EFTA Document EFTA01364404

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. TV8 Maturity / Strike 90