EFTA Document EFTA01456939

(PF) Performance: (Underlying Final - Initial)/Initial At Maturity: If Performance is positive: Client Receives + PF • max (0%, Performance) i.e. Client participates 1.2x in the upside performance of the index, uncapped If Performance is negative, no settlement Client Pays: USD3mLibor + 1.55% p.a. Benefits 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 Eurostoxx50 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 30% 25% - 0 44g g Fi er 10 •Index Long Only Structure Index performance comparison vs benchmarks CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 116287 CONFIDENTIAL SDNY_GM_00262471 EFTA01456939