EPSTEIN
page 2 / 823 . OCR, unverified
EFTA01473592
--- PAGE 2 ---
or calculated using other
methodologies may also yield different results and any adjustments may not
apply for the duration of the transaction or instrument. Any subsequent
valuations provided to you will almost certainly differ from this valuation.
This difference can be less favourable to
you, and due to the volatility of market conditions, the size or notional
amount of the decrease or increase and other factors, the differential could
be substantial. DB shall not be liable for any errors or omissions made in
calculating or disseminating valuations, or
for any inaccuracies or flaws in the methodologies, adjustments or
assumptions. DB specifically disclaims liability for any losses or damages
(incidental, consequential or otherwise) that may arise from valuations that
are either used or relied upon by you or any
other party for any reason including, without limitation, your use of
valuations in preparation of your own financial books and records.
Statement ID : 182298 28158617 20150618 1
EFTA01473593
--- PAGE 3 ---
Deutsche Bank Group Valuation Statement
Request 182298
Jun 2015
SOUTHERN FINANCIAL, LLC
As of 17 Jun 15
Deutsche Bank AG
SOUTHERN FINANCIAL, LLC
Credit - Default Swap
Trade ID
C7970754M
Counterparty
SOUTHERN
FINANCIAL, LLC
Trade Type
CREDIT
DERIVATIVEDEFSWAP
Equity
- Option
db Ticket
LN-618753
NY-618176
Counterparty
SOUTHERN
FINANCIAL LLC
SOUTHERN
FINANCIAL, LLC
FX - Options
DealGrouplD
Counterparty
SOUTHERN
FINANCIAL, LLC
Equity - Swap Hybrid
db Ticket
612676
Trade Type
FxEuroOpt
Trade Date Maturity Date
12-Aug-2015
12-Aug-2014
Settlement
Date
14-Aug-2015
Not.Amt 1
75,000,000.00
Not.Ccy
USD
Not.Amt 2
(462,000,000.00)
EFTA01473594
--- PAGE 4 ---
Not.Ccy
CNH
Long/ Short
SHORT
Option Style
EUROPEAN
Put/ Call
PUT
Strike Price
6.1600
Subtotal:
MTM(USD)
(10,887.93)
(10,887.93)
0.00
Ref. Entity
LN 618753BU
TWTR.N
Put/ Call
CALL
CALL
Expiry Date
18-Dec-2015
27-Jan-2016
Not.Amt
(4,166,000.00)
3,896,620.00
Not.Ccy
USD
USD
Quantity
(4,166,000)
100,000
Strike Price
1.0000
38.9662
Spot Price
34.6900
Implied Volatility
41.7134
Subtotal:
Fair Price
2.957
MTM(USD)
(68,685.62)
295,751.00
227,065.38
0.00
Ref. Entity
BRASOV
EFTA01473595
--- PAGE 5 ---
Trade Date
13-Jan-2015
Eff. Date
14-Jan-2015
Maturity Date
20-Mar-2020
BuySell
SELL
Not.Amt 1
10,000,000.00
Not.Ccyl
USD
Not.Amt 2
10,000,000.00
Not.Ccy2
USD
Rate
1.0000
Subtotal:
Spread
231
MTM(USD)
(552,070.67)
(552,070.67)
0.00
Page 2 Of 3
Counterparty
SOUTHERN
FINANCIAL, LLC
Statement ID : 182298_20150617_20150618_1
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
Ref. Entity
TWTR.N
Put/ Call
Expiry Date
01-Feb-2016
Not.Amt
(3,641,000.00)
Not.Ccy
USD
Not.Amt 2
Not.Ccy2
Strike Price
36.4100
Subtotal:
MTM(USD)
173,605.88
173,605.88
0.00
EFTA01473596
--- PAGE 6 ---
Deutsche Bank Group Valuation Statement
Request 182298
Jun 2015
SOUTHERN FINANCIAL, LLC
As of 17 Jun 15
Deutsche Bank AG
SOUTHERN FINANCIAL, LLC
Total:
Statement ID : 182298_20150617_20150618_1
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
(162,287.34)
Page 3 Of 3
EFTA01473597
--- SOURCE: IMAGES__0091__EFTA01473598.txt ---
METADATA_SOURCE: IMAGES0091
METADATA_FILENAME: EFTA01473598.pdf
----------------------------------------
Trade Type,Trade ID,DealGroupID,MTM,Ccy,Secondary MTM,Secondary
CCY,Counterparty,Trade Date,Eff. Date,Settlement Date,Maturity Date,Delivery
Date,Not.Amt 1,Not.Ccyl,Not.Amt 2,Not.Ccy2,Quantity,Ref. Entity,Long/
Short,Put/ Call,Strike Price,DBPays DBReceives,Next Reset,Spread At
Maturity,Pmt Rate Ref.,Rate,Price Per Unit,BuySell,Pmt Ccy,Implied
Volatility,Swapswire ID,Fair Price,Spot Price,Option Type,Option
Style,Party,Delta,Product Type,Underlying Ticker,Unit,Vega,Gamma,
"CREDIT DERIVATIVE-DEFSWAP","C7970754M","C7970754M",-552070.67,"USD"„"
","SOUTHERN FINANCIAL, LLC",13-3an-2015,14-3an-2015,20-Mar-2020,20-
Mar-2020„10000000.00,"USD",10000000.00,"USD"„"BRASOV","SHORT","
"DB Receives 1 FIXED", 231.071743,"FIXED",1„"SELL","USD"„" ",
,"
"," ","DEUTSCHE BANK AG, LONDON, LONDON"," ","FIXED RATE CASH FLOW"," ","
"EQUITY OPTION","901634610","LN-618753",-68685.62,"USD"„" ","SOUTHERN
FINANCIAL LLC",30-Jan-2015,30-Jan-2015„18-Dec-2015,18-
Dec-2015,-4166000.00,"USD"„" ",-4166000,"LN 618753BU","SHORT","CALL",1,"
„",
",
"
0.0240,"SELL","USD"„" ", „"STRUCTURED","EUROPEAN","DEUTSCHE
BANK AG, LONDON, LONDON"," ","EQUITY OPTION"," "," "," "," ",
"EQUITY OPTION","IMAG603575628","NY-618176",295751.00,"USD"„" ","SOUTHERN
FINANCIAL, LLC",27-3an-2015,27-3an-2015„27-Jan-2016,01-
Feb-2016,3896620.00,"USD",3896620.00,"USD",100000,"TWTR.N","LONG","CALL",-
38.9662," "„ ," "„7.2828,"BUY","USD",41.7134," ",-