EFTA Document EFTA01479781

Subject: Jeffrey - follow-up on trades per your request [C] From: Daniel Sabba <ffi Date: Wed, 07 Jan 2015 09:08:45 -0500 To: [email protected] Cc: Paul Morris Classification: Confidential Jeffrey, Per your request, we did a hypothetical performance analysis of the 16 trades we discussed since October 2014. To complete this exercise we needed to assume notional exposures as uniform (either $10mm or EUR10mm), even if this would not have been the path realistically taken. This analy