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EFTA Document EFTA01364485Case File
efta-efta01364485DOJ Data Set 10CorrespondenceEFTA Document EFTA01364485
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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
90% 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.
TV8
Maturity / Strike
90% Strike
85% Strike
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-0055025
CONFIDENTIAL
SDNY_GM_00201209
EFTA01364485
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