EFTA Document EFTA01458907

r77.1-71:77 we 7,-;sli 04 Dec 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 SuySell Not. Amt 1 Not.Ccyl Not Amt 2 Not.Ccy2 Rate Spread LITM(USD) SOUTHERN CDSwapSov BRASOV FINANCIAL LLC 11,Ian-2015 14,bn-2015 20-Mai-2020 SELL la 00D 000 00 USD 'C. 1i1.i... 1O:1:(1 IS:i I CO:C 412 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(USD) SOUTHERN Lf1_618753BU FtlANCIAL LW SOUTHERN TWIR N FINANCIAL, LLC CALL CALL 18-Dec-2015 :4 IF/3.M: DS) 27-Jan-2016 3856,62000 USD (4,166.0001 USD 100.000 10000 38 9662 25.9003 53 2531 0.050 Rdi5.15) 5.03702 Subtotal (55.778 13; FX • Opdons 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) SCUTHERN FiEuroOpt 02-Ju1.2015 FHANCIAL,L1C SOUTIERN REuroOpl 02-.Ad-2015 FINANCAL,LLC SOUTIERN FxEuroOpt 02Ju1.2015 FINANCRI., LLC SOUTHERN MuroOpt 02-Jul-2015 FRANCK, LLC 04-Jan-2016 04-Jan.2016 04-Jan-2016 04-Jan-2016 06-Jan-2016 50000000.00 EUR 064an-2016 50.000.000.00 EUR 06-Jan-2016 25.00003060 EVR 06-Jari-2016 25.000030.00 EUR (52.000.000 00) USD (58:200.00000) USD (26.2Ki600 00) USD (269€2.500.00) USD SHORT LONG SHORT LONG ELRCPEAN EURCPEAN ELRCPEAN ELRCPEAN PUT CALL PVT CALL 1.0400 1.1640 1.0500 1.1565 (69.697&) 12.16535 $174379) 9.57765 Statement ID: Subtotal. I I : ,...4 ,;:: 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-0119035 PROT1 PROT0