EFTA Document EFTA01459171

Irsr . S • . . 1. 711,471M.1:.i..71-." -. .1 MMRIF i ake i 24 Dec 2015 Page 2 of 3 alilla More Bank AG credit • Debut Swap Trade ID Counterparty Trade Type Ref. Entity Trade Date Eft. Date Maturity Date BuySell Not.Amt 1 Not.Ccyl Not Amt 2 Not.Ccy2 Rate Spread LITFA(USD) SOUTHERN CDSwapSov BRASOV FINANCIAL. LLC I 3,lan.2015 1443n-2015 20-Mar-2020 SELL 10 00000000 USD I :Cll. 10:1:(1 is:.' 1 CO:C 4';.I Subtotal Equity -Option db Ticket Counterparty Ref. Entity Put/ Call Expiry Date NotAmt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USO) SOUTHERN TIMM N FINANCAL.LLC CALL 27.4an.2016 389662000 USD 100 (03 381;662 226700 652837 0005 49955 Subtotal: 499 55 FX • Op bas DealGrouplD Counterparty Trade Type Trade Date Maturity Date Settlement NotCcy NotCcy Date NotAmt 1 1 Not.Amt 2 2 Long/ Short Option Style Put/ Call Strike NCO MTM(USD) SOUTHERN FkuroOpl 02-Ad-2015 FINANCLAL, LLC SOUTHERN FifuroOpt 02-Jul-2015 FINANCLAL. LLC SOUTHERN FxEuroOpt 02-Jul-2015 Ft4ANCIAl.. LLC SOUTHERN FkuroOpt 02-Jul-2015 FINANCIAL, LLC 04-Jan-2016 04-Jan-2016 04-Jan-2016 04-Jan-2016 06-Jan-2016 50,000,000.00 EUR (52.(00.000 0) LSD 06Jan-2016 50,030,000.00 EUR (58260.000 00) USD 06-Jan-2016 25.000.030.00 EUR (2620600.00) USD 06-Jan-2016 25.006000.00 EUR (28.912.50:00) USD SHORT LONG SHORT LONG EUROPEAN ELROPEAN EtROPEAN EUROPEAN PUT CALL PUT CALL 1.0400 1.1840 1.0500 1.1565 (311 XI) 0.00 (757.31) (0 .14) Subtotal Equity—SAW HOS rib Ticket Counterparty Ref Entity Put/ Call Expiry Date Not Amt Not Ccy Not Amt 2 Not Ccy2 Strike Price MTM(USD) Statement ID SCUIHHI. • \ ,. -, I. illAt„CiAL _0 O1.Feb-2016 (2,540,C,Ce O0i USD 254000 274 472 it' 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-0119437 SDNY_GM_00265621 EFTA01459171