EFTA Document EFTA01457078

-7,77 71 : 77 7 tritirm lis - • X) Mar 2015 Page 2 Of 3 Deutsche Sank AG SOUTHERN FINANCIAL, LLC Cred8 - Default Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Elf Date Maturity Date BuySell Not.Arnt 1 Not.Ccy1 Not.Arnt 2 Not.Ccy2 Rate Spread MTM(USD) SOUTHERN CREDIT FINANCIAL, LLC DERNATrVE- 13-Jan-2015 14,bn-2015 20-Mar-2320 SELL 10 000 000 00 USD 10030 000 DO '..13:.i I COX: 253 DEFSWAP 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 MTM(USD) SOUTHERN FNANCLAL LLC SOUTI-ERN FINN4CIAL.LLC CALL 18-Dec-2015 :4 1€7310,!%:n USD 0.188,0W) CALL 27-Jan-2016 3 89662000 is() 100030 1 0000 38 9662 50 0100 .14 f.i.,61 Subtotal FX- Options Trade ID Counterparty Trade Type Trade Date Settlement Not.Ccy Not.Ccy Maturity Date Date Not Amt 1 1 Not.And 2 2 Long/ Short Option Style Put/ Call Strike Prke MTM(USD) SOUTHERN NE uroOpl 12-Aug-2014 FINANCIAL LLC 12-Aug.2015 14-Aug-2015 75,000,00000 USD (4621A-OCO:i al) ON SHORT ELRCPEAN PUT 6.1600 ;21.4555.1) _ _ _ _ _ _ _ _ _ _ Equity-Swap Hybrid db Ticket Counterparty Ref. Entity _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ Put/ Call Expiry Date NotArnt Not Ccy Subtotal _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ Not Amt 2 Not Ccy2 Strike Price _ _ _ _ _ ____. MTM(USD) SOUTHERN FINANCIAL, LLC 01-Feb-2016 45.col cm °al I. it ec c !co Statement ID: 182298_20150327_20150330_1 Subtotal The valuation information set forth In elks 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-0116467 SDNY_GM_00262651 EFTA01457078