Call Strike Price MTM(USD)
SOUTHERN FkuroOpt 12-Aug-2014 12-Aug-2015 14-Aug-2015 75,00000000 USD (452,001(00 03) CM SHORT EURCPEAN PUT 6.1600 ;7,OSb5'ii1
FINANCIAL, LLO
SOUTHERN RiEuroOpt 024j1.2015 04-Jan-2016 05-Jan-2016 50.00000000 EUR (52.000000 00) USD SHORT EUROPEAN PUT 1.0400 2626701
FINANCIAL. LLC
SOUTHERN FzEurcOpt 02-Jul-2015 04-Jan-2016 06-Jai-2016 50,000,000.00 EUR (58.20/,00000) USD LONG EUROPEAN CALL 1.1640 2822534
FINANCIAL. LLC
SOUTHERN bEuroOpt 02-Jul-2015 04-Jen-2016 06-Jan-2016 25000,000.00 EUR (26.20/.0000/) USD SHORT EUROPEAN PUT 1.0500 21,996.85
FINANCIAL, LLC
SOUTHERN ExEuroOpt 02,U1-2015 04-Jan-2016 06-Jan-2016 250:0.030 00 EUR (28$12.50000) WO LONG EUROPEAN CALL 1.1565 14.73576
FINANCIAL. LLC
Subbtal: 83366.45
Statement ID :
The valuation Information set forth in this statement is provided subject b the kerns and conditions set forth in the notes on the cover sheet
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0117513
CONFIDENTIAL SDNY_GM_00263697
EFTA01457825