EFTA Document EFTA01457047

73v7.70177:rgte -77174 •_ 23 Mar 2015 Page 2 Of 3 Mike' Deutsche Rank AG SOUTHERN FINANCIAL, LLC erode- 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 DERNAT NE- DEFSWAP 13-Jan-2015 14-Jan-2015 20-Mar-K20 SELL 10 000 000 00 USD 10030 COD DO •JS:) I CCCC 263 Subtotal. E4lidtY • Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date Not.Amt Not.Ccy Quantity Strike Price Spot Pnce Implied Volatility Fair Price MTM(USD) LF4618253 SOUTI-ERN U4_6182536/ FraNCIAL LLC 11.1618176 SOUTHERN FINANCIAL. LLC CALL CALL ll :_l,c /l):: :4.166.Ob10j:'. USD (4.166,OLGi 27-Jan-2016 389662000 CSD 100 OCO 1 C000 38 9662 48 4400 43734 12.795 (59,t16 I.5) 127951936 Subtotal: 1.220.40221 FX- Options Trade ID Counterparty Trade Type Trade Date Maturity Date Settlement Not.Ccy Not.Ccy Date Not Amt 1 1 Not.Anit 2 2 Long/ Short Option Style Put/ Call Strike Price MTM(USD) 418822243/ SOUTHERN FrErcOpt 12.Aug.2014 12-Aug-2015 14-Aug-2016 75,000,00000 USD f4621A0.000 al) ON SHORT ELRCPFAN PUT 6.1600 /0.t&5266 c 834462396 FINANCIAL LLC _ _ _ _ _ _ _ _ _ _ Equity-Swap Hybdd db Ticket Counterparty Ref. Entity _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ Put/ Call Expiry Date Not Amt Not Ccy _ _ _ _ _ _ _ Not Amt 2 _ _ _ Not Ccy2 Subtotal _ _ _ _ _ Strike Price ,.: . .. _ _ _ _ _ ___. MTM(USD) 612676 SOUTHERN TWTR N FINANCIAL, LLC CI) (1,2. 'iC ,. i_51'. 48 ; ,C.:Ci i -i.-CJi ,i ) Statement ID : Subtotal .-`^5R`'. 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-0116425 SDNY_GM_00262609 EFTA01457047