EFTA01364404.pdf

Multi-Asset Risk Premia Portfolio Option Pricing* ■ However, a 2-year 90% put on Multi-Asset Risk Premia Portfolio TV5 costs 0.85%, or approx. 0.45% per annum, versus backtested returns of -8% per annum on the index. Maturity/Strike St ri e 85' Strike TV5 2 years 0.85% 3 years 1.45% 0.60% ■ Similarly, a 2-year 90% put on Multi-Asset Risk Premia Portfolio TV8 costs 2.0%, or approx. 1.0% per annum, versus backtested returns of —13% per annum on the index. Maturity / Strike 90% Strike 85% Strike TV8 2 years 2.02% 3 years 3.85% 2.37% *Prices shown are broadly indicative as of Dec 2016; option pricing on specific portfolios may differ 19 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0054938 CONFIDENTIAL SDNY_GM_00201122 EFTA01364404