EFTA01365346.pdf

g7 Figure 35: Comparing performance under rising and falling markets' Equity vs. various 36M call option stiategifn e (a co Deo-02 to Oct-07 Oct-07 to Mr-08 Mara to Rep-13 Apr-13 to Sep-13 Dec-02 to Sep-13 Dec-02 to Apr-13 is a QD .2" 3 Return Vol Return Vol Return Vol Return Vol Return Vol Ret/Vol Return Vol RatNol LA g Equity 13.3% 12.8% -55.3% 37.8% 223% 18.7% 169% 11.3% 80% 20.3% 392% 7.6% 20.6% 36.6% a ;:a. a 0 to 473. Outright: ATM 7.3% 9.0% -23.0% 12.3% 8.9% 10.1% 13.5% 7.9% 3.9% 10.0% 39.5% 3.6% 10.1% 35.5% Outright: 18% 81% 11.4% -22.2% 12.2% 87% 10.6% 15.0% 81% 4.3% 11.2% 38.3% 39% 11.2% 34.3% 13 Outright: 10% 5.8% 8.6% •12.3% 7.4% 4.6% 7.1% 12.1% 7.6% 2.8% 7.9% 368% 2.6% 7.9% 31.1% g7 Outright:6% 4.2% 6.7% -6.8% 6.0% 2.2% 4.7% 9.4% 6.2% 1.9% 5.7% 33.0% 1.6% 5.7% 27.9% Spread: ATM - 6% 5.2% 4.9% •13.0% 7.7% 6.8% 5.9% 4.5% 2.0% 3.4% 5.8% 59.8% 3.4% 5.9% 58.1% el Spread: 18% - 6% 6.0% 6.2% •12.3% 7 5% 6.6% 6.2% 6.3% 3.4% 3.8% 6.4% 59.4% 3.7% 6.6% 57.1% A Spread: ATM - 2% Spread: 18% • 2% 7.0% 6.8% -19.5% 10.8% 10.7% 8.8% 8.8% 9.2% 10.1% 11.7% 6.2% 42% 8.3% 51.0% 48.1% 4.0% 4.3% 8.4% 9.6% 47.7% 44.7% 7.7% 9.3% -18.8% 8.6% 6.6% 4.6% 9.6% Spread: 10% - 2% 6.4% 6.0% -9.0% 6.7% 4.4% 6.6% 8.7% 4.9% 3.1% 6.8% 63.1% 2.9% 6.9% 49.1% Spread: ATM - 1M2% 8.1% 8.4% -21.0% 11.9% 8.4% 9.3% -3.1% 7.1% 4.4% 9.3% 46.9% 4.7% 9.4% 49.6% Spread: 18%- 1M 2% 8.8% 10.7% -20.2% 11.8% 8.3% 9.7% -1.3% 8.2% 4.7% 10.5% 44.9% 4.9% 10.6% 46.8% Spread: 10% - 1M 2% 66% 82% -104% 7.0% 4.0% 6.3% -4.6% 6.8% 3.2% 7.3% 44.3% 3.6% 7.3% 48.4% Outright: ATM 8.3% 10.4% -22.0% 11.7% 10.3% 11.4% 13.5% 7.9% 5.1% 11.0% 46.2% 4.8% 11.1% 42.8% Outright: 18% 8.8% 10.9% -23.6% 12.7% 9.8% 11.5% 16.0% 9.1% 4.9% 11.4% 43.1% 4.5% 11.5% 39.4% Outright: 10% 6.5% 8.5% -lam 7.8% 5.0% 7.5% 12.1% 7.6% 3.2% 8.0% 40.4% 2.9% 8.0% 36.0% Outright: 6% 4.7% 6.1% -7.6% 6.2% 2.3% 4.7% 9.4% 6.2% 2.0% 5.4% 37.2% 1.7% 5.4% 32.0% Spread: ATM - 6% 6.8% 6.0% -11.3% 6.7% 8.1% 7.6% 4.6% 