EFTA Document EFTA01457926

A SOU ERN Fl Request 182298 As of 27 Jul 15 ""' IIIbrale 28 J_ 2:"b Page 2 Of 3 Deutsche BenkAG SOUTHERN FINANCIAL, LLC Dredit - 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) C7970754M SOUTHERN CREDIT BRASOV FINANCIAL, LLC DERNAT NE- DEFSWAP 13.Jan-2015 1443n-2015 20-Mar.2u SELL 10,000.000 00 USD 10033003 00 USD I CCCC 753 Subtotal 'teeny - Option db Ticket Counterparty Ref. Entity Put/ Call E>pay Date Not.Amt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) 111.618753 NY-618176 SOVTFERN 1)1_6187536u FelANCLAL LLC SOUTFERN FNANCIAL. LLC CALL CALL 180ec-2015 :4.1661.07 33) 27.Jan-2016 3896620CD usD (4.166,IXC) jSD 100.000 1 C000 38 9662 34 7003 468976 3048 (56,1'8 ai.i 304 786 49 FX • Options Subtotal DealGrouplD 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 Putt Call Strike Price MTM(USD) 412822243/ SOUTHERN FkuroOpl 12-Mg-2014 FINANCIAL, LLC SOUTHERN RiEuroOpt 02-10015 FINANCIAL. LLC SOUTHERN F,Euro0pt 02-Jul-2015 FINANCIAL, LLC SOUTHERN F)EuroOpt 02-Jol-2015 FINANCIAL, LLC SOUTHERN FrEuro0pt 02-ad-2015 FNANCLAL, LLC 12-Aug-2015 04-Jan-2016 04-Jan-2016 04-Jan-2016 04-Jan-2016 14-Aug-2015 75,000,000.00 USD 05-Jan2016 5000090090 EUR 06-Jat-2016 50.000.000.03 EUR 064art-2016 25000900.00 EUR 06-Jan-2016 250i:003000 EUR (452993.060 03) CM-I (52.000960 00) USD (58.260900 00) USD (26.250.00D 00) LSD (28.912.500 00) us0 SHORT SHORT LONG SHORT LONG ELRCPEAN EUROPEAN EUROPEAN EUROPEAN EUROPEAN PUT PUT CALL PUT CALL 6.1600 1.00 1.1640 1.0500 1.1565 0.00 ;397,451.ta) 560.069.04 (241256 t2) 32832984 834462395 497117498/ 1037233558 497117498/ 1037233528 497126993/ 1037255502 497126993r 1037255503 Statement ID: Subbtal: 249.651.28 The valuation information set forth in this statement is provided subject b the terns and conditions set forth in the notes on the cover sheet CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0117649 SDNY_GM_00263833 EFTA01457926