EFTA Document EFTA01456945

707 n :Ca 71,77:7111,,,ritr:77,1137:71.77 . 1:: .. . IT 09 Mar 2015 Pays 2 Of 3 ANIL.- Deutsche Rank AG SOUTHERN FINANCIAL, LLC 0 red* - 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 FINANCIAL, LLC DERIVAT WE- DEFSWAP 13-Jan-2015 14-Jan-2015 20-Mar-X20 SELL 10003000 00 LtSD 10030 003 DO 11Tii:t I CCCC 253 Subtotal EsPatY • Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not. Coy Quantity Strike Price Spot Pnce Implied Volatility Fair Price MTM(USD) LN619753 SOUTI-ERN 1,4_6187538u FINANCIAL LLC tinc618176 SOUTHERN FINANCIAL. LLC CALL CALL ll .2Lc /3:L. :4.166.::0:: lO:: USD (4.166,0(X1 27-Jan-2016 389662000 ...ISO 100000 I C000 38 9662 467600 it sii hi !I !Fib Subtotal • '2,'L33 CZ FX- Options Trade ID Counterparty Trade Type Trade Date Maturity Date Settlement Not.Ccy Not.Ccy Date Not Amt 1 1 Not.Amt 2 2 Long/ Short Option Style Put/ Call Strike Mite MTM(USD) 41887224.3i SOUTHERN ri.ErcOut 12.Aug.2014 12-Aug-2015 14-Aug-2015 75,000,(M00 USD r462.001.00j al) CNN SHORT ELRCPFAN PUT 6.1600 ;329,Y.>8 834462396 FINANCIAL LLC _ _ _ _ _ _ _ _ _ _ Equity-Swap Hybdd db Ticket Counterparty Ref. Entity _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ PuU Call Expiry Date Not.Amt Not.Ccy _ _ _ _ _ _ _ Not.Amt 2 _ _ _ Not.Ccy2 Subtotal _ _ __ ___ Stnke Price _ _ _ ___ __. MTM(USD) 612676 SOUTHERN TWTR N FINANCIAL, LLC 01-Feb-2016 Ch 001 USD 480800 13351616 Statement ID: 182298.20150306.20150309_1 Subtotal: 133 616 16 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 r CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0116296 SDNY_GM_00262480 EFTA01456945