EFTA Document EFTA01457886

ICJ_ "1'5 Page 2 Of 3 16.11 S aml I I II I I I I I III I I I SA I MI I 1111 I III I 111 I I I I NM Deutsche Bank AG SOUTHERN FINANCIAL, LLC Ogee' • Debut Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft Date Maturity Date BuySell Not. Amt 1 Not.Ccyl Not.Arnt 2 Not.Ccy2 Rate Spread MTM(USD) C7970754M SOUTHERN CREDIT BRASOV FINANCIAL. LLC DERNAT WE - DEFSWAP 13-Jan-2015 14-Jan-2015 20-Mar-20zV SELL 10 000 000 00 USD 10020003 00 •JITI) I CCCC 241 Subtotal. IltlifY • 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) 114518753 NY-618176 SOUTHERN LN_6187538u FINANCIAL LLC SOUTI-ERN FINANCIAL. LLC CALL CALL 18.De-2015 27.Jan-2016 :4.16600''0;: 3896620 CO USD (4.1fil.D.C) :is 0 100.030 1 CO00 38 9662 35 6603 t' 1,.; 3.087 Xl8.730 33 FX • Options Subtotal: 259.134 12 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) 412822243/ SOUTHERN FkuroOpt 12-Aug-2014 FINANCIAL, LLC SOUTHERN FiEuroOpt 02Ju1.2015 F iNANCLN.. LLC SOUTHERN F,EuruCpt 02-Jul-2015 FINANCIAL, LLC SOUTHERN bEuroOpt 02-Jul-2015 FINANCIAL LLC SOUTHERN FxEuroOpt 02-Jr1.2015 FNANCLAL, LLC 12-Aug-2015 04-Jan-2016 [repeated 4 times] 14-Aug-2015 OS-Jan-2016 06-Jat-2016 064a-2016 06-Jan-2016 75,000,000.00 USD 59000900.00 EUR 50,000,000.00 EUR 25,000,000.00 EUR 25000900.00 EUR (452,003.1300 03) G1.1 (52.0000)0 00) USD (58.203,000 00) USD (26.250.003 00) LSD (28912.500 00) OSO SHORT SHORT LONG SHORT LONG EUROPEAN [repeated 5 times] PUT PUT CALL PUT CALL 6.1600 1.0400 1.1640 1.0500 1.1565 i...116 17) ;612 440 .59 400.986 .70 (359.928841 23983606 834462395 497117498/ 1037233558 497117498/ 10372335E8 497126993/ 1037255502 4971269931 1037255503 Statement ID : Subbtal: (331 857 24) The valuation Information set forth in this statement is provided subject b the berms and conditions set forth in the notes on the cover sheet CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0 117594 PROT1 PROT0