EFTA Document EFTA01458410

q. LI „....„,:,wen, . litaiiiinaanillbs- - "MillananaiLlk 24 Sep 2015 Page 2 Of 3 Deutsche Sank AG SOUTHERN FINANCIAL, LLC Credit • Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eff. Date Maturity Date BuySell NotAmt 1 Not.Ccyl Not Amt 2 Not.Ccy2 Rate Spread LITM(USD) C7970754M SOUTHERN CDSwapSov BRASOV FINANCIAL LLC 13-Jan-2015 14,bn-2015 20-Mal-2020 SELL la 000 000 00 USD 'C. :CI:. 10:1:(1 IS:i I CO:C 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(USO) 04618753 SOUTHERN Lt1_618753BU FINANCIAL LLC NY-6I8176 SOUTHERN TWIR N FINANCIAL. LLC CALL CALL 18-Dec-2015 ;4 i&6. ' 35) USD (4,166.0W; 27-,lan-2016 3896,620 00 USD 100.000 10000 389662 26.7900 50 4397 0.461 (`.725' Coi 4589417 Subtotal: i 1 1.3V2 48; FX • Options DealGroupID Counterparty Trade Type Trade Date Maturity Date Settlement Not.Ccy Not.Ccy Date NotAmt 1 1 Not.Amt 2 2 Long/ Shod Option Style Put/ Call Strike Price MTM(USD) 497117498i SOUTHERN FiEuroOpt 0241.2015 1037233558 FINANCIAL, the 497117496E SOUTHERN Moat 0241-2015 10372335:0 FINANCIAL, LLC 497126993i SOUTHERN FieroOpt 0241.2015 10372555(0 FINANCIAL, LW 497126993/ SOUTHERN F)Eurocpt 0241.2015 1037255503 FINANCIAL, LLC 04-Jan-2016 [repeated 4 times] 06-4a n-2016 50000000.00 EUR (52.000,000 00) LSO 064an-2016 50.000.000.00 EUR (58:200.00000) USD 05-Jan-2016 25.03003000 EVR (76.2KP.000 00) USD 06,Ian-2016 25.000030.00 EUR (26.912,5C0.0J) USD SNORT LONG SHORT LONG EUFICREAN EUtOPEAN EURCPEAN ELRCPEAN PUT CALL PVT CALL 1.0400 1.1640 1.0500 1.1565 (246 '4' 3 .•: i 415.489.05 1155.0240m 252.92721 Statement ID Subtotal. al; 475 35 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) CONFIDENTIAL DB-SDNY-0118308 SDNY_GM_00264492 EFTA01458410