EFTA01360678

We looked at data over the last 10_years and found the 3m 95% puts to be around the 3r° historical p_ercentile. IWM 95% Put Premia as a '1, of Spot 0.0% • 28-1un.05 28-Jun-06 28..lurt.07 28-1un-011 28-Jun-09 28-Jun-10 28-Jun-11 28.Jun.12 28-Jun-13 28-Jun-14 -1m 3m - SID Historical rolling 3-month performance of HYG US ETF and RTY Index. The historical performance below illustrates that when large moves happened, they co-occurred in both RTY Index and HYG US ETF (since 2007). 40.00% 30.00% 20.00% 10.00% 0.00% -10.00% -20.00% -30.00% RTY and HYG Rolling 3 Month Performance 4:10.(04 9/25/2007 9/25/2008 9/25/2009 9/25/2010 9/25/2011 9/25/2012 9/25/2013 9/25/2014 ----HYG(IHS) ----RTY(RH5) 60.00% 40,00% 20.00% .0 0.00% -29.00% -40.00% -60.00% Russell vol in historical lows and historically cheap to S&P (in relative absolute terms for 95% strike 3m vols) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0049182 CONFIDENTIAL PROT1 PROT0