EFTA Document EFTA01457825

A irnr :r a an -77'4, piri -..?2 - it r7 -Tr ,- i s 06 Jul 2015 Page 2 of 3 4 SOUTHERN FINANC - l• Request 182298 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 FINANCIAL, LLC DERNATIVE- DEFSWAR 13-Jan-2015 14,bn-2015 20-Mat-2un1 SELL 10,000.000 00 USD 1000000 D0 USD I CCCC 231 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: - FINANCIAL LLC SOUTHERN FNANCIAL.LLC CALL CALL .c. .CC..(J.:: 27,lan-2016 4.I&6JAX'DO) 3.888.62000 USD (4.1fil,CGC) Lisp 100.000 I C000 38 9662 35 7203 4:,:i:: 3369 Subtotal: 4'5 i I 1 DealGroupID Counterparty Trade Type Trade Date Maturity Date Settlement Date Not.Ccy Not.Ccy Not.Amt 1 1 Not.Amt 2 2 Long/ Short Option Style Putt Call Strike Price MTM(USD) SOUTHERN FkuroOpt 12-Aug-2014 FINANCIAL, LLO SOUTHERN RiEuroOpt 024j1.2015 FINANCIAL. LLC SOUTHERN FzEurcOpt 02-Jul-2015 FINANCIAL. LLC SOUTHERN bEuroOpt 02-Jul-2015 FINANCIAL, LLC SOUTHERN ExEuroOpt 02,U1-2015 FINANCIAL. LLC 12-Aug-2015 04-Jan-2016 04-Jan-2016 04-Jen-2016 04-Jan-2016 14-Aug-2015 05-Jan-2016 06-Jai-2016 06-Jan-2016 06-Jan-2016 75,00000000 USD 50.00000000 EUR 50,000,000.00 EUR 25000,000.00 EUR 250:0.030 00 EUR (452,001(00 03) CM (52.000000 00) USD (58.20/,00000) USD (26.20/.0000/) USD (28$12.50000) WO SHORT SHORT LONG SHORT LONG EURCPEAN EUROPEAN [repeated 4 times] PUT PUT CALL PUT CALL 6.1600 1.0400 1.1640 1.0500 1.1565 ;7,OSb5'ii1 2626701 2822534 21,996.85 14.73576 Statement ID : Subbtal: 83366.45 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) CONFIDENTIAL DB-SDNY-0 117513 PROT1 PROT0