EFTA Document EFTA01357476

1. Structure allows the client to participate 1.2 x times in the upside performance of the underlying index. i.e. At maturity, if the index is up 15%, Clients final redemption = 18% 2. The performance on the upside in uncapped 3. The Index allows participating clients to take a view on stocks which have low volatility, low beta and high dividend yield in the Eurozone area 4. Backtesting, the benefits of this index have been higher dividend, higher returns, lower volatility and lower drawdowns than Eurostwoc50 Index and Stoxx600 Index 5. Higher dividends (lower forwards) and lower volatility makes the underlying optionality in the trade cheaper leading to a leveraged upside participation Risks 1. Counterparty Risk 2. Mark-to-Market Risk 3. Risk of rising Libor Rates Payoff Comparison at Maturity 10% 5% Index performance comparison vs benchmarks — Higher returns and lower volatility than the benchmark — The Index is also showing lower drawdowns than the benchmarks Long Only CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0044065 CONFIDENTIAL SDNY_GM_00190249 EFTA01357476