EFTA01461056.pdf

5. Higher dividends (lower forwards) and lower volatility makes the underlying optionality in the trade cheaper leading to a leveraged upside participation Risks 1. Counterpart Risk 2. Mark-to-Market Risk 3. Risk of rising Libor Rates Payoff Comparison at Maturity 30% 25% 20% -n- 15% 10% • 5% Index Long Only 0% yr , .,__, , —.Structure g Lzt 4. 4 I Ig4 44 45!,17'44,4 -10% -15% • ..... -20% -25% Index performance comparison vs benchmarks — Higher returns and lower volatility than the benchmark — The Index is also showing lower drawdowns than the benchmarks — The beta to SX5E Index is about 55% over the full period Performance since Index inception Return statistics 250 STOXX Europe Low Beta High 225 Div 50 Index SX5E Index STOXX Europe 200 (PR) Index (PR) 600 Index (PR) 175 IRR since inception 6.80% 2 34% 4.42% YR) return 789% 376% 451% 150 1-month return -0 45% 1 68% 0 32% 125 3-month return -0.79% -0 07% 0.36% 100 1year return 15.42% 1150% 10.51% 75 3 Year return 42 45% 48.00% 51.88% Worst day -8.01% -788% -7.62% 50 Dee 02 Dec 04 Dec 06 Dec 013 Dec 10 Dec 12 Best day 10.34% 11.00% 9.87% Maximum Drawdown -42 56% -6029% -60.54% — MX% Europe Low Beta High Dw 50 Index (PR) Annualised Volatility 14.29% 22A5% 18.93% — EuroSTOXX 50 Index (PR) ReturivRisk ratio 0.48 0.10 023 —97O)0( Europe 600 index (PR) Beta 100.00% 55.63% 68.86% Correlation 100.00% 87 42% 91.14% CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 122869 CONFIDENTIAL SDNY_GM_00269053 EFTA01461056