EFTA Document EFTA01461056

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 —.Structure • .,__, 0% -10% -15% -20% -25% g Lzt 4. 4 I yr , , Ig4 44 45!,17'44,4 • ..... 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 250 225 200 175 150 125 100 75 50 Dee 02 Dec 04 Dec 06 Dec 013 Dec 10 Dec 12 — MX% Europe Low Beta High Dw 50 Index (PR) — EuroSTOXX 50 Index (PR) —97O)0( Europe 600 index (PR) IRR since inception STOXX Europe Low Beta High Div 50 Index (PR) 6.80% SX5E Index Index (PR) 2 34% STOXX Europe 600 Index (PR) 4.42% YR) return 789% 376% 451% 1-month return 3-month return -0 45% -0.79% 1 68% -0 07% 0 32% 0.36% 1 year return 15.42% 1150% 10.51% 3 Year return 42 45% 48.00% 51.88% Worst day -8.01% -788% -7.62% Best day 10.34% 11.00% 9.87% Maximum Drawdown -42 56% -6029% -60.54% Annualised Volatility 14.29% 22A5% 18.93% ReturivRisk ratio 0.48 0.10 023 Beta Correlation 100.00% 100.00% 55.63% 87 42% 68.86% 91.14% CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0 122869 SDNY_GM_00269053 EFTA01461056