EFTA01363044.pdf

REFERENCE DATA (CYES - SPX - VIX) CYES(N)' 0.13% -0.01% 0.00% 0.27% 0.46% 0.14% 0.29% 0.33% 0.00% 0.27% 0.35% 0.06% 2.31% SPX Close 1312 1366 1408 1398 1310 1362 1379 1407 1441 1412 1416 1426 1426 SPX %Change 4.4% 4.1% 3.1% -O.7% -6.3% 4.0% 1.3% 2.0% 2.4% -2.0% 03% 0.7% 13.4% SPX %Range 5.9% 5.0% 5.8% 4.6% 8.8% 7.4% 4.9% 5.2% 5.5% 4.7% 6.4% 3.5% 17.1% VIX Close 19.4 18.4 15.5 17.2 24.1 17.1 18.9 17.5 15.7 18.6 15.9 18.0 18.0 VIX %Change -16.9% -5.2% -15.9% 10.6% 40.3% -29.0% 10.8% -7.7% -10.0% 18.2% -14.7% 13.5% -23.0% VIX %Range 24.9% 28.6% 41.1% 39.0% 54.5% 45.6% 32.5% 31.3% 31.2% 38.0% 24.9% 46.1% 61.6% F ISTM CYES(N)' I 0.30% I 0.06% I 0.56% 0.15% I 0.14% I -0.40% I .1.26% I 0.88% I -1.46% I 0.46% I 0.98% 0.59% , I 0.22% I SPX Close 1286 1327 1326 1364 1345 1321 1292 1219 1131 1253 1247 1258 1258 SPX %Change 2.3% 3.2% 43.1% 2.8% -1.4% -1.8% -2.1% -5.7% -7.2% 10.8% -0.5% 0.9% 0.0% SPX %Range 3.6% 4.3% 6.3% 5.3% 4.3% 6.5% 5.6% 15.9% 9.4% 19.3% 9.5% 5.4% 23.5% VIX Close 19.5 18.4 17.7 14.8 15.5 16.5 25.3 31.6 43.0 30.0 27.8 23.4 23.6 VIX % Change 10.0% -6.0% -3.3% -16.9% 4.7% 6.9% 52.8% 25.2% 35.9% -30.3% -7.2% -15.8% 31.8% VIX %Range 26.5% 41.0% 77.4% 27.1% 33.6% 56.8% 65.5% 101.1% 42.5% 52.2% 33.6% 38.0% 190.0% CYES(N)' I -0.29% I 0.89% I -0.12% I -0.18% I -0.67% I -036% I 1.75% I -0.05% I 0.08% I 0.18% I 0.36% I 0.36% 1.95% SPX Close 1074 1104 1169 1187 1089 1031 1102 1049 1141 1183 1181 1258 1258 SPX %Change -3.7% 2.9% 5.9% 1.5% -8.2% -5.4% 6.9% -4.7% 8.8% 3.7% -0.2% 6.5% 12.8% SPX %Range 7.1% 6.3% 6.8% 4.2% 13.8% 9.4% 10.7% 8.1% 10.2% 5.6% 4.6% 6.4% 22.6% VIX Close 24.6 19.5 17.6 22.1 32.1 34.5 23.5 26.1 23.7 21.2 23.5 17.8 23.8 VIX % Change 13.6% -20.8% -9.8% 25.4% 45.4% 7.7% -32.0% 10.9% -9.0% -10.5% 11.0% .24.6% -18.1% VIX %Range 51.4% 40.2% 19.3% 45.3% 129.7% 45.2% 45.5% 30.6% 16.4% 27.2% 28.7% 25.6% 152.1% 7009 cy(50.0' 1.13% I 0.85% I -0.67% I 0.29% I 0.76% I 0.64% I .1.90% I 0.59% I 030% I 0.39% 034% I 0.67% 3.62% I I SPX Close 826 735 798 873 919 919 987 1021 1057 1036 1096 1115 1115 SPX %Change -8.6% -11.0% 8.5% 9.4% 5.3% 0.0% 7.4% 3.4% 3.6% -2.0% 5.7% 1.8% 233% SPX %Range 15.4% 17.0% 22.6% 13.2% 7.3% 7.3% 13.9% 6.2% 8.6% 7.7% 8.1% 4.1% 51.3% VIX Close 44.8 46.4 44.1 36.5 28.9 26.4 25.9 26.0 25.6 30.7 24.5 21.7 31.8 VIX %Change 12.1% 3.4% -4.8% -17.3% -20.8% -8.9% -1.6% 0.3% -1.5% 19.8% -20.1% -11.5% 45.8% VIX %Range 51.2% 27.7% 31.2% 27.0% 28.2% 26.8% 38.1% 18.2% 28.4% 44.9% 38.4% 21.5% 95.3% CYES I I 0.42% I 0.92% I 4105% 1 0.06% I 0.42% I .0.97% I -2.83% I C6% SPX Close 1379 1331 1323 1386 1400 1280 1267 1283 1166 969 896 903 903 SPX %Change -6.1% -3.5% -0.6% 4.8% 1.1% -8.6% -1.0% 1.2% -9.1% -16.9% -7.5% 0.8% -38.5% SPX %Range 137% 5.8% 7.7% 6.1% 4.8% 9.4% 7.2% 5.2% 15.3% 28.1% 27.5% 11.5% 49.8% VIX Close 26.2 26.5 25.6 20.8 17.8 24.0 22.9 20.7 39.4 59.9 55.3 40.0 31.6 V1X %Change 16.4% 1.3% -3.5% -18.8% -14.2% 34.3% -4.2% -10.0% 90.8% 52.0% -7.7% -27.6% 77.8% VIX %Range 68.7% 30.8% 50.2% 25.0% 24.7% 37.7% 42.1% 22.8% 135.3% 127.3% 62.2% 54.1% 327.6% Data source: Bloomberg L.P. and Harvest Volatility Management, LLC I. aliallaatelsom asmiela el Sea 2. W Cse law resemie el sway VIM re saaOrd " Aorta kn. mast ♦RYa y✓MO'f a Earl -reviews. Ora ea* "ash "Meorals Main ind es lei Mean le eatetnolisse orleas was m rte.+ teem n mar to-aairee Pr, CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0052887 CONFIDENTIAL SDNY_GM_00199071 EFTA01363044