2.0% 4.6% 6.4% 70.1% 4.6% 6.6% 69.0% CC Spread: 18% - 6% 6.3% 5.5% -12.6% 7.7% 7.7% 72% 6.3% 3.4% 4.4% 6.6% 66.2% 4.3% 6.7% 84.2% Spread: ATM • 2% 7.9% 8.6% -18.1% 9.8% 10.1% 10.3% 10.1% 52% 6.3% 9.6% 55.8% 5.1% 9.7% 53.2% Spread: 18% - 2% 8.3% 9.1% -19.6% 10.9% 9.6% 10.3% 11.7% 6.6% 6.2% 9.9% 62.4% 4.9% 10.0% 49.2% Spread: 10% - 2% 6.1% 6.6% -9.5% 5.8% 4.9% 6.2% 8.7% 4.9% 3.5% 6.3% 54.8% 3.3% 6.4% 51.2% Spread: ATM - 1M 2% 9.1% 9.6% -20.1% 11.3% 9.8% 10.5% -3.1% 7.1% 6.6% 10.2% 53.6% 58% 10.3% 56.3% Spread: 18% • 1M 2% 9.6% 10.1% -21.6% 12.3% 9.4% 10.5% -1.3% 82% 6.3% 10.6% 60.4% 6.6% 10.7% 52.5% Spread: 10%- 1M2% 7.3% 7.7% -11.5% 7.4% 4.7% 6.7% -4.6% 6.8% 3.7% 7.3% 50.6% 4.0% 7.3% 54.9% Outright: ATM 87% 11.4% -26.6% 14.0% 11.3% 15.7% 18.3% 10.8% 6.1% 13.7% 36.9% 4.6% 13.8% 32.9% Outright: 18% 9.0% 11.7% -28.6% 15.6% 9.8% 14.9% 17.8% 11.0% 4.3% 13.7% 31.6% 3.8% 118% 27.6% Outright: 10% 6.5% 9.6% -16.7% 9.5% 3.4% 9.9% 15.3% 9.7% 2.1% 9.7% 21.5% 1.6% 9.7% 16.2% Outright:6% 4.1% 7.0% -9.9% 6.6% 2.1% 4.8% 12.1% 8.1% 1.4% 6.1% 22.8% 1.0% 6.0% 16.1% Spread: ATM - 6% 6.8% 5.4% -13.5% 8.5% 9.2% 12.4% 7.8% 3.7% 5.1% 9.4% 54.8% 5.0% 9.5% 52.9% Spread: 18% • 6% 7.2% 6.7% -15.6% 10.4% 7.9% 11.6% 7.4% 4.0% 4.6% 9.3% 48.3% 4.4% 9.4% 46.3% Spread: ATM - 2% 8.4% 98% -21.9% 12.0% 10.9% 16.0% 16.2% 60% 5.4% 12.6% 43.3% 6.1% 12.7% 39.8% rn Spread: 18% - 2% 8.8% 10.0% -238% 13.8% 9.4% 14.2% 14.8% 8.3% 4.7% 12.5% 37.8% 4.3% 12.6% 34.2% Deutsche Bank Securities Inc Spread: 10% - 2% 6.3% 8.0% -12.1% 7.3% 3.1% 9.2% 12.0% 6.8% 2.6% 8.4% 29.5% 2.1% 8.5% 24.9% Spread: ATM - 1M2% 9.4% 10.6% -24.3% 13.6% 10.8% 14.4% 0.6% 9.9% 66% 12.7% 43.6% 6.7% 12.8% 44.7% Spread: 18%- 1M2% 9.7% 10.7% -262% 15.0% 9.4% 13.6% 0.3% 10.1% 48% 12.6% 38.2% 5.0% 12.7% 39.3% Spread: 10% - 1M 2% 7.3% 8.7% -14.6% 9.1% 3.1% 8.6% -3.4% 8.9% 2.6% 87% 29.9% 2.9% 8.7% 32.7% Sovc• Dazscht E.wg CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0056052 CONFIDENTIAL SDNY_GM_00202236 EFTA01365346