EFTA01365015.pdf

ew ., Deutsche Bank Securities Inc. Appendix A: Bacl<test Results .? g Z' 3 g. g r a Z (Figure 34: Comparing performance under rising and falling markets: Equity vs. various 1IIM call option strategies 0 0 co —. Dec-02 to Oct-07 Oct-07 to Mar-09 Mar-09 to Up-13 Apr-13 to Sep-13 Dec-02 to Sep-13 Dec-02 to Apr-13 41 Return Vol Return Vol Return Vol Return Vol Return Vol ReVVol Return Vol RetNol of Equity 133% 128% -55.3% 37.8% 223% 18.7% 189% 11.3% 80% 20.3% 392% 7.5% 206% 36.6% 9: Outright: ATM 6.4% 6.8% -24.5% 10.4% 8.8% 9.0% 10.8% 7.7% 3.3% 8.4% 39.0% 3.0% 8.4% 35.4% Outright: 9% 6.5% 6.8% -18.6% 8.1% 7.1% 8.6% 11.9% 8.1% 3.4% 7.8% 43.7% 3.1% 7.8% 39.5% Outright: 5% 4.6% 4.8% -10.8% 4.7% 4.0% 6.0% 9.0% 6.8% 2.3% 5.3% 42.4% 2.0% 6.3% 37.9% Outright: 3% 3.5% 3.5% -8.2% 3.7% 2.4% 4.5% 6.5% 5.7% 1.5% 4.0% 36.8% 1.3% 3.9% 32.6% Spread: ATM - 3% 5.0% 3.4% -13.8% 6.7% 6.4% 6.1% 4.5% 2.4% 3.1% 4.7% 64.9% 3.0% 4.8% 62.8% t Spread: 9% - 3% 5.1% 3.4% -8.2% 4.3% 4.8% 4.4% 5.6% 2.9% 3.2% 4.0% 79.9% 3.1% 4.0% 76.9% c, Spread: ATM • 1% 6.0% 5.1% -20.6% 9.2% 8.1% 7.3% 7.9% 4.5% 13% 6.8% 49.4% 3.2% 6.9% 48.3% ii Spread: 9% - 1% 6.1% 5.2% -14.8% 6.8% 6.6% 6.7% 9.0% 5.0% 3.6% 6.1% 67.0% 3.3% 62% 53.1% Spread: 5% - 1% 4.1% 3.1% -7.0% 3.4% 3.4% 4.0% 6.1% 3.6% 2.3% 3.6% 64.9% 2.2% 3.6% 60.8% Spread: ATM - 1M 2% 7.7% 6.7% -22.8% 10.4% 7.6% 7.9% -6.4% 7.6% 16% 7.8% 46.8% 4.0% 7.8% 50.8% Spread: 9%- 1M2% 7.9% 6.8% -16.8% 8.1% 6.1% 7.6% -4.9% 90% 3.8% 7.3% 62.6% 4.2% 7.2% 67.6% Spread: 5%- 1M 2% 5.9% 5.0% -9.7% 6.0% 3.3% 6.4% -9.4% 7.2% 2.7% 5.2% 52.3% 3.2% 5.1% 62.6% Outright: ATM 6.7% 7.4% -19.4% 9.0% 9A% 10.0% 13.4% 8.7% 4.4% 8.8% 49.9% 4.0% 8.8% 45.9% Outright: 9% 6.7% 7.4% -14.3% 7.1% 6.9% 9.1% 14.2% 9.2% 4.0% 8.1% 48.8% 3.6% 8.1% 44.2% Outright: 5% 4.3% 5.1% -8.6% 4.9% 3.0% 6.0% 118% 7.9% 2.0% 5.5% 37.0% 1.7% 5.4% 30.7% Outright: 3% 3.0% 3.6% -6.2% 3.4% 1.7% 4.4% 9.8% 7.0% 1.2% 3.9% 31.1% 0.9% 3.7% 23.5% Spread: ATM • a 5.9% 4.0% -10.8% 5.8% 7.8% 6.3% 4.2% 2.2% 4.5% 5.4% 83.4% 4.5% 5.5% 82.4% Spread: 9% - 3% 6.8% 4.0% -6.9% 3.8% 6.3% 6.2% 6.1% 2.7% 4.1% 4.6% 89.8% 4.0% 4.6% 87.9% Spread: ATM - 1% 6.8% 5.8% -15.6% 7.5% 8.2% 9.1% -4.9% 8.6% 4.4% 7.6% 58.0% 4.8% 7.5% 612% Spread: 9% • 1% 6.8% 5.8% -10.5% 5.3% 5.6% 8.0% -3.9% 8.8% 4.0% 6.8% 58.5% 4.3% 6.7% 63.9% Spread: 5% • 1% 4.4% 3.6% -4.8% 2.8% 1.8% 6.1% -6.9% 8.4% 2.0% 4.2% 48.7% 2.4% 3.9% 60.8% Spread: ATM - 1M 2% 7.9% 7.2% -16.2% 8.3% 7.4% 7.9% -3.3% 7.9% 4.5% 7.7% 58.5% 4.8% 7.7% 62.6% Spread: 9% - 1M 2% 7.9% 7.3% -11.7% 6.8% 5.5% 7.5% -2.4% 8.6% 4.3% 7.3% 588% 4.6% 7.3% 62.8% Spread: 5% • 1M 2% 6.6% 6.4% -7.3% 6.3% 2A% 6.6% 4.3% 8.6% 2.6% 6.6% 46.3% 2.9% 6.3% 54.2% Outright: ATM 7.8% 8.7% •15.9% 7.9% 103% 13.7% 10.7% 9.9% 6.7% 11.0% 52.0% 5.5% 11.1% 50.1% Outright: 9% 7.5% 8.5% -11.4% 5.9% 7.0% 12.5% 11.8% 10.2% 4.7% 10.1% 46.7% 4.5% 10.1% 44.0% Outright: 5% 4.7% 6.4% -5.8% 3.6% 1.8% 8.3% 8.7% 10.2% 2.1% 7.0% 29.7% 1.8% 6.9% 26.8% Outright: 3% 2.9% 6.0% -4.0% 2.8% 1.3% 6.0% 5.9% 9.9% 1.3% 5.2% 26.6% 1.2% 5.0% 23.3% Spread: ATM - 3% 7.1% 4.6% -98% 6.3% 9.1% 9.6% 6.2% 1.8% 6.7% 7.2% 79.9% 6.7% 7.3% 78.8% 3 Spread: 9% - 3% 6.7% 4.2% -5.3% 3.3% 5.8% 8.1% 6.3% 2.2% 4.7% 6.1% 77.6% 4.7% 6.2% 75.4% ti Spread: ATM • 1% 8.2% 7.6% -13.3% 6.9% 10.8% 12.4% 12.5% 4.3% 6.4% 9.9% 65.3% 6.2% 10.0% 62.0% Spread: 9% - 1% 7.9% 7.3% -8.9% 4.8% 7.4% 11.1% 13.6% 4.7% 6.6% 8.9% 61.1% 6.1% 9.0% 66.7% Spread: 5% - 1% 5.1% 5.2% -3.3% 2.4% 2.3% 6.6% 10.7% 4.1% 28% 5.6% 50.2% 2.5% 5.7% 44.3% Spread: ATM - 1M 2% 8.9% 8.2% -11.0% 6.3% 7.4% 9.6% -5.3% 8.0% 86% 8.7% 64.9% 6.1% 8.7% 69.7% Spread: 9%- 1M 2% 8.6% 8.1% -7.9% 6.1% 5.3% 9.2% -4.6% 8.8% 6.0% 8.3% 60.3% 5.4% 8.3% 65.0% Spread: 5%- 1M 2% 6.0% 8.4% -3.4% 3.4% 1.5% 7.3% -92% 10.5% 2.8% 6.5% 43.3% 3.3% 6.3% 52.6% 0 San Amami en -1 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055601 CONFIDENTIAL SDNY_GM_00201785 EFTA01365015